N-CSR

                                    UNITED STATES

              SECURITIES AND EXCHANGE COMMISSION

                                Washington, D.C. 20549

                                      FORM N-CSR

  CERTIFIED SHAREHOLDER REPORT OF REGISTERED

             MANAGEMENT INVESTMENT COMPANIES

              Investment Company Act file number: 811-22235

AQR Funds

               (Exact name of registrant as specified in charter)

                                  Two Greenwich Plaza

                             Greenwich, CT 06830

                         

             (Address of principal executive offices) (Zip code)

                                     H.J. Willcox, Esq.

                        Principal and Chief Legal Officer

                        AQR Capital Management, LLC

                                  Two Greenwich Plaza

                             Greenwich, CT 06830                                

                   (Name and Address of Agent for Service)

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

Date of fiscal year end:  December 31

Date of reporting period:  January 1, 2021 to December 31, 2021

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.

Effective

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

U.S.

Securities

and

Exchange

Commission,

the

Funds

no

longer

mail

paper

copies

of

the

Funds'

annual

and

semi-annual

shareholder

reports,

unless

you

specifically

request

paper

copies

of

the

reports

from

the

Funds

or

from

your

financial

intermediary,

such

as

a

broker-dealer

or

bank.

Instead,

the

reports

will

be

made

available

on

a

website

(https://funds.aqr.com),

and

you

will

be

notified

by

mail

each

time

a

report

is

posted

and

provided

with

a

website

link

to

access

the

report.

If

you

already

elected

to

receive

shareholder

reports

electronically,

you

will

not

be

affected

by

this

change

and

you

need

not

take

any

action.

You

may

elect

to

receive

shareholder

reports

and

other

communications

from

the

Funds

electronically

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds'

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

You

may

elect

to

receive

all

future

reports

in

paper

free

of

charge.

You

can

inform

your

financial

intermediary

or

the

Funds

that

you

wish

to

continue

receiving

paper

copies

of

your

shareholder

reports

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds'

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

Your

election

to

receive

reports

in

paper

will

apply

to

all

AQR

Funds

held

with

the

fund

complex

if

you

purchased

your

Fund

shares

through

the

Funds'

transfer

agent

ALPS

Fund

Services,

Inc.,

or

all

AQR

Funds

held

in

your

account

if

you

invest

through

a

financial

intermediary.

Annual

Report

December

31,

2021

AQR

Alternative

Risk

Premia

Fund

AQR

Diversified

Arbitrage

Fund

AQR

Diversifying

Strategies

Fund

AQR

Equity

Market

Neutral

Fund

AQR

Long-Short

Equity

Fund

AQR

Macro

Opportunities

Fund

AQR

Managed

Futures

Strategy

Fund

AQR

Managed

Futures

Strategy

HV

Fund

AQR

Multi-Asset

Fund

AQR

Risk-Balanced

Commodities

Strategy

Fund

AQR

Style

Premia

Alternative

Fund

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

Table

of

Contents

Shareholder

Letters

(Unaudited)

AQR

Alternative

Risk

Premia

Fund

...................................................................

2

AQR

Diversified

Arbitrage

Fund

.....................................................................

4

AQR

Diversifying

Strategies

Fund

...................................................................

8

AQR

Equity

Market

Neutral

Fund

....................................................................

10

AQR

Long-Short

Equity

Fund

.......................................................................

12

AQR

Macro

Opportunities

Fund

.....................................................................

14

AQR

Managed

Futures

Strategy

Fund

................................................................

17

AQR

Managed

Futures

Strategy

HV

Fund

.............................................................

20

AQR

Multi-Asset

Fund

............................................................................

23

AQR

Risk-Balanced

Commodities

Strategy

Fund

........................................................

25

AQR

Style

Premia

Alternative

Fund

..................................................................

27

Schedule

of

Investments

AQR

Alternative

Risk

Premia

Fund

...................................................................

30

AQR

Diversified

Arbitrage

Fund

.....................................................................

54

AQR

Diversifying

Strategies

Fund

...................................................................

79

AQR

Equity

Market

Neutral

Fund

....................................................................

80

AQR

Long-Short

Equity

Fund

.......................................................................

100

AQR

Macro

Opportunities

Fund

.....................................................................

126

AQR

Managed

Futures

Strategy

Fund

................................................................

137

AQR

Managed

Futures

Strategy

HV

Fund

.............................................................

165

AQR

Multi-Asset

Fund

............................................................................

189

AQR

Risk-Balanced

Commodities

Strategy

Fund

........................................................

209

AQR

Style

Premia

Alternative

Fund

..................................................................

218

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

..................................................

252

Financial

Statements

and

Notes

........................................................................

273

Report

of

Independent

Registered

Public

Accounting

Firm

.....................................................

353

Other

Federal

Tax

Information

(Unaudited)

................................................................

354

Fund

Expense

Examples

(Unaudited)

....................................................................

355

Trustees

and

Officers

(Unaudited)

.......................................................................

358

Shareholder

Letter

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

2

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholder:

The

AQR

Alternative

Risk

Premia

Fund

(the

“Fund”)

returned

14.25%,

net

of

fees,

(Class

I

shares)

in

2021.

For

the

year

ended

December

31,

2021,

the

Fund

realized

8.9%

annualized

daily

volatility

and

a

0.1

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

Bank

of

America

U.S.

3-Month

Treasury

Bill

Index

SM

,

which

is

the

Fund’s

benchmark,

returned

0.05%

over

this

period.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2021,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

During

the

2021

fiscal

year,

the

Fund

invested

in

four

different

asset

groups,

including

using

derivatives

such

as

futures

and

swaps:

equities

of

major

developed

markets,

country

specific

equity

indices,

bonds,

and

currencies.

The

Fund

employed

market-neutral

and

long-short

strategies

across

these

asset

groups

based

on

five

investment

styles:

Value

-

The

tendency

for

cheap

assets

to

outperform

expensive

ones

Momentum

-

The

tendency

for

an

asset’s

recent

relative

performance

to

continue

in

the

future

Carry

-

The

tendency

for

higher-yielding

assets

to

provide

higher

returns

than

lower-yielding

assets

Defensive

-

The

tendency

for

lower-risk

and

higher-quality

assets

to

generate

higher

risk-adjusted

returns

Trend

-

The

tendency

for

an

asset’s

recent

performance

to

continue

in

the

future

Gains

were

almost

entirely

driven

by

the

Stocks

and

Industries

(“Stocks”)

asset

group,

with

Value

being

the

dominant

driver

of

performance.

Commodities

and

Equity

Indices

also

contributed

positively.

A

majority

of

Stocks

gains

occurred

in

the

first

quarter.

The

group

then

generally

performed

poorly

until

midway

through

the

fourth

quarter

as

Value

retraced

some

of

what

it

had

previously

earned

before

recouping

again

toward

the

end

of

the

year.

Equity

Indices

had

modestly

positive

returns

on

the

year,

being

the

only

asset

group

with

Value

detracting.

Currencies

slightly

detracted

and

Fixed

Income

was

about

flat

on

the

year.

Given

the

Fund's

target

of

low

correlation

to

traditional

markets,

the

impact

of

the

evolving

COVID-19

pandemic

on

aggregate

direction

of

traditional

markets

had

a

minimal

influence

on

the

Fund's

performance.

Stocks

had

positive

performance

across

all

the

style

factors,

with

Value

and

Defensive

being

the

biggest

contributors.

Commodities

also

saw

its

gains

come

from

Value

as

well

as

Trend.

In

Equity

Indices,

large

positive

contributions

from

Defensive

were

largely

offset

by

negative

contributions

from

Value,

producing

more

muted

gains

on

the

year.

Currencies

had

negative

performance

across

all

but

the

Value

style,

and

Carry

was

the

biggest

detractor

behind

Fixed

Income.

This

year’s

Stocks

Value

gains

are

a

shift

from

the

recent

past.

AQR’s

research

suggests

that

the

Value

losses

of

the

prior

couple

of

years

have

been

due

to

a

temporary

disconnect

between

prices

and

fundamentals.

Investors

were

demanding

stocks

with

long-term

growth

forecasts,

seemingly

without

concern

for

the

price

paid

for

those

securities.

Our

prediction

has

been

that

performance

for

Value

will

rebound

meaningfully

as

the

bubble

bursts,

and

the

shift

in

2021

has

been

a

meaningful

step

in

this

direction.

Furthermore,

despite

a

strong

year

for

the

Strategy

and

a

meaningful

contribution

from

Value

in

Stocks,

the

opportunity

set

for

this

particular

portion

of

the

portfolio

is

even

more

attractive

than

it

was

at

the

beginning

of

2021.

Jordan

Brooks

Principal

Yao

Hua

Ooi

Principal

Scott

Metchick

Principal

Nathan

Sosner

Principal

Ashwin

Thapar

Principal

3

Shareholder

Letter

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

3.34%,

3.60%

and

3.25%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

09/19/2017

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

ALTERNATIVE

RISK

PREMIA

FUND

1

Year

3

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QRPIX

14.25%

-4.34%

-4.79%

9/19/2017

Fund

-

Class

N:

QRPNX

14.03%

-4.56%

-4.99%

9/19/2017

Fund

-

Class

R6:

QRPRX

14.31%

-4.26%

-4.68%

9/19/2017

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

0.05%

0.99%

1.21%

9/19/2017

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

4

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholder:

The

AQR

Diversified

Arbitrage

Fund

(the

“Fund”)

invests

in

arbitrage

strategies,

including

merger

arbitrage,

convertible

arbitrage,

and

event-driven

strategies.

The

investment

process

seeks

to

capture

a

liquidity

premium

around

corporate

control

and

capital

raising

events,

while

maintaining

a

highly

diversified

portfolio

of

securities

with

low

exposure

to

other

risk

premia.

Over

the

2021

calendar

year,

the

Fund

returned

6.27%,

net

of

fees,

with

positive

contributions

from

all

three

major

strategy

buckets.

The

event-driven

strategy

led

the

way

(4.01%)

followed

by

merger

arbitrage

(1.56%)

and

convertible

arbitrage

(0.7%).

A

discussion

of

specific

performance

drivers

for

each

of

the

three

core

strategies

is

included

below.

Since

its

inception

on

January

15,

2009,

the

Fund’s

correlation

with

overall

equity

and

credit

markets

remains

low.

Based

on

monthly

returns

since

inception

through

December

31,

2021,

the

Fund’s

equity

market

beta

(relative

to

the

S&P

500

Total

Return

Index®)

is

0.13,

its

annualized

volatility

is

5.15%

and

its

Sharpe

ratio

is

0.84.

Use

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies,

both

to

obtain

financial

leverage

and

to

hedge

portfolio

risks.

During

the

fiscal

year

ended

December

31,

2021,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Fund

Description

Unlike

the

textbook

definition

of

arbitrage

that

requires

no

capital

and

where

identical

securities

can

simultaneously

be

bought

and

sold

for

different

prices,

corporate

arbitrage

investments

require

significant

capital

and

involve

the

purchase

and

sale

of

related

but

not

identical

securities

at

advantageous

prices.

For

example,

in

merger

arbitrage,

the

target

stock

can

often

be

purchased

for

a

price

that

is

less

than

the

merger

consideration

offered

by

the

acquiring

company.

Arbitrageurs

attempt

to

capture

this

difference

by

buying

the

target

stock,

and

in

the

case

of

a

stock

merger,

also

selling

short

the

acquirer’s

stock.

Similarly,

in

the

case

of

convertible

arbitrage,

investors

typically

purchase

a

convertible

bond

at

a

price

below

fundamental

value

and

hedge

the

risk

of

the

underlying

equity

call

option

that

is

embedded

in

the

bond

by

selling

short

the

issuer’s

common

stock.

Arbitrageurs

generally

profit

when

the

prices

of

securities

purchased

converge

to

their

fundamental

values.

Like

merger

arbitrage

and

convertible

arbitrage,

the

event-driven

strategies

employed

by

the

Fund

involve

the

purchase

of

securities

around

corporate

events

at

discounts

to

their

fundamental

values.

For

most

of

the

investments,

an

attempt

is

made

to

mitigate

the

embedded

systematic

risk

via

hedging.

Where

there

is

no

direct

hedge

for

a

particular

security,

correlated

indirect

hedges

are

employed.

For

example,

systematic

equity

market

risk

is

hedged

by

shorting

S&P

500

futures

and

swaps.

Similarly,

for

example,

credit

and

interest

rate

risks

are

hedged

using

derivative

contracts

(credit

default

swap

indices

and

Treasury

futures).

Although

indirect

hedges

can

effectively

mitigate

systematic

risk

(e.g.

beta)

on

average,

they

expose

the

Fund

to

basis

risk—

the

basket

of

securities

purchased

around

corporate

events

does

not

necessarily

move

in

lockstep

with

the

hedging

instruments.

Performance

Attribution

Over

a

long

horizon,

we

expect

arbitrage

returns

to

have

a

low

correlation

to

equity

and

credit

market

returns

and

exceed

short-term

Treasury

bill

returns.

In

some

years,

like

2014,

arbitrage

strategies

generate

returns

that

are

below

expectations.

In

other

years,

as

in

2020,

arbitrage

strategies

generate

returns

that

are

significantly

greater

than

the

long-run

expected

average.

Years

with

significant

outperformance

often

follow

severe

market

dislocations,

like

we

experienced

in

March

2020,

which

can

create

favorable

market

conditions

for

arbitrage

strategies.

Since

its

inception

in

2009,

the

Fund

has

returned

an

annualized

average

return

of

4.3%

above

the

ICE

Bank

of

America

U.S.

3-Month

Treasury

Bill

Index.

Event-Driven

The

event-driven

strategy

contributed

4.01%

to

the

Fund’s

return

in

2021,

which

was

the

largest

of

the

three

core

strategy

buckets.

The

Special

Purpose

Acquisition

Companies

(“SPAC”)

sub-strategy

was

the

largest

contributor

(3.69%),

with

the

Closed-End

Fund

(“CEF”)

(0.22%)

and

corporate

events

and

event-driven

credit

(0.10%)

sub-strategies

also

contributing

positive

returns.

None

of

the

event-driven

sub-strategies

detracted

from

performance

during

the

year.

Over

the

long-run,

the

SPAC

sub-strategy

has

contributed

2.5%

to

the

Fund

annually

with

an

average

exposure

of

18.5%

of

NAV.

Given

the

relative

attractiveness

of

the

SPAC

sub-strategy

in

2021,

the

Fund’s

average

SPAC

exposure

was

39.3%

of

NAV,

more

than

double

its

long-run

exposure.

John

Liew

Founding

Principal

Mark

Mitchell,

Ph.D.

Founding

Principal,

AQR

Arbitrage

Todd

Pulvino,

Ph.D.

Founding

Principal,

AQR

Arbitrage

Rocky

Bryant

Principal,

AQR

Arbitrage

Lars

Nielsen

Principal

Ashwin

Thapar

Principal

5

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2021

The

SPAC

sub-strategy

benefited

from

a

combination

of

another

record

setting

SPAC

Initial

Public

Offering

(“IPO”)

market,

successful

deal-making,

and

an

increase

in

investor

demand

for

the

product.

In

2021,

615

new

SPAC

IPOs

raised

$157

billion,

far

exceeding

the

record-setting

251

SPAC

IPOs

and

$83

billion

raised

in

2020.

Given

the

attractiveness

of

the

SPAC

strategy

from

an

arbitrage

perspective,

the

Fund

maintained

an

elevated

exposure

to

SPACs

throughout

the

year.

The

Fund

benefitted

from

this

increased

exposure

as

there

were

few

liquidations

(<1%)

and

many

successful

de-SPACings,

particularly

those

focused

on

electric

vehicles

and

clean

energy,

which

generated

significant

gains

for

the

Fund.

Increased

investor

interest

in

the

SPAC

market

at

the

beginning

of

the

year

pushed

the

median

spread-to-trust

to

a

premium

as

high

as

4.5%

and

generated

significant

profits

for

the

SPAC

strategy.

However,

the

sheer

volume

of

SPAC

IPOs

later

in

the

year

caused

the

premium

to

dissipate.

By

August,

the

median

spread-to-trust

had

reverted

to

a

discount

of

2.2%

causing

mark-to-market

losses.

A

positive

result

of

the

median

spread-to-trust

in

the

market

moving

to

an

attractive

discount

was

that

terms

of

new

SPAC

IPOs

had

to

be

improved

to

entice

investors.

Changes

in

terms

included

over-

funding

trust

accounts,

increasing

warrant

coverage,

and

decreasing

the

term

of

the

SPAC,

all

of

which

benefit

investors

that

are

still

willing

to

participate

in

the

IPO

market—IPO

investors

are

effectively

being

paid

to

own

warrants

that

have

no

downside

and

a

positive

probability

of

significant

upside.

Because

of

these

changes,

and

the

robust

pipeline

of

future

SPAC

issues,

we

view

the

SPAC

sub-

strategy

as

the

most

attractive

strategy

that

the

Fund

currently

employs

on

a

forward-looking

basis.

The

CEF

sub-strategy

benefited

from

narrowing

median

discounts

across

all

CEF

fund

types

throughout

2021.

Equity

CEF

median

discounts

began

the

year

at

-9.8%

and

narrowed

to

-4.4%,

credit

CEFs

moved

from

-5.9%

to

0.1%,

and

municipal

bond

CEFs

moved

from

-5.6%

to

-1.7%.

Given

this

dramatic

narrowing

of

discounts

throughout

the

year,

the

Fund

monetized

its

profits

and

took

exposure

to

the

CEF

sub-strategy

to

zero

during

the

third

quarter

of

2021

and

remained

flat

in

exposure

terms

through

year-end.

The

Fund’s

participation

in

debt

capital

markets

and

IPOs

throughout

the

year

also

provided

slight

positive

returns

as

the

Fund

was

able

to

capture

the

liquidity

premium

issuers

pay

to

access

public

capital

markets.

Investment

grade

debt

issuance

and

IPOs

both

set

records

in

2021

which

provided

many

opportunities

to

earn

this

issuer

concession.

Merger

Arbitrage

Merger

arbitrage

contributed

1.56%

to

the

Fund’s

return

in

2021.

The

majority

of

this

return

(0.94%)

was

realized

during

the

first

quarter

when

there

were

ten

deals

where

the

consideration

was

increased,

a

quarterly

record,

coupled

with

zero

adverse

terminations.

The

second

quarter

continued

the

first

quarter’s

theme

of

increased

offers

and

low

failure

rates

(<1%)

as

nine

deals

received

improved

offers.

While

increased

offers

and

limited

deal

failures

drove

positive

returns

in

the

first

half

of

the

year,

deal

failures

muted

second

half

performance

with

merger

contribution

flat

in

the

third

quarter

and

slightly

positive

during

the

fourth

quarter.

As

the

merger

environment

and

attractiveness

improved

in

2021

compared

to

2020,

we

tactically

allocated

more

of

the

Fund’s

assets

to

merger

arbitrage,

increasing

its

target

weight

from

20%

at

the

beginning

of

the

year

to

35%

at

the

end

of

the

year.

This

tactical

adjustment

benefitted

the

Fund

in

the

fourth

quarter

as

median

annualized

spreads

tightened

from

5.9%

to

3.6%

following

key

regulatory

approvals

for

several

deals.

The

domestic

investible

universe,

defined

as

definitive-agreement

U.S.

deals

with

value

greater

than

$500

million,

expanded

during

the

first

half

of

the

year

with

the

number

of

transactions

increasing

from

46

to

59

($291

billion

to

$374

billion).

However,

by

year-end

the

dollar

value

of

the

universe

had

fallen

slightly

in

comparison

to

the

beginning

of

the

year

to

$281

billion

across

54

investible

deals.

Looking

forward,

we

expect

steady

deal

flow

to

continue;

however,

if

interest

rates

rise

meaningfully,

deal

flow

may

be

adversely

affected,

particularly

for

leveraged

buyouts

as

higher

rates

increase

acquirers’

cost

of

capital.

Convertible

Arbitrage

Convertible

arbitrage

contributed

0.70%

to

the

Fund’s

return

in

2021.

Positive

returns

can

be

attributed

primarily

to

richening

of

the

convertible

market

during

the

first

and

third

quarters

which

enabled

the

Fund

to

sell

rich

bonds

and

lock

in

profits.

Following

a

record

year

of

new-issuance

in

2020

($114

billion),

the

U.S.

convertible

market

experienced

robust

issuance

with

$93

billion

raised

across

155

new

convertible

securities,

resulting

in

$38

billion

of

net

growth

(new

issues

minus

redemptions

and

maturities)

year-over-year.

During

2021

there

was

a

healthy

mix

of

repeat

issuers,

technology

companies,

biotech

companies,

COVID

19-related

issuance,

and

a

new

entrant

into

the

convertible

market:

SPAC

issuers.

We

estimate

that

14

of

the

155

new

securities

in

2021

were

issued

by

companies

which

were

taken

public

via

SPAC,

amounting

to

$10

billion

of

the

$93

billion

total

(9%

by

count

and

11%

by

dollars

raised).

This

new

theme

is

not

surprising

given

the

exponential

growth

of

the

SPAC

market,

and

the

nature

of

companies

which

are

taken

public

via

SPAC.

Many

of

these

newly

merged

SPACs

are

highly

volatile

growth

companies

with

low

cash

balances

and

negative

Earnings

Before

Interest,

Taxes,

Depreciation

and

Amortization

(“EBITDA”)

and

are

prime

candidates

to

issue

convertible

bonds

because

they

offer

low

cash

coupons

and

valuable

conversion

options.

We

expect

this

trend

to

continue

as

more

than

800

SPACs

have

been

brought

public

over

the

last

two

years,

raising

$250

billion,

and

there

are

almost

300

pending

SPACs

which

have

filed

with

the

Securities

and

Exchange

Commission

(“SEC”)

to

raise

an

additional

$60

billion

of

capital.

While

the

beginning

of

the

COVID-19

pandemic

in

first

quarter

of

2020

was

accompanied

by

extreme

market

volatility

across

asset

classes,

market

risk

and

liquidity

were

much

more

typical

in

2021.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

global

markets.

6

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Performance

of

the

Fund

in

2021

was

driven

by

the

continued

growth

of

the

SPAC

market.

1

The

SPAC

strategy

drove

performance,

benefiting

from

well

received

de-SPACing

announcements

amid

a

record

year

of

issuance

and

a

near-zero

liquidation

rate.

Returns

from

the

SPAC

strategy

in

2021

demonstrate

the

favorable

asymmetric

return

profile

of

the

product,

where

the

investor’s

downside

is

limited

via

the

redemption

put-right

while

the

investor

maintains

the

upside

in

the

event

of

a

successful

de-SPACing.

The

IPO

calendar

for

SPACs

is

expected

to

continue

its

recent

pace

of

activity

with

a

robust

pipeline

($60

billion)

already

on

file

with

the

SEC.

We

anticipate

that

SPACs

will

play

a

larger

role

in

the

convertible

bond

new-issuance

space

going

forward

given

the

types

of

companies

taken

public

via

SPACs

and

the

favorable

terms

issuers

can

receive

by

issuing

a

convertible

versus

high-yield

bonds.

We

also

think

that

a

higher

interest

rate

environment

may

be

conducive

to

additional

convertible

issuance

as

convertibles’

low

cash

coupons

will

remain

attractive

relative

to

high-yield

coupons.

Merger

arbitrage

provided

positive

returns

to

the

Fund

in

2021

primarily

due

to

increased

offers.

We

are

encouraged

by

the

size

of

the

merger

market

and

believe

robust

deal

flow

can

continue

as

companies

may

look

to

consolidate

following

the

impact

of

COVID-19.

We

are

optimistic

there

will

be

mispricings

and

market

dislocations

due

to

broader

market

uncertainty

in

2022,

both

of

which

should

provide

opportunities

for

the

Fund

to

invest.

Irrespective

of

where

the

Fund

deploys

capital

in

2022,

the

Fund

will

continue

to

hedge

systematic

equity,

credit,

and

interest

rate

risks,

with

the

intention

of

delivering

uncorrelated

excess

returns.

2

1

The

two

primary

risks

within

the

SPAC

strategy

are

mark-to-market

risk

and

the

risk

of

a

SPAC

failing

to

find

an

acquisition

target.

Pertaining

to

mark

to

market

risk,

as

long

as

the

Fund

does

not

need

to

sell

the

SPACs

at

a

discount,

thereby

locking

in

losses,

this

risk

eventually

falls

away.

When

a

SPAC

fails

to

find

an

acquisition

target

and

thus

liquidates,

the

warrants

associated

with

the

SPAC

become

worthless,

but

the

shareholders

still

receive

the

Trust

Value.

2

Note

that

the

Fund

uses

various

derivatives

instruments

(e.g.,

futures,

options,

forwards,

and

swaps),

primarily

to

hedge

systematic

risks

including

credit

risk

and

interest

rate

risk.

While

the

purpose

of

employing

derivatives

instruments

is

to

decrease

the

Fund’s

overall

risk,

hedging

instruments

are

imperfect

tools

and

their

effectiveness

depends

on

the

degree

of

price

correlation

between

the

derivative

instruments

and

the

assets

being

hedged.

Imperfect

correlation

may

be

caused

by

several

factors,

including

temporary

price

disparities

between

derivative

markets

and

markets

for

the

underlying

assets.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.18%,

2.43%

and

2.08%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

DIVERSIFIED

ARBITRAGE

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ADAIX

6.27%

13.03%

9.34%

4.76%

4.83%

1/15/2009

Fund

-

Class

N:

ADANX

5.99%

12.75%

9.07%

4.51%

4.55%

1/15/2009

Fund

-

Class

R6:

QDARX

6.37%

13.11%

9.46%

N/A

5.84%

9/2/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

0.05%

0.99%

1.14%

0.63%

0.52%

1/15/2009

7

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2021

AQR

DIVERSIFIED

ARBITRAGE

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2011

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFYING

STRATEGIES

FUND

8

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholder:

The

AQR

Diversifying

Strategies

Fund

(the

“Fund”)

returned

10.66%,

net

of

fees,

(Class

I

shares)

in

2021.

Over

the

year,

the

Fund

realized

a

5.7%

annualized

daily

volatility

1

and

a

0.5

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

Bank

of

America

U.S.

3-Month

Treasury

Bill

Index,

which

is

the

Fund’s

benchmark,

returned

0.05%

over

this

period.

The

Fund

seeks

to

provide

an

all-in-one

alternatives

solution

through

an

allocation

to

six

AQR

alternative

mutual

funds.

Leveraging

AQR’s

research

and

20-year

track

record

in

alternative

investing,

the

Fund

is

designed

to

complement

an

investor’s

traditional

stock

and

bond

portfolio.

The

Fund

invests

in

a

portfolio

of

AQR

mutual

funds,

providing

exposure

to

both

Active

Multi-Asset

strategies

and

Absolute

Return

strategies:

Active

Multi-Asset

Strategies:

seek

to

provide

tactical

and

risk-managed

allocations

among

major

asset

classes

across

global

markets.

These

strategies

are

expected

to

have

some

correlation

to

traditional

asset

classes

over

the

long-term.

Absolute

Return

Strategies:

seek

to

capture

returns

from

well-established

investments

styles,

such

as

value

and

momentum.

Certain

strategies

may

also

provide

exposure

to

less

accessible

types

of

returns.

These

strategies

tend

to

be

uncorrelated

to

traditional

asset

classes

over

the

long-term.

Gains

were

split

amongst

the

two

groups

of

strategies

roughly

equally.

The

Active

Multi-Asset

strategies

benefitted

from

appreciating

equity

markets

and

gains

from

inflation

-sensitive

assets,

particularly

commodities.

The

strategies

gained

due

to

exposures

in

equities,

commodities,

and

inflation-linked

bonds,

which

more

than

offset

detractions

due

to

exposures

in

nominal

bonds

and

currencies.

Active

asset

allocation

and

security

selection

benefited

the

portfolio

on

the

year.

Performance

across

the

diverse

set

of

Absolute

Return

strategies

varied

substantially.

Gains

were

led

by

the

exposure

to

the

style

premia

and

the

equity

market

neutral

strategies.

The

stock

selection

strategy

was

the

dominant

driver

of

returns

for

style

premia,

driven

largely

by

value,

while

the

macro

asset

groups

contributed

more

modestly

in

aggregate.

The

equity

market

neutral

strategy

performance

was

in

large

part

attributable

to

U.S.

and

European

stock

selection,

with

the

most

gains

coming

from

the

value

and

defensive

themes.

The

arbitrage

strategy

modestly

contributed

to

aggregate

gains.

The

global

macro

and

the

managed

futures

strategies

both

detracted,

albeit

modestly.

Global

macro

detracted

largely

due

to

the

impact

of

the

relative

value

interest

rates

and

currencies

sub-strategies,

while

the

directional

sub-strategies

provided

some

offsetting

gains.

Managed

futures

detracted

primarily

due

to

reversals

in

currency

markets,

while

continuation

of

trends

within

commodity

markets

were

able

to

offset

some

of

the

loss,

but

it

was

close

to

flat

on

the

year.

1

Volatility

is

measured

on

standard

deviation.

Jordan

Brooks

Principal

John

Huss

Principal

Yao

Hua

Ooi

Principal

Scott

Metchick

Principal

Lars

Nielsen

Principal

Ashwin

Thapar

Principal

9

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.59%,

2.75%

and

2.49%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

DIVERSIFYING

STRATEGIES

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

6/8/2020

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

DIVERSIFYING

STRATEGIES

FUND

1

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QDSIX

10.66%

10.54%

6/8/2020

Fund

-

Class

N:

QDSNX

10.37%

10.29%

6/8/2020

Fund

-

Class

R6:

QDSRX

10.84%

10.69%

6/8/2020

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

0.05%

0.08%

6/8/2020

Shareholder

Letter

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

10

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholders:

The

AQR

Equity

Market

Neutral

Fund

(the

“Fund”)

seeks

to

provide

investors

with

returns

from

potential

gains

of

its

long

and

short

equity

positions.

The

Fund

is

designed

to

be

market,

or

beta-neutral,

meaning

the

Fund

seeks

to

achieve

returns

that

are

not

closely

correlated

with

the

returns

of

the

equity

markets

in

which

the

Fund

invests.

Accordingly,

the

Fund,

on

average,

intends

to

target

a

portfolio

beta

of

zero

over

a

normal

business

cycle.

The

Fund

pursues

its

investment

objective

by

investing

at

least

80%

of

its

net

assets

(including

borrowings

for

investment

purposes)

in

equity

securities

and

equity

related

derivative

instruments.

Since

the

Fund

targets

a

beta

of

zero,

an

appropriate

benchmark

is

U.S.

cash

returns,

which

remain

at

relatively

low

levels.

In

2021,

the

Fund’s

Class

I

shares

returned

17.64%,

net

of

fees.

The

Fund’s

benchmark

(ICE

Bank

of

America

U.S.

3-Month

Treasury

Bill

Index)

delivered

a

return

of

0.05%

over

this

period.

As

such,

the

Fund

overperformed

its

benchmark.

Geographically,

stocks

in

the

U.S.,

Japan,

and

Canada

contributed

to

overall

returns.

At

the

sector

level,

stock

selection

within

Health

Care,

Consumer

Discretionary,

and

Information

Technology

drove

gains.

Securities

in

the

Fund

remained

globally

diversified

with

over

50%

of

the

Fund

invested

outside

of

the

U.S.

The

Fund

does

take

small

industry

views.

As

of

the

end

of

the

year,

our

largest

sector

overweight

was

in

Financials,

while

our

largest

underweight

was

in

Consumer

Staples.

The

AQR

Equity

Market

Neutral

Fund

is

intended

to

maintain

neutrality

to

equity

markets,

and

incorporates

constraints

to

limit

exposure

to

macroeconomic

factors.

In

2021

we

have

seen

an

impressive

initial

rebound

for

Value,

most

pervasive

and

apparent

in

the

first

quarter.

Value

was

a

contributor

to

fund

performance

for

the

year,

a

reversal

in

performance

that

potentially

points

to

a

larger

and

long-awaited

recovery

following

a

challenging

period

for

the

theme

in

recent

years

past.

The

evolution

of

the

COVID-19

pandemic

continued

to

play

a

key

role

in

markets

throughout

2021,

as

the

global

vaccination

campaign

was

challenged

by

the

spread

of

the

more-contagious

Delta

and

Omicron

variants.

Regional

COVID-19

outbreaks

had

global

impacts

on

already

strained

global

supply

chains

still

fighting

to

recover

from

2020.

Alongside

the

variants,

rising

inflation

has

also

raised

concerns.

We

have

also

seen

the

Consumer

Price

Index

(CPI)

accelerate

to

a

multi-year

high

across

major

economies

such

as

the

U.S.,

Eurozone,

and

UK.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and,

where

applicable,

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

last

year’s

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

adjusting

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

recovery

remains

a

potential

factor

within

the

equity

market

environment.

The

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

We

believe

that

the

normalization

of

the

extreme

dislocation

seen

over

the

last

few

years

may

continue

to

be

a

tailwind

for

Value

performance.

One

way

in

which

we

can

measure

the

dislocation

observed

in

Value

is

by

looking

at

Value

spreads,

which

measure

the

difference

in

valuation

multiples

between

cheap

and

expensive

companies.

Over

the

last

few

years,

we

have

seen

spreads

move

to

extreme

levels

–

levels

more

extreme

than

what

we

observed

around

the

Tech

Bubble.

While

the

fund

experienced

a

rebound

associated

with

value

stocks

during

2021,

we

believe

the

value

recovery

and

anticipated

performance

benefit

is

far

from

over.

While

the

last

few

years

have

seen

an

underperformance

due

to

an

extreme

dislocation

in

markets,

the

outlook

for

the

Fund

remains

strong.

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

John

J.

Huss

Principal

Lars

Nielsen

Principal

11

Shareholder

Letter

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.76%,

2.06%

and

1.70%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

EQUITY

MARKET

NEUTRAL

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

10/7/2014

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

EQUITY

MARKET

NEUTRAL

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QMNIX

17.64%

-5.65%

-4.73%

0.47%

10/7/2014

Fund

-

Class

N:

QMNNX

17.38%

-5.87%

-4.96%

0.22%

10/7/2014

Fund

-

Class

R6:

QMNRX

17.93%

-5.57%

-4.65%

0.54%

10/7/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

0.05%

0.99%

1.14%

0.84%

10/7/2014

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

12

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholder:

The

AQR

Long-Short

Equity

Fund

(the

“Fund”)

seeks

to

provide

higher

risk-adjusted

returns

with

lower

volatility

relative

to

global

equity

markets.

It

does

so

by

using

three

different

sources

of

return:

1)

the

potential

gains

from

its

long

and

short

equity

positions,

2)

overall

exposure

to

equity

markets,

and

3)

the

tactical

variation

of

its

net

exposure

to

equity

markets.

The

strategy

primarily

seeks

to

add

alpha

via

its

long/

short

(market-neutral)

equity

portfolio,

which

includes

the

use

of

derivatives

such

as

swaps

and

futures.

It

also

manages

its

beta

relative

to

the

MSCI

World

Index

(“MSCI

World”)

to

a

long-term

target

of

0.5,

and

within

a

shorter-term

range

of

0.3

to

0.7,

depending

on

our

market

views.

In

2021,

the

Class

I

shares

of

the

Fund

returned

31.10%,

net

of

fees.

Positive

performance

was

driven

by

the

Fund’s

long-short

stock

selection

component.

The

Fund’s

custom

benchmark

(50%

MSCI

World

+

50%

ICE

Bank

of

America

U.S.

3-Month

Treasury

Bill

Index)

delivered

a

return

of

10.57%

over

this

period.

As

such,

the

Fund

outperformed

its

benchmark.

Geographically,

stocks

in

the

U.S.,

Japan,

and

Canada

contributed

to

overall

returns.

At

the

sector

level,

stock

selection

within

Health

Care,

Consumer

Discretionary,

and

Information

Technology

drove

gains.

The

Fund

experienced

positive

performance

from

its

static

long-term

beta

exposure

of

0.5

to

the

MSCI

World,

given

the

index’s

strong

returns

in

2021

and

the

tactical

market

exposure

(the

desired

deviation

from

a

beta

of

0.5).

Securities

in

the

Fund

remained

globally

diversified

with

over

50%

of

the

Fund

invested

outside

of

the

U.S.

The

Fund

does

take

small

industry

views.

As

of

the

end

of

the

year,

our

largest

sector

overweight

was

in

Financials,

while

our

largest

underweight

was

in

Consumer

Staples.

The

Fund

is

structured

to

maintain

some

passive

exposure

to

equity

markets,

while

also

employing

a

long-

short

stock

selection

strategy

intended

to

maintain

neutrality

to

equity

markets.

In

2021

we

have

seen

an

impressive

initial

rebound

for

Value,

most

pervasive

and

apparent

in

the

first

quarter.

Value

was

a

contributor

to

fund

performance

for

the

year,

a

reversal

in

performance

that

potentially

points

to

a

larger

and

long-awaited

recovery

following

a

challenging

period

for

the

theme

in

recent

years

past.

The

evolution

of

the

COVID-19

pandemic

continued

to

play

a

key

role

in

markets

throughout

2021,

as

the

global

vaccination

campaign

was

challenged

by

the

spread

of

the

more-contagious

Delta

and

Omicron

variants.

Regional

COVID-19

outbreaks

had

global

impacts

on

already

strained

global

supply

chains

still

fighting

to

recover

from

2020.

Alongside

the

variants,

rising

inflation

has

also

raised

concerns.

We

have

also

seen

the

Consumer

Price

Index

(CPI)

accelerate

to

a

multi-year

high

across

major

economies

such

as

the

U.S.,

Eurozone,

and

UK.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and,

where

applicable,

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

last

year’s

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

adjusting

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

recovery

remains

a

potential

factor

within

the

equity

market

environment.

The

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

John

J.

Huss

Principal

Lars

Nielsen

Principal

13

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

December

2021

We

believe

that

the

normalization

of

the

extreme

dislocation

seen

over

the

last

few

years

may

continue

to

be

a

tailwind

for

Value

performance.

One

way

in

which

we

can

measure

the

dislocation

observed

in

Value

is

by

looking

at

Value

spreads,

which

measure

the

difference

in

valuation

multiples

between

cheap

and

expensive

companies.

Over

the

last

few

years,

we

have

seen

spreads

move

to

extreme

levels

–

levels

more

extreme

than

what

we

observed

around

the

Tech

Bubble.

While

the

Fund

experienced

a

rebound

associated

with

value

stocks

during

2021,

we

believe

the

value

recovery

and

anticipated

performance

benefit

is

far

from

over.

While

the

last

few

years

have

seen

an

underperformance

due

to

an

extreme

dislocation

in

markets,

the

outlook

for

the

Fund

remains

strong.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.35%,

1.60%

and

1.26%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

AQR

LONG-SHORT

EQUITY

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

7/16/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

LONG-SHORT

EQUITY

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QLEIX

31.10%

4.52%

2.03%

7.45%

7/16/2013

Fund

-

Class

N:

QLENX

30.70%

4.26%

1.75%

7.16%

7/16/2013

Fund

-

Class

R6:

QLERX

31.14%

4.62%

2.12%

6.04%

9/2/2014

50%

MSCI

World

Index/50%

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index**

10.57%

11.32%

8.19%

6.23%

7/16/2013

Shareholder

Letter

(Unaudited)

AQR

MACRO

OPPORTUNITIES

FUND

14

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholder:

The

AQR

Macro

Opportunities

Fund

(the

“Fund”)

invests

across

a

wide

range

of

asset

classes,

including

fixed

income,

currencies,

commodities,

and

equities

through

the

use

of

derivatives

such

as

futures,

forwards,

and

swaps.

Within

each

asset

class,

the

Fund

takes

both

relative

value

and

directional

positions.

The

targeted

annualized

volatility

for

the

Fund

is

10%,

on

average,

which

varies

over

time

based

on

attractiveness

of

opportunities

within

the

different

assets

and

asset

classes

that

the

Fund

trades.

While

the

strategy

is

long-term

market

neutral,

it

can

take

directional

views

over

the

short

term.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

Our

strategy

invests

across

liquid

markets

primarily

on

the

basis

of

macroeconomic

news

and

trends,

an

investment

approach

we

call

macro

momentum.

We

evaluate

both

quantitative

and

qualitative

indicators

across

a

variety

of

dimensions,

from

growth

and

inflation

to

monetary

policy

and

international

trade.

By

integrating

both

quantitative

and

discretionary

indicators

in

a

bottom-up,

risk-controlled

portfolio

construction,

in

our

opinion,

we

capture

the

best

features

of

both

approaches

while

maintaining

the

benefits

of

a

systematic

and

disciplined

process.

In

addition

to

economic

fundamentals,

we

also

consider

other

indicators,

including

measures

of

price

momentum,

value

and

carry.

This

multifactor

approach

provides

a

more

holistic

picture

of

each

asset’s

attractiveness.

Macro

momentum

tends

to

drive

asset

positioning

(long

or

short)

in

our

portfolio,

however,

position

direction

and

sizing

will

vary

based

on

the

degree

of

agreement

between

economic

fundamentals,

on

the

one

hand,

and

price

momentum,

value

and

carry,

on

the

other.

The

bottom-up

portfolio

construction

–

in

which

we

evaluate

the

attractiveness

of

each

asset

across

a

large

number

of

dimensions

–

allows

us

to

build

a

highly-diversified

portfolio

that

does

not

depend

on

a

few

“best

ideas.”

The

Fund

concluded

2021

with

a

negative

overall

return,

underperforming

its

benchmark.

The

Fund’s

Class

I

shares

returned

-4.54%,

net

of

fees,

versus

a

0.05%

return

for

its

benchmark,

the

ICE

Bank

of

America

U.S.

3-Month

Treasury-Bill

Index.

By

asset

class,

gross

of

fees,

currencies

and

fixed

income

drove

losses,

while

gains

in

commodities

and

equities

partly

offset.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2021,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

global

economy

experienced

rapid

growth

in

2021,

continuing

its

recovery

from

the

recession

triggered

by

the

COVID-19

pandemic.

The

early

months

of

the

year

brought

favorable

news

for

the

expansion,

as

the

U.S.

passed

additional

fiscal

stimulus

and

as

vaccine

rollouts

commenced

across

much

of

the

world.

However,

headwinds

soon

emerged

in

the

form

of

widespread

supply

chain

disruptions

and

new

variants

of

COVID-19,

resulting

in

some

tempering

of

growth

expectations

later

in

the

year.

Booming

demand

and

supply

-side

constraints

also

gave

rise

to

a

sharp

increase

in

price

pressures

across

most

major

economies,

with

many

countries

experiencing

inflation

rates

not

seen

in

decades.

In

response

to

unexpectedly

strong

and

persistent

inflation,

many

central

banks

began

to

roll

back

some

of

the

stimulus

measures

deployed

earlier

in

the

pandemic.

Despite

some

bumps

along

the

way,

risky

assets

generally

saw

strong

gains

for

the

year,

with

large

rallies

in

global

equities

as

well

as

most

growth-sensitive

commodities.

Bonds,

on

the

other

hand,

suffered

meaningful

losses

as

positive

growth,

favorable

risk

sentiment,

rising

inflation,

and

tightening

monetary

policy

all

put

upward

pressure

on

yields.

This

environment

created

profitable

opportunities

for

the

Fund

in

commodity

markets

in

particular,

while

fixed

income

and

currency

markets

proved

more

challenging

for

the

year

as

a

whole.

Equities

Among

equities,

emerging

markets

drove

gains

for

the

year.

Long

positioning

in

Taiwanese

equities

relative

to

short

exposure

to

China

H

shares

were

the

biggest

contributors.

Taiwanese

equities

benefited

from

the

comparative

success

containing

the

coronavirus

and

favorable

demand

trends

for

semiconductors

and

other

key

exports.

Short

positions

in

China

H

shares

benefitted

as

slowing

growth

in

China,

increased

regulatory

pressure

on

large

market

capital

companies

by

Chinese

policymakers,

and

questions

around

the

solvency

of

some

of

the

country’s

major

real

estate

developers

weighed

on

the

index.

Directional

long

equity

exposures

throughout

the

year

in

both

emerging

and

developed

markets

also

favored

performance,

but

those

gains

were

countered

by

losses

from

relative

value

views

among

developed

equities.

On

a

thematic

basis,

price

and

macro

momentum

contributed

favorably

while

losses

from

value

partly

offset.

John

Liew

Founding

Principal

Jordan

Brooks

Principal

Jonthan

Fader

Principal

Yao

Hua

Ooi

Principal

Erik

Stamelos

Principal

Ashwin

Thapar

Principal

15

Shareholder

Letter

(Unaudited)

AQR

MACRO

OPPORTUNITIES

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Fixed

Income

In

fixed

income,

yield

curve

strategies

were

the

largest

driver

of

losses.

A

Eurozone

yield

curve

flattener

(short

two-year

interest

rate

swaps

versus

long

ten-year

interest

rate

swaps)

detracted

from

performance

significantly

in

both

the

second

and

fourth

quarters

of

2021.

The

euro

yield

curve

flattened

less

than

other

developed

market

yield

curves

as

growth

expectations

improved

in

Europe

on

the

back

of

an

acceleration

in

vaccination

deployment.

In

the

fourth

quarter,

the

European

Central

Bank

("ECB")

pushed

back

against

the

market

pricing

of

rate

hikes

for

2022

and

the

euro

yield

curve

slope

was

relatively

unchanged

as

a

result,

while

other

yield

curves

flattened

over

the

quarter.

A

U.S.

yield

curve

flattener

also

detracted

from

returns

over

the

last

twelve

months,

with

losses

concentrated

in

first

quarter

of

2021.

The

U.S.

yield

curve

steepened

at

that

time

as

expectations

for

more

expansive

fiscal

policy

pushed

up

longer-term

yields.

The

Biden

administration

and

Congressional

Democrats

moved

in

February

and

March

to

pass

a

$1.9

trillion

COVID-19

relief

bill,

prompting

upward

revisions

to

forecasts

for

U.S.

Gross

Domestic

Product

(“GDP”)

growth.

Thematically,

momentum

(price

and

fundamental)

and

carry

signals

drove

losses

for

the

asset

class

as

a

whole.

Currencies

In

currencies,

losses

were

shared

among

developed

and

emerging

market

currencies.

A

relative

long

position

in

the

Australian

dollar

in

second

and

third

quarters

versus

other

developed

market

currencies

detracted

as

the

Reserve

Bank

of

Australia

(“RBA”)

remained

dovish

through

a

sharp

rise

in

COVID-19

cases.

A

relative

short

in

the

British

pound

also

led

to

losses

throughout

the

year

as

the

Bank

of

England

has

been

among

the

more

hawkish

central

banks

in

developed

markets

through

2021,

delivering

a

rate

hike

at

its

December

policy

meeting

in

response

to

rising

inflation.

Positioning

throughout

the

year

also

generally

favored

long

exposure

to

emerging

versus

developed

currencies,

leading

to

losses

as

emerging

currencies

generally

underperformed.

Losses

were

broadly

shared

across

themes.

Commodities

Commodities

were

a

meaningful

driver

of

positive

performance,

and

helped

mitigate

losses

from

other

asset

classes

for

the

year.

Directional

long

exposures

across

a

variety

of

sectors

fueled

returns

as

the

global

economic

recovery

and

emerging

supply

constraints

led

to

broad

gains

across

commodity

markets.

Agricultural

commodities

were

a

notable

source

of

gains,

particularly

corn

and

soybean

oil.

Corn

prices

benefited

from

strong

export

sales

to

China,

while

soybean

oil

was

boosted

by

improving

biodiesel

demand

and

rising

prices

for

palm

oil.

Long

positions

in

energies

also

added

meaningfully

to

returns.

Oil

prices

rallied

on

increased

mobility

and

continued

supply

discipline

from

the

Organization

of

the

Petroleum

Exporting

Countries

(“OPEC”)

and

Russia,

combined

with

supply

disruptions

in

the

U.S.

Gulf

from

Hurricane

Ida,

and

market

tightness

also

led

to

notable

rallies

for

natural

gas.

Long

positioning

in

copper

and

aluminum

also

buoyed

returns

as

the

metals

rallied

on

improving

expectations

for

global

growth

and

a

potential

boost

to

demand

from

increased

infrastructure

spending.

Macro

momentum

was

the

largest

thematic

driver

of

gains.

As

always,

we

deeply

appreciate

the

trust

and

patience

shown

by

our

shareholders.

Please

do

not

hesitate

to

reach

us

with

any

questions

or

comments

should

you

have

them.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.11%,

2.36%

and

2.03%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

MACRO

OPPORTUNITIES

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QGMIX

-4.54%

0.58%

1.17%

0.92%

4/8/2014

Fund

-

Class

N:

QGMNX

-4.82%*

0.36%

0.93%

0.68%

4/8/2014

Fund

-

Class

R6:

QGMRX

-4.51%*

0.69%

1.24%

1.43%

9/2/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

0.05%

0.99%

1.14%

0.79%

4/8/2014

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2021

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

16

Shareholder

Letter

(Unaudited)

AQR

MACRO

OPPORTUNITIES

FUND

AQR

Funds

|

Annual

Report

|

December

2021

AQR

MACRO

OPPORTUNITIES

FUND

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

4/8/2014

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

17

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholder:

The

AQR

Managed

Futures

Strategy

Fund

(“the

Fund”)

actively

invests

in

futures,

futures-related

instruments,

forward

contracts

and

swaps,

both

long

and

short

across

global

equity,

fixed

income,

commodity,

and

currency

markets.

The

Fund

uses

both

short-term

and

long-term

price-based

trend-following

signals

as

well

as

non-price

measures

of

trend

following

to

attempt

to

profit

from

trends

that

occur.

Trend

following

aims

to

go

long

markets

with

favorable

trends

and

short

markets

with

bearish

trends.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

That

said,

the

strategy

is

expected

to

exhibit

a

positive

beta

when

equity

markets

have

been

rising

and

a

negative

beta

when

they

have

been

falling.

The

strategy’s

average

annualized

volatility

target

is

10%,

which

we

allow

to

vary

based

on

the

conditional

attractiveness

of

trends

in

the

markets

we

trade

and

our

risk

management

process.

The

Fund

entered

the

year

targeting

9.9%

volatility

and

ended

the

year

with

a

volatility

target

of

11.2%.

The

Fund

concluded

2021

with

a

negative

overall

return

and

modestly

positive

equity

market

correlation

over

the

full

year.

The

Fund’s

Class

I

shares

returned

-1.06%,

net

of

fees,

versus

a

0.05%

return

for

its

benchmark,

the

ICE

Bank

of

America

U.S.

3-Month

Treasury

Bill

Index.

By

asset

class,

gross

of

fees,

equities

contributed

1.76%,

fixed

income

contributed

1.71%,

currencies

detracted

-7.79%,

and

commodities

contributed

4.50%.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2021,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

global

economy

experienced

rapid

growth

in

2021,

continuing

its

recovery

from

the

recession

triggered

by

the

COVID-19

pandemic.

The

early

months

of

the

year

brought

favorable

news

for

the

expansion,

as

the

U.S.

passed

additional

fiscal

stimulus

and

as

vaccine

rollouts

commenced

across

much

of

the

world.

However,

headwinds

soon

emerged

in

the

form

of

widespread

supply

chain

disruptions

and

new

variants

of

COVID-19,

resulting

in

some

tempering

of

growth

expectations

later

in

the

year.

Booming

demand

and

supply-

side

constraints

also

gave

rise

to

a

sharp

increase

in

price

pressures

across

most

major

economies,

with

many

countries

experiencing

inflation

rates

not

seen

in

decades.

In

response

to

unexpectedly

strong

and

persistent

inflation,

many

central

banks

began

to

roll

back

some

of

the

stimulus

measures

deployed

earlier

in

the

pandemic.

Despite

some

bumps

along

the

way,

risky

assets

generally

saw

strong

gains

for

the

year,

with

large

rallies

in

global

equities

as

well

as

most

growth-sensitive

commodities.

Bonds,

on

the

other

hand,

suffered

meaningful

losses

as

positive

growth,

favorable

risk

sentiment,

rising

inflation,

and

tightening

monetary

policy

all

put

upward

pressure

on

yields.

Over

2021,

the

Fund

benefited

from

the

broad-based

rallies

in

commodity

markets

and

in

equities

during

the

first

half

of

the

year,

as

well

as

the

overall

bearish

trends

in

fixed

income.

However,

fluctuating

risk

sentiment

and

central

bank

policies

contributed

to

turbulence

in

currency

markets,

and

subsequent

losses

from

that

asset

class.

From

a

signal

perspective,

non-price

trend

signals

contributed

positively

while

other

signal

types

detracted.

Equities

Trend

following

in

equities

contributed

positively

over

the

year.

The

Fund

benefited

from

net

long

positioning

as

global

equity

markets

rallied

during

the

first

half

of

the

year.

Towards

the

middle

of

the

year,

global

equities

had

mixed

performance,

and

exposures

evolved

to

reflect

net

short

views.

This

particularly

benefited

performance

in

September

and

November

as

equity

markets

sold

off

firstly

on

more

hawkish

than

expected

monetary

policy

outlooks

and

secondly

on

news

of

the

Omicron

variant.

The

Fund

also

benefited

from

trend

following

on

equity

factors

as

exposures

were

generally

neutral-

to-long

across

themes

late

in

the

year.

Overall,

gains

were

driven

by

price

and

non-price

trend

signals.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Brendan

Hoffman

Principal

Yao

Hua

Ooi

Principal

Erik

Stamelos

Principal

Ashwin

Thapar

Principal

18

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Fixed

Income

Trend

following

in

fixed

income

was

profitable

over

the

period.

Positioning

in

fixed

income

assets

turned

short

in

early-2021,

generating

gains

as

U.S.

and

Australian

fixed

income

markets

initially

sold

off,

though

gave

up

those

gains

as

bonds

broadly

rallied

thereafter.

More

recently,

fixed

income

markets

sold

off

in

the

September-October

period

as

central

banks

either

pared

stimulus

or

guided

towards

tighter

monetary

conditions,

leading

to

gains.

The

Fund

experienced

losses

in

November

as

sovereign

bonds

rallied

as

news

emerged

about

the

Omicron

variant,

but

these

were

more

than

offset

by

short-term

rate

futures,

which

sustained

bearish

trends

as

central

banks

remained

committed

to

paring

back

stimulus.

Gains

across

most

signal

types

were

partly

offset

by

losses

in

long-term

price

trend

signals.

Currencies

Trend

following

in

currencies

drove

losses

during

the

year.

Over

the

period,

currencies

reversed

course

multiple

times

as

risk

sentiment

alternated

between

risk

on

and

off.

Some

key

factors

included

the

evolution

of

COVID-19,

economic

data

showing

rising

inflation,

and

central

bank

policies

and

rhetoric

with

respect

to

the

outlook

on

future

stimulus.

In

particular,

the

U.S.

dollar

and

emerging

market

currencies

experienced

significant

reversals,

causing

losses

over

the

year.

Positioning

was

generally

long

emerging

market

currencies

during

months

such

as

June,

September,

and

November,

when

the

abovementioned

factors

caused

major

selloffs

in

emerging

market

currencies.

Both

price

and

non-price

trend-following

signals

drove

losses

as

they

generally

agreed

on

long

views

in

emerging

markets.

Commodities

Trend

following

in

commodities

had

meaningful

positive

performance.

Net

long

positioning

largely

benefited

from

sustained

bullish

trends

across

energies,

base

metals,

and

agricultural

commodities,

though

there

were

examples

of

the

Fund

benefiting

from

both

long

and

short

views

in

markets

such

as

soybeans

and

palladium.

From

a

signal

perspective,

gains

were

shared

across

price

and

non-

price

trend

signals.

In

2021,

the

Fund

underperformed

the

industry

as

gauged

by

the

SG

Trend

Index,

with

performance

differences

within

expected

dispersion.

Relative

underperformance

was

concentrated

during

the

first

half

of

the

year,

and

was

driven

by

the

Fund

exhibiting

less

equity

market

beta

as

certain

parts

of

our

process

pared

back

our

net

long

equity

and

commodity

views.

In

the

second

half

of

the

year,

the

Fund

likely

had

greater

net

short

positioning

in

fixed

income

markets

relative

to

peers.

This

benefited

relative

performance

during

much

of

the

latter

half

of

the

year

as

fixed

income

markets

sold

off

but

hurt

in

November

as

fixed

income

rallied

on

news

of

a

new

COVID-19

variant.

Overall,

the

Fund

underperformed

because

it

maintained

a

more

defensive

set

of

positions

and

offered

better

diversification

benefits

relative

to

the

SG

Trend

Index.

The

Fund

is

pursuing

an

active

research

agenda

to

innovate

its

underlying

composition

of

trend

following

signals

and

add

new

markets

to

the

program.

Diversification

does

not

eliminate

the

risk

of

experiencing

investment

loss.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.24%,

1.51%

and

1.16%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

MANAGED

FUTURES

STRATEGY

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AQMIX

-1.06%

0.14%

-1.95%

0.45%

0.27%

1/5/2010

Fund

-

Class

N:

AQMNX

-1.31%

-0.12%

-2.20%

0.18%

0.00%

1/5/2010

Fund

-

Class

R6:

AQMRX

-0.94%

0.25%

-1.86%

N/A

-0.53%

9/2/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

0.05%

0.99%

1.14%

0.63%

0.54%

1/5/2010

19

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2021

AQR

MANAGED

FUTURES

STRATEGY

FUND

VS.

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

VALUE

OF

$10,000

INVESTED

ON

12/31/2011

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

20

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholder:

The

AQR

Managed

Futures

Strategy

HV

Fund

(“the

Fund”)

actively

invests

in

futures,

futures-related

instruments,

forward

contracts

and

swaps,

both

long

and

short

across

global

equity,

fixed

income,

commodity,

and

currency

markets.

The

Fund

uses

both

short-term

and

long-term

price-based

trend-following

signals

as

well

as

non-price

measures

of

trend

following

to

attempt

to

profit

from

trends

that

occur.

Trend

following

aims

to

go

long

markets

with

favorable

trends

and

short

markets

with

bearish

trends.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

That

said,

the

strategy

is

expected

to

exhibit

a

positive

beta

when

equity

markets

have

been

rising

and

a

negative

beta

when

they

have

been

falling.

The

strategy’s

average

annualized

volatility

target

is

15%,

which

we

allow

to

vary

based

on

the

conditional

attractiveness

of

trends

in

the

markets

we

trade

and

our

risk

management

process.

The

Fund

entered

the

year

targeting

14.8%

volatility

and

ended

the

year

with

a

volatility

target

of

16.7%.

The

Fund

concluded

2021

with

a

negative

overall

return

and

modestly

positive

equity

market

correlation

over

the

full

year.

The

Fund’s

Class

I

shares

returned

-2.11%,

net

of

fees,

versus

a

0.05%

return

for

its

benchmark,

the

ICE

Bank

of

America

U.S.

3-Month

Treasury

Bill

Index.

By

asset

class,

gross

of

fees,

equities

contributed

2.44%,

fixed

income

contributed

2.00%,

currencies

detracted

-11.61%,

and

commodities

contributed

6.75%.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2021,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

global

economy

experienced

rapid

growth

in

2021,

continuing

its

recovery

from

the

recession

triggered

by

the

COVID-19

pandemic.

The

early

months

of

the

year

brought

favorable

news

for

the

expansion,

as

the

U.S.

passed

additional

fiscal

stimulus

and

as

vaccine

rollouts

commenced

across

much

of

the

world.

However,

headwinds

soon

emerged

in

the

form

of

widespread

supply

chain

disruptions

and

new

variants

of

COVID-19,

resulting

in

some

tempering

of

growth

expectations

later

in

the

year.

Booming

demand

and

supply-

side

constraints

also

gave

rise

to

a

sharp

increase

in

price

pressures

across

most

major

economies,

with

many

countries

experiencing

inflation

rates

not

seen

in

decades.

In

response

to

unexpectedly

strong

and

persistent

inflation,

many

central

banks

began

to

roll

back

some

of

the

stimulus

measures

deployed

earlier

in

the

pandemic.

Despite

some

bumps

along

the

way,

risky

assets

generally

saw

strong

gains

for

the

year,

with

large

rallies

in

global

equities

as

well

as

most

growth-sensitive

commodities.

Bonds,

on

the

other

hand,

suffered

meaningful

losses

as

positive

growth,

favorable

risk

sentiment,

rising

inflation,

and

tightening

monetary

policy

all

put

upward

pressure

on

yields.

Over

2021,

the

Fund

benefited

from

the

broad-based

rallies

in

commodity

markets

and

in

equities

during

the

first

half

of

the

year,

as

well

as

the

overall

bearish

trends

in

fixed

income.

However,

fluctuating

risk

sentiment

and

central

bank

policies

contributed

to

turbulence

in

currency

markets,

and

subsequent

losses

from

that

asset

class.

From

a

signal

perspective,

non-price

trend

signals

contributed

positively

while

other

signal

types

detracted.

Equities

Trend

following

in

equities

contributed

positively

over

the

year.

The

Fund

benefited

from

net

long

positioning

as

global

equity

markets

rallied

during

the

first

half

of

the

year.

Towards

the

middle

of

the

year,

global

equities

had

mixed

performance,

and

exposures

evolved

to

reflect

net

short

views.

This

particularly

benefited

performance

in

September

and

November

as

equity

markets

sold

off

firstly

on

more

hawkish

than

expected

monetary

policy

outlooks

and

secondly

on

news

of

the

Omicron

variant.

The

Fund

also

benefited

from

trend

following

on

equity

factors

as

exposures

were

generally

neutral-to-long

across

themes

late

in

the

year.

Overall,

gains

were

driven

by

price

and

non-price

trend

signals.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Brendan

Hoffman

Principal

Yao

Hua

Ooi

Principal

Erik

Stamelos

Principal

Ashwin

Thapar

Principal

21

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Fixed

Income

Trend

following

in

fixed

income

was

profitable

over

the

period.

Positioning

in

fixed

income

assets

turned

short

in

early-2021,

generating

gains

as

U.S.

and

Australian

fixed

income

markets

initially

sold

off,

though

gave

up

those

gains

as

bonds

broadly

rallied

thereafter.

More

recently,

fixed

income

markets

sold

off

in

the

September-October

period

as

central

banks

either

pared

stimulus

or

guided

towards

tighter

monetary

conditions,

leading

to

gains.

The

Fund

experienced

losses

in

November

as

sovereign

bonds

rallied

as

news

emerged

about

the

Omicron

variant,

but

these

were

more

than

offset

by

short-term

rate

futures,

which

sustained

bearish

trends

as

central

banks

remained

committed

to

paring

back

stimulus.

Gains

across

most

signal

types

were

partly

offset

by

losses

in

long-term

price

trend

signals.

Currencies

Trend

following

in

currencies

drove

losses

during

the

year.

Over

the

period,

currencies

reversed

course

multiple

times

as

risk

sentiment

alternated

between

risk

on

and

off.

Some

key

factors

included

the

evolution

of

COVID-19,

economic

data

showing

rising

inflation,

and

central

bank

policies

and

rhetoric

with

respect

to

the

outlook

on

future

stimulus.

In

particular,

the

U.S.

dollar

and

emerging

market

currencies

experienced

significant

reversals,

causing

losses

over

the

year.

Positioning

was

generally

long

emerging

market

currencies

during

months

such

as

June,

September

and

November,

when

the

abovementioned

factors

caused

major

selloffs

in

emerging

market

currencies.

Both

price

and

non-price

trend-following

signals

drove

losses

as

they

generally

agreed

on

long

views

in

emerging

markets.

Commodities

Trend

following

in

commodities

had

meaningful

positive

performance.

Net

long

positioning

largely

benefited

from

sustained

bullish

trends

across

energies,

base

metals

and

agricultural

commodities,

though

there

were

examples

of

the

Fund

benefiting

from

both

long

and

short

views

in

markets

such

as

soybeans

and

palladium.

From

a

signal

perspective,

gains

were

shared

across

price

and

non-

price

trend

signals.

In

2021,

the

Fund

underperformed

the

industry

as

gauged

by

the

SG

Trend

Index,

with

performance

differences

within

expected

dispersion.

Relative

underperformance

was

concentrated

during

the

first

half

of

the

year,

and

was

driven

by

the

Fund

exhibiting

less

equity

market

beta

as

certain

parts

of

our

process

pared

back

our

net

long

equity

and

commodity

views.

In

the

second

half

of

the

year,

the

Fund

likely

had

greater

net

short

positioning

in

fixed

income

markets

relative

to

peers.

This

benefited

relative

performance

during

much

of

the

latter

half

of

the

year

as

fixed

income

markets

sold

off

but

hurt

in

November

as

fixed

income

rallied

on

news

of

a

new

COVID-19

variant.

Overall,

the

Fund

underperformed

because

it

likely

maintained

a

more

defensive

set

of

positions

and

offered

better

diversification

benefits

relative

to

the

SG

Trend

Index.

The

Fund

is

pursuing

an

active

research

agenda

to

innovate

its

underlying

composition

of

trend

following

signals

and

add

new

markets

to

the

program.

Diversification

does

not

eliminate

the

risk

of

experiencing

investment

loss.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.78%,

2.01%

and

1.67%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QMHIX

-2.11%

-0.33%

-3.60%

-0.98%

7/16/2013

Fund

-

Class

N:

QMHNX

-2.34%

-0.54%

-3.82%

-1.23%

7/16/2013

Fund

-

Class

R6:

QMHRX

-1.92%

-0.17%

-3.46%

-1.48%

9/2/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

0.05%

0.99%

1.14%

0.73%

7/16/2013

22

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

AQR

Funds

|

Annual

Report

|

December

2021

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

7/16/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

23

Shareholder

Letter

(Unaudited)

AQR

MULTI-ASSET

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholder

For

the

year

ended

December

31,

2021,

the

AQR

Multi-Asset

Fund

(the

“Fund”)

Class

I

shares

returned

14.34%,

net

of

fees,

and

realized

an

annualized

volatility

of

9.0%.

During

this

period,

the

Fund’s

benchmark,

60%

S&P

500®/40%

Bloomberg

Barclays

U.S.

Aggregate

Bond

Index,

returned

15.86%

at

an

average

realized

volatility

of

7.4%.

The

Fund’s

net

assets

across

all

share

classes

were

over

$127

million

at

the

end

of

2021.

Using

derivatives

such

as

futures,

swaps,

and

forwards,

as

well

as

securities,

the

Fund

invests

across

a

wide

variety

of

global

markets

—

including,

during

the

period

presented

in

this

report,

developed

market

equities,

developed

and

emerging

market

currencies,

global

developed

nominal

government

bonds,

global

developed

inflation-linked

government

bonds,

and

commodities

—

in

an

attempt

to

build

a

truly

diversified

portfolio

where

all

markets

matter,

but

no

one

market

matters

too

much.

The

Fund

gained

due

to

exposures

in

equities

(13.2%),

commodities

(5.4%),

and

inflation-linked

bonds

(1.7%),

which

more

than

offset

detractions

due

to

exposures

in

nominal

bonds

(-4.3%)

and

currencies

(-1.7%).

Active

asset

allocation

and

security

selection

benefited

the

portfolio

on

the

year.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2021,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

As

the

economy

rebounded

from

the

economic

impacts

of

the

2020

pandemic-related

shutdowns,

so

too

did

inflation

across

much

of

the

globe.

Initially,

higher-than-expected

inflation

was

seen

as

transitory

due

to

temporary

effects

such

as

rebounding

energy

prices

and

supply

chain

disruptions.

However,

inflation

persisted,

hitting

multi-year

highs

in

a

number

of

countries.

As

a

result,

central

banks

began

to

withdraw

the

accommodative

support

they

implemented

early

in

the

pandemic.

In

the

face

of

high

inflation

and

recovering

economic

growth,

the

Federal

Reserve

began

to

wind-down

its

asset

purchase

program,

while

the

Bank

of

England

hiked

rates

in

December.

Emerging

market

central

banks

were

much

more

aggressive

as

several

instituted

multiple

rate

hikes

throughout

the

year.

High

inflation

and

hawkish

central

banks

put

upward

pressure

on

nominal

yields

and

commodity

markets

(the

exception

being

precious

metals,

which

fell

on

the

year),

while

equity

rallied

significantly,

looking

past

high

inflation

and

labor

shortages,

focusing

instead

on

the

economy

recovery.

While

the

beginning

of

the

COVID-19

pandemic

in

first

quarter

of

2020

was

accompanied

by

extreme

market

volatility

across

asset

classes,

market

risk

and

liquidity

were

much

more

typical

in

2021.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

global

markets.

The

Fund

seeks

to

allocate

among

asset

classes

in

a

way

that

avoids

excessive

risk

exposure

to

any

single

asset

class

or

risk

premium,

which

means

that

instruments

with

less

risk

will

generally

be

allocated

more

capital

than

instruments

that

are

deemed

riskier.

As

markets

move

through

different

risk

regimes,

the

portfolio

is

dynamically

adjusted

with

the

goal

of

keeping

overall

portfolio

risk

and

the

balance

of

risk

across

asset

classes

steady

through

time.

We

believe

this

leads

to

more

consistent

results

across

macroeconomic

environments,

reduces

tail

risks,

and

enables

investors

to

remain

invested

through

difficult

market

environments.

In

addition,

we

also

adjust

position

sizes

to

best

capture

the

opportunity

set

within

and

across

asset

classes

based

on

AQR’s

proprietary

expected

return

models.

The

ultimate

goal

is

to

build

a

portfolio

that,

in

the

long

run,

will

deliver

higher

returns

at

a

risk

level

similar

to

that

of

traditional

portfolios

by

combining

a

better

asset

allocation

with

return-enhancing

active

views.

Jon

Liew

Founding

Principal

Jordan

Brooks

Principal

John

Huss

Principal

Yao

Hua

Ooi

Principal

Michael

Mendelson

Principal

Lars

Nielsen

Principal

24

Shareholder

Letter

(Unaudited)

AQR

MULTI-ASSET

FUND

AQR

Funds

|

Annual

Report

|

December

2021

The

Fund

is

generally

expected

to

remain

net

long

the

asset

classes

in

which

it

invests

but

does

allow

for

a

limited

amount

of

shorting.

The

targeted

annualized

volatility

for

the

Fund

is

expected

to

vary

over

time

based

on

our

perceptions

of

the

opportunity

sets

within

the

different

asset

classes

we

trade

but

generally

remain

between

7%

and

13%.

At

the

end

of

the

year,

the

Fund

had

bullish

views

on

commodities

and

inflation-linked

bonds

and

bearish

views

on

nominal

bonds

and

relatively

neutral

views

on

equities

and

emerging

currencies.

The

Fund

ended

the

year

targeting

a

volatility

level

near

its

long-term

average.

Total

exposures

ended

the

year

near

to

longer-term

expectations

as

forecasted

risk

levels

were

near

historical

averages.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.15,

1.39%

and

1.05%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

MULTI-ASSET

FUND

VS.60%S&P

500®/40%

BLOOMBERG

BARCLAYS

U.S.

AGGREGATE

BOND

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2011

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

MULTI-ASSET

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AQRIX

14.34%

12.43%

9.00%

6.66%

6.75%

9/29/2010

Fund

-

Class

N:

AQRNX

14.06%

12.12%

8.71%

6.37%

6.46%

9/29/2010

Fund

-

Class

R6:

AQRRX

14.48%

12.52%

9.09%

N/A

5.71%

9/2/2014

60%S&P

500

Index®/40%

Bloomberg

Barclays

U.S.

Aggregate

Bond

Index

15.86%

17.54%

12.62%

11.14%

10.82%

9/29/2010

25

Shareholder

Letter

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholder:

The

AQR

Risk-Balanced

Commodities

Fund

(the

“Fund”)

Class

I

shares

returned

39.60%,

net

of

fees,

in

2021,

with

all

sectors

contributing

positively

to

performance,

except

precious

metals.

Nearly

all

commodities

rallied

on

the

year

as

inflation

hit

multi-year

highs

in

a

number

of

global

regions

and

as

demand

returned

as

the

global

economy

recovered

from

the

impacts

of

the

economic

shutdowns

due

to

the

COVID-19

pandemic.

The

exception

was

precious

metals,

as

gold

and

silver

declined

in

price.

The

Fund

outperformed

its

benchmark,

the

Bloomberg

Commodity

Total

Return

Index

SM

(“BCOM”),

by

12.49%,

as

BCOM

returned

27.11%

on

the

year.

The

Fund

has

also

outperformed

over

the

trailing

three-

year

period

(21.27%

versus

9.86%,

annualized)

and

since

inception

(0.65%

versus

-2.93%,

annualized).

Note

that,

while

we

use

BCOM

as

a

benchmark,

we

do

not

aim

to

replicate

it.

The

Fund’s

construction

is

sufficiently

different

that

we

expect

a

difference

in

the

performance

of

the

Fund

and

the

benchmark.

Specifically,

we

expect

the

magnitude

of

performance

differences

to

be

roughly

10%

per

year

on

average,

in

either

direction.

The

outperformance

in

2021

relative

to

the

benchmark

was

due

to

several

features

of

the

Fund.

The

Fund’s

strategic

risk-balanced,

risk-targeted

core

contributed

to

outperformance

relative

to

BCOM.

Despite

energies

being

the

best

performing

sector,

and

BCOM’s

greater

relative

exposure

to

the

sector,

the

Fund

benefited

from

its

dynamic

roll

process,

which

holds

and

rolls

contractions

differently

from

the

Index,

as

well

as

from

its

risk-targeting

approach,

which

led

to

greater

than

100%

notional

exposure

throughout

the

year.

In

addition,

the

Fund’s

tactical

tilts

meaningfully

added

to

outperformance

on

the

year

as

both

directional

and

relative

value

views

contributed

positively

in

nearly

all

sectors.

At

AQR,

we

employ

a

variety

of

methods

to

monitor

markets

and

assess

both

portfolio

and

operational

risk

on

a

continual

basis,

including

risk

controls

and

independent

risk

monitoring.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

higher

levels

of

market

and

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

liquidity

risk

and

model

risk.

When

the

COVID-19

pandemic

broke

out,

we

anticipated

reduced

liquidity

and

adjusted

our

roll

process

accordingly.

We

also

added

flexibility

to

our

models

to

handle

potential

negative

commodity

prices.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

persists

as

a

potential

factor

within

global

markets.

The

Fund

began

the

year

targeting

an

estimated

volatility

of

19.6%,

above

its

long-run

target

of

18%,

due

to

bullish

active

views.

It

ended

the

year

targeting

a

volatility

of

18.1%

as

active

views

were

mixed

across

sectors

and

neutral

overall.

The

Fund

obtains

exposure

to

individual

commodities

and

sectors

by

investing

in

commodity-linked

derivative

instruments,

such

as

swaps

and

futures.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2021,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

strategic

portion

of

the

portfolio

returned

32.2%,

and

tactical

tilts

added

7.3%.

The

strategic

return

in

this

attribution

is

the

return

to

a

long-only

risk-balanced

portfolio.

The

tactical

returns

are

the

returns

from

the

active

views

in

individual

commodities

and

sectors.

At

year-end,

the

Fund’s

tactical

positioning

was

generally

mixed

across

sectors.

Cliff

Asness

Managing

&

Founding

Principal

Jordan

Brooks

Principal

Yao

Hua

Ooi

Principal

Lars

Nielse

Principal

Ashwin

Thapar

Principal

26

Shareholder

Letter

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2021

The

Fund

finished

its

ninth

full

year

up

39.60%,

net

of

fees,

and

outperformed

the

benchmark

by

12.49%,

the

third

consecutive

year

with

double-digit

outperformance

over

the

benchmark.

While

short

term

results

can

be

noisy,

we

believe

the

Fund’s

broader

diversification,

strong

risk

management

and

active

commodity

selection

will

continue

to

deliver

steady

volatility

and

strong

returns

in

the

long

term

-

especially

in

a

market

environment

in

which

participants

are

increasingly

concerned

about

the

risk

of

inflation.

We

believe

that

commodities

can

provide

useful

diversification

in

many

investors’

portfolios.

Diversification

does

not

eliminate

the

risk

of

experiencing

investment

loss.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.13%,

1.42%

and

1.05%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

The

recent

growth

in

the

stock

market

has

helped

to

produce

short-term

returns

for

some

asset

classes

that

are

not

typical

and

may

not

continue

in

the

future.

AQR

RISK

BALANCED

COMMODITIES

STRATEGY

FUND

VS.

BLOOMBERG

COMMODITY

TOTAL

RETURN

INDEX

SM

VALUE

OF

$10,000

INVESTED

ON

7/9/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ARCIX

39.60%

21.27%

10.17%

0.65%

7/9/2012

Fund

-

Class

N:

ARCNX

39.33%

21.02%

9.93%

0.40%

7/9/2012

Fund

-

Class

R6:

QRCRX

39.89%

21.43%

10.28%

3.04%

9/2/2014

Bloomberg

Commodity

Total

Return

Index

SM

27.11%

9.86%

3.66%

-2.93%

7/9/2012

27

Shareholder

Letter

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Dear

Shareholder:

The

AQR

Style

Premia

Alternative

Fund

(the

“Fund”)

returned

24.83%,

net

of

fees,

(Class

I

shares)

in

2021.

For

the

year

ended

December

31,

2021,

the

Fund

realized

14.3%

annualized

daily

volatility

and

a

-0.1

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

Bank

of

America

U.S.

3-Month

Treasury

Bill

Index,

which

is

the

Fund’s

benchmark,

returned

0.05%

over

this

period.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2021,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

Fund

invests

in

five

different

asset

groups,

using

derivatives

such

as

futures

and

swaps:

equities

of

major

developed

and

emerging

markets,

country

specific

equity

indices,

bonds

and

interest

rate

futures,

currencies,

and

commodities.

The

Fund

employs

market-neutral,

long-short

strategies

across

these

asset

groups

based

on

four

investment

styles:

Value

-

The

tendency

for

cheap

assets

to

outperform

expensive

ones

Momentum

-

The

tendency

for

an

asset’s

recent

relative

performance

to

continue

in

the

future

Carry

-

The

tendency

for

higher-yielding

assets

to

provide

higher

returns

than

lower-yielding

assets

Defensive

-

The

tendency

for

lower-risk

and

higher-quality

assets

to

generate

higher

risk-adjusted

returns

Gains

were

almost

entirely

driven

by

the

Stocks

and

Industries

(“Stocks”)

asset

group,

with

Value

being

the

dominant

driver

of

performance.

Commodities

and

Equity

Indices

also

contributed

positively.

A

majority

of

Stocks

gains

occurred

in

the

first

quarter.

The

group

then

generally

performed

poorly

until

midway

through

the

fourth

quarter

as

Value

retraced

a

large

portion

of

what

it

had

previously

earned

before

recouping

again

toward

the

end

of

the

year.

Commodities

contributed

positively

in

each

of

the

first

three

quarters

of

2021

but

gave

some

gains

back

in

the

fourth

quarter.

Equity

Indices

were

generally

flat

on

the

year

as

varied

style

factors

offset

each

other.

Currencies

and

Fixed

Income

slightly

detracted

on

the

year.

Given

the

Fund's

target

of

low

correlation

to

traditional

markets,

the

impact

of

the

evolving

COVID-19

pandemic

on

aggregate

direction

of

traditional

markets

had

a

minimal

influence

on

the

Fund's

performance.

Stocks

had

positive

performance

across

all

the

style

factors,

with

Value

and

Defensive

being

the

biggest

contributors.

Commodities

also

saw

its

gains

come

from

Value

and

Defensive.

In

Equity

Indices

large

positive

contributions

from

Defensive

were

largely

offset

by

negative

contributions

from

Value

to

produce

more

muted

gains

for

the

year.

Currencies

had

negative

performance

across

all

three

of

the

styles,

and

Carry

was

the

biggest

detractor

behind

Fixed

Income.

This

year’s

Stocks

Value

gains

are

a

shift

from

the

recent

past.

AQR’s

research

suggests

that

the

Value

losses

of

the

prior

couple

of

years

have

been

due

to

a

temporary

disconnect

between

prices

and

fundamentals.

Investors

were

demanding

stocks

with

long-term

growth

forecasts,

seemingly

without

concern

for

the

price

paid

for

those

securities.

Our

prediction

has

been

that

performance

for

Value

will

rebound

meaningfully

as

the

bubble

bursts,

and

the

shift

in

2021

has

been

a

meaningful

step

in

this

direction.

Furthermore,

despite

a

strong

year

for

the

Strategy

and

a

meaningful

contribution

from

Value

in

Stocks,

the

opportunity

set

for

this

particular

portion

of

the

portfolio

is

even

more

attractive

than

it

was

at

the

beginning

of

2021.

Jordan

Brooks

Principal

Andrea

Frazzini

Principal

John

Huss

Principal

Yao

Hua

Ooi

Principal

Scott

Metchick

Principal

Ashwin

Thapar

Principal

28

Shareholder

Letter

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

Funds

|

Annual

Report

|

December

2021

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.87%,

2.11%

and

1.77%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

The

recent

growth

in

the

stock

market

has

helped

to

produce

short-term

returns

for

some

asset

classes

that

are

not

typical

and

may

not

continue

in

the

future.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

10/30/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2021

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QSPIX

24.83%

-3.66%

-2.56%

1.19%

10/30/2013

Fund

-

Class

N:

QSPNX

24.53%

-3.86%

-2.81%

0.94%

10/30/2013

Fund

-

Class

R6:

QSPRX

25.04%

-3.54%

-2.47%

0.40%

9/2/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

0.05%

0.99%

1.14%

0.75%

10/30/2013

29

Shareholder

Letter

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2021

DEFINITIONS:

Beta:

The

measure

of

the

volatility,

or

systematic

risk,

of

a

security

or

portfolio

compared

to

the

market

as

a

whole.

Bloomberg

Barclays

®

U.S.

Aggregate

Bond

Index:

is

a

market-weighted

index

comprised

of

investment

grade

corporate

bonds

(rated

BBB

or

better),

mortgages

and

U.S.

Treasury

and

government

agency

issues

with

at

least

one

year

to

maturity.

Bloomberg

Commodity

Total

Return

Index

SM

:

is

a

broad-based

index

used

to

represent

the

most

frequently-traded

global

commodity

futures.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

Correlation

:

A

statistic

that

measures

the

degree

to

which

two

securities

move

in

relation

to

each

other.

I

CE

Bank

of

America

U.S.

3-Month

Treasury

Bill

Index:

is

designed

to

measure

the

performance

of

high-quality

short-term

cash-equivalent

investments.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

MSCI

World

Index:

is

a

free

float-adjusted

market

capitalization

index

that

is

designed

to

measure

the

performance

of

equities

in

developed

markets,

including

the

United

States

and

Canada.

S&P

500

®

:

is

a

capitalization

weighted

index

designed

to

measure

performance

of

the

broad

domestic

economy

through

changes

in

the

aggregate

market

value

of

500

stocks

representing

all

major

industries.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

SG

Trend

Index

:

is

designed

to

track

the

10

largest

(by

AUM)

trend

following

Commodity

Trading

Advisors

(“CTAs”)

and

be

representative

of

the

trend

followers

in

the

managed

futures

space.

Indexes

are

unmanaged

and

one

cannot

invest

directly

an

index.

Sharp

e

Ratio:

Excess

return

of

the

portfolio,

relative

to

the

risk-free

rate,

divided

by

the

standard

deviation

of

the

portfolio's

excess

returns.

30

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

163.3%

COMMON

STOCKS

-

83.5%

Australia

-

1.6%

AGL

Energy

Ltd.

(2)(a)

17,836

79,687

Ampol

Ltd.

(2)(a)

1,919

41,437

Ansell

Ltd.

(2)(a)

5,495

125,667

Aurizon

Holdings

Ltd.

(2)(a)

70,382

178,814

BlueScope

Steel

Ltd.

(2)(a)

24,357

371,844

Fortescue

Metals

Group

Ltd.

(2)(a)

15,871

223,095

Harvey

Norman

Holdings

Ltd.

(2)(a)

43,993

158,126

JB

Hi-Fi

Ltd.

(2)(a)

7,798

274,212

Qube

Holdings

Ltd.

(2)(a)

18,754

43,292

Santos

Ltd.

(2)(a)

2,170

9,996

Sonic

Healthcare

Ltd.

(2)(a)

1,696

57,522

Tabcorp

Holdings

Ltd.

(2)(a)

29,182

106,611

Treasury

Wine

Estates

Ltd.

(2)(a)

19,666

177,315

Wesfarmers

Ltd.

(2)(a)

1,375

59,326

Woodside

Petroleum

Ltd.

(2)(a)

6,462

103,017

Worley

Ltd.

(2)(a)

30,900

239,388

2,249,349

—

Belgium

-

0.6%

Ageas

SA/NV

(2)(a)

5,910

306,063

Etablissements

Franz

Colruyt

NV

(2)(a)

1,621

68,783

Proximus

SADP

(2)(a)

5,493

107,277

Solvay

SA

(2)(a)

2,386

277,387

759,510

—

Brazil

-

0.3%

Yara

International

ASA

(2)

8,579

432,538

Canada

-

4.2%

Alamos

Gold,

Inc.,

Class

A

(a)

3,307

25,437

Atco

Ltd.,

Class

I

(a)

2,069

69,842

Bank

of

Montreal

(a)

525

56,524

Canadian

Tire

Corp.

Ltd.,

Class

A

(a)

2,752

394,737

CGI,

Inc.

*(a)

1,526

134,933

CI

Financial

Corp.

(a)

6,799

142,113

Cogeco

Communications,

Inc.

(a)

1,072

85,365

Empire

Co.

Ltd.,

Class

A

(a)

7,321

223,053

Fairfax

Financial

Holdings

Ltd.

(a)

131

64,440

Finning

International,

Inc.

(a)

648

16,331

Hydro

One

Ltd.

(a)(b)

4,360

113,433

iA

Financial

Corp.,

Inc.

(a)

2,412

138,014

IGM

Financial,

Inc.

(a)

1,918

69,172

Imperial

Oil

Ltd.

(a)

5,930

213,863

Intact

Financial

Corp.

(a)

291

37,825

Keyera

Corp.

(a)

2,274

51,288

Kinross

Gold

Corp.

(a)

17,149

99,509

Loblaw

Cos.

Ltd.

(a)

352

28,840

Magna

International,

Inc.

(a)

4,423

357,875

Manulife

Financial

Corp.

(a)

21,828

416,043

Metro,

Inc.

(a)

788

41,937

National

Bank

of

Canada

(a)

1,664

126,864

Northland

Power,

Inc.

(a)

3,357

100,714

Onex

Corp.

(a)

522

40,969

Quebecor,

Inc.,

Class

B

(a)

8,435

190,378

Ritchie

Bros

Auctioneers,

Inc.

(a)

897

54,893

SSR

Mining,

Inc.

(a)

1,605

28,409

INVESTMENTS

SHARES

VALUE

($)

Canada

-

4.2%

(continued)

Stantec,

Inc.

(a)

2,643

148,494

Suncor

Energy,

Inc.

(a)

9,012

225,487

Teck

Resources

Ltd.,

Class

B

(a)

14,186

408,551

TFI

International,

Inc.

(a)

3,445

386,373

Thomson

Reuters

Corp.

(a)

1,963

234,747

TMX

Group

Ltd.

(a)

1,368

138,698

Toromont

Industries

Ltd.

(a)

476

43,034

Tourmaline

Oil

Corp.

(a)

16,168

521,998

West

Fraser

Timber

Co.

Ltd.

(a)

3,534

337,154

5,767,337

—

China

-

0.4%

Wilmar

International

Ltd.

(2)

37,000

113,870

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

400,600

398,031

511,901

—

Denmark

-

1.1%

AP

Moller

-

Maersk

A/S,

Class

B

(2)(a)

207

738,848

Carlsberg

A/S,

Class

B

(2)(a)

288

49,723

Danske

Bank

A/S

(2)(a)

799

13,794

Genmab

A/S

(2)*(a)

88

35,125

Jyske

Bank

A/S

(Registered)

(2)*(a)

2,336

120,162

Pandora

A/S

(2)(a)

4,091

508,883

ROCKWOOL

International

A/S,

Class

B

(2)(a)

102

44,541

1,511,076

—

Finland

-

0.4%

Kesko

OYJ,

Class

B

(2)(a)

8,988

299,578

UPM-Kymmene

OYJ

(2)(a)

1,583

60,231

Valmet

OYJ

(2)(a)

5,750

246,535

606,344

—

France

-

2.1%

Arkema

SA

(2)(a)

713

100,636

BNP

Paribas

SA

(2)(a)

1,820

125,837

Carrefour

SA

(2)(a)

23,338

427,867

Casino

Guichard

Perrachon

SA

(2)*(a)

4,159

109,712

Cie

de

Saint-Gobain

(2)(a)

8,901

626,156

Cie

Generale

des

Etablissements

Michelin

SCA

(2)(a)

262

42,911

CNP

Assurances

(2)(a)

2,234

55,258

Credit

Agricole

SA

(2)(a)

7,874

112,262

Electricite

de

France

SA

(2)(a)

30,020

353,074

Eutelsat

Communications

SA

(2)(a)

6,437

78,561

Orange

SA

(2)(a)

10,968

117,162

Publicis

Groupe

SA

(2)(a)

974

65,622

Rexel

SA

(2)*(a)

9,730

197,057

Rubis

SCA

(2)(a)

4,278

127,926

Sanofi

(2)(a)

186

18,664

Societe

BIC

SA

(2)(a)

18

970

Societe

Generale

SA

(2)(a)

394

13,541

Sodexo

SA

(2)(a)

154

13,501

TotalEnergies

SE

(2)(a)

5,404

275,065

2,861,782

—

31

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Germany

-

1.9%

Allianz

SE

(Registered)

(2)(a)

1,004

236,802

Aurubis

AG

(2)(a)

1,441

144,045

BASF

SE

(2)(a)

2,222

155,952

Bayerische

Motoren

Werke

AG

(2)

(a)

3,135

313,633

Brenntag

SE

(2)(a)

2,086

188,374

Covestro

AG

(2)(a)(b)

265

16,310

Deutsche

Bank

AG

(Registered)

(2)*(a)

18,688

232,759

Deutsche

Post

AG

(Registered)

(2)

(a)

9,813

631,180

E.ON

SE

(2)(a)

2,653

36,870

Freenet

AG

(2)(a)

1,628

43,025

Hannover

Rueck

SE

(2)(a)

203

38,488

HeidelbergCement

AG

(2)(a)

2,734

185,029

METRO

AG

(2)(a)

2,278

23,897

ProSiebenSat.1

Media

SE

(2)(a)

13,661

217,018

Rheinmetall

AG

(2)(a)

529

49,784

Software

AG

(2)(a)

715

28,486

Uniper

SE

(2)(a)

751

35,658

2,577,310

—

Italy

-

1.2%

A2A

SpA

(2)(a)

111,525

217,320

Assicurazioni

Generali

SpA

(2)(a)

7,067

149,359

Banco

BPM

SpA

(2)(a)

51,404

153,909

Buzzi

Unicem

SpA

(2)(a)

6,014

129,577

Hera

SpA

(2)(a)

35,283

146,649

Italgas

SpA

(2)(a)

15,946

109,611

Leonardo

SpA

(2)*(a)

28,787

205,769

Poste

Italiane

SpA

(2)(a)(b)

19,741

258,613

Terna

-

Rete

Elettrica

Nazionale

(2)(a)

5,586

45,189

Unipol

Gruppo

SpA

(2)(a)

53,317

288,731

1,704,727

—

Japan

-

15.6%

AEON

Financial

Service

Co.

Ltd.

(2)(a)

7,400

79,820

AGC,

Inc.

(2)(a)

13,100

625,828

Aisin

Corp.

(2)(a)

3,800

145,797

Amada

Co.

Ltd.

(2)(a)

2,500

24,755

Asahi

Kasei

Corp.

(2)(a)

1,900

17,899

Astellas

Pharma,

Inc.

(2)(a)

2,000

32,551

Bandai

Namco

Holdings,

Inc.

(2)(a)

1,400

109,464

Bridgestone

Corp.

(2)(a)

3,200

137,385

Brother

Industries

Ltd.

(2)(a)

10,800

208,165

Chiba

Bank

Ltd.

(The)

(2)(a)

19,800

113,266

Chubu

Electric

Power

Co.,

Inc.

(2)

(a)

24,400

257,725

Chugoku

Electric

Power

Co.,

Inc.

(The)

(2)(a)

3,700

30,004

Concordia

Financial

Group

Ltd.

(2)

(a)

7,000

25,421

Dai-ichi

Life

Holdings,

Inc.

(2)(a)

600

12,102

Daiwa

Securities

Group,

Inc.

(2)(a)

35,800

202,019

DeNA

Co.

Ltd.

(2)(a)

6,600

101,632

Electric

Power

Development

Co.

Ltd.

(2)(a)

16,000

212,634

ENEOS

Holdings,

Inc.

(2)(a)

197,700

738,570

INVESTMENTS

SHARES

VALUE

($)

Japan

-

15.6%

(continued)

Fujitsu

Ltd.

(2)(a)

1,300

223,375

Fukuoka

Financial

Group,

Inc.

(2)

(a)

13,100

224,334

Haseko

Corp.

(2)(a)

12,300

152,572

Hitachi

Ltd.

(2)(a)

4,800

260,032

Honda

Motor

Co.

Ltd.

(2)(a)

8,300

236,141

Idemitsu

Kosan

Co.

Ltd.

(2)(a)

10,500

267,957

Iida

Group

Holdings

Co.

Ltd.

(2)(a)

8,200

190,711

Inpex

Corp.

(2)(a)

47,600

413,911

Isuzu

Motors

Ltd.

(2)(a)

12,000

149,358

ITOCHU

Corp.

(2)(a)

16,600

507,859

Japan

Post

Bank

Co.

Ltd.

(2)(a)

18,400

168,666

Japan

Post

Holdings

Co.

Ltd.

(2)*(a)

85,100

662,953

Japan

Post

Insurance

Co.

Ltd.

(2)

(a)

19,900

319,671

JFE

Holdings,

Inc.

(2)(a)

27,800

354,673

JTEKT

Corp.

(2)(a)

2,700

23,613

Kajima

Corp.

(2)(a)

25,700

295,358

Kamigumi

Co.

Ltd.

(2)(a)

2,600

49,233

Kaneka

Corp.

(2)(a)

1,900

62,383

Kansai

Electric

Power

Co.,

Inc.

(The)

(2)(a)

14,400

134,597

KDDI

Corp.

(2)(a)

7,200

210,555

Kinden

Corp.

(2)(a)

3,900

58,640

Komatsu

Ltd.

(2)(a)

1,300

30,402

Konami

Holdings

Corp.

(2)(a)

600

28,800

Kuraray

Co.

Ltd.

(2)(a)

9,800

85,226

Kyocera

Corp.

(2)(a)

600

37,516

Kyushu

Electric

Power

Co.,

Inc.

(2)

(a)

26,500

197,852

Mabuchi

Motor

Co.

Ltd.

(2)(a)

4,300

142,227

Marubeni

Corp.

(2)(a)

64,400

627,449

Mazda

Motor

Corp.

(2)*(a)

24,900

191,055

Medipal

Holdings

Corp.

(2)(a)

6,400

119,968

Mitsubishi

Corp.

(2)(a)

2,000

63,506

Mitsubishi

Electric

Corp.

(2)(a)

12,900

163,740

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)(a)

8,200

139,002

Mitsubishi

HC

Capital,

Inc.

(2)(a)

56,100

277,557

Mitsubishi

Heavy

Industries

Ltd.

(2)(a)

5,300

122,538

Mitsubishi

Logistics

Corp.

(2)(a)

100

2,512

Mitsubishi

Materials

Corp.

(2)(a)

4,700

80,772

Mitsui

&

Co.

Ltd.

(2)(a)

9,900

234,609

Mitsui

Chemicals,

Inc.

(2)(a)

11,300

303,747

Mizuho

Financial

Group,

Inc.

(2)(a)

26,380

335,059

MS&AD

Insurance

Group

Holdings,

Inc.

(2)(a)

19,400

597,371

NGK

Insulators

Ltd.

(2)(a)

1,100

18,618

Nippo

Corp.

(2)

1,700

59,017

Nippon

Express

Co.

Ltd.

(2)(a)

3,000

179,534

Nippon

Steel

Corp.

(2)(a)

28,700

468,845

Nippon

Telegraph

&

Telephone

Corp.

(2)(a)

23,400

639,949

Nippon

Yusen

KK

(2)(a)

4,000

305,012

Nissan

Motor

Co.

Ltd.

(2)*(a)

9,600

46,239

Nomura

Holdings,

Inc.

(2)(a)

87,300

380,248

NS

Solutions

Corp.

(2)(a)

1,400

43,170

Obayashi

Corp.

(2)(a)

44,800

346,723

32

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Japan

-

15.6%

(continued)

Oji

Holdings

Corp.

(2)(a)

41,100

199,132

ORIX

Corp.

(2)(a)

3,800

77,551

Osaka

Gas

Co.

Ltd.

(2)(a)

15,700

259,666

Otsuka

Holdings

Co.

Ltd.

(2)(a)

400

14,552

Resona

Holdings,

Inc.

(2)(a)

171,000

664,536

Rohto

Pharmaceutical

Co.

Ltd.

(2)

(a)

600

18,141

Sankyu,

Inc.

(2)(a)

1,800

74,693

Secom

Co.

Ltd.

(2)(a)

200

13,897

Sega

Sammy

Holdings,

Inc.

(2)(a)

3,200

50,194

Seino

Holdings

Co.

Ltd.

(2)(a)

3,700

37,498

Sekisui

Chemical

Co.

Ltd.

(2)(a)

4,400

73,586

Shimamura

Co.

Ltd.

(2)(a)

300

25,176

Shinsei

Bank

Ltd.

(2)(a)

9,700

157,794

Shizuoka

Bank

Ltd.

(The)

(2)(a)

11,700

83,527

Sojitz

Corp.

(2)(a)

25,420

381,956

Sompo

Holdings,

Inc.

(2)(a)

12,500

527,171

Subaru

Corp.

(2)(a)

18,200

325,194

Sumitomo

Corp.

(2)(a)

23,200

343,346

Sumitomo

Forestry

Co.

Ltd.

(2)(a)

700

13,532

Sumitomo

Heavy

Industries

Ltd.

(2)(a)

4,300

104,373

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)(a)

12,300

420,012

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)(a)

8,700

290,914

Sumitomo

Rubber

Industries

Ltd.

(2)(a)

2,400

24,480

Suntory

Beverage

&

Food

Ltd.

(2)

(a)

1,400

50,698

T&D

Holdings,

Inc.

(2)(a)

19,100

244,017

Taiheiyo

Cement

Corp.

(2)(a)

6,200

122,435

Taisei

Corp.

(2)(a)

8,100

246,322

TBS

Holdings,

Inc.

(2)(a)

2,200

31,889

Teijin

Ltd.

(2)(a)

15,800

194,472

Tokio

Marine

Holdings,

Inc.

(2)(a)

1,700

94,638

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*(a)

282,500

730,322

TOPPAN,

Inc.

(2)(a)

10,000

187,657

Tosoh

Corp.

(2)(a)

18,700

277,817

Toyoda

Gosei

Co.

Ltd.

(2)(a)

1,300

28,276

Toyota

Boshoku

Corp.

(2)(a)

7,700

151,077

Toyota

Tsusho

Corp.

(2)(a)

7,900

364,164

Yokohama

Rubber

Co.

Ltd.

(The)

(2)(a)

7,100

113,874

21,328,471

—

Kyrgyzstan

-

0.0%

(c)

Centerra

Gold,

Inc.

104

802

Luxembourg

-

0.4%

APERAM

SA

(2)

3,108

169,181

ArcelorMittal

SA

(2)

870

27,908

Eurofins

Scientific

SE

(2)

2,440

302,296

499,385

—

Netherlands

-

1.5%

ASR

Nederland

NV

(2)(a)

8,077

371,972

Koninklijke

Ahold

Delhaize

NV

(2)

(a)

19,645

674,146

Koninklijke

Vopak

NV

(2)(a)

1,723

60,412

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

1.5%

(continued)

NN

Group

NV

(2)(a)

5,771

312,097

Randstad

NV

(2)(a)

4,158

283,647

Royal

Dutch

Shell

plc,

Class

A

(2)

(a)

919

20,139

SBM

Offshore

NV

(2)(a)

2,420

36,075

Signify

NV

(2)(a)(b)

6,829

317,083

2,075,571

—

Norway

-

0.1%

Leroy

Seafood

Group

ASA

(2)(a)

7,310

57,127

Salmar

ASA

(2)(a)

1,755

121,042

178,169

—

Panama

-

0.1%

Copa

Holdings

SA,

Class

A

*

1,229

101,589

Singapore

-

0.2%

Genting

Singapore

Ltd.

(2)

93,800

53,955

SATS

Ltd.

(2)*

10,200

29,431

Venture

Corp.

Ltd.

(2)

18,100

245,958

329,344

—

Spain

-

1.8%

Acciona

SA

(2)(a)

809

153,984

Acerinox

SA

(2)(a)

2,640

33,973

Banco

de

Sabadell

SA

(2)*(a)

22,297

14,860

CaixaBank

SA

(2)(a)

30,528

83,392

Enagas

SA

(2)(a)

12,865

298,871

Endesa

SA

(2)(a)

16,733

385,218

Iberdrola

SA

(2)(a)

13,023

154,192

Mapfre

SA

(2)(a)

54,128

110,668

Red

Electrica

Corp.

SA

(2)(a)

9,008

194,793

Repsol

SA

(2)(a)

57,494

680,908

Telefonica

SA

(2)(a)

93,214

404,196

2,515,055

—

Sweden

-

1.6%

Axfood

AB

(2)(a)

5,518

158,853

Boliden

AB

(2)(a)

1,895

73,071

Electrolux

AB,

Class

B

(2)(a)

11,045

267,506

Essity

AB,

Class

B

(2)(a)

377

12,300

Getinge

AB,

Class

B

(2)(a)

10,830

471,994

Holmen

AB,

Class

B

(2)(a)

450

21,551

Husqvarna

AB,

Class

B

(2)(a)

1,720

27,501

ICA

Gruppen

AB

(2)(a)

5,417

320,361

Securitas

AB,

Class

B

(2)(a)

1,908

26,247

Skanska

AB,

Class

B

(2)(a)

1,175

30,363

SKF

AB,

Class

B

(2)(a)

5,455

129,009

SSAB

AB,

Class

A

(2)*(a)

36,067

208,468

Svenska

Handelsbanken

AB,

Class

A

(2)(a)

13,691

147,972

Trelleborg

AB,

Class

B

(2)(a)

2,490

65,331

Volvo

AB,

Class

B

(2)(a)

8,773

202,889

2,163,416

—

Switzerland

-

1.4%

Adecco

Group

AG

(Registered)

(2)

(a)

4,595

234,149

Baloise

Holding

AG

(Registered)

(2)(a)

453

73,935

BKW

AG

(2)(a)

157

20,386

33

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

1.4%

(continued)

Bucher

Industries

AG

(Registered)

(2)(a)

138

68,002

Credit

Suisse

Group

AG

(Registered)

(2)(a)

12,414

120,361

DKSH

Holding

AG

(2)(a)

887

73,111

Geberit

AG

(Registered)

(2)(a)

57

46,463

Roche

Holding

AG

(2)(a)

597

247,672

Sulzer

AG

(Registered)

(2)(a)

900

88,413

Swiss

Life

Holding

AG

(Registered)

(2)(a)

433

264,553

Swisscom

AG

(Registered)

(2)(a)

745

420,273

Tecan

Group

AG

(Registered)

(2)(a)

89

54,056

UBS

Group

AG

(Registered)

(2)(a)

9,133

163,931

1,875,305

—

United

Kingdom

-

2.9%

ASOS

plc

(2)*(a)

2,377

76,928

Aviva

plc

(2)(a)

103,352

576,101

boohoo

Group

plc

(2)*

8,579

14,385

BP

plc

(2)(a)

76,844

344,309

Britvic

plc

(2)(a)

5,019

62,500

BT

Group

plc

(2)(a)

162,438

373,689

Centrica

plc

(2)*

55,314

53,640

DCC

plc

(2)(a)

284

23,249

Direct

Line

Insurance

Group

plc

(2)(a)

6,367

24,058

DS

Smith

plc

(2)(a)

31,521

164,158

Hays

plc

(2)(a)

32,671

64,870

Howden

Joinery

Group

plc

(2)(a)

13,817

169,242

Inchcape

plc

(2)(a)

828

10,193

Investec

plc

(2)(a)

17,694

97,553

Kingfisher

plc

(2)(a)

24,750

113,844

Liberty

Global

plc,

Class

C

*(a)

3,196

89,776

M&G

plc

(2)(a)

101,689

275,101

Man

Group

plc

(2)(a)

16,121

49,620

Marks

&

Spencer

Group

plc

(2)*(a)

102,526

322,527

National

Grid

plc

(2)(a)

12,232

176,377

Royal

Mail

plc

(2)(a)

50,880

348,845

Spectris

plc

(2)(a)

1,066

53,061

Subsea

7

SA

(2)(a)

1,764

12,619

Tate

&

Lyle

plc

(2)(a)

6,149

55,322

Tesco

plc

(2)(a)

95,248

374,998

3,926,965

—

United

States

-

44.1%

3M

Co.

(d)

1,025

182,071

A

O

Smith

Corp.

(a)

162

13,908

AbbVie,

Inc.

(a)

2,861

387,379

ABIOMED,

Inc.

*(a)

50

17,959

Accenture

plc,

Class

A

(a)

74

30,677

ACI

Worldwide,

Inc.

*(a)

2,976

103,267

Activision

Blizzard,

Inc.

(a)

1,534

102,057

Acuity

Brands,

Inc.

(a)

1,165

246,654

Adobe,

Inc.

*(a)

208

117,948

Adtalem

Global

Education,

Inc.

*(a)

295

8,720

Advance

Auto

Parts,

Inc.

(a)

223

53,493

AGCO

Corp.

(a)

589

68,336

Agilent

Technologies,

Inc.

(a)

775

123,729

Air

Lease

Corp.

(a)(d)

1,110

49,095

Akamai

Technologies,

Inc.

*(d)

1,368

160,111

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.1%

(continued)

Alaska

Air

Group,

Inc.

*(a)

3,132

163,177

Albertsons

Cos.,

Inc.,

Class

A

(a)(d)

1,048

31,639

Alliance

Data

Systems

Corp.

(a)(d)

7,527

501,072

Allison

Transmission

Holdings,

Inc.

(a)(d)

5,624

204,432

Allstate

Corp.

(The)

(a)

2,295

270,007

Amdocs

Ltd.

(a)

3,899

291,801

AMERCO

(a)

40

29,049

Ameriprise

Financial,

Inc.

(a)

646

194,872

Amgen,

Inc.

(a)

1,421

319,682

Amkor

Technology,

Inc.

(a)(d)

5,646

139,964

ANSYS,

Inc.

*(a)(d)

553

221,819

Anthem,

Inc.

(a)

694

321,697

APA

Corp.

(a)(d)

10,661

286,674

Applied

Materials,

Inc.

(a)(d)

1,028

161,766

Aramark

(d)

2,191

80,738

Archer-Daniels-Midland

Co.

(a)

835

56,438

Arrow

Electronics,

Inc.

*(a)

4,781

641,944

Associated

Banc-Corp.

(d)

7,113

160,683

Assured

Guaranty

Ltd.

(a)

722

36,244

AutoNation,

Inc.

*(a)(d)

5,451

636,948

AutoZone,

Inc.

*(a)

81

169,808

Avient

Corp.

(a)(d)

3,212

179,711

Avnet,

Inc.

(a)

3,199

131,895

Bank

of

New

York

Mellon

Corp.

(The)

(a)(d)

1,432

83,171

Bath

&

Body

Works,

Inc.

(a)

643

44,875

Baxter

International,

Inc.

(a)

258

22,147

Berry

Global

Group,

Inc.

*(a)

3,537

260,960

Best

Buy

Co.,

Inc.

(d)

2,687

272,999

Biogen,

Inc.

*(a)

578

138,674

Bio-Rad

Laboratories,

Inc.,

Class

A

*(a)

524

395,919

Bio-Techne

Corp.

(a)(d)

442

228,664

BJ's

Wholesale

Club

Holdings,

Inc.

*(a)(d)

3,093

207,138

Booking

Holdings,

Inc.

*(a)

9

21,593

Booz

Allen

Hamilton

Holding

Corp.

(a)(d)

2,614

221,641

BorgWarner,

Inc.

(a)(d)

3,172

142,962

Boyd

Gaming

Corp.

*(a)

4,006

262,673

Brighthouse

Financial,

Inc.

*(a)

2,658

137,684

Bristol-Myers

Squibb

Co.

(a)(d)

3,690

230,072

Broadcom,

Inc.

(a)

147

97,815

BRP,

Inc.

(a)

2,970

260,149

Brunswick

Corp.

(a)

4,367

439,888

CACI

International,

Inc.,

Class

A

*(a)

1,200

323,052

Cadence

Design

Systems,

Inc.

*(a)

1,605

299,092

Carlisle

Cos.,

Inc.

(a)

467

115,872

Carter's,

Inc.

(a)(d)

4,749

480,694

Casey's

General

Stores,

Inc.

(a)

802

158,275

Cathay

General

Bancorp

(a)

1,339

57,564

CDW

Corp.

(a)

1,379

282,392

CH

Robinson

Worldwide,

Inc.

(a)

990

106,554

ChampionX

Corp.

*(a)

6,075

122,776

Charles

River

Laboratories

International,

Inc.

*(a)

1,640

617,919

Chemed

Corp.

(a)

243

128,557

Chevron

Corp.

(a)(d)

1,644

192,923

34

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.1%

(continued)

Chipotle

Mexican

Grill,

Inc.

*(a)

34

59,441

Ciena

Corp.

*(a)

2,162

166,409

Cigna

Corp.

(a)

322

73,941

Cirrus

Logic,

Inc.

*(a)

3,725

342,775

Citizens

Financial

Group,

Inc.

(a)

925

43,706

Citrix

Systems,

Inc.

(a)

532

50,322

Clorox

Co.

(The)

(a)(d)

1,484

258,750

CNO

Financial

Group,

Inc.

(a)

2,490

59,362

CNX

Resources

Corp.

*(d)

2,993

41,154

Cognizant

Technology

Solutions

Corp.,

Class

A

(a)

1,239

109,924

Colgate-Palmolive

Co.

(a)

170

14,508

Columbia

Sportswear

Co.

(a)

2,861

278,776

Commercial

Metals

Co.

(a)

11,408

413,996

CommVault

Systems,

Inc.

*(a)

569

39,215

Concentrix

Corp.

(a)

234

41,797

ConocoPhillips

(a)

3,173

229,027

Cooper

Cos.,

Inc.

(The)

(a)

236

98,870

Coterra

Energy,

Inc.

(d)

680

12,920

Cracker

Barrel

Old

Country

Store,

Inc.

(a)(d)

2,929

376,787

Crane

Co.

(a)

276

28,077

Cummins,

Inc.

(a)(d)

1,776

387,417

Curtiss-Wright

Corp.

(a)(d)

1,277

177,082

CVS

Health

Corp.

(a)

1,195

123,276

Dana,

Inc.

(a)

5,821

132,835

Deckers

Outdoor

Corp.

*(a)

1,549

567,414

Dick's

Sporting

Goods,

Inc.

(d)

4,256

489,397

DISH

Network

Corp.,

Class

A

*(d)

528

17,128

Domino's

Pizza,

Inc.

(a)

123

69,413

Dover

Corp.

(a)

122

22,155

DXC

Technology

Co.

*(a)

3,263

105,036

Eagle

Materials,

Inc.

(a)

283

47,108

East

West

Bancorp,

Inc.

(a)

358

28,167

Eastman

Chemical

Co.

(a)(d)

1,465

177,133

Eaton

Corp.

plc

(a)(d)

1,489

257,329

eBay,

Inc.

(d)

4,376

291,004

Electronic

Arts,

Inc.

(a)

2,545

335,686

EMCOR

Group,

Inc.

(a)

1,373

174,906

Emerson

Electric

Co.

(a)

794

73,818

EnerSys

(a)(d)

519

41,032

EOG

Resources,

Inc.

(a)

5,646

501,534

EPAM

Systems,

Inc.

*(a)

359

239,974

Equitrans

Midstream

Corp.

(a)(d)

7,501

77,560

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

(a)

745

275,799

Everest

Re

Group

Ltd.

(a)

636

174,213

Expeditors

International

of

Washington,

Inc.

(a)

3,076

413,076

F5,

Inc.

*(a)

602

147,315

Fair

Isaac

Corp.

*(a)

541

234,615

Federated

Hermes,

Inc.

(a)

5,966

224,202

First

American

Financial

Corp.

(d)

327

25,581

First

Hawaiian,

Inc.

(a)(d)

922

25,198

Flowers

Foods,

Inc.

(a)(d)

1,638

44,996

Flowserve

Corp.

(a)

1,828

55,937

FNB

Corp.

(d)

10,949

132,811

Foot

Locker,

Inc.

(a)

10,946

477,574

Fortinet,

Inc.

*(a)

819

294,349

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.1%

(continued)

Fortune

Brands

Home

&

Security,

Inc.

(a)

1,222

130,632

Fulton

Financial

Corp.

(a)

2,749

46,733

Gap,

Inc.

(The)

(a)

2,249

39,695

Gates

Industrial

Corp.

plc

*(a)

1,211

19,267

General

Dynamics

Corp.

(a)

595

124,040

General

Mills,

Inc.

(a)

1,302

87,729

General

Motors

Co.

*(a)

3,227

189,199

Genuine

Parts

Co.

(a)

1,580

221,516

Gilead

Sciences,

Inc.

(a)

3,826

277,806

Globus

Medical,

Inc.,

Class

A

*(a)

(d)

2,412

174,146

GoHealth,

Inc.,

Class

A

*

12,412

47,041

Graham

Holdings

Co.,

Class

B

(a)

206

129,745

Graphic

Packaging

Holding

Co.

(a)

830

16,185

Greif,

Inc.,

Class

A

(a)

2,109

127,320

H&R

Block,

Inc.

(d)

5,130

120,863

Halliburton

Co.

(a)

5,763

131,800

Hanesbrands,

Inc.

(a)

3,708

61,998

Hartford

Financial

Services

Group,

Inc.

(The)

(a)

1,737

119,922

HCA

Healthcare,

Inc.

(a)

513

131,800

Helen

of

Troy

Ltd.

*(a)(d)

438

107,078

Henry

Schein,

Inc.

*(a)

207

16,049

Hexcel

Corp.

*(a)

2,416

125,149

HollyFrontier

Corp.

(a)(d)

9,029

295,971

Hologic,

Inc.

*(a)

580

44,405

Home

Depot,

Inc.

(The)

(a)

905

375,584

Horizon

Therapeutics

plc

*(a)

1,545

166,489

Howmet

Aerospace,

Inc.

(a)

7,692

244,836

HP,

Inc.

(a)(d)

14,984

564,447

Hubbell,

Inc.

(a)(d)

576

119,964

Humana,

Inc.

(a)

224

103,905

Huntington

Ingalls

Industries,

Inc.

(a)(d)

1,278

238,654

Huntsman

Corp.

(a)

2,896

101,012

IAC/InterActiveCorp

*(a)

649

84,831

ICU

Medical,

Inc.

*(a)

60

14,240

Ingredion,

Inc.

(a)

1,330

128,531

Intel

Corp.

(a)

7,032

362,148

Interpublic

Group

of

Cos.,

Inc.

(The)

(d)

2,347

87,895

Intuit,

Inc.

(a)

63

40,523

Invesco

Ltd.

(a)

4,243

97,674

IQVIA

Holdings,

Inc.

*(a)

1,121

316,279

ITT,

Inc.

(a)(d)

2,012

205,606

J

M

Smucker

Co.

(The)

(a)

1,367

185,666

Jabil,

Inc.

(a)(d)

6,559

461,426

Jack

in

the

Box,

Inc.

(a)(d)

2,805

245,381

Jazz

Pharmaceuticals

plc

*(a)

219

27,901

JetBlue

Airways

Corp.

*(a)(d)

8,712

124,059

Johnson

Controls

International

plc

(a)

682

55,453

Juniper

Networks,

Inc.

(a)

3,281

117,165

KB

Home

(a)

5,542

247,894

KBR,

Inc.

(a)(d)

1,336

63,620

Keysight

Technologies,

Inc.

*(d)

870

179,664

KLA

Corp.

(a)

481

206,883

Knight-Swift

Transportation

Holdings,

Inc.

(a)(d)

1,529

93,177

35

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.1%

(continued)

Kohl's

Corp.

(a)

5,053

249,568

Kroger

Co.

(The)

(a)(d)

10,691

483,875

Kyndryl

Holdings,

Inc.

*(a)

4,037

73,070

L3Harris

Technologies,

Inc.

(a)

100

21,324

Laboratory

Corp.

of

America

Holdings

*(a)

652

204,865

Lear

Corp.

(a)

605

110,685

Lennar

Corp.,

Class

A

(a)

698

81,080

Lennox

International,

Inc.

(a)

499

161,856

Lincoln

National

Corp.

(a)

2,046

139,660

Lithia

Motors,

Inc.

(a)

573

170,152

LKQ

Corp.

(a)

4,010

240,720

Lowe's

Cos.,

Inc.

(a)

878

226,945

Lumentum

Holdings,

Inc.

*(a)

187

19,779

LyondellBasell

Industries

NV,

Class

A

(a)

2,966

273,554

M&T

Bank

Corp.

(a)

424

65,118

Manhattan

Associates,

Inc.

*(a)

1,480

230,125

ManpowerGroup,

Inc.

(a)

4,072

396,328

Marathon

Oil

Corp.

(a)(d)

4,694

77,075

Marriott

Vacations

Worldwide

Corp.

(a)

1,209

204,297

Masco

Corp.

(d)

473

33,214

Masimo

Corp.

*(a)

293

85,785

MasTec,

Inc.

*(a)

2,112

194,895

Match

Group,

Inc.

*(d)

1,011

133,705

Maximus,

Inc.

(a)

2,518

200,609

McDonald's

Corp.

(a)

339

90,876

MDU

Resources

Group,

Inc.

(a)(d)

8,283

255,448

Medpace

Holdings,

Inc.

*(d)

344

74,868

Medtronic

plc

(a)(d)

882

91,243

Merck

&

Co.,

Inc.

(a)

4,753

364,270

Meta

Platforms,

Inc.,

Class

A

*(a)

1,917

644,782

Micron

Technology,

Inc.

(a)

4,413

411,071

Microsoft

Corp.

(a)

337

113,340

MillerKnoll,

Inc.

(d)

5,319

208,452

Minerals

Technologies,

Inc.

(a)

1,346

98,460

MKS

Instruments,

Inc.

(a)(d)

1,735

302,185

Mohawk

Industries,

Inc.

*(a)(d)

2,006

365,453

Molina

Healthcare,

Inc.

*(a)

761

242,059

Molson

Coors

Beverage

Co.,

Class

B

(d)

3,510

162,689

MSA

Safety,

Inc.

(a)(d)

202

30,494

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

(a)(d)

666

55,984

Murphy

Oil

Corp.

(a)

2,481

64,779

Murphy

USA,

Inc.

(a)

2,760

549,902

Navient

Corp.

(a)

8,416

178,588

NCR

Corp.

*(a)(d)

8,107

325,901

Nordson

Corp.

(a)

43

10,977

NortonLifeLock,

Inc.

(a)(d)

3,279

85,188

NRG

Energy,

Inc.

(a)

6,793

292,642

Nu

Skin

Enterprises,

Inc.,

Class

A

(d)

5,129

260,297

Nucor

Corp.

(d)

1,287

146,911

Old

Republic

International

Corp.

(a)(d)

3,133

77,009

Omnicom

Group,

Inc.

(a)(d)

1,032

75,615

Oracle

Corp.

(a)(d)

2,755

240,264

O'Reilly

Automotive,

Inc.

*(a)

79

55,792

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.1%

(continued)

Organon

&

Co.

(a)

1,948

59,317

Oshkosh

Corp.

(a)(d)

1,130

127,362

Owens

Corning

(a)(d)

4,507

407,884

PACCAR,

Inc.

(a)

534

47,131

Packaging

Corp.

of

America

(a)(d)

1,964

267,399

Papa

John's

International,

Inc.

(a)

(d)

1,671

223,028

Penske

Automotive

Group,

Inc.

(a)

3,739

400,896

PerkinElmer,

Inc.

(a)

315

63,334

Pfizer,

Inc.

(a)

4,091

241,574

Polaris,

Inc.

(a)

629

69,133

Popular,

Inc.

5,592

458,768

Premier,

Inc.,

Class

A

(a)

377

15,521

Procter

&

Gamble

Co.

(The)

(a)

204

33,370

Prudential

Financial,

Inc.

(a)

1,659

179,570

PTC,

Inc.

*(a)

558

67,602

PulteGroup,

Inc.

(a)

4,203

240,243

PVH

Corp.

(d)

325

34,661

Qorvo,

Inc.

*(a)(d)

1,125

175,939

QUALCOMM,

Inc.

(a)

474

86,680

Quanta

Services,

Inc.

(a)(d)

3,380

387,551

Quest

Diagnostics,

Inc.

(a)(d)

693

119,896

Quidel

Corp.

*(a)

660

89,093

Qurate

Retail,

Inc.,

Series

A

(d)

31,652

240,555

Ralph

Lauren

Corp.

(a)

895

106,380

Regal

Rexnord

Corp.

(a)

2,970

505,435

Regeneron

Pharmaceuticals,

Inc.

*(a)

390

246,293

Regions

Financial

Corp.

(a)

604

13,167

Reinsurance

Group

of

America,

Inc.

(a)

537

58,796

Reliance

Steel

&

Aluminum

Co.

(a)

1,225

198,720

Reynolds

Consumer

Products,

Inc.

(a)

805

25,277

Ryder

System,

Inc.

(a)

278

22,916

Schneider

National,

Inc.,

Class

B

(a)(d)

6,440

173,300

Science

Applications

International

Corp.

(a)

1,439

120,286

Sensata

Technologies

Holding

plc

*(a)

476

29,364

Silgan

Holdings,

Inc.

(a)(d)

5,212

223,282

Simpson

Manufacturing

Co.,

Inc.

(a)

559

77,740

Skechers

USA,

Inc.,

Class

A

*(a)(d)

4,402

191,047

Skyworks

Solutions,

Inc.

(a)(d)

1,729

268,237

Snap-on,

Inc.

(a)

1,153

248,333

SolarWinds

Corp.

(a)

4,124

58,520

Sonoco

Products

Co.

(a)

806

46,659

Sprouts

Farmers

Market,

Inc.

*(a)

(d)

11,095

329,300

SS&C

Technologies

Holdings,

Inc.

(a)

611

50,090

Stanley

Black

&

Decker,

Inc.

(a)

243

45,835

Steel

Dynamics,

Inc.

(a)

8,016

497,553

Stellantis

NV

(2)(a)

23,152

437,077

STERIS

plc

(d)

1,247

303,532

Stifel

Financial

Corp.

(a)

2,087

146,967

Stryker

Corp.

(d)

159

42,520

Synaptics,

Inc.

*(a)(d)

1,595

461,768

36

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.1%

(continued)

Syneos

Health,

Inc.

*(a)

974

100,010

Synopsys,

Inc.

*(a)

1,051

387,294

Synovus

Financial

Corp.

(a)

2,718

130,111

Tapestry,

Inc.

(a)

2,307

93,664

Target

Corp.

(a)

2,409

557,539

Taylor

Morrison

Home

Corp.

*(a)(d)

4,288

149,908

TD

SYNNEX

Corp.

(a)

3,730

426,563

TEGNA,

Inc.

(a)

15,476

287,235

Telephone

and

Data

Systems,

Inc.

(d)

1,152

23,213

Teradata

Corp.

*(a)(d)

6,914

293,638

Teradyne,

Inc.

(a)

1,698

277,674

Terex

Corp.

(a)

2,192

96,338

Texas

Roadhouse,

Inc.

(a)

2,299

205,255

Textron,

Inc.

(a)(d)

4,567

352,572

Thermo

Fisher

Scientific,

Inc.

(a)

590

393,672

Thor

Industries,

Inc.

(d)

1,028

106,676

Timken

Co.

(The)

(a)(d)

2,191

151,814

Toll

Brothers,

Inc.

(a)

2,868

207,615

Tractor

Supply

Co.

(a)

51

12,169

Travel

+

Leisure

Co.

(a)

4,631

255,955

Tri

Pointe

Homes,

Inc.

*(a)

17,723

494,294

Tyson

Foods,

Inc.,

Class

A

(a)(d)

2,353

205,087

United

Rentals,

Inc.

*(a)(d)

361

119,957

United

States

Steel

Corp.

(a)

10,850

258,339

United

Therapeutics

Corp.

*(a)

3,280

708,741

Universal

Health

Services,

Inc.,

Class

B

(a)(d)

1,160

150,406

Unum

Group

(a)(d)

16,840

413,759

Urban

Outfitters,

Inc.

*(a)

4,564

133,999

US

Foods

Holding

Corp.

*(d)

1,219

42,458

Valero

Energy

Corp.

(a)

209

15,698

VeriSign,

Inc.

*(a)

605

153,561

Vertex

Pharmaceuticals,

Inc.

*(a)

173

37,991

Virtu

Financial,

Inc.,

Class

A

(a)

713

20,556

Vishay

Intertechnology,

Inc.

(a)

9,093

198,864

VMware,

Inc.,

Class

A

(a)

253

29,318

Walgreens

Boots

Alliance,

Inc.

(d)

5,326

277,804

Wendy's

Co.

(The)

(a)

649

15,479

Werner

Enterprises,

Inc.

(a)(d)

4,205

200,410

Western

Digital

Corp.

*(a)

652

42,517

Western

Union

Co.

(The)

(a)(d)

10,935

195,080

Westlake

Chemical

Corp.

(a)

511

49,633

Westrock

Co.

(a)(d)

4,326

191,901

Whirlpool

Corp.

(a)(d)

373

87,528

Williams-Sonoma,

Inc.

(a)(d)

1,811

306,294

Wintrust

Financial

Corp.

(a)

880

79,922

World

Fuel

Services

Corp.

(a)(d)

7,989

211,469

World

Wrestling

Entertainment,

Inc.,

Class

A

(a)

959

47,317

Worthington

Industries,

Inc.

(a)

1,423

77,781

Xerox

Holdings

Corp.

(a)(d)

11,953

270,616

Yelp,

Inc.

*(a)

8,085

293,000

Zebra

Technologies

Corp.,

Class

A

*(a)

176

104,755

Ziff

Davis,

Inc.

*(d)

2,502

277,372

Zimmer

Biomet

Holdings,

Inc.

(a)

125

15,880

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.1%

(continued)

Zoetis,

Inc.

(a)

759

185,219

60,241,625

—

TOTAL

COMMON

STOCKS

(Cost

$79,160,393)

114,217,571

PREFERRED

STOCKS

-

0.1%

United

States

-

0.1%

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$125,034)

1,728

178,364

SHORT-TERM

INVESTMENTS

-

79.7%

INVESTMENT

COMPANIES

-

68.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(e)(f)

1,674,569

1,674,569

J.P.

Morgan

U.S.

Treasury

Plus

Money

Market

Fund

-

IM

Shares,

0.01%

(e)

30,005

30,005

Limited

Purpose

Cash

Investment

Fund,

0.01%

(e)

91,843,564

91,806,826

TOTAL

INVESTMENT

COMPANIES

(Cost

$93,512,120)

93,511,400

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

11.3%

U.S.

Treasury

Bills

0.05%,

2/17/2022

(2)(g)

$

677,000

676,975

0.05%,

2/24/2022

(2)(g)

937,000

936,963

0.05%,

3/3/2022

(2)(g)

1,486,000

1,485,884

0.05%,

3/10/2022

(2)(g)

329,000

328,974

0.05%,

3/17/2022

(2)(g)

1,720,000

1,719,807

0.04%,

3/24/2022

(2)(g)

1,369,000

1,368,830

0.05%,

3/31/2022

(2)(g)

3,264,000

3,263,585

0.06%,

4/7/2022

(2)(g)(h)

2,532,000

2,531,517

0.06%,

4/14/2022

(2)(g)

117,000

116,975

0.06%,

4/28/2022

(2)(g)

276,000

275,933

0.07%,

5/5/2022

(2)(g)

181,000

180,952

0.06%,

5/19/2022

(2)(g)

2,369,000

2,368,125

0.07%,

5/26/2022

(2)(g)(h)

179,000

178,933

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$15,433,894)

15,433,453

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$108,946,014)

108,944,853

TOTAL

LONG

POSITIONS

(Cost

$188,231,441)

223,340,788

SHARES

SHORT

POSITIONS

-

(78.3)%

COMMON

STOCKS

-

(78.3)%

Argentina

-

(0.4)%

MercadoLibre,

Inc.

*

(362)

(488,121)

Australia

-

(2.2)%

Alumina

Ltd.

(2)

(7,571)

(10,299)

AMP

Ltd.

(2)*

(84,769)

(62,309)

APA

Group

(2)

(24,023)

(175,747)

37

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Australia

-

(2.2)%

(continued)

Atlas

Arteria

Ltd.

(2)

(20,949)

(105,425)

Domino's

Pizza

Enterprises

Ltd.

(2)

(380)

(32,616)

Glencore

plc

(2)*

(106,979)

(545,089)

IDP

Education

Ltd.

(2)

(7,538)

(189,899)

IGO

Ltd.

(2)

(12,288)

(102,912)

Insurance

Australia

Group

Ltd.

(2)

(78,147)

(242,179)

Magellan

Financial

Group

Ltd.

(2)

(1,169)

(18,064)

Mineral

Resources

Ltd.

(2)

(3,422)

(139,774)

Northern

Star

Resources

Ltd.

(2)

(6,227)

(42,825)

Pilbara

Minerals

Ltd.

(2)*

(370,698)

(864,713)

QBE

Insurance

Group

Ltd.

(2)

(37,612)

(310,590)

Seven

Group

Holdings

Ltd.

(2)

(4,733)

(74,469)

Suncorp

Group

Ltd.

(2)

(1,807)

(14,548)

Transurban

Group

(2)

(7,294)

(73,263)

(3,004,721)

—

Austria

-

0.0%

(c)

ams

AG

(2)*

(2,258)

(40,860)

Belgium

-

(0.3)%

Anheuser-Busch

InBev

SA/NV

(2)

(6,227)

(375,425)

Galapagos

NV

(2)*

(1,757)

(97,502)

(472,927)

—

Brazil

-

0.0%

(c)

Wheaton

Precious

Metals

Corp.

(1,392)

(59,732)

Canada

-

(2.5)%

Agnico

Eagle

Mines

Ltd.

(718)

(38,138)

Air

Canada

*

(28,132)

(469,924)

Algonquin

Power

&

Utilities

Corp.

(741)

(10,702)

AltaGas

Ltd.

(2,517)

(54,341)

Ballard

Power

Systems,

Inc.

*

(20,333)

(255,418)

BlackBerry

Ltd.

*

(25,823)

(241,296)

Boralex,

Inc.,

Class

A

(3,733)

(102,344)

CAE,

Inc.

*

(4,470)

(112,762)

Canada

Goose

Holdings,

Inc.

*

(3,293)

(122,041)

Canopy

Growth

Corp.

*

(30,919)

(269,849)

Dollarama,

Inc.

(974)

(48,748)

Element

Fleet

Management

Corp.

(2,401)

(24,448)

Franco-Nevada

Corp.

(1,499)

(207,309)

GFL

Environmental,

Inc.

(477)

(18,036)

Innergex

Renewable

Energy,

Inc.

(8,775)

(129,029)

Kinaxis,

Inc.

*

(72)

(10,093)

Lightspeed

Commerce,

Inc.

*

(6,459)

(260,821)

Nuvei

Corp.

*(b)

(1,089)

(70,594)

Pan

American

Silver

Corp.

(1,921)

(47,928)

Pembina

Pipeline

Corp.

(2,016)

(61,152)

Restaurant

Brands

International,

Inc.

(2,702)

(163,835)

Shopify,

Inc.,

Class

A

*

(403)

(554,885)

SNC-Lavalin

Group,

Inc.

(6,584)

(160,885)

(3,434,578)

—

Chile

-

0.0%

(c)

Antofagasta

plc

(2)

(2,816)

(51,215)

China

-

(0.3)%

Prosus

NV

(2)*

(4,143)

(343,144)

INVESTMENTS

SHARES

VALUE

($)

Colombia

-

(0.1)%

Millicom

International

Cellular

SA,

SDR

(2)*

(2,830)

(80,447)

Denmark

-

(1.1)%

Ambu

A/S,

Class

B

(2)

(7,603)

(200,672)

Demant

A/S

(2)*

(1,987)

(101,747)

GN

Store

Nord

A/S

(2)

(292)

(18,322)

Orsted

A/S

(2)(b)

(4,573)

(585,651)

Tryg

A/S

(2)

(656)

(16,189)

Vestas

Wind

Systems

A/S

(2)

(19,533)

(594,879)

(1,517,460)

—

Faroe

Islands

-

0.0%

(c)

Bakkafrost

P/F

(2)

(456)

(30,139)

Finland

-

(0.1)%

Neste

OYJ

(2)

(1,515)

(74,562)

France

-

(2.6)%

Accor

SA

(2)*

(7,173)

(232,502)

Adevinta

ASA

(2)*

(9,319)

(123,794)

Aeroports

de

Paris

(2)*

(568)

(73,274)

Airbus

SE

(2)*

(2,368)

(302,971)

Alstom

SA

(2)

(310)

(11,008)

BioMerieux

(2)

(143)

(20,334)

Cie

Plastic

Omnium

SA

(2)

(1,073)

(27,853)

Dassault

Systemes

SE

(2)

(181)

(10,742)

Edenred

(2)

(6,194)

(286,029)

Getlink

SE

(2)

(13,093)

(216,850)

Hermes

International

(2)

(110)

(192,211)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(2)

(192)

(158,675)

Orpea

SA

(2)

(1,925)

(193,055)

Safran

SA

(2)

(3,914)

(479,166)

Sartorius

Stedim

Biotech

(2)

(235)

(129,063)

SOITEC

(2)*

(896)

(219,530)

Ubisoft

Entertainment

SA

(2)*

(638)

(31,122)

Valeo

(2)

(7,408)

(223,399)

Vinci

SA

(2)

(987)

(104,242)

Worldline

SA

(2)*(b)

(8,157)

(454,020)

(3,489,840)

—

Germany

-

(1.6)%

Carl

Zeiss

Meditec

AG

(2)

(259)

(54,332)

Commerzbank

AG

(2)*

(21,201)

(160,398)

CompuGroup

Medical

SE

&

Co.

KgaA

(2)

(180)

(14,513)

Deutsche

Lufthansa

AG

(Registered)

(2)*

(33,277)

(233,004)

HelloFresh

SE

(2)*

(1,721)

(131,894)

Merck

KGaA

(2)

(43)

(11,062)

MTU

Aero

Engines

AG

(2)

(1,122)

(227,815)

Nemetschek

SE

(2)

(661)

(84,518)

Rational

AG

(2)

(47)

(48,070)

SAP

SE

(2)

(2,852)

(401,390)

Sartorius

AG

(Preference)

(2)

(229)

(154,882)

Siemens

Healthineers

AG

(2)(b)

(146)

(10,886)

TeamViewer

AG

(2)*(b)

(5,705)

(76,554)

Telefonica

Deutschland

Holding

AG

(2)

(49,224)

(136,537)

thyssenkrupp

AG

(2)*

(8,951)

(98,064)

United

Internet

AG

(Registered)

(2)

(2,660)

(105,459)

38

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Germany

-

(1.6)%

(continued)

Volkswagen

AG

(Preference)

(2)

(99)

(19,887)

Zalando

SE

(2)*(b)

(2,228)

(179,480)

(2,148,745)

—

Italy

-

(1.4)%

Amplifon

SpA

(2)

(6,675)

(359,170)

Atlantia

SpA

(2)*

(2,409)

(47,799)

Brembo

SpA

(2)

(3,436)

(48,878)

Davide

Campari-Milano

NV

(2)

(6,439)

(93,960)

Enel

SpA

(2)

(8,408)

(67,231)

Ferrari

NV

(2)

(1,471)

(378,643)

FinecoBank

Banca

Fineco

SpA

(2)

(5,002)

(87,598)

Infrastrutture

Wireless

Italiane

SpA

(2)(b)

(1,147)

(13,909)

Interpump

Group

SpA

(2)

(151)

(11,061)

Moncler

SpA

(2)

(5,995)

(433,248)

Nexi

SpA

(2)*(b)

(23,426)

(371,218)

(1,912,715)

—

Japan

-

(15.5)%

Advantest

Corp.

(2)

(4,700)

(445,086)

Aeon

Co.

Ltd.

(2)

(800)

(18,853)

Ajinomoto

Co.,

Inc.

(2)

(2,300)

(70,017)

ANA

Holdings,

Inc.

(2)*

(6,000)

(125,429)

Asahi

Intecc

Co.

Ltd.

(2)

(9,800)

(210,539)

Asics

Corp.

(2)

(9,000)

(199,525)

Azbil

Corp.

(2)

(1,000)

(45,609)

BayCurrent

Consulting,

Inc.

(2)

(1,200)

(462,517)

Benefit

One,

Inc.

(2)

(1,200)

(51,557)

Capcom

Co.

Ltd.

(2)

(3,200)

(75,364)

Casio

Computer

Co.

Ltd.

(2)

(3,200)

(41,205)

Chugai

Pharmaceutical

Co.

Ltd.

(2)

(4,200)

(136,903)

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

(2)

(5,000)

(57,438)

Cosmos

Pharmaceutical

Corp.

(2)

(1,200)

(176,416)

CyberAgent,

Inc.

(2)

(13,500)

(225,043)

Daifuku

Co.

Ltd.

(2)

(800)

(65,420)

Daiichi

Sankyo

Co.

Ltd.

(2)

(9,200)

(234,153)

Daikin

Industries

Ltd.

(2)

(800)

(181,215)

East

Japan

Railway

Co.

(2)

(5,800)

(356,558)

Eisai

Co.

Ltd.

(2)

(6,100)

(346,284)

Fancl

Corp.

(2)

(2,200)

(65,563)

FANUC

Corp.

(2)

(100)

(21,256)

Fast

Retailing

Co.

Ltd.

(2)

(500)

(284,222)

Food

&

Life

Cos.

Ltd.

(2)

(2,600)

(98,173)

Freee

KK

(2)*

(2,900)

(159,442)

FUJIFILM

Holdings

Corp.

(2)

(400)

(29,654)

GMO

internet,

Inc.

(2)

(1,600)

(37,703)

GMO

Payment

Gateway,

Inc.

(2)

(1,100)

(136,979)

Goldwin,

Inc.

(2)

(100)

(5,785)

Harmonic

Drive

Systems,

Inc.

(2)

(4,700)

(198,199)

Hisamitsu

Pharmaceutical

Co.,

Inc.

(2)

(500)

(17,272)

Hoya

Corp.

(2)

(4,300)

(638,085)

Ibiden

Co.

Ltd.

(2)

(1,400)

(83,140)

Isetan

Mitsukoshi

Holdings

Ltd.

(2)

(10,000)

(73,902)

Japan

Airlines

Co.

Ltd.

(2)*

(12,300)

(233,495)

Japan

Airport

Terminal

Co.

Ltd.

(2)*

(6,100)

(254,414)

JCR

Pharmaceuticals

Co.

Ltd.

(2)

(1,900)

(36,803)

JSR

Corp.

(2)

(1,300)

(49,405)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(15.5)%

(continued)

Justsystems

Corp.

(2)

(600)

(28,006)

Kakaku.com,

Inc.

(2)

(4,900)

(130,993)

Kansai

Paint

Co.

Ltd.

(2)

(900)

(19,571)

Kawasaki

Heavy

Industries

Ltd.

(2)

(4,600)

(83,130)

Keihan

Holdings

Co.

Ltd.

(2)

(2,300)

(52,920)

Keikyu

Corp.

(2)

(2,800)

(28,009)

Keio

Corp.

(2)

(3,000)

(132,367)

Keisei

Electric

Railway

Co.

Ltd.

(2)

(3,800)

(102,800)

Keyence

Corp.

(2)

(500)

(314,379)

Kikkoman

Corp.

(2)

(3,400)

(286,318)

Kintetsu

Group

Holdings

Co.

Ltd.

(2)*

(6,200)

(173,319)

Kobayashi

Pharmaceutical

Co.

Ltd.

(2)

(400)

(31,463)

Kobe

Bussan

Co.

Ltd.

(2)

(17,700)

(685,300)

Koei

Tecmo

Holdings

Co.

Ltd.

(2)

(1,650)

(64,787)

Koito

Manufacturing

Co.

Ltd.

(2)

(900)

(47,668)

Kose

Corp.

(2)

(2,500)

(283,605)

Lasertec

Corp.

(2)

(2,500)

(765,753)

M3,

Inc.

(2)

(14,800)

(746,236)

Marui

Group

Co.

Ltd.

(2)

(4,800)

(90,389)

Mercari,

Inc.

(2)*

(6,400)

(325,616)

Mitsubishi

Motors

Corp.

(2)*

(86,800)

(241,868)

Mitsui

OSK

Lines

Ltd.

(2)

(300)

(22,297)

Miura

Co.

Ltd.

(2)

(400)

(13,770)

MonotaRO

Co.

Ltd.

(2)

(22,300)

(401,088)

Nagoya

Railroad

Co.

Ltd.

(2)*

(1,000)

(15,224)

Nexon

Co.

Ltd.

(2)

(1,500)

(29,004)

Nidec

Corp.

(2)

(1,300)

(153,783)

Nihon

M&A

Center

Holdings,

Inc.

(2)

(7,400)

(181,516)

Nikon

Corp.

(2)

(1,300)

(14,004)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(29,800)

(325,440)

Nippon

Sanso

Holdings

Corp.

(2)

(2,200)

(48,120)

Nisshin

Seifun

Group,

Inc.

(2)

(900)

(12,984)

Nomura

Research

Institute

Ltd.

(2)

(3,100)

(132,527)

NTT

Data

Corp.

(2)

(2,900)

(62,209)

Obic

Co.

Ltd.

(2)

(900)

(168,434)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(9,400)

(174,760)

Olympus

Corp.

(2)

(8,000)

(184,218)

Omron

Corp.

(2)

(200)

(19,929)

Oracle

Corp.

Japan

(2)

(200)

(15,195)

Oriental

Land

Co.

Ltd.

(2)

(700)

(118,039)

Pan

Pacific

International

Holdings

Corp.

(2)

(5,200)

(71,676)

Park24

Co.

Ltd.

(2)*

(13,600)

(186,426)

PeptiDream,

Inc.

(2)*

(8,700)

(193,174)

Persol

Holdings

Co.

Ltd.

(2)

(1,700)

(49,425)

Pigeon

Corp.

(2)

(1,600)

(30,620)

Pola

Orbis

Holdings,

Inc.

(2)

(7,900)

(131,660)

Rakus

Co.

Ltd.

(2)

(17,600)

(472,310)

Rakuten

Group,

Inc.

(2)

(36,300)

(364,207)

Recruit

Holdings

Co.

Ltd.

(2)

(700)

(42,599)

Renesas

Electronics

Corp.

(2)*

(2,900)

(36,020)

Ryohin

Keikaku

Co.

Ltd.

(2)

(14,200)

(216,522)

SG

Holdings

Co.

Ltd.

(2)

(4,700)

(110,208)

Sharp

Corp.

(2)

(19,800)

(227,394)

Shimadzu

Corp.

(2)

(400)

(16,895)

39

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(15.5)%

(continued)

Shinko

Electric

Industries

Co.

Ltd.

(2)

(6,400)

(304,905)

Shiseido

Co.

Ltd.

(2)

(6,000)

(334,719)

Showa

Denko

KK

(2)

(11,100)

(233,402)

SoftBank

Corp.

(2)

(54,400)

(687,103)

SoftBank

Group

Corp.

(2)

(9,800)

(469,814)

Sony

Group

Corp.

(2)

(3,300)

(416,718)

SUMCO

Corp.

(2)

(10,000)

(203,628)

Sumitomo

Metal

Mining

Co.

Ltd.

(2)

(1,200)

(45,449)

Sundrug

Co.

Ltd.

(2)

(1,000)

(26,143)

Sysmex

Corp.

(2)

(2,800)

(377,948)

Takara

Bio,

Inc.

(2)

(2,300)

(52,782)

Takeda

Pharmaceutical

Co.

Ltd.

(2)

(2,900)

(79,194)

Terumo

Corp.

(2)

(4,400)

(185,859)

THK

Co.

Ltd.

(2)

(3,700)

(89,778)

TIS,

Inc.

(2)

(1,400)

(41,630)

Tobu

Railway

Co.

Ltd.

(2)

(600)

(13,692)

Toho

Gas

Co.

Ltd.

(2)

(500)

(12,736)

Tokyo

Century

Corp.

(2)

(1,300)

(63,107)

Tokyo

Electron

Ltd.

(2)

(1,300)

(748,244)

TOTO

Ltd.

(2)

(3,200)

(147,640)

Toyota

Industries

Corp.

(2)

(200)

(15,999)

Toyota

Motor

Corp.

(2)

(4,500)

(83,172)

Tsuruha

Holdings,

Inc.

(2)

(200)

(19,204)

Unicharm

Corp.

(2)

(7,500)

(326,304)

USS

Co.

Ltd.

(2)

(2,100)

(32,810)

Welcia

Holdings

Co.

Ltd.

(2)

(4,600)

(143,672)

West

Japan

Railway

Co.

(2)

(5,200)

(217,479)

Yakult

Honsha

Co.

Ltd.

(2)

(6,700)

(349,534)

Yamato

Holdings

Co.

Ltd.

(2)

(3,200)

(75,173)

Yaskawa

Electric

Corp.

(2)

(3,200)

(157,010)

Yokogawa

Electric

Corp.

(2)

(7,100)

(128,151)

Z

Holdings

Corp.

(2)

(61,300)

(353,701)

(21,261,497)

—

Netherlands

-

(1.5)%

Adyen

NV

(2)*(b)

(281)

(737,625)

Argenx

SE

(2)*

(1,067)

(379,434)

ASM

International

NV

(2)

(509)

(224,682)

ASML

Holding

NV

(2)

(363)

(290,771)

Heineken

NV

(2)

(2,200)

(247,587)

IMCD

NV

(2)

(515)

(113,817)

OCI

NV

(2)*

(3,191)

(83,292)

(2,077,208)

—

New

Zealand

-

0.0%

(c)

Xero

Ltd.

(2)*

(190)

(19,448)

Norway

-

(0.1)%

Mowi

ASA

(2)

(1,377)

(32,589)

Schibsted

ASA,

Class

A

(2)

(1,270)

(48,964)

TOMRA

Systems

ASA

(2)

(934)

(66,789)

(148,342)

—

Saudi

Arabia

-

(0.3)%

Delivery

Hero

SE

(2)*(b)

(3,834)

(424,388)

INVESTMENTS

SHARES

VALUE

($)

Singapore

-

(0.5)%

City

Developments

Ltd.

(2)

(7,800)

(39,463)

Singapore

Telecommunications

Ltd.

(2)

(345,700)

(595,117)

(634,580)

—

Spain

-

(1.7)%

Aena

SME

SA

(2)*(b)

(1,397)

(220,005)

Amadeus

IT

Group

SA

(2)*

(10,986)

(743,360)

Banco

Santander

SA

(2)

(4,410)

(14,646)

Cellnex

Telecom

SA

(2)(b)

(11,806)

(683,893)

Ferrovial

SA

(2)

(12,347)

(386,136)

Fluidra

SA

(2)

(3,104)

(123,795)

Industria

de

Diseno

Textil

SA

(2)

(5,460)

(176,085)

(2,347,920)

—

Sweden

-

(1.5)%

Beijer

Ref

AB

(2)

(2,069)

(45,111)

Embracer

Group

AB

(2)*

(37,037)

(392,926)

Epiroc

AB,

Class

A

(2)

(3,482)

(88,045)

EQT

AB

(2)

(6,013)

(325,965)

Evolution

AB

(2)(b)

(1,009)

(142,613)

Hexagon

AB,

Class

B

(2)

(13,487)

(213,642)

Lifco

AB,

Class

B

(2)

(3,035)

(90,651)

Nibe

Industrier

AB,

Class

B

(2)

(2,822)

(42,640)

Saab

AB,

Class

B

(2)

(3,139)

(79,730)

Sinch

AB

(2)*(b)

(31,079)

(392,165)

Sweco

AB,

Class

B

(2)

(4,574)

(86,071)

Swedish

Match

AB

(2)

(23,197)

(184,154)

(2,083,713)

—

Switzerland

-

(1.4)%

Bachem

Holding

AG

(Registered),

Class

B

(2)

(30)

(23,491)

Clariant

AG

(Registered)

(2)*

(7,593)

(157,728)

Dufry

AG

(Registered)

(2)*

(7,739)

(381,492)

Idorsia

Ltd.

(2)*

(6,882)

(140,247)

OC

Oerlikon

Corp.

AG

(Registered)

(2)

(4,550)

(46,533)

Partners

Group

Holding

AG

(2)

(167)

(275,685)

SIG

Combibloc

Group

AG

(2)*

(1,350)

(37,603)

Sika

AG

(Registered)

(2)

(449)

(186,612)

Sonova

Holding

AG

(Registered)

(2)

(561)

(219,237)

Straumann

Holding

AG

(Registered)

(2)

(10)

(21,146)

Temenos

AG

(Registered)

(2)

(2,633)

(362,936)

(1,852,710)

—

Taiwan

-

(0.1)%

Sea

Ltd.,

ADR

*

(893)

(199,773)

United

Kingdom

-

(1.9)%

Associated

British

Foods

plc

(2)

(1,201)

(32,876)

Beazley

plc

(2)*

(7,203)

(45,548)

Bellway

plc

(2)

(961)

(43,678)

British

American

Tobacco

plc

(2)

(5,627)

(208,940)

Compass

Group

plc

(2)*

(677)

(15,242)

ConvaTec

Group

plc

(2)(b)

(4,958)

(12,952)

Croda

International

plc

(2)

(87)

(11,917)

easyJet

plc

(2)*

(12,721)

(96,628)

Hargreaves

Lansdown

plc

(2)

(9,060)

(166,488)

40

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

(1.9)%

(continued)

Hiscox

Ltd.

(2)

(9,572)

(112,414)

Informa

plc

(2)*

(26,300)

(184,142)

JD

Sports

Fashion

plc

(2)

(3,595)

(10,600)

Legal

&

General

Group

plc

(2)

(20,454)

(82,599)

Ocado

Group

plc

(2)*

(12,643)

(287,645)

Prudential

plc

(2)

(10,473)

(181,108)

Quilter

plc

(2)(b)

(5,075)

(10,255)

Reckitt

Benckiser

Group

plc

(2)

(6,031)

(519,169)

Rolls-Royce

Holdings

plc

(2)*

(211,621)

(353,225)

Standard

Chartered

plc

(2)

(9,193)

(55,901)

Weir

Group

plc

(The)

(2)

(2,130)

(49,428)

WH

Smith

plc

(2)*

(2,885)

(57,988)

Whitbread

plc

(2)*

(1,262)

(51,335)

(2,590,078)

—

United

States

-

(41.0)%

10X

Genomics,

Inc.,

Class

A

*

(3,213)

(478,608)

Adaptive

Biotechnologies

Corp.

*

(9,759)

(273,838)

ADT,

Inc.

(2,783)

(23,405)

Advanced

Micro

Devices,

Inc.

*

(1,706)

(245,493)

AES

Corp.

(The)

(506)

(12,296)

Airbnb,

Inc.,

Class

A

*

(1,614)

(268,715)

Albemarle

Corp.

(601)

(140,496)

Alnylam

Pharmaceuticals,

Inc.

*

(1,648)

(279,468)

Alteryx,

Inc.,

Class

A

*

(1,403)

(84,882)

Altice

USA,

Inc.,

Class

A

*

(13,044)

(211,052)

Altria

Group,

Inc.

(9,737)

(461,436)

Amazon.com,

Inc.

*

(206)

(686,874)

AMC

Entertainment

Holdings,

Inc.,

Class

A

*

(11,763)

(319,954)

Amedisys,

Inc.

*

(119)

(19,264)

American

Airlines

Group,

Inc.

*

(35,978)

(646,165)

American

Express

Co.

(224)

(36,646)

American

International

Group,

Inc.

(3,520)

(200,147)

American

Water

Works

Co.,

Inc.

(2,320)

(438,155)

Amphenol

Corp.,

Class

A

(1,688)

(147,632)

Aon

plc,

Class

A

(361)

(108,502)

Aptiv

plc

*

(3,494)

(576,335)

Arrowhead

Pharmaceuticals,

Inc.

*

(2,574)

(170,656)

Asana,

Inc.,

Class

A

*

(2,832)

(211,126)

Atmos

Energy

Corp.

(3,348)

(350,770)

Avalara,

Inc.

*

(310)

(40,024)

Avis

Budget

Group,

Inc.

*

(774)

(160,504)

Axalta

Coating

Systems

Ltd.

*

(463)

(15,335)

Axon

Enterprise,

Inc.

*

(560)

(87,920)

Baker

Hughes

Co.

(9,255)

(222,675)

Ball

Corp.

(3,815)

(367,270)

Bank

OZK

(839)

(39,039)

Bausch

Health

Cos.,

Inc.

*

(2,041)

(56,376)

Beyond

Meat,

Inc.

*

(7,831)

(510,268)

Bill.com

Holdings,

Inc.

*

(2,498)

(622,377)

BioMarin

Pharmaceutical,

Inc.

*

(653)

(57,693)

Block,

Inc.

*

(1,099)

(177,499)

Boeing

Co.

(The)

*

(3,125)

(629,125)

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

(427)

(215,678)

Bright

Horizons

Family

Solutions,

Inc.

*

(2,168)

(272,908)

Brink's

Co.

(The)

(1,739)

(114,026)

Cadence

Bank

(734)

(21,866)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(41.0)%

(continued)

Caesars

Entertainment,

Inc.

*

(840)

(78,565)

Callaway

Golf

Co.

*

(2,361)

(64,786)

Carnival

Corp.

*

(26,047)

(524,066)

Carvana

Co.

*

(2,313)

(536,130)

Catalent,

Inc.

*

(657)

(84,116)

CenterPoint

Energy,

Inc.

(23,789)

(663,951)

ChargePoint

Holdings,

Inc.

*

(2,757)

(52,521)

Charter

Communications,

Inc.,

Class

A

*

(334)

(217,758)

Chegg,

Inc.

*

(20,881)

(641,047)

Chemours

Co.

(The)

(1,839)

(61,717)

Cheniere

Energy,

Inc.

(458)

(46,450)

Chewy,

Inc.,

Class

A

*

(4,056)

(239,182)

Clarivate

plc

*

(10,619)

(249,759)

Cloudflare,

Inc.,

Class

A

*

(1,561)

(205,272)

CommScope

Holding

Co.,

Inc.

*

(6,413)

(70,800)

Compass

Minerals

International,

Inc.

(441)

(22,526)

Copart,

Inc.

*

(183)

(27,746)

Corning,

Inc.

(347)

(12,919)

CoStar

Group,

Inc.

*

(180)

(14,225)

Costco

Wholesale

Corp.

(745)

(422,937)

Coupa

Software,

Inc.

*

(1,735)

(274,217)

Crocs,

Inc.

*

(1,281)

(164,250)

Crowdstrike

Holdings,

Inc.,

Class

A

*

(2,266)

(463,964)

Danaher

Corp.

(2,266)

(745,536)

Datadog,

Inc.,

Class

A

*

(1,200)

(213,732)

Delta

Air

Lines,

Inc.

*

(8,682)

(339,293)

Dexcom,

Inc.

*

(751)

(403,249)

Discovery,

Inc.,

Class

A

*

(7,556)

(177,868)

DocuSign,

Inc.

*

(304)

(46,302)

Dollar

General

Corp.

(2,398)

(565,520)

Dollar

Tree,

Inc.

*

(3,560)

(500,251)

Dominion

Energy,

Inc.

(6,756)

(530,751)

DoorDash,

Inc.,

Class

A

*

(1,454)

(216,501)

DraftKings,

Inc.,

Class

A

*

(13,227)

(363,346)

Duke

Energy

Corp.

(672)

(70,493)

Dun

&

Bradstreet

Holdings,

Inc.

*

(17,793)

(364,579)

Edison

International

(7,920)

(540,540)

Elanco

Animal

Health,

Inc.

*

(2,338)

(66,352)

Elastic

NV

*

(478)

(58,837)

Eli

Lilly

&

Co.

(1,888)

(521,503)

Encompass

Health

Corp.

(240)

(15,662)

Energizer

Holdings,

Inc.

(951)

(38,135)

Enphase

Energy,

Inc.

*

(2,967)

(542,783)

Erie

Indemnity

Co.,

Class

A

(394)

(75,908)

Essential

Utilities,

Inc.

(2,876)

(154,412)

Etsy,

Inc.

*

(1,864)

(408,104)

Everbridge,

Inc.

*

(276)

(18,583)

Eversource

Energy

(2,302)

(209,436)

Exact

Sciences

Corp.

*

(3,875)

(301,591)

Exelixis,

Inc.

*

(2,452)

(44,823)

Exxon

Mobil

Corp.

(241)

(14,747)

Fastly,

Inc.,

Class

A

*

(8,923)

(316,320)

First

Citizens

BancShares,

Inc.,

Class

A

(18)

(14,937)

First

Financial

Bankshares,

Inc.

(307)

(15,608)

First

Horizon

Corp.

(6,050)

(98,797)

First

Republic

Bank

(451)

(93,136)

41

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(41.0)%

(continued)

FirstEnergy

Corp.

(8,163)

(339,499)

Five9,

Inc.

*

(1,588)

(218,064)

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

(374)

(48,624)

Fluor

Corp.

*

(3,227)

(79,933)

Fox

Factory

Holding

Corp.

*

(606)

(103,081)

Freeport-McMoRan,

Inc.

(3,572)

(149,060)

Freshpet,

Inc.

*

(2,772)

(264,088)

Frontdoor,

Inc.

*

(1,125)

(41,231)

GameStop

Corp.,

Class

A

*

(3,595)

(533,462)

General

Electric

Co.

(4,227)

(399,325)

Globe

Life,

Inc.

(321)

(30,084)

Grocery

Outlet

Holding

Corp.

*

(6,640)

(187,779)

Guardant

Health,

Inc.

*

(6,552)

(655,331)

Harley-Davidson,

Inc.

(640)

(24,122)

HealthEquity,

Inc.

*

(4,001)

(177,004)

Howard

Hughes

Corp.

(The)

*

(2,042)

(207,835)

II-VI,

Inc.

*

(161)

(11,001)

Incyte

Corp.

*

(177)

(12,992)

Insulet

Corp.

*

(824)

(219,242)

International

Flavors

&

Fragrances,

Inc.

(443)

(66,738)

Intuitive

Surgical,

Inc.

*

(728)

(261,570)

Ionis

Pharmaceuticals,

Inc.

*

(11,090)

(337,469)

Iovance

Biotherapeutics,

Inc.

*

(19,717)

(376,398)

Iridium

Communications,

Inc.

*

(9,602)

(396,467)

Jackson

Financial,

Inc.,

Class

A

(398)

(16,648)

Kirby

Corp.

*

(1,713)

(101,786)

Kraft

Heinz

Co.

(The)

(399)

(14,324)

Lamb

Weston

Holdings,

Inc.

(780)

(49,436)

Las

Vegas

Sands

Corp.

*

(793)

(29,849)

Lemonade,

Inc.

*

(3,434)

(144,606)

LendingTree,

Inc.

*

(4,912)

(602,211)

LHC

Group,

Inc.

*

(100)

(13,723)

Liberty

Broadband

Corp.,

Class

C

*

(346)

(55,741)

Lululemon

Athletica,

Inc.

*

(1,462)

(572,300)

Lyft,

Inc.,

Class

A

*

(15,284)

(653,085)

Madison

Square

Garden

Sports

Corp.

*

(1,175)

(204,133)

Mandiant

Corp.

*

(2,846)

(49,919)

MarketAxess

Holdings,

Inc.

(138)

(56,755)

Marsh

&

McLennan

Cos.,

Inc.

(864)

(150,180)

Mercury

Systems,

Inc.

*

(509)

(28,026)

MetLife,

Inc.

(1,576)

(98,484)

Mirati

Therapeutics,

Inc.

*

(2,891)

(424,081)

Moderna,

Inc.

*

(233)

(59,177)

MongoDB,

Inc.

*

(553)

(292,731)

MSCI,

Inc.

(59)

(36,149)

Natera,

Inc.

*

(2,840)

(265,228)

National

Fuel

Gas

Co.

(246)

(15,729)

Nektar

Therapeutics

*

(13,417)

(181,264)

Netflix,

Inc.

*

(879)

(529,545)

New

Fortress

Energy,

Inc.

(13,282)

(320,627)

New

Jersey

Resources

Corp.

(740)

(30,384)

New

Relic,

Inc.

*

(496)

(54,540)

Newell

Brands,

Inc.

(10,535)

(230,084)

News

Corp.,

Class

A

(1,011)

(22,555)

NextEra

Energy,

Inc.

(3,433)

(320,505)

Nielsen

Holdings

plc

(10,779)

(221,077)

NIKE,

Inc.,

Class

B

(4,426)

(737,680)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(41.0)%

(continued)

NiSource,

Inc.

(23,900)

(659,879)

Nordstrom,

Inc.

*

(13,587)

(307,338)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(30,262)

(627,634)

NOV,

Inc.

(17,145)

(232,315)

Novocure

Ltd.

*

(2,733)

(205,194)

Nutanix,

Inc.,

Class

A

*

(6,212)

(197,914)

NVIDIA

Corp.

(1,543)

(453,812)

Oak

Street

Health,

Inc.

*

(2,857)

(94,681)

Okta,

Inc.

*

(1,052)

(235,827)

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

(1,973)

(100,998)

ONE

Gas,

Inc.

(2,251)

(174,655)

ONEOK,

Inc.

(2,381)

(139,908)

PacWest

Bancorp

(6,826)

(308,330)

Palantir

Technologies,

Inc.,

Class

A

*

(6,940)

(126,377)

Peloton

Interactive,

Inc.,

Class

A

*

(16,526)

(590,970)

Penn

National

Gaming,

Inc.

*

(455)

(23,592)

Penumbra,

Inc.

*

(183)

(52,580)

Philip

Morris

International,

Inc.

(2,541)

(241,395)

Pinterest,

Inc.,

Class

A

*

(435)

(15,812)

Plug

Power,

Inc.

*

(18,109)

(511,217)

Primerica,

Inc.

(98)

(15,020)

Progyny,

Inc.

*

(4,273)

(215,146)

QuantumScape

Corp.

*

(10,795)

(239,541)

R1

RCM,

Inc.

*

(5,072)

(129,285)

Repligen

Corp.

*

(601)

(159,169)

RingCentral,

Inc.,

Class

A

*

(611)

(114,471)

Rocket

Cos.,

Inc.,

Class

A

(22,499)

(314,986)

Roku,

Inc.

*

(1,719)

(392,276)

Royal

Caribbean

Cruises

Ltd.

*

(7,948)

(611,201)

Sabre

Corp.

*

(36,542)

(313,896)

Sage

Therapeutics,

Inc.

*

(4,639)

(197,343)

Sailpoint

Technologies

Holdings,

Inc.

*

(1,169)

(56,509)

Schlumberger

NV

(16,586)

(496,751)

Seagen,

Inc.

*

(1,645)

(254,317)

Sempra

Energy

(287)

(37,964)

Sherwin-Williams

Co.

(The)

(536)

(188,758)

Shift4

Payments,

Inc.,

Class

A

*

(625)

(36,206)

Signature

Bank

(681)

(220,283)

Sirius

XM

Holdings,

Inc.

(32,709)

(207,702)

SiTime

Corp.

*

(82)

(23,988)

Six

Flags

Entertainment

Corp.

*

(5,982)

(254,714)

Smartsheet,

Inc.,

Class

A

*

(394)

(30,515)

Snap,

Inc.,

Class

A

*

(12,139)

(570,897)

Snowflake,

Inc.,

Class

A

*

(483)

(163,616)

SolarEdge

Technologies,

Inc.

*

(928)

(260,369)

Southwest

Airlines

Co.

*

(1,416)

(60,661)

Spire,

Inc.

(543)

(35,414)

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

(5,191)

(223,680)

Splunk,

Inc.

*

(645)

(74,639)

STAAR

Surgical

Co.

*

(1,156)

(105,543)

Sunrun,

Inc.

*

(14,768)

(506,542)

SVB

Financial

Group

*

(114)

(77,319)

Sysco

Corp.

(1,029)

(80,828)

Tandem

Diabetes

Care,

Inc.

*

(407)

(61,262)

Targa

Resources

Corp.

(4,082)

(213,244)

42

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(41.0)%

(continued)

Teladoc

Health,

Inc.

*

(2,244)

(206,044)

Tempur

Sealy

International,

Inc.

(1,006)

(47,312)

Tenaris

SA

(2)

(21,548)

(224,897)

Tesla,

Inc.

*

(583)

(616,103)

Texas

Capital

Bancshares,

Inc.

*

(1,542)

(92,906)

T-Mobile

US,

Inc.

*

(5,739)

(665,609)

Trade

Desk,

Inc.

(The),

Class

A

*

(1,381)

(126,555)

Trimble,

Inc.

*

(641)

(55,889)

TripAdvisor,

Inc.

*

(4,417)

(120,407)

Twilio,

Inc.,

Class

A

*

(1,778)

(468,219)

Twitter,

Inc.

*

(6,706)

(289,833)

Uber

Technologies,

Inc.

*

(15,432)

(647,064)

Ultragenyx

Pharmaceutical,

Inc.

*

(4,204)

(353,514)

Umpqua

Holdings

Corp.

(5,586)

(107,475)

United

Airlines

Holdings,

Inc.

*

(14,521)

(635,729)

United

Parcel

Service,

Inc.,

Class

B

(709)

(151,967)

Unity

Software,

Inc.

*

(663)

(94,802)

Univar

Solutions,

Inc.

*

(7,713)

(218,664)

Upstart

Holdings,

Inc.

*

(2,859)

(432,567)

Veeva

Systems,

Inc.,

Class

A

*

(98)

(25,037)

ViacomCBS,

Inc.,

Class

B

(4,496)

(135,689)

Vimeo,

Inc.

*

(9,024)

(162,071)

Virgin

Galactic

Holdings,

Inc.

*

(32,583)

(435,961)

Visteon

Corp.

*

(1,652)

(183,603)

Vroom,

Inc.

*

(24,577)

(265,186)

Walt

Disney

Co.

(The)

*

(557)

(86,274)

Wayfair,

Inc.,

Class

A

*

(1,491)

(283,245)

WEC

Energy

Group,

Inc.

(642)

(62,319)

West

Pharmaceutical

Services,

Inc.

(268)

(125,695)

Westinghouse

Air

Brake

Technologies

Corp.

(909)

(83,728)

Williams

Cos.,

Inc.

(The)

(8,292)

(215,924)

Willis

Towers

Watson

plc

(432)

(102,596)

Wolfspeed,

Inc.

*

(770)

(86,063)

WW

International,

Inc.

*

(10,922)

(176,172)

Wynn

Resorts

Ltd.

*

(3,795)

(322,727)

Xcel

Energy,

Inc.

(662)

(44,817)

Zendesk,

Inc.

*

(134)

(13,975)

Zoom

Video

Communications,

Inc.,

Class

A

*

(66)

(12,138)

ZoomInfo

Technologies,

Inc.

*

(1,397)

(89,687)

Zscaler,

Inc.

*

(855)

(274,737)

(55,939,681)

—

Zambia

-

(0.2)%

First

Quantum

Minerals

Ltd.

(11,950)

(285,961)

TOTAL

COMMON

STOCKS

(Proceeds

$(127,881,259))

(107,014,505)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

WARRANTS

-

0.0%

(c)

Canada

-

0.0%

(c)

Cenovus

Energy,

Inc.,

expiring

1/1/2026

*

(Proceeds

$–)

(674)

(5,067)

TOTAL

SHORT

POSITIONS

(Proceeds

$(127,881,259))

(107,019,572)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

85.0%

(Cost

$60,350,182)

116,321,216

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

15.0%

(i)

20,430,924

NET

ASSETS

-

100.0%

136,752,140

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(3,888,219)

(2.8)

%

Consumer

Discretionary

(889,601)

(0.7)

Consumer

Staples

(940,810)

(0.7)

Energy

4,249,483

3.1

Financials

10,126,666

7.4

Health

Care

(4,740,710)

(3.5)

Industrials

3,993,925

2.9

Information

Technology

(4,652,084)

(3.4)

Materials

4,950,441

3.6

Real

Estate

(247,298)

(0.2)

Utilities

(585,430)

(0.4)

Short-Term

Investments

108,944,853

79.7

Total

Investments

In

Securities

At

Value

116,321,216

85.0

Other

Assets

in

Excess

of

Liabilities

(i

)

20,430,924

15.0

Net

Assets

$

136,752,140

100.0%

43

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$92,865,078.

In

addition,

$6,294,688

of

cash

collateral

was

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2021

amounted

to

$(3,680,769),

which

represents

approximately

(2.69)%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company

with

a

total

value

of

$18,140,992.

(e)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(g)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(i)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

December

31,

2021:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

3M

BBR

Qtrly

1.50%

Qtrly

3/07/2024

AUD

9,100,000

$

57,327

$

1,492

$

58,819

Pay

3M

BBR

Qtrly

1.50%

Qtrly

6/13/2024

AUD

23,000,000

43,254

22,146

65,400

Receive

1D

SONIA

Annual

0.75%

Annual

6/15/2032

GBP

7,300,000

61,689

143,675

205,364

Receive

3M

BA

Qtrly

2.00%

Semi

3/15/2032

CAD

300,000

198

(122)

76

Receive

3M

BA

Qtrly

1.75%

Semi

6/14/2032

CAD

1,600,000

35,291

(1,094)

34,197

Receive

3M

LIBOR

Qtrly

1.50%

Semi

6/15/2032

USD

600,000

18,170

(9,602)

8,568

Receive

6M

BBR

Semi

2.00%

Semi

3/11/2032

AUD

6,900,000

(59,005)

74,974

15,969

Receive

6M

BBR

Semi

2.00%

Semi

6/10/2032

AUD

3,800,000

9,574

14,182

23,756

Receive

6M

EURIBOR

Semi

0.25%

Annual

3/16/2032

EUR

7,400,000

(63,593)

128,897

65,304

Receive

6M

EURIBOR

Semi

0.00%

Annual

6/15/2032

EUR

2,500,000

58,284

45,264

103,548

161,189

419,812

581,001

Pay

1D

SONIA

Annual

0.50%

Annual

6/17/2024

GBP

35,300,000

(508,451)

(132,093)

(640,544)

Pay

1D

TONAR

Annual

0.00%

Annual

3/16/2032

JPY

3,600,200,000

(316,709)

61,051

(255,658)

Pay

1D

TONAR

Annual

0.00%

Annual

6/15/2032

JPY

567,400,000

(33,867)

(10,713)

(44,580)

Pay

3M

BA

Qtrly

1.00%

Semi

3/14/2024

CAD

1,100,000

(11,809)

(560)

(12,369)

Pay

3M

BA

Qtrly

1.25%

Semi

6/13/2024

CAD

7,700,000

(74,569)

(1,861)

(76,430)

Pay

3M

BBR

Qtrly

0.50%

Qtrly

3/07/2024

AUD

22,500,000

(106,745)

(71,807)

(178,552)

Pay

3M

LIBOR

Qtrly

0.50%

Semi

3/18/2024

USD

22,200,000

(152,421)

(101,676)

(254,097)

Pay

3M

LIBOR

Qtrly

0.50%

Semi

6/17/2024

USD

2,600,000

(39,302)

1,337

(37,965)

Pay

6M

EURIBOR

Semi

0.50%

Annual

3/18/2024

EUR

36,500,000

(217,643)

(4,786)

(222,429)

Pay

6M

EURIBOR

Semi

0.50%

Annual

6/17/2024

EUR

12,700,000

(72,507)

(29,853)

(102,360)

Receive

1D

TONAR

Annual

0.00%

Annual

3/18/2024

JPY

17,768,100,000

(63,280)

(42,409)

(105,689)

Receive

1D

TONAR

Annual

0.00%

Annual

6/17/2024

JPY

2,856,100,000

(17,079)

1,148

(15,931)

Receive

3M

LIBOR

Qtrly

1.75%

Semi

3/16/2032

USD

4,700,000

(160,064)

99,231

(60,833)

Receive

6M

BBR

Semi

2.50%

Semi

6/10/2032

AUD

1,000,000

(18,052)

(9,170)

(27,222)

(1,792,498)

(242,161)

(2,034,659)

$

(1,631,309)

$

177,651

$

(1,453,658)

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

44

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

(a)

Floating

rate

indices

at

December

31,

2021

were

as

follows:

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

0.19%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.02%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.07%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.52%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.21%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.21%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

-0.55%

Total

return

swap

contracts

outstanding

as

of

December

31,

2021

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

DTOP

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/17/2022

ZAR

251,900

$

178

iBovespa

Index

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

02/16/2022

BRL

(2,645,375)

12,480

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/10/2022

KRW

591,375,000

5,632

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/18/2022

CHF

16,253,460

422,026

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/16/2022

CAD

1,509,057

10,049

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.01%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/16/2022

EUR

515,158

13,813

MSCI

Mexico

Net

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TIIE

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/16/2022

MXN

5,182,836

11,441

45

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

ESTR

plus

or

minus

a

specified

spread

(0.00%)

Monthly

BANA

03/16/2022

EUR

(257,890)

$

755

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(0.09%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/16/2022

CHF

3,127,100

42,807

519,181

Hang

Seng

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2022

HKD

(1,172,550)

(2,137)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2022

HKD

(18,187,400)

(30,811)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

01/28/2022

HKD

(10,747,100)

(19,045)

Tel

Aviv

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/26/2022

ILS

(2,373,672)

(6,836)

WIG20

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

03/18/2022

PLN

(410,220)

(2,315)

MSCI

China

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.35%)

Monthly

BANA

03/16/2022

HKD

(1,766,164)

(3,864)

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SORA

plus

or

minus

a

specified

spread

(0.00%)

Monthly

BANA

03/16/2022

SGD

(190,804)

(419)

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

(-0.08%)

Monthly

BANA

03/16/2022

EUR

(4,250,125)

(145,926)

(211,353)

$

307,828

46

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Futures

contracts

outstanding

as

of

December

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

61

1/2022

USD

$

4,744,580

$

205,404

CAC

40

10

Euro

Index

31

1/2022

EUR

2,521,015

62,699

LME

Aluminum

Base

Metal

1

1/2022

USD

70,105

(8,540)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,071

2,233

LME

Aluminum

Base

Metal

2

1/2022

USD

140,300

(5,946)

LME

Copper

Base

Metal

1

1/2022

USD

243,688

(13,086)

LME

Copper

Base

Metal

1

1/2022

USD

243,529

(4,920)

LME

Copper

Base

Metal

1

1/2022

USD

243,538

(7,890)

LME

Copper

Base

Metal

1

1/2022

USD

243,563

10,908

LME

Copper

Base

Metal

3

1/2022

USD

731,044

(17,609)

LME

Nickel

Base

Metal

1

1/2022

USD

124,188

15,586

LME

Nickel

Base

Metal

1

1/2022

USD

125,247

4,487

LME

Nickel

Base

Metal

1

1/2022

USD

125,283

11,970

LME

Nickel

Base

Metal

1

1/2022

USD

125,265

9,866

LME

Nickel

Base

Metal

1

1/2022

USD

125,121

5,061

LME

Nickel

Base

Metal

1

1/2022

USD

125,253

9,060

LME

Zinc

Base

Metal

1

1/2022

USD

89,725

9,935

LME

Zinc

Base

Metal

1

1/2022

USD

89,550

(5,078)

LME

Zinc

Base

Metal

1

1/2022

USD

89,744

13,528

LME

Zinc

Base

Metal

1

1/2022

USD

89,469

966

LME

Zinc

Base

Metal

1

1/2022

USD

89,348

3,034

NY

Harbor

ULSD

1

1/2022

USD

97,663

3,401

RBOB

Gasoline

12

1/2022

USD

1,121,198

45,081

SGX

FTSE

Taiwan

Index

42

1/2022

USD

2,693,880

14,282

WTI

Crude

Oil

51

1/2022

USD

3,835,710

168,233

Lean

Hogs

4

2/2022

USD

130,360

513

LME

Aluminum

Base

Metal

1

2/2022

USD

70,138

4,435

LME

Aluminum

Base

Metal

1

2/2022

USD

70,119

1,766

LME

Aluminum

Base

Metal

1

2/2022

USD

70,106

4,984

LME

Aluminum

Base

Metal

1

2/2022

USD

70,111

4,200

LME

Copper

Base

Metal

1

2/2022

USD

243,497

2,730

LME

Copper

Base

Metal

1

2/2022

USD

243,500

5,700

LME

Copper

Base

Metal

1

2/2022

USD

243,288

2,266

LME

Copper

Base

Metal

1

2/2022

USD

243,288

(1,465)

LME

Copper

Base

Metal

1

2/2022

USD

243,388

7,810

LME

Copper

Base

Metal

1

2/2022

USD

243,288

9,691

LME

Copper

Base

Metal

1

2/2022

USD

243,500

2,981

LME

Copper

Base

Metal

1

2/2022

USD

243,488

2,354

LME

Copper

Base

Metal

2

2/2022

USD

486,575

6,940

LME

Nickel

Base

Metal

1

2/2022

USD

125,001

7,970

LME

Zinc

Base

Metal

1

2/2022

USD

89,074

8,096

LME

Zinc

Base

Metal

1

2/2022

USD

88,900

9,928

LME

Zinc

Base

Metal

1

2/2022

USD

89,131

9,374

Low

Sulphur

Gasoil

2

2/2022

USD

133,250

3,529

3

Month

Canadian

Bankers

Acceptance

7

3/2022

CAD

1,371,971

1,224

3

Month

Euro

Euribor

23

3/2022

EUR

6,582,053

989

ASX

90

Day

Bank

Accepted

Bill

38

3/2022

AUD

27,637,359

1,145

Australia

10

Year

Bond

182

3/2022

AUD

18,427,717

(41,700)

Canada

10

Year

Bond

112

3/2022

CAD

12,619,756

266,731

Coffee

'C'

9

3/2022

USD

763,088

(16,436)

Copper

2

3/2022

USD

223,175

1,077

Corn

44

3/2022

USD

1,305,150

(20,387)

Cotton

No.

2

12

3/2022

USD

675,600

27,800

47

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

DAX

Index

1

3/2022

EUR

$

451,301

$

(1,008)

EURO

STOXX

50

Index

12

3/2022

EUR

585,758

18,767

FTSE

100

Index

19

3/2022

GBP

1,883,546

26,527

FTSE/JSE

Top

40

Index

37

3/2022

ZAR

1,555,509

24,326

FTSE/MIB

Index

44

3/2022

EUR

6,824,807

156,695

Japan

10

Year

Bond

72

3/2022

JPY

94,908,806

(200,674)

KC

HRW

Wheat

10

3/2022

USD

400,750

(6,973)

KOSPI

200

Index

51

3/2022

KRW

4,228,549

32,259

LME

Aluminum

Base

Metal

1

3/2022

USD

70,144

3,741

LME

Aluminum

Base

Metal

1

3/2022

USD

70,181

4,978

LME

Aluminum

Base

Metal

1

3/2022

USD

70,213

5,535

LME

Aluminum

Base

Metal

1

3/2022

USD

70,225

4,272

LME

Aluminum

Base

Metal

1

3/2022

USD

70,156

4,478

LME

Aluminum

Base

Metal

1

3/2022

USD

70,158

(604)

LME

Aluminum

Base

Metal

1

3/2022

USD

70,188

(435)

LME

Aluminum

Base

Metal

2

3/2022

USD

140,425

(441)

LME

Aluminum

Base

Metal

5

3/2022

USD

351,000

3,036

LME

Copper

Base

Metal

1

3/2022

USD

243,288

4,260

LME

Copper

Base

Metal

1

3/2022

USD

243,025

1,772

LME

Copper

Base

Metal

1

3/2022

USD

243,288

6,256

LME

Copper

Base

Metal

2

3/2022

USD

486,575

12,923

LME

Copper

Base

Metal

3

3/2022

USD

729,863

16,177

LME

Copper

Base

Metal

4

3/2022

USD

973,150

30,623

LME

Copper

Base

Metal

14

3/2022

USD

3,406,025

73,969

LME

Nickel

Base

Metal

1

3/2022

USD

124,653

5,790

LME

Nickel

Base

Metal

1

3/2022

USD

124,542

3,519

LME

Nickel

Base

Metal

1

3/2022

USD

124,758

4,998

LME

Nickel

Base

Metal

7

3/2022

USD

873,327

21,726

LME

Zinc

Base

Metal

1

3/2022

USD

88,700

5,745

LME

Zinc

Base

Metal

1

3/2022

USD

88,400

875

LME

Zinc

Base

Metal

1

3/2022

USD

88,513

1,678

LME

Zinc

Base

Metal

6

3/2022

USD

532,200

28,064

MEX

BOLSA

Index

6

3/2022

MXN

157,540

7,073

S&P/TSX

60

Index

12

3/2022

CAD

2,430,262

43,448

Soybean

Meal

2

3/2022

USD

79,820

(1,778)

SPI

200

Index

9

3/2022

AUD

1,202,695

10,922

U.S.

Treasury

10

Year

Note

91

3/2022

USD

11,859,859

4,950

Wheat

3

3/2022

USD

115,613

(2,615)

3

Month

Canadian

Bankers

Acceptance

14

6/2022

CAD

2,732,598

3,362

3

Month

Euro

Euribor

114

6/2022

EUR

32,611,109

7,057

ASX

90

Day

Bank

Accepted

Bill

201

6/2022

AUD

146,093,458

(194)

3

Month

Canadian

Bankers

Acceptance

25

9/2022

CAD

4,863,582

(6,130)

3

Month

Euro

Euribor

104

9/2022

EUR

29,722,364

(5,607)

3

Month

SARON

1

9/2022

CHF

276,202

(122)

ASX

90

Day

Bank

Accepted

Bill

199

9/2022

AUD

144,529,424

8,952

3

Month

Canadian

Bankers

Acceptance

22

12/2022

CAD

4,271,473

4,614

3

Month

Euro

Euribor

55

12/2022

EUR

15,702,904

(7,460)

ASX

90

Day

Bank

Accepted

Bill

178

12/2022

AUD

129,185,361

9,627

1,215,863

Short

Contracts

Amsterdam

Exchange

Index

(17)

1/2022

EUR

(3,087,778)

(17,200)

FTSE

Bursa

Malaysia

KLCI

Index

(1)

1/2022

MYR

(18,705)

(232)

Hang

Seng

Index

(58)

1/2022

HKD

(8,721,701)

(107,874)

HSCEI

(25)

1/2022

HKD

(1,325,256)

(16,425)

IBEX

35

Index

(1)

1/2022

EUR

(98,872)

(4,330)

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,105)

8,609

48

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(1)

1/2022

USD

$

(70,071)

$

(3,073)

LME

Aluminum

Base

Metal

(2)

1/2022

USD

(140,300)

5,848

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,538)

6,947

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,563)

(10,649)

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,529)

5,381

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,688)

14,010

LME

Copper

Base

Metal

(3)

1/2022

USD

(731,044)

13,023

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,247)

(4,830)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,253)

(9,686)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(124,188)

(16,034)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,283)

(11,725)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,265)

(9,888)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,121)

(4,491)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,469)

(471)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,550)

4,068

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,744)

(13,941)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,725)

(10,027)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,348)

(2,975)

MSCI

Singapore

Index

(61)

1/2022

SGD

(1,539,711)

(10,286)

Natural

Gas

(12)

1/2022

USD

(447,600)

11,290

OMXS30

Index

(21)

1/2022

SEK

(562,230)

(26,113)

SGX

FTSE

China

A50

Index

(5)

1/2022

USD

(78,495)

774

SGX

NIFTY

50

Index

(40)

1/2022

USD

(1,395,160)

(18,396)

100

oz

Gold

(79)

2/2022

USD

(14,445,940)

(32,807)

Live

Cattle

(8)

2/2022

USD

(447,040)

(9,193)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,111)

(4,364)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,119)

(1,938)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,138)

(4,355)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,106)

(5,118)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,288)

(1,490)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,488)

(2,240)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,500)

(3,003)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,288)

1,204

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,388)

(6,807)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,288)

(9,583)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,497)

(1,850)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,500)

(7,003)

LME

Copper

Base

Metal

(2)

2/2022

USD

(486,575)

(7,980)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(125,001)

(7,134)

LME

Zinc

Base

Metal

(1)

2/2022

USD

(89,131)

(8,484)

LME

Zinc

Base

Metal

(1)

2/2022

USD

(88,900)

(9,752)

LME

Zinc

Base

Metal

(1)

2/2022

USD

(89,074)

(8,176)

Sugar

No.

11

(10)

2/2022

USD

(211,456)

610

3

Month

Eurodollar

(4)

3/2022

USD

(996,500)

896

Australia

3

Year

Bond

(74)

3/2022

AUD

(6,145,694)

(413)

Cocoa

(9)

3/2022

GBP

(207,215)

(2,932)

Cocoa

(16)

3/2022

USD

(403,200)

(17,547)

DJIA

CBOT

E-Mini

Index

(1)

3/2022

USD

(181,130)

(3,952)

Euro-Bobl

(10)

3/2022

EUR

(1,517,279)

2,997

Euro-BTP

(38)

3/2022

EUR

(6,357,930)

70,006

Euro-Bund

(79)

3/2022

EUR

(15,421,370)

148,468

Euro-Buxl

(1)

3/2022

EUR

(235,465)

3,387

Euro-OAT

(23)

3/2022

EUR

(4,273,735)

30,217

Euro-Schatz

(12)

3/2022

EUR

(1,530,554)

289

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,188)

309

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,158)

90

49

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

$

(70,156)

$

(4,322)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,213)

(5,385)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,225)

(3,976)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,144)

(4,102)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,181)

(5,352)

LME

Aluminum

Base

Metal

(2)

3/2022

USD

(140,425)

170

LME

Aluminum

Base

Metal

(7)

3/2022

USD

(491,400)

(29,442)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(4,339)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,025)

(1,778)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(4,940)

LME

Copper

Base

Metal

(2)

3/2022

USD

(486,575)

(13,280)

LME

Copper

Base

Metal

(3)

3/2022

USD

(729,863)

(11,370)

LME

Copper

Base

Metal

(4)

3/2022

USD

(973,150)

(31,679)

LME

Copper

Base

Metal

(8)

3/2022

USD

(1,946,300)

(32,337)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,542)

(3,945)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,758)

(4,611)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,761)

(5,832)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,653)

(6,270)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,700)

(5,353)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,400)

(478)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,700)

(1,678)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,513)

(502)

Long

Gilt

(261)

3/2022

GBP

(44,134,839)

(2,501)

MSCI Emerging Markets E-Mini Index

(16)

3/2022

USD

(981,040)

(11,909)

Russell

2000

E-Mini

Index

(1)

3/2022

USD

(112,140)

(5,130)

S&P

500

E-Mini

Index

(43)

3/2022

USD

(10,230,775)

(155,452)

SET50

Index

(57)

3/2022

THB

(336,762)

(3,729)

Silver

(9)

3/2022

USD

(1,050,840)

(34,497)

Soybean

(76)

3/2022

USD

(5,089,150)

(184,252)

Soybean

Oil

(2)

3/2022

USD

(67,836)

788

TOPIX

Index

(29)

3/2022

JPY

(5,021,994)

(43,208)

U.S.

Treasury

2

Year

Note

(193)

3/2022

USD

(42,099,633)

42,332

U.S.

Treasury

5

Year

Note

(90)

3/2022

USD

(10,880,156)

(30,156)

U.S.

Treasury

Long

Bond

(4)

3/2022

USD

(639,750)

(2,602)

U.S.

Treasury

Ultra

Bond

(3)

3/2022

USD

(588,375)

(6,222)

Platinum

(1)

4/2022

USD

(48,310)

(102)

3

Month

Eurodollar

(49)

6/2022

USD

(12,176,500)

30,622

3

Month

SONIA

(30)

6/2022

GBP

(10,090,208)

14,883

3

Month

Eurodollar

(43)

9/2022

USD

(10,662,388)

16,842

3

Month

SONIA

(177)

9/2022

GBP

(59,358,531)

75,138

3

Month

Eurodollar

(50)

12/2022

USD

(12,367,500)

4,706

3

Month

SARON

(2)

12/2022

CHF

(552,102)

(36)

3

Month

SONIA

(176)

12/2022

GBP

(58,907,037)

85,360

3

Month

Euro

Euribor

(24)

3/2023

EUR

(6,842,954)

1,872

3

Month

Eurodollar

(36)

3/2023

USD

(8,889,300)

29,340

3

Month

SARON

(1)

3/2023

CHF

(275,900)

(33)

3

Month

SONIA

(156)

3/2023

GBP

(52,168,186)

62,229

3

Month

Euro

Euribor

(37)

6/2023

EUR

(10,537,970)

5,719

3

Month

Eurodollar

(33)

6/2023

USD

(8,134,913)

11,485

3

Month

SONIA

(6)

6/2023

GBP

(2,005,352)

2,527

3

Month

Euro

Euribor

(36)

9/2023

EUR

(10,245,475)

6,630

3

Month

Eurodollar

(33)

9/2023

USD

(8,123,363)

3,245

3

Month

SONIA

(7)

9/2023

GBP

(2,338,393)

2,947

3

Month

Euro

Euribor

(22)

12/2023

EUR

(6,257,367)

4,700

3

Month

Eurodollar

(37)

12/2023

USD

(9,100,613)

(2,763)

3

Month

SONIA

(6)

12/2023

GBP

(2,003,728)

1,934

50

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

SONIA

(5)

3/2024

GBP

$

(1,669,689)

$

1,227

(385,211)

$

830,652

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

9,357,628

USD

6,712,073

CITI

3/16/2022

$

97,293

AUD

9,357,622

USD

6,712,077

JPMC

3/16/2022

97,283

BRL

17,598,500

USD

3,068,374

CITI

**

3/16/2022

36,726

BRL

17,598,500

USD

3,068,378

JPMC

**

3/16/2022

36,721

CAD

4,667,500

USD

3,653,914

CITI

3/16/2022

35,420

CAD

4,667,500

USD

3,654,402

JPMC

3/16/2022

34,934

CHF

1,683,004

USD

1,827,403

CITI

3/16/2022

23,020

CHF

1,682,996

USD

1,827,397

JPMC

3/16/2022

23,019

CNY

16,332,127

USD

2,540,295

CITI

**

3/16/2022

16,909

CNY

16,332,123

USD

2,540,297

JPMC

**

3/16/2022

16,905

DKK

1,212,500

USD

184,408

CITI

3/16/2022

1,491

DKK

1,212,500

USD

184,408

JPMC

3/16/2022

1,491

EUR

12,888,003

USD

14,574,190

CITI

3/16/2022

120,136

EUR

12,887,997

USD

14,574,202

JPMC

3/16/2022

120,118

GBP

1,717,500

USD

2,289,279

CITI

3/16/2022

34,717

GBP

1,717,500

USD

2,289,282

JPMC

3/16/2022

34,715

HUF

242,783,001

USD

733,098

CITI

3/16/2022

9,831

HUF

242,782,999

USD

733,099

JPMC

3/16/2022

9,830

IDR

4,557,749,500

USD

315,000

CITI

**

3/16/2022

3,007

IDR

4,557,749,500

USD

315,000

JPMC

**

3/16/2022

3,007

ILS

1,984,000

USD

631,362

CITI

3/16/2022

7,172

ILS

1,984,000

USD

631,362

JPMC

3/16/2022

7,171

INR

170,448,504

USD

2,255,043

CITI

**

3/16/2022

13,614

INR

170,448,496

USD

2,255,045

JPMC

**

3/16/2022

13,608

JPY

600,246,501

USD

5,220,142

CITI

3/16/2022

1,121

JPY

600,246,500

USD

5,220,149

JPMC

3/16/2022

1,115

KRW

3,500

USD

3

CITI

**

3/16/2022

–

KRW

3,500

USD

3

JPMC

**

3/16/2022

–

MXN

73,064,505

USD

3,387,876

CITI

3/16/2022

136,238

MXN

73,064,495

USD

3,387,880

JPMC

3/16/2022

136,236

NOK

23,274,000

USD

2,580,215

CITI

3/16/2022

59,118

NOK

23,274,000

USD

2,580,218

JPMC

3/16/2022

59,116

NZD

4,308,000

USD

2,928,065

CITI

3/16/2022

19,149

NZD

4,308,000

USD

2,928,069

JPMC

3/16/2022

19,145

PLN

5,814,501

USD

1,409,739

CITI

3/16/2022

25,733

PLN

5,814,499

USD

1,409,741

JPMC

3/16/2022

25,732

SEK

31,745,886

USD

3,501,190

CITI

3/16/2022

14,045

SEK

31,745,878

USD

3,501,194

JPMC

3/16/2022

14,041

SGD

3,003,500

USD

2,212,338

CITI

3/16/2022

15,608

SGD

3,003,500

USD

2,212,340

JPMC

3/16/2022

15,605

TWD

5,150,750

USD

186,605

CITI

**

3/16/2022

188

TWD

5,531,996

USD

200,436

JPMC

**

3/16/2022

182

USD

255,841

AUD

351,500

CITI

3/16/2022

61

USD

255,841

AUD

351,500

JPMC

3/16/2022

61

51

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

165,960

CLP

141,358,001

CITI

**

3/16/2022

$

1,839

USD

165,959

CLP

141,357,999

JPMC

**

3/16/2022

1,839

USD

2,036

CNY

13,000

CITI

**

3/16/2022

–

USD

2,036

CNY

13,000

JPMC

**

3/16/2022

–

USD

163,401

COP

654,194,000

CITI

**

3/16/2022

3,775

USD

163,400

COP

654,194,000

JPMC

**

3/16/2022

3,774

USD

72,810

HUF

23,501,500

CITI

3/16/2022

894

USD

72,810

HUF

23,501,500

JPMC

3/16/2022

894

USD

2

IDR

24,000

CITI

**

3/16/2022

–

USD

2

IDR

24,000

JPMC

**

3/16/2022

–

USD

2,346,534

ILS

7,246,500

CITI

3/16/2022

14,309

USD

2,346,531

ILS

7,246,500

JPMC

3/16/2022

14,306

USD

6,026,816

JPY

687,413,252

CITI

3/16/2022

47,331

USD

6,026,809

JPY

687,413,252

JPMC

3/16/2022

47,322

USD

5,107,330

KRW

6,057,437,000

CITI

**

3/16/2022

22,045

USD

5,107,323

KRW

6,057,437,000

JPMC

**

3/16/2022

22,038

USD

1,765

NOK

15,500

CITI

3/16/2022

7

USD

1,765

NOK

15,500

JPMC

3/16/2022

7

USD

791,277

NZD

1,135,000

CITI

3/16/2022

14,796

USD

791,276

NZD

1,135,000

JPMC

3/16/2022

14,794

USD

381,032

PHP

19,358,503

CITI

**

3/16/2022

6,517

USD

381,032

PHP

19,358,497

JPMC

**

3/16/2022

6,516

USD

1,953,820

SEK

17,469,253

CITI

3/16/2022

19,441

USD

1,953,817

SEK

17,469,247

JPMC

3/16/2022

19,437

USD

187,328

TWD

5,154,500

CITI

**

3/16/2022

399

USD

187,328

TWD

5,154,500

JPMC

**

3/16/2022

399

USD

476,486

ZAR

7,613,000

CITI

3/16/2022

3,495

USD

476,485

ZAR

7,613,000

JPMC

3/16/2022

3,494

ZAR

30,643,332

USD

1,889,013

CITI

3/16/2022

14,840

ZAR

30,643,332

USD

1,889,016

JPMC

3/16/2022

14,836

Total

unrealized

appreciation

1,639,976

AUD

2,652,875

USD

1,930,734

CITI

3/16/2022

(287)

AUD

2,652,875

USD

1,930,736

JPMC

3/16/2022

(290)

CAD

117,500

USD

92,969

CITI

3/16/2022

(93)

CAD

117,500

USD

92,969

JPMC

3/16/2022

(93)

CLP

129,079,504

USD

154,961

CITI

**

3/16/2022

(5,095)

CLP

129,079,496

USD

154,961

JPMC

**

3/16/2022

(5,095)

COP

628,025,500

USD

157,032

CITI

**

3/16/2022

(3,791)

COP

628,025,500

USD

157,033

JPMC

**

3/16/2022

(3,792)

ILS

1,791,500

USD

579,268

CITI

3/16/2022

(2,688)

ILS

1,791,500

USD

579,269

JPMC

3/16/2022

(2,690)

INR

11,894,000

USD

158,810

CITI

**

3/16/2022

(502)

INR

11,894,000

USD

158,810

JPMC

**

3/16/2022

(502)

JPY

692,277,000

USD

6,071,014

CITI

3/16/2022

(49,219)

JPY

692,276,999

USD

6,071,021

JPMC

3/16/2022

(49,228)

KRW

1,322,391,500

USD

1,119,056

CITI

**

3/16/2022

(8,895)

KRW

1,322,391,500

USD

1,119,057

JPMC

**

3/16/2022

(8,896)

MXN

522,500

USD

25,331

CITI

3/16/2022

(129)

MXN

522,500

USD

25,331

JPMC

3/16/2022

(129)

NZD

1,024,000

USD

714,370

CITI

3/16/2022

(13,825)

NZD

1,024,000

USD

714,370

JPMC

3/16/2022

(13,826)

PHP

8,404,500

USD

167,267

CITI

**

3/16/2022

(4,671)

PHP

8,404,500

USD

167,268

JPMC

**

3/16/2022

(4,671)

SEK

22,514,620

USD

2,507,880

CITI

3/16/2022

(14,826)

SEK

22,514,616

USD

2,507,883

JPMC

3/16/2022

(14,829)

TWD

14,578,254

USD

530,355

CITI

**

3/16/2022

(1,673)

TWD

14,197,000

USD

516,525

JPMC

**

3/16/2022

(1,668)

USD

3,438,263

AUD

4,818,500

CITI

3/16/2022

(68,066)

52

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

3,438,259

AUD

4,818,500

JPMC

3/16/2022

$

(68,071)

USD

1,586,071

BRL

9,151,503

CITI

**

3/16/2022

(28,630)

USD

1,586,068

BRL

9,151,497

JPMC

**

3/16/2022

(28,632)

USD

1,634,746

CAD

2,080,504

CITI

3/16/2022

(9,749)

USD

1,634,738

CAD

2,080,496

JPMC

3/16/2022

(9,751)

USD

11,297,406

CHF

10,411,002

CITI

3/16/2022

(149,253)

USD

11,297,387

CHF

10,410,998

JPMC

3/16/2022

(149,267)

USD

74,280

CLP

64,430,003

CITI

**

3/16/2022

(525)

USD

74,279

CLP

64,429,997

JPMC

**

3/16/2022

(525)

USD

198,465

CNY

1,273,500

CITI

**

3/16/2022

(933)

USD

198,465

CNY

1,273,500

JPMC

**

3/16/2022

(934)

USD

24,111

DKK

158,500

CITI

3/16/2022

(190)

USD

24,111

DKK

158,500

JPMC

3/16/2022

(191)

USD

18,597,695

EUR

16,423,005

CITI

3/16/2022

(127,082)

USD

18,597,661

EUR

16,422,995

JPMC

3/16/2022

(127,105)

USD

11,840,655

GBP

8,865,505

CITI

3/16/2022

(155,500)

USD

11,841,622

GBP

8,865,495

JPMC

3/16/2022

(154,519)

USD

92,358

HUF

30,501,000

CITI

3/16/2022

(976)

USD

92,358

HUF

30,501,000

JPMC

3/16/2022

(976)

USD

244,424

IDR

3,546,764,500

CITI

**

3/16/2022

(3,044)

USD

244,430

IDR

3,546,764,500

JPMC

**

3/16/2022

(3,038)

USD

502,371

ILS

1,568,500

CITI

3/16/2022

(2,437)

USD

502,370

ILS

1,568,500

JPMC

3/16/2022

(2,438)

USD

1,431,207

INR

109,392,504

CITI

**

3/16/2022

(24,798)

USD

1,431,205

INR

109,392,496

JPMC

**

3/16/2022

(24,800)

USD

2,153,511

JPY

247,645,252

CITI

3/16/2022

(639)

USD

2,153,509

JPY

247,645,252

JPMC

3/16/2022

(641)

USD

455,425

KRW

543,910,500

CITI

**

3/16/2022

(1,194)

USD

455,425

KRW

543,910,500

JPMC

**

3/16/2022

(1,194)

USD

1,029,877

MXN

22,299,000

CITI

3/16/2022

(45,669)

USD

1,029,876

MXN

22,299,000

JPMC

3/16/2022

(45,670)

USD

650,898

NOK

5,840,500

CITI

3/16/2022

(11,430)

USD

650,897

NOK

5,840,500

JPMC

3/16/2022

(11,430)

USD

842,103

NZD

1,239,000

CITI

3/16/2022

(5,529)

USD

842,102

NZD

1,239,000

JPMC

3/16/2022

(5,529)

USD

47,456

PHP

2,456,500

CITI

**

3/16/2022

(68)

USD

47,456

PHP

2,456,500

JPMC

**

3/16/2022

(68)

USD

1,617,033

PLN

6,720,000

CITI

3/16/2022

(41,989)

USD

1,617,031

PLN

6,720,000

JPMC

3/16/2022

(41,991)

USD

2,343,895

SEK

21,296,750

CITI

3/16/2022

(14,303)

USD

2,343,892

SEK

21,296,750

JPMC

3/16/2022

(14,305)

USD

2,468,626

SGD

3,373,503

CITI

3/16/2022

(33,780)

USD

2,468,619

SGD

3,373,497

JPMC

3/16/2022

(33,783)

USD

357,010

TWD

9,866,502

CITI

**

3/16/2022

(801)

USD

357,010

TWD

9,866,498

JPMC

**

3/16/2022

(802)

USD

258,457

ZAR

4,199,000

CITI

3/16/2022

(2,425)

USD

258,457

ZAR

4,199,000

JPMC

3/16/2022

(2,425)

ZAR

21,838,169

USD

1,364,906

CITI

3/16/2022

(8,114)

ZAR

21,838,167

USD

1,364,908

JPMC

3/16/2022

(8,114)

Total

unrealized

depreciation

(1,684,726)

Net

unrealized

depreciation

$

(44,750)

**

Non-deliverable

forward.

53

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

2,547,334

$

2,547,334

CITG

Cash

–

2,616,988

2,616,988

CITI

Cash

(120,003)

–

(120,003)

Investment

Companies

537,724

–

537,724

GSCO

Cash

–

290,535

290,535

GSIN

Investment

Companies

30,005

–

30,005

JPMC

Investment

Companies

1,136,844

–

1,136,844

JPMS

Cash

–

3,714,037

3,714,037

MLIN

Cash

(40,037)

–

(40,037)

MSCS

U.S.

Treasury

Bills

229,927

–

229,927

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

1,688,827

$

1,688,827

JPPC

Cash

–

91,053

91,053

MSCL

Cash

–

54,178

54,178

54

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

99.5%

COMMON

STOCKS

-

18.7%

Airlines

-

0.0%

(a)

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

(Brazil)

*(b)

26,358

159,466

Auto

Components

-

0.1%

Patrick

Industries,

Inc.

(b)

8,922

719,916

Banks

-

0.6%

Atlantic

Capital

Bancshares,

Inc.

*

30,788

885,771

Great

Western

Bancorp,

Inc.

157,193

5,338,274

Patriot

National

Bancorp,

Inc.

(acquired

4/13/2021,

Cost

$–)

(3)*(c)(d)

103,342

1,532,693

Patriot

National

Bancorp,

Inc.

*

17,287

268,813

PNBK

Holdings

LLC,

Class

A

(acquired

10/18/2010

-

7/21/2015,

Cost

$2,061,941)

(3)*(c)(d)

2,090,900

2

PNBK

Holdings

LLC,

Class

B

(acquired

10/18/2010

-

7/21/2015,

Cost

$–)

(3)*(c)(d)

3,218

–

8,025,553

Biotechnology

-

0.1%

Global

Blood

Therapeutics,

Inc.

*(b)

41,723

1,221,232

Precigen

,

Inc.

*(b)

17,632

65,415

1,286,647

Capital

Markets

-

12.5%

Accretion

Acquisition

Corp.

*

202,180

1,973,277

Acropolis

Infrastructure

Acquisition

Corp.,

Class

A

(2)*

420,999

4,079,480

Aequi

Acquisition

Corp.,

Class

A

*

150,000

1,462,500

Aesther

Healthcare

Acquisition

Corp.,

Class

A

*

40,504

404,635

Alpha

Healthcare

Acquisition

Corp.

III,

Class

A

(2)*

208,000

2,005,120

AltC

Acquisition

Corp.,

Class

A

*

131,250

1,292,813

AMCI

Acquisition

Corp.

II,

Class

A

(2)*

139,000

1,341,350

American

Acquisition

Opportunity,

Inc.,

Class

A

(2)*

117,000

1,177,020

Anzu

Special

Acquisition

Corp.

I,

Class

A

*

206,667

2,015,003

Argus

Capital

Corp.,

Class

A

*

61,482

609,901

Armada

Acquisition

Corp.

I

*

128,332

1,258,295

Artemis

Strategic

Investment

Corp.,

Class

A

(2)*

204,800

2,082,365

Astrea

Acquisition

Corp.,

Class

A

*

80,569

796,022

Athlon

Acquisition

Corp.,

Class

A

*

82,666

806,820

Aurora

Acquisition

Corp.,

Class

A

(United

Kingdom)

*

37,500

371,250

Avalon

Acquisition,

Inc.,

Class

A

*

106,268

1,049,928

AxonPrime

Infrastructure

Acquisition

Corp.,

Class

A

(2)*

234,165

2,262,034

Bannix

Acquisition

Corp.

*

26,277

257,777

Belong

Acquisition

Corp.,

Class

A

(2)*

128,000

1,241,600

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

12.5%

(continued)

Berenson

Acquisition

Corp.

I,

Class

A

*

30,784

297,681

Big

Sky

Growth

Partners,

Inc.,

Class

A

*

332,484

3,228,420

Bilander

Acquisition

Corp.,

Class

A

(2)*

241,664

2,336,891

Bite

Acquisition

Corp.

*

83,200

808,704

Black

Mountain

Acquisition

Corp.,

Class

A

*

245,032

2,408,665

Blockchain

Moon

Acquisition

Corp.

*

44,844

439,023

BOA

Acquisition

Corp.,

Class

A

*

81,963

805,696

Cascadia

Acquisition

Corp.,

Class

A

(2)*

120,606

1,161,436

CENAQ

Energy

Corp.,

Class

A

(2)*

140,000

1,379,000

CF

Acquisition

Corp.

V,

Class

A

*

80,068

776,660

CIIG

Capital

Partners

II,

Inc.,

Class

A

*

141,768

1,399,250

Clarim

Acquisition

Corp.,

Class

A

*

100,000

971,000

Concord

Acquisition

Corp.

II,

Class

A

(2)*

286,392

2,792,322

Conyers

Park

III

Acquisition

Corp.,

Class

A

*

484,500

4,723,875

Crixus

BH3

Acquisition

Co.,

Class

A

(2)*

84,579

825,491

D

&

Z

Media

Acquisition

Corp.,

Class

A

*

82,359

803,000

Data

Knights

Acquisition

Corp.,

Class

A

(United

Kingdom)

*

50,667

511,737

Decarbonization

Plus

Acquisition

Corp.

II,

Class

A

*

82,776

825,277

Deep

Medicine

Acquisition

Corp.,

Class

A

*

152,927

1,501,743

DHB

Capital

Corp.,

Class

A

*

147,999

1,442,990

Digital

Transformation

Opportunities

Corp.,

Class

A

*

82,932

803,611

DILA

Capital

Acquisition

Corp.,

Class

A

(2)*

61,667

598,170

Direct

Selling

Acquisition

Corp.,

Class

A

*

102,582

1,018,639

dMY

Technology

Group,

Inc.

VI

*

82,182

806,912

Dynamics

Special

Purpose

Corp.,

Class

A

*

100,000

986,000

ECP

Environmental

Growth

Opportunities

Corp.,

Class

A

*

77,843

767,532

Edify

Acquisition

Corp.,

Class

A

*

83,100

811,887

Environmental

Impact

Acquisition

Corp.,

Class

A

*

82,400

817,408

EQ

Health

Acquisition

Corp.,

Class

A

*

87,656

851,140

Evo

Acquisition

Corp.,

Class

A

*

19,320

187,404

First

Light

Acquisition

Group,

Inc.,

Class

A

(2)*

40,464

396,952

First

Reserve

Sustainable

Growth

Corp.,

Class

A

*

77,513

767,379

Flame

Acquisition

Corp.,

Class

A

*

100,000

972,000

FoxWayne

Enterprises

Acquisition

Corp.,

Class

A

(2)*

34,500

342,585

Future

Health

ESG

Corp.

(2)*

91,822

896,183

55

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

12.5%

(continued)

Gaming

&

Hospitality

Acquisition

Corp.,

Class

A

(2)*

24,621

239,070

GigCapital5,

Inc.

(2)*

123,100

1,216,228

Gladstone

Acquisition

Corp.,

Class

A

*

139,000

1,381,660

Glass

Houses

Acquisition

Corp.

*

137,666

1,336,737

Glenfarne

Merger

Corp.,

Class

A

*

164,664

1,603,827

Goal

Acquisitions

Corp.

*

84,630

820,911

Gores

Holdings

VII,

Inc.,

Class

A

*

83,328

814,948

Gores

Metropoulos

II,

Inc.,

Class

A

*

75,474

752,476

Group

Nine

Acquisition

Corp.,

Class

A

*

82,812

807,417

Growth

Capital

Acquisition

Corp.,

Class

A

*

94,614

940,463

Hamilton

Lane

Alliance

Holdings

I,

Inc.,

Class

A

*

82,749

808,458

Hawks

Acquisition

Corp.,

Class

A

*

74,351

720,461

Healthcare

Capital

Corp.,

Class

A

*

98,454

971,741

Healthwell

Acquisition

Corp.

I,

Class

A

*

279,200

2,705,448

Hennessy

Capital

Investment

Corp.

VI,

Class

A

(2)*

697,470

6,723,611

Home

Plate

Acquisition

Corp.,

Class

A

*

41,016

396,625

Hudson

Executive

Investment

Corp.

II

*

83,100

812,718

IG

Acquisition

Corp.,

Class

A

*

100,000

981,000

Ignyte

Acquisition

Corp.

(2)*

35,000

340,900

Insight

Acquisition

Corp.,

Class

A

*

50,340

491,570

InterPrivate

II

Acquisition

Corp.,

Class

A

*

82,500

800,250

InterPrivate

III

Financial

Partners,

Inc.,

Class

A

*

82,500

817,575

InterPrivate

IV

InfraTech

Partners,

Inc.,

Class

A

(2)*

83,000

804,270

Jaws

Hurricane

Acquisition

Corp.,

Class

A

(2)*

137,000

1,324,790

JOFF

Fintech

Acquisition

Corp.,

Class

A

*

83,181

811,015

Jupiter

Acquisition

Corp.,

Class

A

*

210,000

2,018,100

Khosla

Ventures

Acquisition

Co.

III,

Class

A

*

100,000

976,000

Learn

CW

Investment

Corp.,

Class

A

*

26,704

266,773

Lionheart

III

Corp.,

Class

A

*

89,680

883,348

Live

Oak

Crestview

Climate

Acquisition

Corp.,

Class

A

*

164,130

1,601,088

Live

Oak

Mobility

Acquisition

Corp.,

Class

A

*

88,800

867,576

LMF

Acquisition

Opportunities,

Inc.,

Class

A

*

27,333

274,423

Logistics

Innovation

Technologies

Corp.,

Class

A

(2)*

245,571

2,374,672

Marblegate

Acquisition

Corp.,

Class

A

*

1,146,775

11,203,992

Maxpro

Capital

Acquisition

Corp.,

Class

A

(Taiwan)

(2)*

9,347

92,629

MDH

Acquisition

Corp.,

Class

A

*

84,000

823,200

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

12.5%

(continued)

Minority

Equality

Opportunities

Acquisition,

Inc.,

Class

A

(2)*

40,202

400,814

Monterey

Bio

Acquisition

Corp.

*

8,700

86,043

Monument

Circle

Acquisition

Corp.,

Class

A

*

82,750

807,640

Music

Acquisition

Corp.

(The),

Class

A

*

46,650

455,304

Newbury

Street

Acquisition

Corp.

*

100,000

970,000

Northern

Lights

Acquisition

Corp.,

Class

A

*

91,332

918,800

Northern

Star

Investment

Corp.

III,

Class

A

*

82,662

805,954

Northern

Star

Investment

Corp.

IV,

Class

A

*

82,662

805,128

Novus

Capital

Corp.

II,

Class

A

*

32,344

320,206

OCA

Acquisition

Corp.,

Class

A

(2)*

111,538

1,104,226

Omnichannel

Acquisition

Corp.,

Class

A

*

196,419

1,954,369

Oyster

Enterprises

Acquisition

Corp.,

Class

A

*

83,000

810,080

Pacifico

Acquisition

Corp.

*

20,252

200,900

Panacea

Acquisition

Corp.

II,

Class

A

*

100,000

970,000

Parabellum

Acquisition

Corp.,

Class

A

*

32,371

315,617

Periphas

Capital

Partnering

Corp.,

Class

A

*

76,164

1,856,117

Phoenix

Biotech

Acquisition

Corp.,

Class

A

*

212,345

2,104,339

PHP

Ventures

Acquisition

Corp.,

Class

A

(Malaysia)

*

29,400

291,942

Pono

Capital

Corp.,

Class

A

(2)*

119,700

1,191,015

Priveterra

Acquisition

Corp.,

Class

A

(2)*

93,300

905,943

Property

Solutions

Acquisition

Corp.

II,

Class

A

*

100,000

971,000

PWP

Forward

Acquisition

Corp.

I,

Class

A

(2)*

161,665

1,568,150

Revolution

Healthcare

Acquisition

Corp.,

Class

A

*

82,530

801,366

Rosecliff

Acquisition

Corp.

I,

Class

A

*

82,665

811,770

Schultze

Special

Purpose

Acquisition

Corp.

II,

Class

A

*

63,730

620,093

Science

Strategic

Acquisition

Corp.

Alpha,

Class

A

*

82,482

804,199

SCP

&

CO

Healthcare

Acquisition

Co.,

Class

A

*

83,124

814,615

Sierra

Lake

Acquisition

Corp.,

Class

A

*

81,011

792,288

Silver

Spike

Acquisition

Corp.

II,

Class

A

*

80,000

777,600

Social

Leverage

Acquisition

Corp.

I,

Class

A

*

82,664

810,934

Software

Acquisition

Group,

Inc.

III,

Class

A

(2)*

185,000

1,820,400

Spartan

Acquisition

Corp.

III,

Class

A

*

77,408

764,017

SportsMap

Tech

Acquisition

Corp.

*

85,818

843,162

56

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

12.5%

(continued)

SportsTek

Acquisition

Corp.,

Class

A

*

100,000

974,000

Springwater

Special

Situations

Corp.

*

40,212

392,670

TG

Venture

Acquisition

Corp.

*

215,235

2,111,455

Thunder

Bridge

Capital

Partners

IV,

Inc.,

Class

A

*

322,000

3,139,500

TLG

Acquisition

One

Corp.,

Class

A

*

83,181

809,351

Tribe

Capital

Growth

Corp.

I,

Class

A

*

255,552

2,499,299

Tuscan

Holdings

Corp.

II

*

40,000

408,000

Twelve

Seas

Investment

Co.

II,

Class

A

*

98,799

958,350

Velocity

Acquisition

Corp.,

Class

A

*

82,623

803,509

VPC

Impact

Acquisition

Holdings

III,

Inc.,

Class

A

*

103,108

1,056,857

Warrior

Technologies

Acquisition

Co.,

Class

A

*

82,832

814,239

Williams

Rowland

Acquisition

Corp.

*

231,666

2,286,543

Yellowstone

Acquisition

Co.,

Class

A

*

147,824

1,503,370

Z-Work

Acquisition

Corp.,

Class

A

(2)*

82,665

804,330

165,791,327

Chemicals

-

0.3%

Ferro

Corp.

*

164,161

3,583,635

Entertainment

-

0.3%

Live

Nation

Entertainment,

Inc.

*(b)

32,819

3,928,106

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.2%

Cominar

REIT

(Canada)

336,288

3,107,796

Hotels,

Restaurants

&

Leisure

-

0.5%

Booking

Holdings,

Inc.

*(b)

2,465

5,914,102

Golden

Nugget

Online

Gaming,

Inc.

*

33,614

334,459

6,248,561

Insurance

-

0.0%

(a)

Hagerty

,

Inc.,

Class

A

*

31,121

441,296

IT

Services

-

0.6%

GreenSky

,

Inc.,

Class

A

*

671,419

7,627,320

Life

Sciences

Tools

&

Services

-

0.1%

Illumina,

Inc.

*(b)

2,105

800,826

Machinery

-

0.0%

(a)

Hillman

Solutions

Corp.

*

29,339

315,394

Media

-

0.7%

Shaw

Communications,

Inc.,

Class

B

(Canada)

182,571

5,540,852

TechTarget

,

Inc.

*(b)

10,475

1,002,039

ViacomCBS

,

Inc.,

Class

B

107,063

3,231,161

9,774,052

INVESTMENTS

SHARES

VALUE

($)

Metals

&

Mining

-

0.5%

Great

Bear

Resources

Ltd.

(Canada)

*

50,585

1,153,304

Kirkland

Lake

Gold

Ltd.

(Canada)

2,915

122,158

Neo

Lithium

Corp.

(Canada)

*

566,104

2,828,394

Pretium

Resources,

Inc.

(Canada)

*

173,366

2,442,727

6,546,583

Oil,

Gas

&

Consumable

Fuels

-

0.2%

Teekay

LNG

Partners

LP

171,279

2,899,753

Pharmaceuticals

-

0.5%

Vifor

Pharma

AG

(Switzerland)

(2)

37,224

6,612,760

Professional

Services

-

0.2%

Intertrust

NV

(Netherlands)

(2)*(e)

103,027

2,298,196

Software

-

1.2%

Confluent,

Inc.,

Class

A

*(b)

31,909

2,432,742

Vonage

Holdings

Corp.

*

632,987

13,159,800

15,592,542

Wireless

Telecommunication

Services

-

0.1%

Cleveland

Unlimited

(acquired

3/18/2010,

Cost

$1,793,400)

(3)*(c)

(d)

1

1,467,012

TOTAL

COMMON

STOCKS

(Cost

$246,434,852)

247,226,741

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.0%

(a)

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

(a)

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2022

(3)(c)(f)

$

2,375,000

71,250

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Black

Elk

Energy

Escrow

13.75%,

12/1/2015

(3)(c)(f)

2,833,436

146,869

NSA

Bondco

Ltd.

(Norway)

12.00%,

8/31/2022

(3)(c)(g)

4,325,296

281,737

428,606

TOTAL

CORPORATE

BONDS

(Cost

$3,916,754)

499,856

CONVERTIBLE

BONDS

-

12.7%

Airlines

-

0.1%

GOL

Equity

Finance

SA

(Brazil)

3.75%,

7/15/2024

(2)(b)(e)

1,025,000

866,125

Automobiles

-

0.4%

Lucid

Group,

Inc.

1.25%,

12/15/2026

(2)(b)(e)

5,258,000

5,177,552

Winnebago

Industries,

Inc.

1.50%,

4/1/2025

(2)(b)

35,000

46,687

5,224,239

Biotechnology

-

0.9%

Avid

SPV

LLC

1.25%,

3/15/2026

(2)(b)(e)

2,300,000

3,576,500

BioMarin

Pharmaceutical,

Inc.

1.25%,

5/15/2027

(2)(b)

825,000

860,557

57

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Biotechnology

-

0.9%

(continued)

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024

(2)(b)

$

2,075,000

2,311,135

Ironwood

Pharmaceuticals,

Inc.

0.75%,

6/15/2024

(2)(b)

1,400,000

1,554,875

Precigen

,

Inc.

3.50%,

7/1/2023

(2)(b)

2,550,000

2,031,449

PTC

Therapeutics,

Inc.

1.50%,

9/15/2026

(2)(b)(e)

2,050,000

2,169,720

12,504,236

Capital

Markets

-

0.2%

WisdomTree

Investments,

Inc.

3.25%,

6/15/2026

(2)(b)(e)

2,950,000

2,844,971

Chemicals

-

0.3%

Danimer

Scientific,

Inc.

3.25%,

12/15/2026

(2)(b)(e)

3,494,000

3,679,531

Communications

Equipment

-

0.6%

Harmonic,

Inc.

2.00%,

9/1/2024

(2)(b)

2,225,000

3,320,813

Infinera

Corp.

2.50%,

3/1/2027

(2)(b)

2,925,000

4,285,125

7,605,938

Consumer

Finance

-

0.7%

EZCORP,

Inc.

2.88%,

7/1/2024

(2)(b)

2,250,000

2,300,625

2.38%,

5/1/2025

(2)(b)

1,025,000

920,578

LendingTree

,

Inc.

0.50%,

7/15/2025

(2)(b)

7,500,000

6,215,625

9,436,828

Electrical

Equipment

-

0.6%

Array

Technologies,

Inc.

1.00%,

12/1/2028

(2)(b)(e)

8,650,000

8,178,575

Electronic

Equipment,

Instruments

&

Components

-

0.2%

Insight

Enterprises,

Inc.

0.75%,

2/15/2025

(2)(b)

1,375,000

2,200,000

Energy

Equipment

&

Services

-

0.1%

Helix

Energy

Solutions

Group,

Inc.

4.13%,

9/15/2023

(2)(b)

1,125,000

1,071,563

Entertainment

-

0.9%

Bilibili

,

Inc.

(China)

0.50%,

12/1/2026

(2)(b)(e)

4,972,000

4,231,172

Sea

Ltd.

(Taiwan)

0.25%,

9/15/2026

(2)(b)

8,250,000

7,585,050

11,816,222

Health

Care

Equipment

&

Supplies

-

0.7%

Alphatec

Holdings,

Inc.

0.75%,

8/1/2026

(2)(b)(e)

2,389,000

2,302,399

Haemonetics

Corp.

0.00%,

3/1/2026

(2)(b)(e)

2,575,000

2,153,021

Varex

Imaging

Corp.

4.00%,

6/1/2025

(2)(b)

3,100,000

5,149,875

9,605,295

Health

Care

Providers

&

Services

-

0.6%

Anthem,

Inc.

2.75%,

10/15/2042

(2)(b)

1,279,000

8,404,309

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Health

Care

Technology

-

0.1%

Vocera

Communications,

Inc.

0.50%,

9/15/2026

(2)(b)(e)

$

1,300,000

1,647,891

Hotels,

Restaurants

&

Leisure

-

1.1%

DraftKings

,

Inc.

0.00%,

3/15/2028

(2)(b)(e)

8,800,000

6,626,400

MakeMyTrip

Ltd.

(India)

0.00%,

2/15/2028

(2)(b)(e)

2,875,000

2,871,626

NCL

Corp.

Ltd.

1.13%,

2/15/2027

(2)(b)(e)

5,788,000

5,419,304

14,917,330

Household

Durables

-

0.1%

GoPro,

Inc.

1.25%,

11/15/2025

(2)(b)(e)

1,225,000

1,604,369

Interactive

Media

&

Services

-

0.5%

Eventbrite,

Inc.

0.75%,

9/15/2026

(2)(b)(e)

7,400,000

6,947,120

JOYY,

Inc.

(China)

1.38%,

6/15/2026

(2)(b)

250,000

220,313

7,167,433

Internet

&

Direct

Marketing

Retail

-

0.7%

Etsy,

Inc.

0.25%,

6/15/2028

(2)(b)(e)

3,075,000

3,614,970

Groupon,

Inc.

1.13%,

3/15/2026

(2)(b)(e)

4,250,000

3,346,875

Pinduoduo

,

Inc.

(China)

0.00%,

12/1/2025

(2)(b)

2,335,000

2,108,505

9,070,350

IT

Services

-

0.8%

Fastly

,

Inc.

0.00%,

3/15/2026

(2)(b)(e)

2,975,000

2,432,063

Limelight

Networks,

Inc.

3.50%,

8/1/2025

(2)(b)

725,000

691,966

Repay

Holdings

Corp.

0.00%,

2/1/2026

(2)(b)(e)

8,300,000

7,174,520

10,298,549

Machinery

-

0.5%

Greenbrier

Cos.,

Inc.

(The)

2.88%,

4/15/2028

(2)(b)(e)

5,710,000

6,223,900

Media

-

0.6%

Cable

One,

Inc.

1.13%,

3/15/2028

(2)(b)(e)

3,100,000

3,068,460

DISH

Network

Corp.

3.38%,

8/15/2026

(2)(b)

3,925,000

3,715,220

TechTarget

,

Inc.

0.00%,

12/15/2026

(2)(b)(e)

1,225,000

1,217,405

8,001,085

Metals

&

Mining

-

0.1%

Ivanhoe

Mines

Ltd.

(Canada)

2.50%,

4/15/2026

(2)(b)(e)

575,000

767,625

Oil,

Gas

&

Consumable

Fuels

-

0.2%

Scorpio

Tankers,

Inc.

(Monaco)

3.00%,

5/15/2025

(2)(b)(e)

2,100,000

2,089,902

58

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Pharmaceuticals

-

0.0%

(a)

Tilray

,

Inc.

(Canada)

5.00%,

10/1/2023

(2)(b)

$

400,000

390,500

Real

Estate

Management

&

Development

-

0.5%

Colliers

International

Group,

Inc.

(Canada)

4.00%,

6/1/2025

(2)(b)

750,000

1,959,375

Realogy

Group

LLC

0.25%,

6/15/2026

(2)(b)(e)

425,000

418,393

Redfin

Corp.

0.50%,

4/1/2027

(2)(b)(e)

4,535,000

3,678,338

6,056,106

Software

-

1.2%

Avalara,

Inc.

0.25%,

8/1/2026

(2)(b)(e)

4,400,000

4,061,200

Five9,

Inc.

0.50%,

6/1/2025

(2)(b)

1,425,000

1,750,042

Marathon

Digital

Holdings,

Inc.

1.00%,

12/1/2026

(2)(b)(e)

6,855,000

5,501,656

Verint

Systems,

Inc.

0.25%,

4/15/2026

(2)(b)(e)

850,000

904,740

Veritone

,

Inc.

1.75%,

11/15/2026

(2)(b)(e)

1,091,000

1,035,429

Zendesk

,

Inc.

0.63%,

6/15/2025

(2)(b)

2,550,000

3,042,405

16,295,472

TOTAL

CONVERTIBLE

BONDS

(Cost

$164,983,929)

167,968,344

NO.

OF

RIGHTS

RIGHTS

-

0.0%

(a)

Biotechnology

-

0.0%

(a)

Ambit

Biosciences

Corp.,

CVR

(3)*(c)

146,272

112,539

Tobira

Therapeutics,

Inc.,

CVR

(3)*(c)

11,880

147,550

260,089

Capital

Markets

-

0.0%

(a)

Accretion

Acquisition

Corp.,

expiring

3/1/2028

(2)*

202,180

64,698

Bannix

Acquisition

Corp.,

expiring

8/30/2026

(2)*

26,277

8,934

Benessere

Capital

Acquisition

Corp.,

expiring

12/23/2025

*

55,000

22,275

Blockchain

Moon

Acquisition

Corp.,

expiring

10/21/2026

*

44,844

15,695

Breeze

Holdings

Acquisition

Corp.,

expiring

5/23/2022

*

55,000

11,627

Deep

Medicine

Acquisition

Corp.,

expiring

9/30/2028

*

152,927

48,937

Edoc

Acquisition

Corp.,

expiring

11/30/2027

*

55,000

18,145

Pacifico

Acquisition

Corp.,

expiring

7/25/2026

(2)*

20,252

9,113

PHP

Ventures

Acquisition

Corp.,

expiring

8/11/2026

(2)*

29,400

9,996

209,420

TOTAL

RIGHTS

(Cost

$–)

469,509

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

WARRANTS

-

1.6%

Aerospace

&

Defense

-

0.0%

(a)

Archer

Aviation,

Inc.,

expiring

9/16/2026

*

149,253

173,133

PAE,

Inc.,

expiring

2/10/2025

*

66,666

129,999

303,132

Auto

Components

-

0.0%

(a)

REE

Automotive

Ltd.,

expiring

7/22/2026

(Israel)

*

78,626

80,985

Solid

Power,

Inc.,

expiring

12/8/2026

*

80,195

183,646

264,631

Biotechnology

-

0.1%

180

Life

Sciences

Corp.,

expiring

11/7/2025

*

526,310

368,417

Celularity

,

Inc.,

expiring

7/16/2026

*

43,016

34,099

DermTech

,

Inc.,

expiring

8/29/2024

*

257,281

475,970

Ensysce

Biosciences,

Inc.,

expiring

2/1/2026

*

243,797

60,705

EQRx

,

Inc.,

expiring

12/20/2026

*

30,259

31,469

970,660

Capital

Markets

-

1.0%

26

Capital

Acquisition

Corp.,

expiring

12/31/2027

*

74,200

48,965

7GC

&

Co.

Holdings,

Inc.,

expiring

12/31/2026

*

67,750

41,341

Accelerate

Acquisition

Corp.,

expiring

12/31/2027

*

156,666

130,048

Accretion

Acquisition

Corp.,

expiring

2/19/2023

*

101,090

40,325

Acropolis

Infrastructure

Acquisition

Corp.,

expiring

3/31/2026

*

140,333

116,561

Adit

EdTech

Acquisition

Corp.,

expiring

12/31/2027

*

41,250

27,638

Advanced

Merger

Partners,

Inc.,

expiring

6/30/2026

*

13,733

10,574

Aequi

Acquisition

Corp.,

expiring

11/30/2027

*

107,000

56,710

Aesther

Healthcare

Acquisition

Corp.,

expiring

1/19/2023

*

20,252

9,516

AF

Acquisition

Corp.,

expiring

3/31/2028

*

126,194

74,467

Alpha

Healthcare

Acquisition

Corp.

III,

expiring

4/12/2027

*

52,000

39,000

Altitude

Acquisition

Corp.,

expiring

11/30/2027

*

96,300

54,901

AMCI

Acquisition

Corp.

II,

expiring

12/31/2028

(2)*

69,500

35,452

American

Acquisition

Opportunity,

Inc.,

expiring

5/28/2026

*

58,500

33,725

Anzu

Special

Acquisition

Corp.

I,

expiring

12/31/2027

*

68,889

53,251

59

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

1.0%

(continued)

Argus

Capital

Corp.,

expiring

7/22/2023

*

30,741

16,600

Armada

Acquisition

Corp.

I,

expiring

1/2/2023

*

64,166

35,901

Arrowroot

Acquisition

Corp.,

expiring

3/2/2022

(2)*

41,500

22,198

Artemis

Strategic

Investment

Corp.,

expiring

2/12/2023

*

102,400

50,688

Astrea

Acquisition

Corp.,

expiring

1/13/2026

*

41,333

21,072

Athlon

Acquisition

Corp.,

expiring

3/5/2026

*

41,333

24,796

Atlantic

Avenue

Acquisition

Corp.,

expiring

10/6/2027

*

146,000

73,000

Atlantic

Coastal

Acquisition

Corp.,

expiring

12/31/2027

*

228,472

141,675

Atlas

Crest

Investment

Corp.

II,

expiring

2/28/2026

*

20,616

16,901

Aurora

Acquisition

Corp.,

expiring

12/31/2028

(United

Kingdom)

*

9,375

7,406

Authentic

Equity

Acquisition

Corp.,

expiring

12/31/2027

*

41,266

22,267

Avalon

Acquisition,

Inc.,

expiring

2/26/2023

*

79,701

31,083

AxonPrime

Infrastructure

Acquisition

Corp.,

expiring

7/8/2023

(3)*(c)

78,055

57,698

B

Riley

Principal

150

Merger

Corp.,

expiring

3/1/2028

*

27,777

40,277

B

Riley

Principal

250

Merger

Corp.,

expiring

12/31/2027

*

117,289

93,831

Bannix

Acquisition

Corp.,

expiring

2/19/2023

*

26,277

12,350

Belong

Acquisition

Corp.,

expiring

12/31/2027

*

64,000

33,914

Benessere

Capital

Acquisition

Corp.,

expiring

12/31/2027

*

41,250

31,762

Berenson

Acquisition

Corp.

I,

expiring

8/1/2026

*

15,392

7,388

Better

World

Acquisition

Corp.,

expiring

11/15/2027

*

49,500

24,740

Big

Sky

Growth

Partners,

Inc.,

expiring

2/26/2023

*

83,121

59,855

Bilander

Acquisition

Corp.,

expiring

12/31/2027

(2)*

60,416

55,571

Bite

Acquisition

Corp.,

expiring

12/31/2027

*

41,600

21,424

Black

Mountain

Acquisition

Corp.,

expiring

10/15/2027

*

183,774

88,340

Blockchain

Moon

Acquisition

Corp.,

expiring

3/23/2024

*

44,844

17,938

BOA

Acquisition

Corp.,

expiring

2/22/2028

*

27,321

14,480

Breeze

Holdings

Acquisition

Corp.,

expiring

5/25/2027

*

55,000

23,133

Bright

Lights

Acquisition

Corp.,

expiring

12/31/2027

*

32,000

25,443

Broadscale

Acquisition

Corp.,

expiring

2/2/2026

*

20,666

19,426

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

1.0%

(continued)

Build

Acquisition

Corp.,

expiring

4/29/2023

*

135,000

92,988

Capstar

Special

Purpose

Acquisition

Corp.,

expiring

7/9/2027

*

146,000

91,980

Carney

Technology

Acquisition

Corp.

II,

expiring

11/30/2027

*

163,143

112,569

Cascade

Acquisition

Corp.,

expiring

11/30/2027

*

103,250

51,584

Cascadia

Acquisition

Corp.,

expiring

2/5/2023

*

60,303

32,564

CC

Neuberger

Principal

Holdings

II,

expiring

7/29/2025

*

127,050

172,788

CENAQ

Energy

Corp.,

expiring

12/31/2027

*

105,000

45,140

CF

Acquisition

Corp.

IV,

expiring

12/14/2025

*

78,500

57,305

CF

Acquisition

Corp.

V,

expiring

12/31/2027

*

27,700

14,944

CF

Acquisition

Corp.

VI,

expiring

2/18/2028

*

27,750

70,485

CF

Acquisition

Corp.

VIII,

expiring

12/31/2027

*

48,500

40,260

CHP

Merger

Corp.,

expiring

11/22/2024

*

125,000

60,000

Churchill

Capital

Corp.

V,

expiring

10/29/2027

*

10,350

10,144

Churchill

Capital

Corp.

VI,

expiring

12/31/2027

*

16,600

17,015

Churchill

Capital

Corp.

VII,

expiring

2/29/2028

*

16,600

16,602

CIIG

Capital

Partners

II,

Inc.,

expiring

2/28/2028

*

70,884

58,827

Clarim

Acquisition

Corp.,

expiring

12/31/2027

*

59,111

37,222

Class

Acceleration

Corp.,

expiring

3/31/2028

*

41,666

21,208

Climate

Real

Impact

Solutions

II

Acquisition

Corp.,

expiring

12/31/2027

*

16,647

18,978

Colicity

,

Inc.,

expiring

12/31/2027

*

22,909

17,640

Colombier

Acquisition

Corp.,

expiring

12/31/2028

*

78,300

41,476

Compute

Health

Acquisition

Corp.,

expiring

12/31/2027

*

23,100

20,404

Concord

Acquisition

Corp.,

expiring

11/28/2025

*

190,333

511,996

Concord

Acquisition

Corp.

II,

expiring

12/31/2028

*

95,464

90,662

Conx

Corp.,

expiring

10/30/2027

*

92,500

79,550

Conyers

Park

III

Acquisition

Corp.,

expiring

8/12/2028

*

161,500

163,115

Corner

Growth

Acquisition

Corp.,

expiring

12/31/2027

*

110,400

71,760

Crixus

BH3

Acquisition

Co.,

expiring

11/23/2026

*

42,289

21,123

60

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

1.0%

(continued)

Crucible

Acquisition

Corp.,

expiring

12/26/2025

*

26,565

18,858

D

&

Z

Media

Acquisition

Corp.,

expiring

12/31/2027

*

27,453

15,920

Data

Knights

Acquisition

Corp.,

expiring

12/31/2028

*

50,667

20,262

Decarbonization

Plus

Acquisition

Corp.

II,

expiring

10/2/2025

*

27,592

43,319

Delwinds

Insurance

Acquisition

Corp.,

expiring

8/1/2027

*

47,500

23,441

DHB

Capital

Corp.,

expiring

3/15/2028

(2)*

49,333

32,062

DiamondHead

Holdings

Corp.,

expiring

1/28/2028

*

20,700

12,356

Digital

Transformation

Opportunities

Corp.,

expiring

3/31/2028

*

20,733

13,682

DILA

Capital

Acquisition

Corp.,

expiring

12/31/2028

*

61,667

42,544

Direct

Selling

Acquisition

Corp.,

expiring

11/23/2023

*

51,291

25,645

dMY

Technology

Group,

Inc.

VI,

expiring

6/25/2023

*

41,091

54,236

DPCM

Capital,

Inc.,

expiring

10/14/2027

*

127,866

76,720

Dune

Acquisition

Corp.,

expiring

10/29/2027

*

22,884

10,824

E.Merge

Technology

Acquisition

Corp.,

expiring

7/30/2025

*

121,666

68,133

East

Resources

Acquisition

Co.,

expiring

7/1/2027

*

219,000

116,070

ECP

Environmental

Growth

Opportunities

Corp.,

expiring

2/11/2028

*

20,616

13,813

Edify

Acquisition

Corp.,

expiring

12/31/2027

(2)*

41,550

20,675

Edoc

Acquisition

Corp.,

expiring

11/30/2027

*

55,000

11,000

EdtechX

Holdings

Acquisition

Corp.

II,

expiring

6/15/2027

(2)*

40,875

20,192

EG

Acquisition

Corp.,

expiring

5/28/2028

*

155,666

96,497

Empowerment

&

Inclusion

Capital

I

Corp.,

expiring

12/31/2027

*

39,833

19,916

Environmental

Impact

Acquisition

Corp.,

expiring

9/30/2027

*

41,625

49,950

Epiphany

Technology

Acquisition

Corp.,

expiring

12/31/2027

*

65,416

48,735

EQ

Health

Acquisition

Corp.,

expiring

2/2/2028

*

43,828

22,791

Equity

Distribution

Acquisition

Corp.,

expiring

9/9/2025

*

94,933

70,260

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

1.0%

(continued)

Evo

Acquisition

Corp.,

expiring

12/31/2027

*

9,660

4,638

Executive

Network

Partnering

Corp.,

expiring

9/25/2028

*

95,000

64,514

Fast

Acquisition

Corp.,

expiring

8/25/2027

*

44,033

173,930

FAST

Acquisition

Corp.

II,

expiring

3/16/2026

*

24,250

21,098

Figure

Acquisition

Corp.

I,

expiring

12/31/2027

*

29,700

34,630

FinServ

Acquisition

Corp.

II,

expiring

2/17/2026

*

20,791

12,847

Fintech

Acquisition

Corp.

V,

expiring

10/31/2025

*

33,727

49,916

FinTech

Acquisition

Corp.

VI,

expiring

12/31/2027

*

37,676

33,912

First

Light

Acquisition

Group,

Inc.,

expiring

10/7/2023

*

20,232

10,118

First

Reserve

Sustainable

Growth

Corp.,

expiring

12/31/2027

*

20,625

16,913

FirstMark

Horizon

Acquisition

Corp.,

expiring

9/26/2025

*

100,900

100,890

Flame

Acquisition

Corp.,

expiring

12/31/2028

*

65,866

39,520

Forest

Road

Acquisition

Corp.

II,

expiring

1/15/2026

*

16,622

12,963

Fortistar

Sustainable

Solutions

Corp.,

expiring

12/31/2027

*

22,283

13,593

Fortress

Value

Acquisition

Corp.

III,

expiring

12/31/2027

*

15,939

12,592

Fortress

Value

Acquisition

Corp.

IV,

expiring

3/18/2028

*

36,166

30,379

Forum

Merger

IV

Corp.,

expiring

12/31/2027

*

117,500

96,362

FoxWayne

Enterprises

Acquisition

Corp.,

expiring

12/31/2026

*

34,500

14,031

FTAC

Parnassus

Acquisition

Corp.,

expiring

3/10/2026

(3)*(c)

44,034

46,795

Fusion

Acquisition

Corp.

II,

expiring

12/31/2027

*

27,666

16,600

Future

Health

ESG

Corp.,

expiring

2/19/2023

*

45,911

22,496

G&P

Acquisition

Corp.,

expiring

3/5/2027

*

161,666

88,480

Gaming

&

Hospitality

Acquisition

Corp.,

expiring

2/4/2028

(2)*

8,207

4,924

GigCapital5,

Inc.,

expiring

12/31/2028

*

123,100

64,314

GigInternational1,

Inc.,

expiring

12/31/2028

*

149,500

86,710

Gladstone

Acquisition

Corp.,

expiring

12/31/2027

*

69,500

36,133

Glass

Houses

Acquisition

Corp.,

expiring

12/31/2027

*

68,833

41,231

61

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

1.0%

(continued)

Glenfarne

Merger

Corp.,

expiring

12/31/2027

*

54,888

33,454

Global

Consumer

Acquisition

Corp.,

expiring

12/31/2027

*

106,500

63,900

GO

Acquisition

Corp.,

expiring

8/31/2027

*

189,866

125,312

Goal

Acquisitions

Corp.,

expiring

1/31/2022

*

84,630

46,233

Golden

Arrow

Merger

Corp.,

expiring

7/31/2026

*

131,733

65,827

Golden

Falcon

Acquisition

Corp.,

expiring

11/4/2026

*

64,925

40,916

Good

Works

II

Acquisition

Corp.,

expiring

3/22/2022

*

126,000

71,820

Gores

Holdings

VII,

Inc.,

expiring

12/31/2027

*

10,416

14,270

Gores

Holdings

VIII,

Inc.,

expiring

12/31/2027

*

10,416

21,144

Gores

Metropoulos

II,

Inc.,

expiring

1/31/2028

*

16,480

31,147

Gores

Technology

Partners

II,

Inc.,

expiring

12/31/2027

*

16,613

21,763

Gores

Technology

Partners,

Inc.,

expiring

12/31/2027

(2)*

16,560

21,859

Graf

Acquisition

Corp.

IV,

expiring

5/31/2028

*

73,000

83,950

Greenrose

Acquisition

Corp.,

expiring

5/11/2024

*

84,987

17,635

Group

Nine

Acquisition

Corp.,

expiring

1/14/2026

*

27,604

14,354

Growth

Capital

Acquisition

Corp.,

expiring

6/1/2027

*

48,300

42,021

GX

Acquisition

Corp.

II,

expiring

12/31/2028

*

137,666

72,275

Hamilton

Lane

Alliance

Holdings

I,

Inc.,

expiring

1/8/2026

*

27,583

16,277

Hawks

Acquisition

Corp.,

expiring

1/29/2023

*

37,175

16,350

Haymaker

Acquisition

Corp.

III,

expiring

2/12/2027

*

20,786

14,966

Health

Assurance

Acquisition

Corp.,

expiring

11/12/2025

*

95,166

80,491

Healthcare

Capital

Corp.,

expiring

3/8/2025

*

50,812

24,705

Healthcare

Services

Acquisition

Corp.,

expiring

12/31/2027

*

55,650

28,938

Healthwell

Acquisition

Corp.

I,

expiring

8/5/2028

(2)*

139,600

82,364

Hennessy

Capital

Investment

Corp.

V,

expiring

1/11/2026

*

20,630

17,123

Hennessy

Capital

Investment

Corp.

VI,

expiring

12/31/2027

(2)*

232,490

195,292

Home

Plate

Acquisition

Corp.,

expiring

3/3/2023

*

20,508

11,175

Hudson

Executive

Investment

Corp.

II,

expiring

1/31/2027

*

20,775

13,921

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

1.0%

(continued)

Hudson

Executive

Investment

Corp.

III,

expiring

12/31/2028

*

41,333

29,553

HumanCo

Acquisition

Corp.,

expiring

12/31/2027

*

15,277

11,458

IG

Acquisition

Corp.,

expiring

10/5/2027

*

182,500

145,088

Ignyte

Acquisition

Corp.,

expiring

12/31/2027

(3)*(c)

17,500

13,475

Insight

Acquisition

Corp.,

expiring

2/11/2023

*

25,170

13,088

INSU

Acquisition

Corp.

III,

expiring

12/31/2026

*

24,733

14,840

InterPrivate

II

Acquisition

Corp.,

expiring

12/31/2028

*

16,500

15,177

InterPrivate

III

Financial

Partners,

Inc.,

expiring

12/31/2027

*

16,500

24,585

InterPrivate

IV

InfraTech

Partners,

Inc.,

expiring

12/31/2027

(2)*

16,600

13,446

Isleworth

Healthcare

Acquisition

Corp.,

expiring

8/2/2027

*

64,666

32,165

Jaws

Hurricane

Acquisition

Corp.,

expiring

2/23/2023

*

34,250

33,565

JOFF

Fintech

Acquisition

Corp.,

expiring

12/31/2027

*

27,727

19,395

Jupiter

Acquisition

Corp.,

expiring

8/25/2022

*

105,000

50,957

Kadem

Sustainable

Impact

Corp.,

expiring

3/16/2026

*

151,547

80,320

Kingswood

Acquisition

Corp.,

expiring

5/1/2027

*

112,062

46,674

KINS

Technology

Group,

Inc.,

expiring

12/31/2025

*

78,500

36,542

KKR

Acquisition

Holdings

I

Corp.,

expiring

12/31/2027

*

31,000

30,957

KL

Acquisition

Corp.,

expiring

1/12/2028

*

26,355

13,968

KludeIn

I

Acquisition

Corp.,

expiring

7/8/2027

*

28,833

17,300

Landcadia

Holdings

IV,

Inc.,

expiring

12/31/2028

*

84,500

85,345

Learn

CW

Investment

Corp.,

expiring

12/31/2028

*

13,352

6,863

Lefteris

Acquisition

Corp.,

expiring

10/23/2025

*

185,333

145,542

Liberty

Media

Acquisition

Corp.,

expiring

12/31/2027

*

5,355

9,532

LightJump

Acquisition

Corp.,

expiring

12/31/2027

*

27,000

13,241

Lionheart

Acquisition

Corp.

II,

expiring

2/14/2026

*

299,040

161,482

Lionheart

III

Corp.,

expiring

3/19/2023

*

44,840

19,730

Live

Oak

Crestview

Climate

Acquisition

Corp.,

expiring

3/12/2026

*

54,710

70,029

62

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

1.0%

(continued)

Live

Oak

Mobility

Acquisition

Corp.,

expiring

3/4/2028

*

17,760

20,424

LMF

Acquisition

Opportunities,

Inc.,

expiring

1/31/2027

*

27,333

12,573

Logistics

Innovation

Technologies

Corp.,

expiring

6/15/2028

*

81,857

70,389

Longview

Acquisition

Corp.

II,

expiring

5/10/2026

*

37,000

31,446

Lux

Health

Tech

Acquisition

Corp.,

expiring

11/30/2027

*

154,666

131,435

M3-Brigade

Acquisition

II

Corp.,

expiring

12/31/2027

*

413,333

479,466

Maquia

Capital

Acquisition

Corp.,

expiring

12/31/2027

*

113,500

56,614

Marblegate

Acquisition

Corp.,

expiring

12/9/2022

*

573,387

283,827

Mason

Industrial

Technology,

Inc.,

expiring

12/31/2027

*

50,518

33,332

Maxpro

Capital

Acquisition

Corp.,

expiring

1/22/2023

*

9,347

3,729

MDH

Acquisition

Corp.,

expiring

2/2/2028

*

42,000

19,320

MedTech

Acquisition

Corp.,

expiring

12/18/2025

*

45,166

23,531

Merida

Merger

Corp.

I,

expiring

11/7/2026

*

75,000

84,000

Minority

Equality

Opportunities

Acquisition,

Inc.,

expiring

4/29/2023

*

40,202

16,885

Mission

Advancement

Corp.,

expiring

12/31/2028

*

37,000

18,866

Monterey

Bio

Acquisition

Corp.,

expiring

6/7/2023

*

8,700

3,393

Monument

Circle

Acquisition

Corp.,

expiring

12/31/2027

*

41,375

21,101

Mudrick

Capital

Acquisition

Corp.

II,

expiring

9/10/2027

*

119,007

91,635

Music

Acquisition

Corp.

(The),

expiring

2/5/2028

*

23,325

13,062

Newbury

Street

Acquisition

Corp.,

expiring

12/31/2027

*

88,000

52,800

NightDragon

Acquisition

Corp.,

expiring

12/31/2027

*

16,666

14,999

North

Mountain

Merger

Corp.,

expiring

9/16/2025

*

77,010

60,222

Northern

Genesis

Acquisition

Corp.

III,

expiring

12/31/2027

(2)*

57,500

51,175

Northern

Lights

Acquisition

Corp.,

expiring

12/2/2022

*

45,666

21,458

Northern

Star

Investment

Corp.

II,

expiring

1/31/2028

*

16,500

10,458

Northern

Star

Investment

Corp.

III,

expiring

2/25/2028

*

13,777

12,125

Northern

Star

Investment

Corp.

IV,

expiring

12/31/2027

*

13,777

11,848

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

1.0%

(continued)

Novus

Capital

Corp.

II,

expiring

12/31/2027

*

47,289

59,111

OCA

Acquisition

Corp.,

expiring

12/31/2027

*

55,769

26,769

OceanTech

Acquisitions

I

Corp.,

expiring

5/10/2026

*

104,000

47,840

Omnichannel

Acquisition

Corp.,

expiring

12/30/2027

*

285,500

167,874

One

Equity

Partners

Open

Water

I

Corp.,

expiring

12/31/2027

*

27,441

16,736

Orion

Acquisition

Corp.,

expiring

2/19/2026

*

20,833

12,939

Osiris

Acquisition

Corp.,

expiring

5/1/2028

(2)*

254,000

142,240

OTR

Acquisition

Corp.,

expiring

12/31/2025

*

54,347

27,005

Oyster

Enterprises

Acquisition

Corp.,

expiring

12/31/2027

*

41,500

19,086

Parabellum

Acquisition

Corp.,

expiring

3/26/2023

*

24,278

10,925

Periphas

Capital

Partnering

Corp.,

expiring

12/10/2028

*

19,041

31,037

Pershing

Square

Tontine

Holdings

Ltd.,

expiring

7/24/2025

*

22,500

29,702

Phoenix

Biotech

Acquisition

Corp.,

expiring

9/1/2026

*

106,172

45,866

PHP

Ventures

Acquisition

Corp.,

expiring

12/4/2023

*

14,700

6,322

Pine

Island

Acquisition

Corp.,

expiring

10/29/2027

*

190,333

174,145

Pine

Technology

Acquisition

Corp.,

expiring

3/31/2028

(2)*

213,333

134,634

Pivotal

Investment

Corp.

III,

expiring

12/31/2027

(2)*

16,566

15,812

PMV

Consumer

Acquisition

Corp.,

expiring

8/31/2027

*

146,000

93,031

Pono

Capital

Corp.,

expiring

12/16/2022

*

89,775

42,185

Population

Health

Investment

Co.,

Inc.,

expiring

10/1/2025

*

38,400

19,200

Post

Holdings

Partnering

Corp.,

expiring

2/9/2023

*

64,630

54,935

Power

&

Digital

Infrastructure

Acquisition

Corp.,

expiring

2/12/2028

*

9,472

31,352

Priveterra

Acquisition

Corp.,

expiring

12/31/2027

*

31,100

15,861

Progress

Acquisition

Corp.,

expiring

12/31/2027

*

41,500

20,335

Property

Solutions

Acquisition

Corp.

II,

expiring

3/1/2026

*

74,100

42,311

PropTech

Investment

Corp.

II,

expiring

12/31/2027

*

57,659

34,584

PWP

Forward

Acquisition

Corp.

I,

expiring

3/9/2026

*

32,333

25,866

Recharge

Acquisition

Corp.,

expiring

10/5/2027

*

139,000

68,110

63

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

1.0%

(continued)

Revolution

Healthcare

Acquisition

Corp.,

expiring

12/31/2028

*

16,506

12,379

Rosecliff

Acquisition

Corp.

I,

expiring

12/31/2027

*

27,555

21,306

Roth

Ch

Acquisition

III

Co.,

expiring

12/31/2027

*

1,566

1,730

Roth

Ch

Acquisition

IV

Co.,

expiring

1/9/2023

*

49,182

39,351

RXR

Acquisition

Corp.,

expiring

3/8/2026

*

18,500

12,944

Sandbridge

X2

Corp.,

expiring

12/31/2027

(2)*

27,500

15,403

Schultze

Special

Purpose

Acquisition

Corp.

II,

expiring

3/25/2028

*

31,865

15,936

Science

Strategic

Acquisition

Corp.

Alpha,

expiring

12/31/2027

*

27,494

14,847

SCP

&

CO

Healthcare

Acquisition

Co.,

expiring

1/27/2028

*

41,562

22,859

Senior

Connect

Acquisition

Corp.

I,

expiring

12/31/2027

*

78,500

41,212

Shelter

Acquisition

Corp.

I,

expiring

12/31/2027

*

98,333

53,090

Sierra

Lake

Acquisition

Corp.,

expiring

3/31/2028

*

40,505

19,430

Silver

Spike

Acquisition

Corp.

II,

expiring

2/26/2026

*

20,000

17,602

SilverBox

Engaged

Merger

Corp.

I,

expiring

12/31/2027

*

32,639

45,858

Simon

Property

Group

Acquisition

Holdings,

Inc.,

expiring

2/4/2026

*

16,600

14,251

Social

Leverage

Acquisition

Corp.

I,

expiring

12/31/2027

*

20,666

17,153

Software

Acquisition

Group,

Inc.

III,

expiring

12/31/2027

*

92,500

53,576

Spartan

Acquisition

Corp.

III,

expiring

2/4/2026

*

20,694

29,799

Sports

Entertainment

Acquisition

Corp.,

expiring

10/30/2025

*

106,800

277,680

SportsMap

Tech

Acquisition

Corp.,

expiring

9/1/2027

*

64,363

30,257

SportsTek

Acquisition

Corp.,

expiring

12/31/2027

*

68,700

40,533

Springwater

Special

Situations

Corp.,

expiring

4/12/2026

*

20,106

10,027

Stratim

Cloud

Acquisition

Corp.,

expiring

3/5/2026

(2)*

148,000

87,320

Sustainable

Development

Acquisition

I

Corp.,

expiring

12/31/2028

*

41,836

24,679

Tailwind

Acquisition

Corp.,

expiring

9/7/2027

*

313,280

162,906

Tastemaker

Acquisition

Corp.,

expiring

12/31/2025

*

72,083

36,042

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

1.0%

(continued)

Tech

and

Energy

Transition

Corp.,

expiring

12/31/2027

*

123,333

86,358

TG

Venture

Acquisition

Corp.,

expiring

8/13/2023

*

215,235

92,530

Thayer

Ventures

Acquisition

Corp.,

expiring

1/1/2030

*

57,400

56,246

Thunder

Bridge

Capital

Partners

III,

Inc.,

expiring

2/15/2028

*

16,818

13,962

Thunder

Bridge

Capital

Partners

IV,

Inc.,

expiring

3/12/2023

*

64,400

54,740

Tishman

Speyer

Innovation

Corp.

II,

expiring

12/31/2027

*

16,633

12,826

TLG

Acquisition

One

Corp.,

expiring

1/25/2028

*

27,727

14,415

Tribe

Capital

Growth

Corp.

I,

expiring

3/5/2026

*

63,888

54,950

Tuscan

Holdings

Corp.

II,

expiring

7/16/2025

*

95,000

39,900

Twelve

Seas

Investment

Co.

II,

expiring

3/2/2028

*

32,933

16,466

USHG

Acquisition

Corp.,

expiring

12/31/2028

*

27,533

45,708

VectoIQ

Acquisition

Corp.

II,

expiring

12/31/2027

*

31,400

27,315

Velocity

Acquisition

Corp.,

expiring

2/26/2027

*

27,541

14,046

Vistas

Media

Acquisition

Co.,

Inc.,

expiring

8/1/2026

*

130,690

87,562

VPC

Impact

Acquisition

Holdings

II,

expiring

12/31/2027

*

26,666

26,399

VPC

Impact

Acquisition

Holdings

III,

Inc.,

expiring

12/31/2027

*

26,666

28,399

Warburg

Pincus

Capital

Corp.

I-B,

expiring

2/17/2022

(2)*

12,000

12,000

Warrior

Technologies

Acquisition

Co.,

expiring

3/31/2028

*

41,416

20,704

Williams

Rowland

Acquisition

Corp.,

expiring

12/25/2022

*

115,833

60,233

Yellowstone

Acquisition

Co.,

expiring

10/21/2025

*

153,000

125,491

Zanite

Acquisition

Corp.,

expiring

10/8/2025

*

128,400

114,276

Z-Work

Acquisition

Corp.,

expiring

1/4/2026

*

27,555

16,952

13,651,763

Consumer

Finance

-

0.0%

(a)

Katapult

Holdings,

Inc.,

expiring

12/31/2026

*

75,719

43,910

Moneylion

,

Inc.,

expiring

9/22/2026

*

192,941

119,623

163,533

64

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Diversified

Consumer

Services

-

0.1%

Beachbody

Co.,

Inc.

(The),

expiring

12/31/2027

*

19,957

5,390

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

(Bahamas)

*

194,990

606,419

611,809

Diversified

Financial

Services

-

0.0%

(a)

CompoSecure

,

Inc.,

expiring

10/31/2025

*

185,500

296,800

Electrical

Equipment

-

0.0%

(a)

Eos

Energy

Enterprises,

Inc.,

expiring

5/6/2026

*

137,156

385,408

Fusion

Fuel

Green

plc,

expiring

12/10/2025

(Ireland)

*

32,004

62,408

447,816

Electronic

Equipment,

Instruments

&

Components

-

0.1%

Arbe

Robotics

Ltd.,

expiring

10/7/2026

(Israel)

*

53,929

67,411

Evolv

Technologies

Holdings,

Inc.,

expiring

7/16/2026

*

111,426

87,971

Innoviz

Technologies

Ltd.,

expiring

4/5/2026

(Israel)

*

154,373

385,932

Velodyne

Lidar,

Inc.,

expiring

9/29/2025

*

158,029

118,522

659,836

Energy

Equipment

&

Services

-

0.1%

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023

*

347,322

600,867

Health

Care

Providers

&

Services

-

0.1%

DocGo

,

Inc.,

expiring

10/2/2027

*

91,185

195,136

New

Frontier

Health

Corp.,

expiring

11/30/2024

(Hong

Kong)

(2)*

82,467

229,258

P3

Health

Partners,

Inc.,

expiring

11/19/2026

*

39,884

41,878

466,272

Hotels,

Restaurants

&

Leisure

-

0.0%

(a)

Codere

Online

Luxembourg

SA,

expiring

12/1/2099

(Luxembourg)

*

34,198

33,172

Hall

of

Fame

Resort

&

Entertainment

Co.,

expiring

7/1/2025

*

143,365

41,576

74,748

Household

Durables

-

0.0%

(a)

Landsea

Homes

Corp.,

expiring

1/7/2026

*

195,085

29,497

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

(a)

Altus

Power,

Inc.,

expiring

12/31/2027

*

26,948

69,256

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Insurance

-

0.0%

(a)

Hagerty

,

Inc.,

expiring

12/31/2027

*

1,007

4,421

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

(Jordan)

(2)*

195,516

146,637

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)

(3)*(c)

154,500

14,656

165,714

Interactive

Media

&

Services

-

0.0%

(a)

Wejo

Group

Ltd.,

expiring

11/18/2026

*

2,207

2,428

Internet

&

Direct

Marketing

Retail

-

0.0%

(a)

BARK,

Inc.,

expiring

8/29/2025

*

227,428

134,183

Boxed,

Inc.,

expiring

12/22/2025

*

58,671

69,818

204,001

IT

Services

-

0.1%

American

Virtual

Cloud

Technologies,

Inc.,

expiring

4/7/2025

*(b)

233,401

70,020

BuzzFeed

,

Inc.,

expiring

12/1/2026

*

23,701

11,851

Cyxtera

Technologies,

Inc.,

expiring

9/10/2027

*

27,303

90,646

Exela

Technologies,

Inc.,

expiring

7/12/2022

*

83,000

2,498

Verra

Mobility

Corp.,

expiring

10/17/2023

*

127,333

681,232

856,247

Life

Sciences

Tools

&

Services

-

0.0%

(a)

SomaLogic

,

Inc.,

expiring

8/31/2026

*

886

2,977

Machinery

-

0.0%

(a)

Microvast

Holdings,

Inc.,

expiring

4/1/2026

*

73,780

70,844

Media

-

0.0%

(a)

AdTheorent

Holding

Co.,

Inc.,

expiring

12/31/2027

*

49,333

33,546

Metals

&

Mining

-

0.0%

(a)

Algoma

Steel

Group,

Inc.,

expiring

10/19/2026

(Canada)

*

69,228

199,377

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%

(a)

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

*

274,608

24,330

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Brooge

Energy

Ltd.,

expiring

12/20/2024

(United

Arab

Emirates)

*

90,495

49,763

Falcon

Minerals

Corp.,

expiring

8/23/2023

*

456,479

63,451

Heliogen

,

Inc.,

expiring

3/31/2028

*

43,911

74,649

65

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

(continued)

NextDecade

Corp.,

expiring

7/24/2022

*

1,093,291

22,959

210,822

Personal

Products

-

0.0%

(a)

Apollo

Healthcare

Corp.,

expiring

1/3/2022

(Canada)

(2)*

196,687

778

Pharmaceuticals

-

0.0%

(a)

4d

pharma

plc,

expiring

3/9/2026

(United

Kingdom)

*

76,166

43,795

Reviva

Pharmaceuticals

Holdings,

Inc.,

expiring

12/25/2025

*

140,462

49,162

92,957

Professional

Services

-

0.0%

(a)

Otonomo

Technologies

Ltd.,

expiring

8/13/2026

(Israel)

*

263,818

84,422

Real

Estate

Management

&

Development

-

0.0%

(a)

Doma

Holdings,

Inc.,

expiring

7/28/2026

*

112,694

107,116

Offerpad

Solutions,

Inc.,

expiring

10/13/2025

*

134,946

144,392

251,508

Software

-

0.0%

(a)

BigBear.ai

Holdings,

Inc.,

expiring

12/31/2028

*

23,946

19,396

Embark

Technology,

Inc.,

expiring

12/31/2027

*

19,071

37,379

GTY

Technology

Holdings,

Inc.,

expiring

2/19/2024

*

161,042

87,768

NextNav

,

Inc.,

expiring

10/31/2027

*

125,214

206,603

Rimini

Street,

Inc.,

expiring

10/10/2022

*

370,690

48,227

399,373

Specialty

Retail

-

0.0%

(a)

Kaixin

Auto

Holdings,

expiring

4/30/2024

(Hong

Kong)

*

74,667

6,713

LXRandCo

,

Inc.,

expiring

6/9/2022

(Canada)

(3)*(c)

781,000

3,087

9,800

Trading

Companies

&

Distributors

-

0.0%

(a)

Custom

Truck

One

Source,

Inc.,

expiring

1/1/2025

*

36,012

91,471

TOTAL

WARRANTS

(Cost

$2,881,367)

21,311,215

INVESTMENTS

NO.

OF

UNITS

VALUE

($)

SECURITIES

IN

LITIGATION

-

0.0%

(a)

Health

Care

Equipment

&

Supplies

-

0.0%

(a)

DEMC

Ltd.,

Class

A

(acquired

1/24/2014

-

10/29/2015,

Cost

$129,686)

(3)*(c)(d)

12,969

–

DEMC

Ltd.,

Class

A-2

(acquired

3/10/2016

-

12/18/2018,

Cost

$369,930)

(3)*(c)(d)

368,190,309

4

DEMC

Ltd.,

Class

A-3

(acquired

8/6/2019

-

7/16/2021,

Cost

$293,744)

(3)*(c)(d)

292,030,544,028

300,791

DEMC

Ltd.,

Class

B

(acquired

1/27/2014,

Cost

$11)

(3)*(c)(d)

10,488

–

DEMC

Ltd.,

Class

B-2

(acquired

4/12/2017,

Cost

$–)

(3)*(c)(d)

513,897,326

514

DEMC

Ltd.,

Class

B-3

(acquired

9/5/2019,

Cost

$–)

(3)*(c)(d)

489,352,292,604

–

TOTAL

SECURITIES

IN

LITIGATION

(Cost

$793,371)

301,309

UNITS

-

8.4%

Capital

Markets

-

8.4%

Achari

Ventures

Holdings

Corp.

I

(2)*

42,909

433,381

Ackrell

Spac

Partners

I

Co.

*

73,575

761,501

Acropolis

Infrastructure

Acquisition

Corp.

*

1

10

Aesther

Healthcare

Acquisition

Corp.

(2)*

1

10

Aetherium

Acquisition

Corp.

*

175,712

1,757,999

Alpine

Acquisition

Corp.

(2)*

30,206

311,122

AltEnergy

Acquisition

Corp.

*

122,926

1,240,323

Apeiron

Capital

Investment

Corp.

(2)*

108,048

1,088,043

Arbor

Rapha

Capital

Bioholdings

Corp.

I

*

143,034

1,448,934

Archimedes

Tech

SPAC

Partners

Co.

(2)*

132,000

1,325,280

Arena

Fortify

Acquisition

Corp.

*

54,024

547,803

Argus

Capital

Corp.

*

1

10

Armada

Acquisition

Corp.

I

*

1

10

Arogo

Capital

Acquisition

Corp.

*

96,774

972,579

Athena

Consumer

Acquisition

Corp.

*

128,926

1,311,177

Athena

Technology

Acquisition

Corp.

II

*

638,233

6,363,183

Ault

Disruptive

Technologies

Corp.

*

73,142

740,929

Avalon

Acquisition,

Inc.

*

2

20

AxonPrime

Infrastructure

Acquisition

Corp.

*

1

10

Banner

Acquisition

Corp.

(2)*

40,392

399,881

Beard

Energy

Transition

Acquisition

Corp.

*

149,510

1,519,022

Berenson

Acquisition

Corp.

I

(2)*

1

10

Big

Sky

Growth

Partners,

Inc.

*

3

29

Bilander

Acquisition

Corp.

(2)*

2

20

Black

Mountain

Acquisition

Corp.

*

3

31

66

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

NO.

OF

UNITS

VALUE

($)

Capital

Markets

-

8.4%

(continued)

BurTech

Acquisition

Corp.

*

447,209

4,476,562

Canna-Global

Acquisition

Corp.

*

188,580

1,910,315

CF

Acquisition

Corp.

VII

*

146,293

1,484,874

CIIG

Capital

Partners

II,

Inc.

*

1

10

Concord

Acquisition

Corp.

II

*

1

10

Concord

Acquisition

Corp.

III

*

430,469

4,386,479

Conyers

Park

III

Acquisition

Corp.

*

2

20

Digital

Health

Acquisition

Corp.

*

71,745

732,875

Direct

Selling

Acquisition

Corp.

*

1

10

dMY

Technology

Group,

Inc.

VI

*

1

11

DTRT

Health

Acquisition

Corp.

(2)*

120,816

1,216,617

Empowerment

&

Inclusion

Capital

I

Corp.

*

36,573

362,438

Everest

Consolidator

Acquisition

Corp.

(2)*

131,017

1,314,101

ExcelFin

Acquisition

Corp.

*

134,787

1,354,609

Financial

Strategies

Acquisition

Corp.

(2)*

131,193

1,344,728

Fintech

Ecosystem

Development

Corp.

*

10,731

109,456

Focus

Impact

Acquisition

Corp.

*

101,951

1,024,608

Fortune

Rise

Acquisition

Corp.

(2)*

98,649

993,395

FTAC

Emerald

Acquisition

Corp.

*

237,726

2,370,128

FTAC

Zeus

Acquisition

Corp.

*

255,030

2,550,300

Gardiner

Healthcare

Acquisitions

Corp.

(2)*

52,651

529,669

Globalink

Investment,

Inc.

*

74,843

770,135

Hennessy

Capital

Investment

Corp.

VI

(2)*

2

20

Home

Plate

Acquisition

Corp.

(2)*

1

10

HumanCo

Acquisition

Corp.

*

36,573

370,485

Inception

Growth

Acquisition

Ltd.

*

112,519

1,134,192

Industrial

Human

Capital,

Inc.

*

89,858

936,006

Integral

Acquisition

Corp.

1

*

107,617

1,078,322

Integrated

Rail

and

Resources

Acquisition

Corp.

*

108,439

1,089,812

Intelligent

Medicine

Acquisition

Corp.

*

125,570

1,280,814

Jackson

Acquisition

Co.

*

367,922

3,664,503

Juniper

II

Corp.

*

107,617

1,097,693

Jupiter

Wellness

Acquisition

Corp.

*

149,929

1,511,284

Larkspur

Health

Acquisition

Corp.

*

52,526

526,836

LAVA

Medtech

Acquisition

Corp.

*

63,464

639,717

Legato

Merger

Corp.

II

(2)*

154,415

1,537,973

LF

Capital

Acquisition

Corp.

II

*

108,792

1,087,920

Lionheart

III

Corp.

(2)*

1

10

Live

Oak

Crestview

Climate

Acquisition

Corp.

*

2

20

Lux

Health

Tech

Acquisition

Corp.

*

36,573

367,193

M3-Brigade

Acquisition

III

Corp.

*

449,014

4,499,120

Mana

Capital

Acquisition

Corp.

*

39,049

400,252

McLaren

Technology

Acquisition

Corp.

*

179,362

1,804,382

Mercato

Partners

Acquisition

Corp.

*

143,490

1,439,205

Mount

Rainier

Acquisition

Corp.

*

84,937

863,809

INVESTMENTS

NO.

OF

UNITS

VALUE

($)

Capital

Markets

-

8.4%

(continued)

Nabors

Energy

Transition

Corp.

*

254,189

2,580,018

New

Providence

Acquisition

Corp.

II

*

125,577

1,255,770

NewHold

Investment

Corp.

II

*

134,732

1,328,458

Northern

Lights

Acquisition

Corp.

(2)*

1

10

NorthView

Acquisition

Corp.

*

154,598

1,549,072

OmniLit

Acquisition

Corp.

*

80,993

807,500

OPY

Acquisition

Corp.

I

(2)*

82,573

817,473

Parsec

Capital

Acquisitions

Corp.

(2)*

12,741

130,595

Periphas

Capital

Partnering

Corp.

(2)*

3

74

Power

&

Digital

Infrastructure

Acquisition

II

Corp.

*

319,116

3,210,307

PROOF

Acquisition

Corp.

I

*

150,864

1,510,149

Riverview

Acquisition

Corp.

(2)*

210,000

2,108,400

ROC

Energy

Acquisition

Corp.

*

149,375

1,508,688

Roth

CH

Acquisition

V

Co.

(2)*

28,287

286,264

Sagaliam

Acquisition

Corp.

*

70,003

700,030

Sanaby

Health

Acquisition

Corp.

I

(2)*

64,385

652,220

Seaport

Calibre

Materials

Acquisition

Corp.

(2)*

45,366

455,928

Seaport

Global

Acquisition

II

Corp.

*

81,697

821,055

Shelter

Acquisition

Corp.

I

*

1

10

ShoulderUp

Technology

Acquisition

Corp.

*

217,740

2,199,174

Sizzle

Acquisition

Corp.

*

71,745

736,104

Southport

Acquisition

Corp.

*

365,972

3,659,720

Spindletop

Health

Acquisition

Corp.

*

125,553

1,261,808

TCW

Special

Purpose

Acquisition

Corp.

*

410,439

4,063,346

Trajectory

Alpha

Acquisition

Corp.

*

109,921

1,091,516

Vision

Sensing

Acquisition

Corp.

*

51,219

522,434

VMG

Consumer

Acquisition

Corp.

*

135,303

1,373,326

Welsbach

Technology

Metals

Acquisition

Corp.

*

8,984

90,020

Zimmer

Energy

Transition

Acquisition

Corp.

(2)*

482,000

4,733,240

TOTAL

UNITS

(Cost

$111,489,184)

111,934,954

SHARES

SHORT-TERM

INVESTMENTS

-

58.1%

INVESTMENT

COMPANIES

-

30.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(h)(

i

)

15,707,566

15,707,566

Limited

Purpose

Cash

Investment

Fund,

0.01%

(h)(j)

382,350,457

382,197,517

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(h)

1,680

1,680

TOTAL

INVESTMENT

COMPANIES

(Cost

$397,906,729)

397,906,763

—

67

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

28.1%

U.S.

Treasury

Bills

0.04%,

1/13/2022

(2)(b)(k)

$

25,588,000

25,587,893

0.05%,

1/20/2022

(2)(k)

32,327,000

32,326,809

0.04%,

1/27/2022

(2)(b)(k)

57,248,000

57,246,951

0.04%,

2/3/2022

(2)(k)(l)

26,000,000

25,999,329

0.04%,

2/10/2022

(2)(k)(l)

30,000,000

29,998,971

0.04%,

3/17/2022

(2)(k)

30,000,000

29,996,639

0.05%,

3/31/2022

(2)(k)(l)

60,000,000

59,992,363

0.06%,

4/7/2022

(2)(k)(l)

34,717,000

34,710,383

0.07%,

5/5/2022

(2)(k)(l)

9,381,000

9,378,496

0.07%,

5/12/2022

(2)(b)(k)(l)

40,000,000

39,987,100

0.07%,

5/19/2022

(2)(k)(l)

26,657,000

26,647,156

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$371,880,032)

371,872,090

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$769,786,761)

769,778,853

TOTAL

LONG

POSITIONS

(Cost

$1,300,286,218)

1,319,490,781

SHARES

SHORT

POSITIONS

-

(6.7)%

COMMON

STOCKS

-

(5.5)%

Automobiles

-

0.0%

(a)

Lucid

Group,

Inc.

*

(13,438)

(511,316)

Winnebago

Industries,

Inc.

(407)

(30,492)

(541,808)

Banks

-

(0.5)%

First

Interstate

BancSystem

,

Inc.,

Class

A

(132,436)

(5,386,172)

SouthState

Corp.

(11,084)

(887,939)

(6,274,111)

Biotechnology

-

(0.4)%

Avid

Bioservices

,

Inc.

*

(80,991)

(2,363,317)

BioMarin

Pharmaceutical,

Inc.

*

(2,384)

(210,627)

Inovio

Pharmaceuticals,

Inc.

*

(176,573)

(881,099)

Ironwood

Pharmaceuticals,

Inc.

*

(53,276)

(621,198)

PTC

Therapeutics,

Inc.

*

(20,944)

(834,200)

(4,910,441)

Capital

Markets

-

(0.6)%

Goldman

Sachs

Group,

Inc.

(The)

(20,142)

(7,705,322)

Penson

Worldwide,

Inc.

(3)*(c)

(212,307)

–

WisdomTree

Investments,

Inc.

(81,766)

(500,408)

(8,205,730)

Communications

Equipment

-

(0.4)%

Harmonic,

Inc.

*

(185,762)

(2,184,561)

Infinera

Corp.

*

(275,829)

(2,645,200)

(4,829,761)

INVESTMENTS

SHARES

VALUE

($)

Consumer

Finance

-

(0.1)%

EZCORP,

Inc.,

Class

A

*

(93,777)

(691,136)

LendingTree

,

Inc.

*

(1,463)

(179,364)

(870,500)

Electrical

Equipment

-

0.0%

(a)

Array

Technologies,

Inc.

*

(47,123)

(739,360)

Electronic

Equipment,

Instruments

&

Components

-

(0.1)%

Insight

Enterprises,

Inc.

*

(15,908)

(1,695,793)

Energy

Equipment

&

Services

-

0.0%

(a)

Helix

Energy

Solutions

Group,

Inc.

*

(6,062)

(18,913)

Entertainment

-

(0.2)%

Bilibili

,

Inc.,

ADR

(China)

*

(22,356)

(1,037,318)

Sea

Ltd.,

ADR

(Taiwan)

*

(5,448)

(1,218,772)

(2,256,090)

Health

Care

Equipment

&

Supplies

-

(0.3)%

Alphatec

Holdings,

Inc.

*

(65,348)

(746,928)

China

Medical

Technologies,

Inc.,

ADR

(China)

(3)*(c)

(35,303)

–

Haemonetics

Corp.

*

(925)

(49,062)

Varex

Imaging

Corp.

*

(113,946)

(3,594,996)

(4,390,986)

Health

Care

Providers

&

Services

-

(0.6)%

Anthem,

Inc.

(18,172)

(8,423,449)

Health

Care

Technology

-

(0.1)%

Vocera

Communications,

Inc.

*

(14,746)

(956,131)

Hotels,

Restaurants

&

Leisure

-

(0.3)%

DraftKings

,

Inc.,

Class

A

*

(40,654)

(1,116,765)

MakeMyTrip

Ltd.

(India)

*

(37,662)

(1,043,614)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(92,760)

(1,923,843)

(4,084,222)

Household

Durables

-

(0.1)%

GoPro,

Inc.,

Class

A

*

(86,472)

(891,526)

Interactive

Media

&

Services

-

(0.2)%

Eventbrite,

Inc.,

Class

A

*

(124,628)

(2,173,512)

JOYY,

Inc.,

ADR

(China)

(822)

(37,344)

(2,210,856)

Internet

&

Direct

Marketing

Retail

-

(0.1)%

Etsy,

Inc.

*

(7,618)

(1,667,885)

Groupon,

Inc.

*

(14,600)

(338,136)

Pinduoduo

,

Inc.,

ADR

(China)

*

(1,322)

(77,073)

(2,083,094)

IT

Services

-

(0.2)%

Block,

Inc.

*

(15,420)

(2,490,484)

Fastly

,

Inc.,

Class

A

*

(6,405)

(227,058)

Limelight

Networks,

Inc.

*

(23,805)

(81,651)

(2,799,193)

68

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Machinery

-

(0.2)%

Greenbrier

Cos.,

Inc.

(The)

(50,932)

(2,337,269)

Media

-

(0.4)%

Cable

One,

Inc.

(606)

(1,068,651)

DISH

Network

Corp.,

Class

A

*

(20,067)

(650,973)

ViacomCBS

,

Inc.,

Class

A

(104,295)

(3,480,324)

(5,199,948)

Metals

&

Mining

-

(0.1)%

Agnico

Eagle

Mines

Ltd.

(Canada)

(2,319)

(123,178)

Ivanhoe

Mines

Ltd.,

Class

A

(Canada)

*

(49,898)

(407,089)

Kinross

Gold

Corp.

(Canada)

(58,801)

(341,199)

(871,466)

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Scorpio

Tankers,

Inc.

(Monaco)

(6,910)

(88,517)

Real

Estate

Management

&

Development

-

(0.2)%

Colliers

International

Group,

Inc.

(Canada)

(11,178)

(1,661,610)

Realogy

Holdings

Corp.

*

(8,806)

(148,029)

Redfin

Corp.

*

(17,449)

(669,867)

(2,479,506)

Software

-

(0.4)%

Avalara,

Inc.

*

(7,142)

(922,104)

Five9,

Inc.

*

(6,505)

(893,267)

Marathon

Digital

Holdings,

Inc.

*

(40,500)

(1,330,830)

NortonLifeLock

,

Inc.

(29,186)

(758,252)

Verint

Systems,

Inc.

*

(7,024)

(368,830)

Veritone

,

Inc.

*

(12,011)

(270,007)

Zendesk

,

Inc.

*

(13,715)

(1,430,337)

(5,973,627)

TOTAL

COMMON

STOCKS

(Proceeds

$(75,381,710))

(73,132,297)

PRINCIPAL

AMOUNT

CONVERTIBLE

BONDS

-

(1.2)%

Entertainment

-

(0.3)%

Live

Nation

Entertainment,

Inc.

2.50%,

3/15/2023

(2)

$

(2,350,000)

(4,241,750)

Hotels,

Restaurants

&

Leisure

-

(0.7)%

Booking

Holdings,

Inc.

0.75%,

5/1/2025

(2)

(6,200,000)

(9,104,700)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Life

Sciences

Tools

&

Services

-

(0.2)%

Illumina,

Inc.

0.00%,

8/15/2023

(2)

$

(2,350,000)

(2,680,469)

TOTAL

CONVERTIBLE

BONDS

(Proceeds

$(12,058,848))

(16,026,919)

TOTAL

SHORT

POSITIONS

(Proceeds

$(87,440,558))

(89,159,216)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

92.8%

(Cost

$1,212,845,660)

1,230,331,565

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

7.2%

(m)

95,219,810

NET

ASSETS

-

100.0%

1,325,551,375

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

28,281,240

2.1

%

Consumer

Discretionary

22,273,902

1.7

Consumer

Staples

778

0.0

(a)

Energy

7,194,082

0.6

Financials

297,636,146

22.4

Health

Care

21,985,255

1.6

Industrials

15,962,711

1.2

Information

Technology

46,236,903

3.5

Materials

13,905,285

1.1

Real

Estate

6,935,904

0.5

Utilities

140,506

0.0

(a)

Short-Term

Investments

769,778,853

58.1

Total

Investments

In

Securities

At

Value

1,230,331,565

92.8

Other

Assets

in

Excess

of

Liabilities

(m)

95,219,810

7.2

Net

Assets

$

1,325,551,375

100.0%

69

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$199,337,308;

additional

securities

sold

but

not

yet

settled

totaling

$1,075,521

were

also

segregated.

In

addition,

$28,653,991

of

cash

collateral

was

pledged.

(c)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

as

of

December

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

December

31,

2021

amounted

to

$4,196,672,

which

represents

approximately

0.32%

of

net

assets

of

the

fund.

(d)

Restricted

securities. 

Securities

acquired

through

a

private

placement

transaction

exempt

from

registration

under

the

Securities

Act

of 1933

and/

or may

be

subject

to

legal

or

contractual

restrictions

on

resale

(excluding

144A

securities). 

Total

value

of

all

such

securities

at

December

31,

2021

amounted

to

$3,301,016

which

represents

approximately

0.25%

of

net

assets

of

the

fund.

(e)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2021

amounted

to

$108,129,948,

which

represents

approximately

8.16%

of

net

assets

of

the

fund.

(f)

Defaulted

security.

(g)

Payment

in-kind

security.

(h)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(j)

For

the

period

ended

December

31,

2021,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(k)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(l)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(m)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

Affiliate

Value

At

12/31/2020

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2021

Shares

Held

At

12/31/2021

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

28.8%

INVESTMENT

COMPANIES

-

28.8%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(a)

(Cost

$382,197,483)

$267,534,637

$2,072,578,025

$(1,957,936,425)

$(13,311)

$34,591

$382,197,517

382,350,457

$34,540

$–

(a)

Represents

7-day

effective

yield

as

of

December

31,

2021.

All

bonds

are

denominated

in

US

dollars,

unless

noted

otherwise.

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

70

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

December

31,

2021:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

P

REMI

UM

PAID

(RECEIVED

)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

High

Yield

Index

Series

37.V1

5.00

%

Quarterly

12/20/2026

2.93

%

USD

46,475,000

$

(4,305,950)

$

(48,738)

$

(4,354,688)

$

(4,305,950)

$

(48,738)

$

(4,354,688)

Futures

contracts

outstanding

as

of

December

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

S&P

500

E-Mini

Index

(98)

3/2022

USD

$

(23,316,650)

$

(323,267)

S&P

500

E-Mini

Index

(137)

3/2022

USD

(32,595,725)

(1,325)

U.S.

Treasury

5

Year

Note

(1,164)

3/2022

USD

(140,716,688)

(657,501)

$

(982,093)

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

4,344,629

USD

3,404,960

CITI

3/16/2022

$

29,170

CAD

3,036,838

USD

2,382,602

JPMC

3/16/2022

17,809

EUR

1,829,755

USD

2,068,524

CITI

3/16/2022

17,680

EUR

1,829,752

USD

2,068,524

JPMC

3/16/2022

17,678

USD

1,121,151

CAD

1,415,890

CITI

3/16/2022

1,988

Total

unrealized

appreciation

84,325

USD

10,491,016

CAD

13,383,170

CITI

3/16/2022

(87,458)

USD

8,125,816

CAD

10,356,214

JPMC

3/16/2022

(60,058)

USD

4,402,709

EUR

3,890,295

CITI

3/16/2022

(32,831)

USD

2,069,127

EUR

1,829,752

JPMC

3/16/2022

(17,074)

Total

unrealized

depreciation

(197,421)

Net

unrealized

depreciation

$

(113,096)

71

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-1.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

14-32

months

maturity

ranging

from

01/25/2023

-

07/11/2024

$226,839

$15,373

$(39,227)

$(23,854)

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

12/01/2026

$996,000

$(5,491)

$(18,595)

$(24,086)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-1.00%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

07/03/2023

$404,308

$27,244

$(110)

$27,134

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

short

equity

positions

and

fixed

income

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.02%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43

months

maturity

06/25/2025

$590,124,879

$2,136,319

$5,486,791

$7,623,110

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

72

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

Hong

Kong

Seaspan

Corp.,

3.75%,

12/15/2025

5,725,000

7,026,014

27,849

0.4

Israel

Wix.com

Ltd.,

0.00%,

8/15/2025

7,525,000

6,718,921

(1,515,686)

(19.9)

Panama

Copa

Holdings

SA,

4.50%,

4/15/2025

5,500,000

9,689,036

3,654,986

47.9

United

States

1Life

Healthcare,

Inc.,

3.00%,

6/15/2025

6,925,000

6,233,893

(1,316,718)

(17.3)

Airbnb,

Inc.,

0.00%,

3/15/2026

10,500,000

10,274,250

391,125

5.1

Allegheny

Technologies,

Inc.,

3.50%,

6/15/2025

4,650,000

6,020,632

1,519,934

19.9

American

Airlines

Group,

Inc.,

6.50%,

7/1/2025

12,675,000

17,916,112

(438,162)

(5.7)

Blackline,

Inc.,

0.00%,

3/15/2026

9,550,000

8,871,950

(176,675)

(2.3)

Box,

Inc.,

0.00%,

1/15/2026

8,700,000

10,451,310

1,180,590

15.5

Cable

One,

Inc.,

0.00%,

3/15/2026

7,050,000

6,739,800

(489,975)

(6.4)

Ceridian

HCM

Holding,

Inc.,

0.25%,

3/15/2026

7,523,000

7,864,147

477,607

6.3

Chegg

,

Inc.,

0.00%,

9/1/2026

12,745,000

10,546,488

(3,880,457)

(50.9)

CNX

Resources

Corp.,

2.25%,

5/1/2026

14,080,000

18,455,943

519,094

6.8

Coherus

Biosciences,

Inc.,

1.50%,

4/15/2026

7,600,000

8,389,179

(434,672)

(5.7)

Dropbox,

Inc.,

0.00%,

3/1/2028

5,500,000

5,400,312

(740,438)

(9.7)

Enphase

Energy,

Inc.,

0.00%,

3/1/2028

5,325,000

5,492,738

266,250

3.5

Evolent

Health,

Inc.,

3.50%,

12/1/2024

3,300,000

5,426,127

656,409

8.6

Exact

Sciences

Corp.,

0.38%,

3/1/2028

11,850,000

11,457,319

181,362

2.4

GEO

Corrections

Holdings,

Inc.,

6.50%,

2/23/2026

8,500,000

9,371,302

1,052,333

13.8

Green

Plains,

Inc.,

2.25%,

3/15/2027

5,650,000

7,588,022

(114,974)

(1.5)

Innoviva

,

Inc.,

2.50%,

8/15/2025

9,300,000

11,369,882

1,825,008

23.9

Ionis

Pharmaceuticals,

Inc.,

0.00%,

4/1/2026

9,400,000

8,266,360

(707,820)

(9.3)

Ironwood

Pharmaceuticals,

Inc.,

1.50%,

6/15/2026

5,400,000

6,132,783

(383,802)

(5.0)

MACOM

Technology

Solutions

Holdings,

Inc.,

0.25%,

3/15/2026

11,950,000

13,997,882

1,511,040

19.8

Magnite

,

Inc.,

0.25%,

3/15/2026

7,450,000

5,816,557

(664,586)

(8.7)

Mandiant

,

Inc.,

0.88%,

6/1/2024

5,175,000

5,385,856

520,036

6.8

Match

Group

Financeco

3,

Inc.,

2.00%,

1/15/2030

4,675,000

8,280,072

79,808

1.0

Oak

Street

Health,

Inc.,

0.00%,

3/15/2026

10,250,000

8,257,400

(1,725,383)

(22.6)

Palo

Alto

Networks,

Inc.,

0.38%,

6/1/2025

4,141,000

7,846,024

3,279,561

43.0

Parsons

Corp.,

0.25%,

8/15/2025

9,900,000

9,827,178

(1,104,540)

(14.5)

PROS

Holdings,

Inc.,

2.25%,

9/15/2027

5,425,000

6,038,094

(768,719)

(10.1)

Rapid7,

Inc.,

0.25%,

3/15/2027

5,475,000

7,060,264

(108,236)

(1.4)

Redfin

Corp.,

0.00%,

10/15/2025

8,050,000

7,169,531

(997,194)

(13.1)

Spotify

USA,

Inc.,

0.00%,

3/15/2026

9,000,000

8,139,600

(140,400)

(1.8)

Stride,

Inc.,

1.13%,

9/1/2027

8,325,000

8,130,725

431,438

5.7

Twitter,

Inc.,

0.00%,

3/15/2026

9,475,000

8,485,810

(231,190)

(3.0)

Veeco

Instruments,

Inc.,

3.75%,

6/1/2027

3,675,000

8,032,424

3,747,404

49.2

Vonage

Holdings

Corp.,

1.75%,

6/1/2024

11,600,000

15,509,094

(40,476)

(0.5)

Wayfair,

Inc.,

0.63%,

10/1/2025

13,000,000

11,840,457

(1,975,713)

(25.9)

Zogenix

,

Inc.,

2.75%,

10/1/2027

7,500,000

7,441,879

552,679

7.3

SHARES

Short

Positions

Common

Stocks

Panama

Copa

Holdings

SA

(83,359)

(6,890,455)

(1,086,551)

(14.3)

United

States

American

Airlines

Group,

Inc.

(513,929)

(9,230,165)

528,857

6.9

Box,

Inc.

(212,642)

(5,569,094)

(382,733)

(5.0)

CNX

Resources

Corp.

(716,768)

(9,855,560)

108,456

1.4

Evolent

Health,

Inc.

(197,170)

(5,455,694)

(300,928)

(3.9)

Innoviva

,

Inc.

(332,661)

(5,738,402)

(1,084,118)

(14.2)

73

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

MACOM

Technology

Solutions

Holdings,

Inc.

(87,744)

(6,870,355)

(1,068,980)

(14.0)

Match

Group,

Inc.

(42,440)

(5,612,690)

374,774

4.9

Palo

Alto

Networks,

Inc.

(11,643)

(6,482,357)

(808,410)

(10.6)

Veeco

Instruments,

Inc.

(213,090)

(6,066,672)

(2,493,977)

(32.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

07/15/2026

-

12/29/2026

$21,540,077

$(322,092)

$65,213

$(256,879)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Afterpay

Ltd.

41,126

2,482,663

(510,034)

198.6

AusNet

Services

Ltd.

3,258,339

6,095,317

121,158

(47.2)

Link

Administration

Holdings

Ltd.

13

53

1

(0.0)

Sydney

Airport

1,873,844

11,830,483

121,101

(47.1)

Short

Positions

Common

Stocks

Australia

Newcrest

Mining

Ltd.

(63,180)

(1,131,561)

(54,318)

21.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-59

months

maturity

ranging

from

08/05/2026

-

10/21/2026

$26,955,117

$(16,677)

$(3,394)

$(20,071)

74

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

Kingdom

Blue

Prism

Group

plc

145,078

2,480,157

3,764

(18.8)

Meggitt

plc

1,380,487

13,815,174

15,919

(79.3)

Playtech

plc

127,518

1,264,310

(6,794)

33.9

Ultra

Electronics

Holdings

plc

105,880

4,571,938

29,198

(145.5)

United

States

Avast

plc

586,894

4,823,538

(58,764)

292.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

short

equity

positions

and

fixed

income

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.05%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-61

months

maturity

ranging

from

09/06/2024

-

10/15/2026

$110,445,073

$13,469,142

$5,061,230

$18,530,372

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

United

States

Akamai

Technologies,

Inc.,

0.38%,

9/1/2027

14,525,000

17,003,892

1,047,316

5.7

Block,

Inc.,

0.13%,

3/1/2025

2,200,000

3,265,184

443,642

2.4

Cleveland-Cliffs,

Inc.,

1.50%,

1/15/2025

4,525,000

12,694,831

7,632,215

41.2

DISH

Network

Corp.,

3.38%,

8/15/2026

3,975,000

3,813,221

97,095

0.5

KBR,

Inc.,

2.50%,

11/1/2023

1,200,000

2,286,952

974,945

5.3

LivePerson

,

Inc.,

0.00%,

12/15/2026

3,655,000

3,081,530

(681,209)

(3.7)

Lumentum

Holdings,

Inc.,

0.50%,

12/15/2026

8,850,000

11,009,253

963,453

5.2

SMART

Global

Holdings,

Inc.,

2.25%,

2/15/2026

2,275,000

4,245,147

1,781,891

9.6

Splunk

,

Inc.,

1.13%,

9/15/2025

4,675,000

5,164,268

(908,912)

(4.9)

Tabula

Rasa

HealthCare,

Inc.,

1.75%,

2/15/2026

9,050,000

7,537,843

(1,661,312)

(9.0)

Wayfair,

Inc.,

1.00%,

8/15/2026

4,975,000

7,478,551

3,103,730

16.7

75

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Akamai

Technologies,

Inc.

(73,151)

(8,561,593)

(470,751)

(2.5)

Block,

Inc.

(12,698)

(2,050,854)

432,799

2.3

Cleveland-Cliffs,

Inc.

(168,605)

(3,670,531)

(253,653)

(1.4)

DISH

Network

Corp.

(20,294)

(658,337)

160,536

0.9

KBR,

Inc.

(38,719)

(1,843,799)

(472,885)

(2.6)

LivePerson

,

Inc.

(18,806)

(671,750)

280,580

1.5

Lumentum

Holdings,

Inc.

(56,810)

(6,008,794)

(780,801)

(4.2)

SMART

Global

Holdings,

Inc.

(43,811)

(3,110,143)

(832,939)

(4.5)

Splunk

,

Inc.

(13,611)

(1,575,065)

394,515

2.1

Tabula

Rasa

HealthCare,

Inc.

(16,502)

(247,530)

(23,159)

(0.1)

Wayfair,

Inc.

(23,509)

(4,466,005)

2,242,046

12.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(0.10%

to

0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

03/24/2025

-

08/19/2026

$144,526,841

$(251,994)

$(1,018,020)

$(1,270,014)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

7GC

&

Co.

Holdings,

Inc.

135,500

1,319,770

(17,615)

1.4

Accelerate

Acquisition

Corp.

232,414

2,259,064

20,917

(1.6)

Aequi

Acquisition

Corp.

171,000

1,667,250

(22,230)

1.8

AF

Acquisition

Corp.

278,582

2,707,817

27,858

(2.2)

Altitude

Acquisition

Corp.

192,600

1,906,740

(80,892)

6.4

Atlantic

Coastal

Acquisition

Corp.

404,654

3,949,423

52,605

(4.1)

Build

Acquisition

Corp.

305,000

2,964,600

18,300

(1.4)

Cascade

Acquisition

Corp.

206,500

2,052,610

4,130

(0.3)

CompoSecure

,

Inc.

171,000

1,403,910

(323,190)

25.4

Conx

Corp.

175,300

1,721,446

(49,084)

3.9

Corner

Growth

Acquisition

Corp.

181,200

1,775,760

(27,180)

2.1

DPCM

Capital,

Inc.

214,298

2,104,406

(79,290)

6.2

East

Resources

Acquisition

Co.

338,000

3,336,060

43,940

(3.5)

EG

Acquisition

Corp.

366,998

3,567,221

(3,670)

0.3

Epiphany

Technology

Acquisition

Corp.

196,248

1,915,380

11,775

(0.9)

Forum

Merger

IV

Corp.

233,634

2,275,595

2,336

(0.2)

G&P

Acquisition

Corp.

113,332

1,111,787

9,067

(0.7)

GigInternational1,

Inc.

299,000

2,969,070

38,870

(3.1)

GO

Acquisition

Corp.

219,598

2,160,844

(79,055)

6.2

Golden

Arrow

Merger

Corp.

382,886

3,702,508

(30,631)

2.4

76

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Graf

Acquisition

Corp.

IV

365,000

3,525,900

(36,500)

2.9

GX

Acquisition

Corp.

II

412,998

4,010,211

20,650

(1.6)

IG

Acquisition

Corp.

165,000

1,618,650

(4,950)

0.4

IRON

SPARK

I,

Inc.

289,000

2,869,770

–

0.0

Kadem

Sustainable

Impact

Corp.

303,094

2,936,981

21,217

(1.7)

Khosla

Ventures

Acquisition

Co.

III

150,500

1,468,880

(33,110)

2.6

Kingswood

Acquisition

Corp.

149,416

1,509,102

19,424

(1.5)

KINS

Technology

Group,

Inc.

145,651

1,452,140

16,022

(1.3)

Landcadia

Holdings

IV,

Inc.

329,046

3,191,746

–

0.0

Lefteris

Acquisition

Corp.

168,297

1,649,311

(67,319)

5.3

Lionheart

Acquisition

Corp.

II

241,860

2,408,926

60,465

(4.8)

Lux

Health

Tech

Acquisition

Corp.

176,951

1,734,120

(134,483)

10.6

M3-Brigade

Acquisition

II

Corp.

1,225,099

12,140,731

220,518

(17.4)

MedTech

Acquisition

Corp.

135,500

1,338,740

2,710

(0.2)

North

Mountain

Merger

Corp.

154,020

1,518,637

(27,724)

2.2

Omnichannel

Acquisition

Corp.

371,000

3,691,450

7,420

(0.6)

Osiris

Acquisition

Corp.

408,000

3,949,440

20,400

(1.6)

OTR

Acquisition

Corp.

108,695

1,098,906

10,869

(0.9)

Pine

Island

Acquisition

Corp.

185,620

1,830,213

(96,522)

7.6

Pine

Technology

Acquisition

Corp.

639,999

6,297,590

118,400

(9.3)

PMV

Consumer

Acquisition

Corp.

200,000

1,966,000

(18,000)

1.4

Property

Solutions

Acquisition

Corp.

II

196,400

1,907,044

5,892

(0.5)

PropTech

Investment

Corp.

II

172,977

1,686,526

(31,136)

2.5

Recharge

Acquisition

Corp.

128,000

1,264,640

(11,520)

0.9

Stratim

Cloud

Acquisition

Corp.

444,000

4,271,280

(8,880)

0.7

Tech

and

Energy

Transition

Corp.

367,499

3,572,090

11,025

(0.9)

Thayer

Ventures

Acquisition

Corp.

114,800

1,159,480

18,942

(1.5)

Vistas

Media

Acquisition

Co.,

Inc.

130,690

1,329,117

26,138

(2.1)

Yellowstone

Acquisition

Co.

156,000

1,586,520

10,920

(0.9)

Zanite

Acquisition

Corp.

127,113

1,294,010

6,356

(0.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.03%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

52-61

months

maturity

ranging

from

10/20/2025

-

12/28/2026

$658,035,822

$1,518,447

$252,325

$1,770,772

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Atotech

Ltd.

284,749

7,266,794

184,762

10.4

77

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

Veoneer

,

Inc.

355,897

12,627,226

247,894

14.0

United

States

Aerojet

Rocketdyne

Holdings,

Inc.

378,475

17,697,491

(1,129,226)

(63.8)

American

National

Group,

Inc.

34,952

6,600,336

(10,259)

(0.6)

Arena

Pharmaceuticals,

Inc.

173,324

16,108,733

241,194

13.6

Athene

Holding

Ltd.

80,014

6,667,567

2,567,877

145.0

Bottomline

Technologies

DE,

Inc.

139,140

7,857,236

44,162

2.5

Cerner

Corp.

230,053

21,365,022

281,752

15.9

Change

Healthcare,

Inc.

692,866

14,813,475

(908,593)

(51.3)

CIT

Group,

Inc.

139,243

7,148,736

309,322

17.5

CMC

Materials,

Inc.

81,927

15,704,587

316,768

17.9

Coherent,

Inc.

36,140

9,632,756

2,285,926

129.1

CyrusOne

,

Inc.

182,844

16,404,764

63,791

3.6

First

Midwest

Bancorp,

Inc.

411,987

8,437,494

382,641

21.6

Flagstar

Bancorp,

Inc.

336,516

16,132,577

524,348

29.6

Forterra

,

Inc.

464,857

11,054,299

167,606

9.5

IHS

Markit

Ltd.

163,679

21,756,213

5,304,136

299.5

Intersect

ENT,

Inc.

145,938

3,985,567

(35,465)

(2.0)

Investors

Bancorp,

Inc.

1,394,298

21,123,615

1,451,365

82.0

Kraton

Corp.

163,632

7,579,434

151,918

8.6

Magellan

Health,

Inc.

97,706

9,281,093

161,804

9.1

McAfee

Corp.

315,768

8,143,657

89,075

5.0

MGM

Growth

Properties

LLC

184,084

7,519,831

169,252

9.6

Mimecast

Ltd.

183,585

14,607,858

75,791

4.3

Momentive

Global,

Inc.

337,935

7,147,325

(61,733)

(3.5)

NeoPhotonics

Corp.

448,941

6,900,223

(28,636)

(1.6)

Nuance

Communications,

Inc.

248,473

13,745,526

444,555

25.1

People's

United

Financial,

Inc.

1,053,604

18,775,223

(376,513)

(21.3)

PNM

Resources,

Inc.

351,382

16,026,533

(1,072,915)

(60.6)

Rogers

Corp.

50,563

13,803,699

161,130

9.1

RR

Donnelley

&

Sons

Co.

489,894

5,516,206

534,730

30.2

Sanderson

Farms,

Inc.

59,700

11,407,476

(277,761)

(15.7)

Santander

Consumer

USA

Holdings,

Inc.

199,621

8,388,074

202,173

11.4

Sterling

Bancorp

474,327

12,232,893

1,082,068

61.1

Umpqua

Holdings

Corp.

314,828

6,057,291

4,178

0.2

Welbilt

,

Inc.

431,034

10,245,678

1,404,519

79.3

Xilinx,

Inc.

120,814

25,616,192

9,635,886

544.2

Short

Positions

Common

Stocks

United

States

Advanced

Micro

Devices,

Inc.

(208,211)

(29,961,563)

(11,354,432)

(641.2)

Apollo

Global

Management,

Inc.

(91,936)

(6,658,924)

(2,187,991)

(123.6)

Citizens

Financial

Group,

Inc.

(414,107)

(19,566,556)

(1,578,465)

(89.1)

Columbia

Banking

System,

Inc.

(187,918)

(6,148,677)

3,971

0.2

Entegris

,

Inc.

(36,919)

(5,116,235)

(166,753)

(9.4)

First

Citizens

BancShares

,

Inc.

(8,634)

(7,164,839)

(228,558)

(12.9)

M&T

Bank

Corp.

(124,325)

(19,093,834)

391,856

22.1

New

York

Community

Bancorp,

Inc.

(1,351,145)

(16,497,480)

(245,653)

(13.9)

Old

National

Bancorp

(467,028)

(8,462,547)

(279,113)

(15.8)

S&P

Global,

Inc.

(46,452)

(21,922,092)

(4,804,065)

(271.3)

VICI

Properties,

Inc.

(251,541)

(7,573,900)

(4,262)

(0.2)

Webster

Financial

Corp.

(219,613)

(12,263,190)

(910,520)

(51.4)

Zendesk

,

Inc.

(76,134)

(7,940,015)

(318,321)

(18.0)

78

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2021

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Investment

Companies

$

34,202

$

–

$

34,202

BARC

Cash

–

1,711,425

1,711,425

BNPP

Cash

51,540,000

–

51,540,000

CITG

Cash

–

6,765,630

6,765,630

CITI

Cash

(20,005)

–

(20,005)

Investment

Companies

326,694

–

326,694

GSIN

Cash

(17,750,676)

–

(17,750,676)

U.S.

Treasury

Bills

121,585,644

–

121,585,644

JPMC

Investment

Companies

15,346,670

–

15,346,670

JPMS

Cash

–

1,752,296

1,752,296

79

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

of

Investments

December

31,

2021

(a)

For

the

period

ended

December

31,

2021,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(b)

Represents

7-day

effective

yield

as

of

December

31,

2021.

The

Schedule

of

Investments

of

the

affiliated

investment

funds

held

by

the

AQR

Diversifying

Strategies

Fund

can

be

found

within

the

annual/semi-annual

reports

for

the

AQR

Funds

as

well

as

on

Form

N-CSR

and

Form

N-PORT

(Part

F)

which

is

filed

with

the

Securities

and

Exchange

Commission.

INVESTMENTS

SHARES

VALUE

($)

INVESTMENT

COMPANIES

-

97.8%

ALTERNATIVE

FUNDS

-

65.4%

AQR

Diversified

Arbitrage

Fund,

Class

R6

(a)

418,888

5,060,167

AQR

Equity

Market

Neutral

Fund,

Class

R6

(a)

688,458

5,060,167

AQR

Macro

Opportunities

Fund,

Class

R6

(a)

411,930

3,719,726

AQR

Managed

Futures

Strategy

HV

Fund,

Class

R6

(a)

608,793

3,719,726

AQR

Style

Premia

Alternative

Fund,

Class

R6

(a)

621,805

4,389,946

TOTAL

ALTERNATIVE

FUNDS

(Cost

$21,809,341)

21,949,732

ASSET

ALLOCATION

FUNDS

-

32.4%

AQR

Multi-Asset

Fund,

Class

R6

(a)

(Cost

$9,910,797)

1,034,291

10,891,089

TOTAL

INVESTMENT

COMPANIES

(Cost

$31,720,138)

32,840,821

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

2.0%

INVESTMENT

COMPANIES

-

2.0%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(b)

(Cost

$658,523)

658,656

658,393

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.8%

(Cost

$32,378,661)

33,499,214

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.2%

65,985

NET

ASSETS

-

100.0%

33,565,199

SECTOR

VALUE

%

OF

NET

ASSETS

Equity

Market

Neutral

$

5,060,167

15.1

%

Global

Flex

Allocation

10,891,089

32.4

Global

Macro

3,719,726

11.1

Multi-Strategy

4,389,946

13.0

Relative

Value

Arbitrage

5,060,167

15.1

Systematic

Trend

3,719,726

11.1

Short-Term

Investments

658,393

2.0

Total

Investments

In

Securities

At

Value

33,499,214

99.8

Other

Assets

in

Excess

of

Liabilities

65,985

0.2

Net

Assets

$

33,565,199

100.0%

Affiliate

Value

At

12/31/2020

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2021

Shares

Held

At

12/31/2021

Dividend

Income

Capital

Gain

Distributions

INVESTMENT

COMPANIES

-

97.8%

ALTERNATIVE

FUNDS

-

65.4%

AQR

Diversified

Arbitrage

Fund

$

3,107,603

$

2,059,985

$

(273,361)

$

(1,434)

$

167,374

$

5,060,167

418,888

$

31,150

$

–

AQR

Equity

Market

Neutral

Fund

3,107,603

2,089,622

(681,301)

(94,485)

638,728

5,060,167

688,458

–

62,358

AQR

Macro

Opportunities

Fund

2,286,738

1,816,759

(190,937)

(5,890)

(186,944)

3,719,726

411,930

29,733

18,634

AQR

Managed

Futures

Strategy

HV

Fund

2,284,396

2,012,971

(190,937)

(18,022)

(368,682)

3,719,726

608,793

311,231

–

AQR

Style

Premia

Alternative

Fund

2,696,000

2,163,074

(738,132)

4,283

264,721

4,389,946

621,805

441,588

–

(115,548)

515,197

21,949,732

813,702

80,992

ASSET

ALLOCATION

FUNDS

-

32.4%

AQR

Multi-Asset

Fund

6,688,549

4,957,111

(1,250,964)

5,215

491,178

10,891,089

1,034,291

497,561

91,102

TOTAL

$(110,333)

$1,006,375

$32,840,821

$1,311,263

$172,094

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

5).

80

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

76.3%

COMMON

STOCKS

-

4.7%

Italy

-

3.8%

A2A

SpA

22,104

43,072

Assicurazioni

Generali

SpA

(a)

454

9,595

Atlantia

SpA

*(a)

1,601

31,767

Azimut

Holding

SpA

(a)

3,270

91,417

Banca

Generali

SpA

2,175

95,410

Banco

BPM

SpA

92,815

277,898

Brembo

SpA

177

2,518

Buzzi

Unicem

SpA

13,919

299,898

Davide

Campari-Milano

NV

735

10,725

Enel

SpA

(a)

214

1,711

Eni

SpA

(a)

9,781

135,934

Hera

SpA

45,907

190,806

Italgas

SpA

27,298

187,643

Leonardo

SpA

*(a)

4,771

34,103

Poste

Italiane

SpA

(b)

2,745

35,960

Prysmian

SpA

(a)

5,482

206,212

UniCredit

SpA

15,584

239,547

Unipol

Gruppo

SpA

26,461

143,296

2,037,512

—

Spain

-

0.0%

(c)

Enagas

SA

(a)

988

22,953

United

Kingdom

-

0.3%

CNH

Industrial

NV

7,859

151,948

United

States

-

0.6%

Stellantis

NV

18,449

348,291

TOTAL

COMMON

STOCKS

(Cost

$1,928,066)

2,560,704

SHORT-TERM

INVESTMENTS

-

71.6%

INVESTMENT

COMPANIES

-

45.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(d)(e)

1,991,873

1,991,873

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(d)

23,013,695

23,004,490

TOTAL

INVESTMENT

COMPANIES

(Cost

$24,996,363)

24,996,363

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

25.9%

U.S.

Treasury

Bills

0.05%,

3/31/2022

(f)

$

3,460,000

3,459,560

0.06%,

4/7/2022

(f)

2,173,000

2,172,586

0.06%,

4/28/2022

(f)

2,063,000

2,062,497

0.07%,

5/12/2022

(f)

443,000

442,857

0.07%,

5/19/2022

(f)(g)

4,141,000

4,139,471

0.13%,

6/16/2022

(f)(g)

117,000

116,930

0.16%,

6/23/2022

(f)(g)

1,767,000

1,765,594

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$14,160,286)

14,159,495

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$39,156,649)

39,155,858

TOTAL

LONG

POSITIONS

(Cost

$41,084,715)

41,716,562

INVESTMENTS

SHARES

VALUE

($)

SHORT

POSITIONS

-

(4.6)%

COMMON

STOCKS

-

(4.6)%

Italy

-

(4.4)%

Amplifon

SpA

(2,389)

(128,548)

DiaSorin

SpA

(313)

(59,547)

Ferrari

NV

(1,480)

(380,962)

FinecoBank

Banca

Fineco

SpA

(18,372)

(321,740)

Infrastrutture

Wireless

Italiane

SpA

(b)

(26,340)

(319,400)

Interpump

Group

SpA

(436)

(31,937)

Intesa

Sanpaolo

SpA

(120,614)

(311,537)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(17,562)

(201,620)

Moncler

SpA

(1,460)

(105,512)

Nexi

SpA

*(b)

(17,066)

(270,435)

Pirelli

&

C

SpA

(b)

(45)

(312)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(408)

(26,199)

Salvatore

Ferragamo

SpA

*

(1,840)

(47,177)

Snam

SpA

(15,071)

(90,775)

Terna

-

Rete

Elettrica

Nazionale

(9,358)

(75,703)

(2,371,404)

—

United

States

-

(0.2)%

Tenaris

SA

(12,835)

(133,959)

TOTAL

COMMON

STOCKS

(Proceeds

$(2,462,520))

(2,505,363)

TOTAL

SHORT

POSITIONS

(Proceeds

$(2,462,520))

(2,505,363)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

71.7%

(Cost

$38,622,195)

39,211,199

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

28.3%

(h)

15,476,285

NET

ASSETS

-

100.0%

54,687,484

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(319,400)

(0.6)

%

Consumer

Discretionary

(183,152)

(0.3)

Consumer

Staples

10,725

0.0

(c)

Energy

1,975

0.0

(c)

Financials

58,226

0.1

Health

Care

(214,294)

(0.4)

Industrials

392,092

0.7

Information

Technology

(270,435)

(0.5)

Materials

299,897

0.6

Utilities

279,707

0.5

Short-Term

Investments

39,155,858

71.6

Total

Investments

In

Securities

At

Value

39,211,199

71.7

Other

Assets

in

Excess

of

Liabilities

(h)

15,476,285

28.3

Net

Assets

$

54,687,484

100.0%

81

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$531,482.

In

addition,

$2,225,940

of

cash

collateral

was

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2021

amounted

to

$(554,187),

which

represents

approximately

(1.01)%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Futures

contracts

outstanding

as

of

December

31,

2021:

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

17

3/2022

USD

$

4,044,725

$

107,319

$

107,319

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CHF

504

USD

547

CITI

3/16/2022

$

7

CHF

496

USD

538

JPMC

3/16/2022

7

EUR

73,500

USD

83,285

CITI

3/16/2022

516

EUR

73,500

USD

83,286

JPMC

3/16/2022

516

SEK

139

USD

15

CITI

3/16/2022

–

SEK

137

USD

15

JPMC

3/16/2022

–

USD

12,839

HKD

100,000

CITI

3/16/2022

13

USD

12,839

HKD

100,000

JPMC

3/16/2022

13

Total

unrealized

appreciation

1,072

SEK

362

USD

40

CITI

3/16/2022

–

SEK

362

USD

40

JPMC

3/16/2022

–

USD

116

CAD

148

CITI

3/16/2022

(1)

USD

115

CAD

146

JPMC

3/16/2022

(1)

USD

304

DKK

2,000

CITI

3/16/2022

(3)

USD

304

DKK

2,000

JPMC

3/16/2022

(3)

USD

96,684

EUR

85,500

CITI

3/16/2022

(798)

USD

96,684

EUR

85,500

JPMC

3/16/2022

(798)

USD

12,824

HKD

100,000

CITI

3/16/2022

(3)

USD

12,824

HKD

100,000

JPMC

3/16/2022

(3)

USD

167

NOK

1,501

CITI

3/16/2022

(3)

USD

167

NOK

1,499

JPMC

3/16/2022

(3)

Total

unrealized

depreciation

(1,616)

Net

unrealized

depreciation

$

(544)

82

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(0.00%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

60

months

maturity

11/18/2026

$44,663

$469

$4

$473

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.70%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

41-60

months

maturity

ranging

from

04/23/2025

-

12/02/2026

$7,298,589

$(52,102)

$(2,762)

$(54,864)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

1,792

68,298

1,143

(2.1)

Adecco

Group

AG

(Registered)

6,725

342,688

13,511

(24.6)

Baloise

Holding

AG

(Registered)

952

155,379

4,984

(9.1)

Barry

Callebaut

AG

(Registered)

24

58,264

866

(1.6)

BKW

AG

778

101,019

937

(1.7)

Bucher

Industries

AG

(Registered)

224

110,380

5,791

(10.6)

DKSH

Holding

AG

1,278

105,340

3,063

(5.6)

dormakaba

Holding

AG

124

81,897

1,307

(2.4)

Galenica

AG

2,411

181,064

5,980

(10.9)

Geberit

AG

(Registered)

136

110,858

3,807

(6.9)

Georg

Fischer

AG

(Registered)

49

74,138

1,838

(3.4)

Holcim

Ltd.

4,323

219,864

6,355

(11.6)

Kuehne

+

Nagel

International

AG

(Registered)

333

107,245

5,702

(10.4)

Novartis

AG

(Registered)

5,171

454,386

1,498

(2.7)

OC

Oerlikon

Corp.

AG

(Registered)

10,275

105,083

2,550

(4.6)

Roche

Holding

AG

352

146,031

(350)

0.6

SGS

SA

(Registered)

10

33,337

758

(1.4)

83

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Sonova

Holding

AG

(Registered)

89

34,781

1,483

(2.7)

Swatch

Group

AG

(The)

517

157,445

3,885

(7.1)

Swiss

Life

Holding

AG

(Registered)

92

56,210

190

(0.3)

Swisscom

AG

(Registered)

48

27,078

(209)

0.4

Tecan

Group

AG

(Registered)

210

127,547

1,930

(3.5)

Temenos

AG

(Registered)

1,217

167,753

(1,631)

3.0

UBS

Group

AG

(Registered)

17,677

317,290

4,012

(7.3)

United

States

Swiss

Re

AG

564

55,674

174

(0.3)

Short

Positions

Common

Stocks

Austria

ams

AG

(6,375)

(115,359)

(76)

0.1

Switzerland

Alcon,

Inc.

(450)

(39,692)

(1,132)

2.1

Bachem

Holding

AG

(Registered)

(136)

(106,494)

(11,612)

21.2

Belimo

Holding

AG

(Registered)

(3)

(1,905)

(149)

0.3

Chocoladefabriken

Lindt

&

Spruengli

AG

(27)

(374,243)

(19,422)

35.4

Cie

Financiere

Richemont

SA

(33)

(4,931)

(174)

0.3

Credit

Suisse

Group

AG

(Registered)

(2,148)

(20,826)

(330)

0.6

Dufry

AG

(Registered)

(7,147)

(352,308)

(27,202)

49.6

EMS-

Chemie

Holding

AG

(Registered)

(174)

(194,459)

(1,766)

3.2

Flughafen

Zurich

AG

(Registered)

(944)

(169,527)

(5,501)

10.0

Givaudan

SA

(Registered)

(66)

(346,276)

(2,348)

4.3

Helvetia

Holding

AG

(Registered)

(585)

(68,723)

(791)

1.4

Idorsia

Ltd.

(9,731)

(198,306)

(11,757)

21.4

Julius

Baer

Group

Ltd.

(298)

(19,928)

(708)

1.3

Logitech

International

SA

(Registered)

(951)

(79,777)

183

(0.3)

Lonza

Group

AG

(Registered)

(110)

(91,585)

(1,273)

2.3

Nestle

SA

(Registered)

(2,360)

(329,497)

190

(0.3)

Partners

Group

Holding

AG

(57)

(94,096)

(2,366)

4.3

Schindler

Holding

AG

(212)

(56,907)

(736)

1.3

SIG

Combibloc

Group

AG

(9,172)

(255,479)

(7,535)

13.7

Sika

AG

(Registered)

(1,427)

(593,086)

(14,291)

26.0

Straumann

Holding

AG

(Registered)

(60)

(126,875)

(6,871)

12.5

Sulzer

AG

(Registered)

(540)

(53,048)

(1,239)

2.3

VAT

Group

AG

(97)

(48,066)

(1,887)

3.4

Zurich

Insurance

Group

AG

(361)

(158,147)

(2,883)

5.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

41-61

months

maturity

ranging

from

04/24/2025

-

12/29/2026

$3,525,026

$27,645

$1,091

$28,736

84

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

138

492,565

29,918

104.1

Carlsberg

A/S

1,240

214,083

7,314

25.5

Coloplast

A/S

349

61,450

2,800

9.7

Demant

A/S

999

51,155

3,423

11.9

DSV

A/S

550

128,166

7,795

27.1

Genmab

A/S

323

128,926

6,727

23.4

GN

Store

Nord

A/S

3,016

189,241

4,366

15.2

H

Lundbeck

A/S

5,377

138,445

7,259

25.3

ISS

A/S

450

8,532

(10)

(0.0)

Novo

Nordisk

A/S

1,133

127,265

(5,329)

(18.5)

Pandora

A/S

1,229

152,876

8,212

28.6

Royal

Unibrew

A/S

496

55,792

320

1.1

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(10,766)

(284,156)

(16,218)

(56.4)

Chr

Hansen

Holding

A/S

(3,042)

(239,863)

(3,101)

(10.8)

Novozymes

A/S

(3,280)

(269,320)

(6,972)

(24.3)

Orsted

A/S

(1,769)

(226,551)

(1,756)

(6.1)

ROCKWOOL

International

A/S

(295)

(128,820)

(3,490)

(12.1)

SimCorp

A/S

(665)

(72,480)

(3,135)

(10.9)

Tryg

A/S

(6,575)

(162,255)

(1,149)

(4.0)

Vestas

Wind

Systems

A/S

(12,907)

(393,085)

(9,329)

(32.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

41-61

months

maturity

ranging

from

04/23/2025

-

12/28/2026

$10,187,265

$(86,832)

$4,340

$(82,492)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

85

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

3,235

167,532

5,455

(6.6)

Etablissements

Franz

Colruyt

NV

2,624

111,343

(2,622)

3.2

Proximus

SADP

10,934

213,538

(6,947)

8.4

Solvay

SA

956

111,141

3,456

(4.2)

UCB

SA

624

71,215

1,777

(2.2)

Finland

Kone

OYJ

1,826

131,031

2,382

(2.9)

Nokian

Renkaat

OYJ

2,723

102,890

1,014

(1.2)

Netherlands

Aegon

NV

20,851

103,662

5,403

(6.5)

ASML

Holding

NV

343

274,750

16,108

(19.5)

ASR

Nederland

NV

5,978

275,307

6,369

(7.7)

Koninklijke

Ahold

Delhaize

NV

11,228

385,304

1,635

(2.0)

Koninklijke

KPN

NV

36,969

114,904

1,545

(1.9)

Koninklijke

Philips

NV

2,967

109,813

3,700

(4.5)

NN

Group

NV

2,953

159,699

4,614

(5.6)

Signify

NV

3,886

180,434

10,048

(12.2)

Spain

Acerinox

SA

18,425

237,105

8,410

(10.2)

Banco

de

Sabadell

SA

123,841

82,535

2,007

(2.4)

CaixaBank

SA

64,261

175,538

8,319

(10.1)

Enagas

SA

6,080

141,247

3,610

(4.4)

Endesa

SA

9,365

215,596

5,875

(7.1)

Fluidra

SA

3,356

133,845

9,614

(11.7)

Iberdrola

SA

13,140

155,577

9,590

(11.6)

Industria

de

Diseno

Textil

SA

4,794

154,607

2,015

(2.4)

Mapfre

SA

35,854

73,306

1,542

(1.9)

Red

Electrica

Corp.

SA

7,825

169,211

2,149

(2.6)

Repsol

SA

34,853

412,769

18,109

(22.0)

Telefonica

SA

45,791

198,559

(2,437)

3.0

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(2,521)

(151,991)

588

(0.7)

Elia

Group

SA/NV

(1,202)

(158,431)

1,673

(2.0)

Galapagos

NV

(1,639)

(90,954)

(1,145)

1.4

China

Prosus

NV

(4,489)

(371,802)

(16,351)

19.8

Finland

Orion

OYJ

(3,196)

(132,758)

(2,870)

3.5

Sampo

OYJ

(3,529)

(176,620)

(1,597)

1.9

Luxembourg

APERAM

SA

(1,886)

(102,663)

(4,697)

5.7

Netherlands

Argenx

SE

(1,025)

(364,498)

(41,234)

50.0

Heineken

NV

(1,517)

(170,723)

(2,417)

2.9

IMCD

NV

(1,336)

(295,260)

(7,387)

9.0

Koninklijke

DSM

NV

(676)

(152,240)

(3,676)

4.5

Koninklijke

Vopak

NV

(4,465)

(156,551)

(1,694)

2.1

SBM

Offshore

NV

(10,574)

(157,626)

(6,212)

7.5

Wolters

Kluwer

NV

(1,156)

(136,062)

(3,191)

3.9

86

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

(11,091)

(295,698)

(20,928)

25.4

Aena

SME

SA

(888)

(139,846)

(5,500)

6.7

Amadeus

IT

Group

SA

(4,765)

(322,420)

(20,358)

24.7

Banco

Bilbao

Vizcaya

Argentaria

SA

(38,745)

(229,796)

(9,294)

11.3

Banco

Santander

SA

(25,323)

(84,100)

(3,491)

4.2

Bankinter

SA

(27,994)

(142,633)

(4,830)

5.9

Cellnex

Telecom

SA

(4,978)

(288,364)

(11,718)

14.2

Ferrovial

SA

(10,317)

(322,651)

(20,783)

25.2

Naturgy

Energy

Group

SA

(7,751)

(252,103)

(14,859)

18.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

41-60

months

maturity

ranging

from

04/24/2025

-

12/02/2026

$2,056,008

$4,969

$827

$5,796

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

4,886

246,343

(2,371)

(40.9)

Norway

Equinor

ASA

8,378

221,844

(2,960)

(51.1)

Leroy

Seafood

Group

ASA

13,452

105,126

4,583

79.1

Norsk

Hydro

ASA

16,990

133,687

5,401

93.2

Orkla

ASA

29,109

291,776

8,399

144.9

Telenor

ASA

5,467

85,936

642

11.1

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(1,887)

(124,720)

3,860

66.6

France

Adevinta

ASA

(13,395)

(177,940)

68

1.2

Norway

Gjensidige

Forsikring

ASA

(4,147)

(100,610)

(797)

(13.8)

Mowi

ASA

(4,427)

(104,773)

(1,261)

(21.8)

Salmar

ASA

(1,845)

(127,249)

(2,942)

(50.8)

Schibsted

ASA

(2,795)

(107,760)

525

9.1

TOMRA

Systems

ASA

(2,730)

(195,217)

(7,969)

(137.5)

87

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

Subsea

7

SA

(4,617)

(33,027)

(209)

(3.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

41-62

months

maturity

ranging

from

04/24/2025

-

12/29/2026

$5,875,056

$(43,485)

$(1,548)

$(45,033)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

4,021

49,050

2,194

(4.9)

Sweden

Axfood

AB

2,078

59,822

2,085

(4.6)

Boliden

AB

1,602

61,773

827

(1.8)

Electrolux

AB

3,617

87,603

2,613

(5.8)

Getinge

AB

8,163

355,761

17,485

(38.8)

H

&

M

Hennes

&

Mauritz

AB

11,649

228,578

10,538

(23.4)

Husqvarna

AB

7,883

126,041

4,540

(10.1)

ICA

Gruppen

AB

833

49,264

38

(0.1)

Indutrade

AB

877

26,776

3,010

(6.7)

Lifco

AB

589

17,593

1,710

(3.8)

Saab

AB

6,830

173,480

4,925

(10.9)

Securitas

AB

9,875

135,845

3,742

(8.3)

Skanska

AB

4,533

117,138

5,636

(12.5)

SKF

AB

8,744

206,793

5,110

(11.3)

SSAB

AB

21,481

124,160

2,073

(4.6)

Svenska

Handelsbanken

AB

31,821

343,920

13,610

(30.2)

Swedish

Match

AB

6,754

53,618

1,969

(4.4)

Swedish

Orphan

Biovitrum

AB

5,708

116,726

1,070

(2.4)

Telefonaktiebolaget

LM

Ericsson

31,025

341,369

7,882

(17.5)

Telia

Co.

AB

7,004

27,392

246

(0.5)

Trelleborg

AB

5,045

132,368

9,251

(20.5)

Volvo

AB

141

3,261

45

(0.1)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(1,632)

(46,392)

(1,945)

4.3

88

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

AAK

AB

(2,281)

(49,180)

(473)

1.1

Alfa

Laval

AB

(1,915)

(76,925)

(4,451)

9.9

Assa

Abloy

AB

(3,934)

(119,912)

(4,081)

9.1

Atlas

Copco

AB

(2,937)

(202,949)

(10,402)

23.1

Beijer

Ref

AB

(7,020)

(153,060)

(14,066)

31.2

BillerudKorsnas

AB

(2,839)

(53,429)

3,590

(8.0)

Elekta

AB

(359)

(4,539)

(213)

0.5

Embracer

Group

AB

(33,239)

(352,632)

(32,529)

72.2

Epiroc

AB

(7,228)

(182,766)

(7,130)

15.8

EQT

AB

(4,651)

(252,131)

5,915

(13.1)

Essity

AB

(6,054)

(197,511)

(3,224)

7.2

Evolution

AB

(1,134)

(160,281)

(12,551)

27.9

Hexagon

AB

(7,129)

(112,927)

(7,116)

15.8

Hexpol

AB

(1,240)

(16,582)

(550)

1.2

Holmen

AB

(1,685)

(80,696)

(3,220)

7.2

Nibe

Industrier

AB

(5,476)

(82,742)

(7,376)

16.4

Sandvik

AB

(1,194)

(33,281)

(1,895)

4.2

Sinch

AB

(18,561)

(234,209)

(22,803)

50.6

Skandinaviska

Enskilda

Banken

AB

(14,787)

(205,296)

(3,843)

8.5

Svenska

Cellulosa

AB

SCA

(9,388)

(166,584)

(4,455)

9.9

Sweco

AB

(2,749)

(51,729)

(4,788)

10.6

Swedbank

AB

(6,753)

(135,707)

(3,402)

7.6

Tele2

AB

(4,575)

(65,265)

(3,076)

6.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-0.25%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

01/25/2022

-

02/27/2023

$9,189,281

$(9,888)

$216,109

$206,221

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Alimentation

Couche-Tard,

Inc.

3,021

126,577

(9)

(0.0)

ARC

Resources

Ltd.

10,525

95,686

(3,047)

(1.5)

Atco

Ltd.

4,546

153,456

77

0.0

Bank

of

Montreal

1,008

108,526

(596)

(0.3)

Canadian

Natural

Resources

Ltd.

2,309

97,566

(270)

(0.1)

Canadian

Tire

Corp.

Ltd.

1,108

158,928

(1,197)

(0.6)

CI

Financial

Corp.

5,209

108,879

(1,602)

(0.8)

Empire

Co.

Ltd.

4,406

134,240

(835)

(0.4)

Fairfax

Financial

Holdings

Ltd.

581

285,799

(2,921)

(1.4)

89

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Finning

International,

Inc.

7,975

200,991

565

0.3

Hydro

One

Ltd.

3,059

79,586

459

0.2

iA

Financial

Corp.,

Inc.

2,100

120,161

(99)

(0.0)

Imperial

Oil

Ltd.

4,027

145,232

1,094

0.5

Kinross

Gold

Corp.

26,999

156,664

2,969

1.4

Magna

International,

Inc.

2,949

238,610

231

0.1

Manulife

Financial

Corp.

9,723

185,321

(774)

(0.4)

Onex

Corp.

2,664

209,085

(1,618)

(0.8)

Quebecor,

Inc.

4,760

107,434

1,308

0.6

Stantec

,

Inc.

2,748

154,394

(1,552)

(0.8)

Suncor

Energy,

Inc.

7,962

199,215

70

0.0

TFI

International,

Inc.

791

88,714

(1,124)

(0.5)

Toromont

Industries

Ltd.

1,171

105,866

512

0.2

Tourmaline

Oil

Corp.

3,979

128,465

(2,991)

(1.5)

West

Fraser

Timber

Co.

Ltd.

1,313

125,264

(1,275)

(0.6)

Chile

Lundin

Mining

Corp.

14,999

117,151

236

0.1

United

States

BRP,

Inc.

871

76,293

(154)

(0.1)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(4,947)

(212,280)

46

0.0

Canada

Air

Canada

(11,249)

(187,906)

1,866

0.9

Algonquin

Power

&

Utilities

Corp.

(14,144)

(204,285)

2,451

1.2

Ballard

Power

Systems,

Inc.

(22,630)

(284,273)

(10,265)

(5.0)

BCE,

Inc.

(4,192)

(218,092)

365

0.2

Boralex

,

Inc.

(3,917)

(107,389)

(1,727)

(0.8)

Brookfield

Asset

Management,

Inc.

(4,421)

(266,983)

5,570

2.7

CAE,

Inc.

(6,769)

(170,757)

304

0.1

Cameco

Corp.

(3,906)

(85,163)

1,904

0.9

Canada

Goose

Holdings,

Inc.

(2,068)

(76,642)

(407)

(0.2)

Canadian

Pacific

Railway

Ltd.

(2,139)

(153,845)

2,084

1.0

Canopy

Growth

Corp.

(12,710)

(110,928)

1,423

0.7

Dollarama

,

Inc.

(2,448)

(122,521)

575

0.3

Element

Fleet

Management

Corp.

(10,078)

(102,616)

240

0.1

Emera

,

Inc.

(4,117)

(205,760)

(417)

(0.2)

Franco-Nevada

Corp.

(1,388)

(191,958)

(1,722)

(0.8)

Innergex

Renewable

Energy,

Inc.

(11,532)

(169,568)

(1,093)

(0.5)

Keyera

Corp.

(5,944)

(134,062)

740

0.4

Restaurant

Brands

International,

Inc.

(2,503)

(151,769)

1,144

0.6

Saputo,

Inc.

(5,268)

(118,691)

788

0.4

Shopify,

Inc.

(79)

(108,774)

2,484

1.2

TC

Energy

Corp.

(2,118)

(98,503)

2,626

1.3

TMX

Group

Ltd.

(867)

(87,903)

(510)

(0.2)

WSP

Global,

Inc.

(651)

(94,504)

(529)

(0.3)

90

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-1.50%

to

0.23%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

08/25/2023

-

12/26/2023

$1,059,801

$5,268

$2,354

$7,622

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

9,260

28,498

529

6.9

Yangzijiang

Shipbuilding

Holdings

Ltd.

387,216

384,733

5,422

71.1

Singapore

Genting

Singapore

Ltd.

147,719

84,969

562

7.4

Oversea-Chinese

Banking

Corp.

Ltd.

4,200

35,548

266

3.5

SATS

Ltd.

3,300

9,522

69

0.9

Singapore

Technologies

Engineering

Ltd.

9,694

27,053

292

3.8

United

Overseas

Bank

Ltd.

3,100

61,912

420

5.5

Venture

Corp.

Ltd.

1,400

19,024

84

1.1

Short

Positions

Common

Stocks

Singapore

City

Developments

Ltd.

(15,938)

(80,637)

(1,155)

(15.2)

DBS

Group

Holdings

Ltd.

(4,935)

(119,521)

(499)

(6.6)

Keppel

Corp.

Ltd.

(30,100)

(114,470)

(554)

(7.3)

Singapore

Telecommunications

Ltd.

(41,100)

(70,753)

6

0.1

UOL

Group

Ltd.

(4,400)

(23,161)

(174)

(2.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

RBACR

plus

or

minus

a

specified

spread

(-1.88%

to

0.45%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-24

months

maturity

07/20/2023

$5,382,492

$2,294

$287

$2,581

91

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

11,392

50,897

1,413

54.8

ALS

Ltd.

5,978

56,914

760

29.5

AMP

Ltd.

82,024

60,291

6,229

241.3

Ampol

Ltd.

3,042

65,686

3,103

120.2

Aurizon

Holdings

Ltd.

74,461

189,178

4,363

169.0

Australia

&

New

Zealand

Banking

Group

Ltd.

2,329

46,653

(120)

(4.6)

BlueScope

Steel

Ltd.

14,390

219,683

(775)

(30.0)

Brambles

Ltd.

12,411

96,016

(678)

(26.3)

Coles

Group

Ltd.

7,012

91,493

2,277

88.2

Harvey

Norman

Holdings

Ltd.

31,599

113,578

(1,620)

(62.8)

Incitec

Pivot

Ltd.

39,940

94,406

1,210

46.9

JB

Hi-Fi

Ltd.

5,468

192,279

2,647

102.6

Mineral

Resources

Ltd.

1,794

73,277

8,627

334.3

Newcrest

Mining

Ltd.

3,320

59,462

2,311

89.5

Sonic

Healthcare

Ltd.

3,770

127,865

8,500

329.3

South32

Ltd.

49,298

144,176

4,224

163.7

Suncorp

Group

Ltd.

17,835

143,591

3,020

117.0

Tabcorp

Holdings

Ltd.

18,197

66,479

1,824

70.7

Telstra

Corp.

Ltd.

74,113

225,244

4,644

179.9

Treasury

Wine

Estates

Ltd.

8,071

72,771

1,592

61.7

Westpac

Banking

Corp.

4,684

72,665

933

36.2

Short

Positions

Common

Stocks

Australia

APA

Group

(18,445)

(134,940)

(2,567)

(99.4)

Cochlear

Ltd.

(664)

(104,215)

(3,830)

(148.4)

Commonwealth

Bank

of

Australia

(1,355)

(99,608)

(1,708)

(66.2)

CSL

Ltd.

(461)

(97,502)

(6,137)

(237.8)

Domino's

Pizza

Enterprises

Ltd.

(549)

(47,122)

(593)

(23.0)

Evolution

Mining

Ltd.

(21,037)

(62,412)

(1,448)

(56.1)

IDP

Education

Ltd.

(5,872)

(147,929)

(579)

(22.4)

IGO

Ltd.

(8,038)

(67,318)

(3,493)

(135.3)

Insurance

Australia

Group

Ltd.

(25,492)

(79,000)

550

21.3

Lendlease

Corp.

Ltd.

(10,699)

(83,308)

(1,335)

(51.7)

Lynas

Rare

Earths

Ltd.

(8,403)

(62,356)

(4,035)

(156.3)

Macquarie

Group

Ltd.

(1,395)

(208,532)

(169)

(6.5)

Magellan

Financial

Group

Ltd.

(3,034)

(46,883)

17,482

677.3

Medibank

Pvt

Ltd.

(21,418)

(52,166)

507

19.6

Northern

Star

Resources

Ltd.

(15,397)

(105,891)

(31)

(1.2)

Orica

Ltd.

(11,754)

(117,214)

(137)

(5.3)

OZ

Minerals

Ltd.

(3,452)

(71,167)

(2,046)

(79.3)

Pilbara

Minerals

Ltd.

(54,310)

(126,687)

(18,019)

(698.1)

Pro

Medicus

Ltd.

(2,460)

(111,646)

(4,529)

(175.5)

Qantas

Airways

Ltd.

(16,279)

(59,384)

(2,747)

(106.4)

REA

Group

Ltd.

(502)

(61,215)

(3,564)

(138.1)

Reece

Ltd.

(3,140)

(61,752)

(4,635)

(179.6)

Santos

Ltd.

(16,513)

(76,067)

(72)

(2.8)

SEEK

Ltd.

(3,075)

(73,307)

(225)

(8.7)

Sydney

Airport

(18,988)

(119,880)

(1,468)

(56.9)

Transurban

Group

(11,716)

(117,679)

(2,313)

(89.6)

92

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(2,591)

(55,843)

3,486

135.1

New

Zealand

Xero

Ltd.

(593)

(60,699)

(2,702)

(104.7)

United

States

James

Hardie

Industries

plc

(2,470)

(99,423)

(1,572)

(60.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

20-24

months

maturity

08/21/2023

$17,051,843

$(41,825)

$3,344

$(38,481)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Atos

SE

4,111

174,148

5,667

(14.7)

Carrefour

SA

10,945

200,660

6,360

(16.5)

Cie

de

Saint-Gobain

3,636

255,780

13,294

(34.5)

Eiffage

SA

1,431

147,542

8,393

(21.8)

Electricite

de

France

SA

26,444

311,016

10,265

(26.7)

Ipsen

SA

2,177

199,217

(13,044)

33.9

La

Francaise

des

Jeux

SAEM

4,082

180,905

7,511

(19.5)

Orange

SA

14,234

152,050

1,244

(3.2)

Publicis

Groupe

SA

5,026

338,622

13,172

(34.2)

Rexel

SA

9,742

197,300

7,317

(19.0)

Rubis

SCA

6,743

201,638

3,027

(7.9)

Sodexo

SA

2,999

262,916

9,038

(23.5)

Thales

SA

2,277

193,697

4,801

(12.5)

Vivendi

SE

11,068

149,716

5,844

(15.2)

Germany

Aurubis

AG

1,568

156,740

3,505

(9.1)

BASF

SE

3,655

256,528

6,040

(15.7)

Bayerische

Motoren

Werke

AG

1,452

145,261

1,559

(4.1)

Brenntag

SE

2,509

226,572

9,666

(25.1)

Covestro

AG

3,802

234,006

9,051

(23.5)

Deutsche

Bank

AG

(Registered)

23,045

287,026

247

(0.6)

Deutsche

Post

AG

(Registered)

4,753

305,717

15,037

(39.1)

Rheinmetall

AG

1,820

171,280

2,889

(7.5)

Luxembourg

Eurofins

Scientific

SE

1,847

228,828

4,848

(12.6)

93

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Singapore

STMicroelectronics

NV

5,249

258,119

10,809

(28.1)

Short

Positions

Common

Stocks

France

Accor

SA

(5,952)

(192,925)

(13,794)

35.8

Aeroports

de

Paris

(2,323)

(299,676)

(13,434)

34.9

Air

Liquide

SA

(903)

(157,487)

(405)

1.1

Alstom

SA

(11,295)

(401,091)

(26,831)

69.7

Danone

SA

(2,516)

(156,393)

52

(0.1)

Getlink

SE

(13,888)

(230,017)

(15,277)

39.7

L'Oreal

SA

(504)

(240,314)

(3,280)

8.5

Pernod

Ricard

SA

(1,261)

(303,369)

(2,584)

6.7

Remy

Cointreau

SA

(1,550)

(376,757)

(6,844)

17.8

Safran

SA

(2,057)

(251,825)

(13,287)

34.5

SOITEC

(688)

(168,568)

(6,555)

17.0

Germany

Carl

Zeiss

Meditec

AG

(1,236)

(259,284)

108

(0.3)

CTS

Eventim

AG

&

Co.

KGaA

(2,340)

(171,038)

(9,481)

24.6

Deutsche

Telekom

AG

(Registered)

(10,274)

(189,838)

(2,023)

5.3

Evotec

SE

(4,395)

(212,164)

(6,558)

17.0

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(2,293)

(153,531)

(4,386)

11.4

Fresenius

Medical

Care

AG

&

Co.

KGaA

(3,039)

(197,013)

(8,788)

22.8

Hannover

Rueck

SE

(1,446)

(274,157)

(1,527)

4.0

Nemetschek

SE

(1,270)

(162,387)

(6,407)

16.7

Rational

AG

(209)

(213,758)

(6,948)

18.1

RWE

AG

(3,776)

(152,991)

(2,738)

7.1

Siemens

AG

(Registered)

(1,092)

(189,138)

(5,236)

13.6

Siemens

Healthineers

AG

(2,344)

(174,767)

(4,064)

10.6

Zalando

SE

(2,646)

(213,152)

(2,747)

7.1

Saudi

Arabia

Delivery

Hero

SE

(3,795)

(420,071)

(20,666)

53.7

United

States

Schneider

Electric

SE

(1,816)

(357,018)

(11,997)

31.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-6.25%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

20-24

months

maturity

07/19/2023

$15,454,885

$(19,034)

$22,281

$3,247

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

94

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Rio

Tinto

plc

6,512

429,442

(317)

(9.8)

Netherlands

Royal

Dutch

Shell

plc

9,899

216,931

3,275

100.9

Russia

Evraz

plc

32,327

264,300

1,702

52.4

South

Africa

Anglo

American

plc

3,308

136,065

4,236

130.5

United

Kingdom

Barclays

plc

109,224

278,222

10,702

329.6

Barratt

Developments

plc

19,870

201,770

7,888

242.9

BP

plc

38,452

172,289

(1,402)

(43.2)

British

American

Tobacco

plc

4,975

184,730

(1,215)

(37.4)

Centrica

plc

273,320

265,047

18,461

568.6

DCC

plc

3,264

267,201

(1,263)

(38.9)

GlaxoSmithKline

plc

9,664

210,412

(617)

(19.0)

Imperial

Brands

plc

13,969

306,128

5,776

177.9

Inchcape

plc

15,830

194,876

10,997

338.7

Indivior

plc

100,232

348,669

6,897

212.4

Intertek

Group

plc

1,852

141,284

2,215

68.2

Kingfisher

plc

52,515

241,556

1,651

50.8

Lloyds

Banking

Group

plc

215,338

139,839

4,344

133.8

M&G

plc

71,951

194,650

5,027

154.8

Man

Group

plc

62,525

192,450

6,889

212.2

Royal

Mail

plc

53,324

365,601

7,105

218.8

Sage

Group

plc

(The)

26,312

304,455

14,603

449.7

Spectris

plc

3,617

180,038

5,043

155.3

Tate

&

Lyle

plc

22,968

206,640

2,902

89.4

Tesco

plc

32,809

129,172

2,345

72.2

Unilever

plc

3,889

208,631

(469)

(14.5)

Vodafone

Group

plc

90,716

136,640

(2,558)

(78.8)

Short

Positions

Common

Stocks

United

Kingdom

Abcam

plc

(6,043)

(141,751)

(6,966)

(214.5)

Admiral

Group

plc

(6,999)

(299,588)

(5,048)

(155.5)

AstraZeneca

plc

(4,374)

(510,750)

(6,589)

(202.9)

Auto

Trader

Group

plc

(16,032)

(160,559)

(4,599)

(141.6)

BT

Group

plc

(89,581)

(206,081)

(3,069)

(94.5)

Croda

International

plc

(2,801)

(383,657)

(7,381)

(227.3)

Dechra

Pharmaceuticals

plc

(1,832)

(132,407)

(8,239)

(253.7)

easyJet

plc

(19,033)

(144,574)

(13,399)

(412.7)

Experian

plc

(3,259)

(160,525)

(5,485)

(168.9)

Halma

plc

(4,561)

(197,760)

(8,252)

(254.1)

Hargreaves

Lansdown

plc

(10,300)

(189,274)

(1,198)

(36.9)

Informa

plc

(31,359)

(219,563)

(6,452)

(198.7)

Legal

&

General

Group

plc

(34,148)

(137,900)

(5,047)

(155.4)

National

Grid

plc

(11,095)

(159,982)

1,314

40.5

Ocado

Group

plc

(27,320)

(621,567)

14,631

450.6

Prudential

plc

(9,205)

(159,181)

(364)

(11.2)

Reckitt

Benckiser

Group

plc

(3,266)

(281,149)

(5,657)

(174.2)

RELX

plc

(4,850)

(158,338)

(4,665)

(143.7)

Rentokil

Initial

plc

(21,401)

(169,405)

(14,134)

(435.3)

Rolls-Royce

Holdings

plc

(128,491)

(214,469)

(15,544)

(478.7)

95

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Severn

Trent

plc

(9,885)

(394,727)

(2,771)

(85.3)

St

James's

Place

plc

(8,059)

(184,166)

(7,907)

(243.5)

United

Utilities

Group

plc

(21,958)

(324,000)

3,527

108.6

Whitbread

plc

(4,408)

(179,307)

(13,867)

(427.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

20-24

months

maturity

07/20/2023

$3,112,683

$28,692

$4,273

$32,965

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

35,000

114,783

3,017

9.2

Chow

Tai

Fook

Jewellery

Group

Ltd.

2,600

4,685

103

0.3

SITC

International

Holdings

Co.

Ltd.

6,000

21,700

(1,422)

(4.3)

Hong

Kong

ASM

Pacific

Technology

Ltd.

7,100

76,728

3,309

10.0

Bank

of

East

Asia

Ltd.

(The)

30,400

43,685

421

1.3

CK

Asset

Holdings

Ltd.

10,728

67,672

2,664

8.1

CLP

Holdings

Ltd.

13,000

131,362

2,987

9.1

HKT

Trust

&

HKT

Ltd.

46,000

61,809

456

1.4

Kerry

Properties

Ltd.

35,000

91,153

484

1.5

Man

Wah

Holdings

Ltd.

9,200

14,267

(151)

(0.5)

New

World

Development

Co.

Ltd.

17,250

68,298

1,710

5.2

Sino

Land

Co.

Ltd.

40,000

49,806

1,501

4.6

Sun

Hung

Kai

Properties

Ltd.

4,500

54,604

575

1.7

Swire

Pacific

Ltd.

9,500

54,036

1,100

3.3

WH

Group

Ltd.

158,000

99,185

302

0.9

Xinyi

Glass

Holdings

Ltd.

35,000

87,669

2,653

8.0

Macau

Sands

China

Ltd.

1,600

3,713

315

1.0

SJM

Holdings

Ltd.

11,000

7,411

364

1.1

United

Kingdom

CK

Hutchison

Holdings

Ltd.

54,000

347,675

2,455

7.4

96

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(96,800)

(254,483)

10,558

32.0

ESR

Cayman

Ltd.

(43,200)

(146,129)

5,395

16.4

Hong

Kong

AIA

Group

Ltd.

(19,800)

(199,838)

2,413

7.3

Hang

Lung

Properties

Ltd.

(49,000)

(100,796)

(3,142)

(9.5)

Hang

Seng

Bank

Ltd.

(7,100)

(130,012)

884

2.7

Henderson

Land

Development

Co.

Ltd.

(2,000)

(8,531)

(182)

(0.6)

Hong

Kong

&

China

Gas

Co.

Ltd.

(6,000)

(9,359)

(202)

(0.6)

MTR

Corp.

Ltd.

(46,000)

(246,930)

(6,237)

(18.9)

Power

Assets

Holdings

Ltd.

(9,000)

(56,100)

(236)

(0.7)

Swire

Properties

Ltd.

(4,400)

(11,030)

(219)

(0.7)

Techtronic

Industries

Co.

Ltd.

(7,000)

(139,544)

283

0.9

Wharf

Real

Estate

Investment

Co.

Ltd.

(50,000)

(254,062)

1,461

4.4

Macau

Galaxy

Entertainment

Group

Ltd.

(30,000)

(155,628)

(4,927)

(14.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-3.00%

to

0.28%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-24

months

maturity

07/20/2023

$46,492,310

$(6,093)

$3,852

$(2,241)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Aisin

Corp.

7,200

276,247

(6,818)

304.2

DeNA

Co.

Ltd.

17,400

267,940

6,591

(294.1)

Iida

Group

Holdings

Co.

Ltd.

14,800

344,210

15,090

(673.4)

Japan

Post

Holdings

Co.

Ltd.

33,800

263,311

1,829

(81.6)

Japan

Post

Insurance

Co.

Ltd.

18,800

302,001

2,407

(107.4)

Mitsubishi

Electric

Corp.

27,400

347,789

(7,489)

334.2

Mizuho

Financial

Group,

Inc.

54,030

686,249

(5,562)

248.2

Nihon

Unisys

Ltd.

8,400

235,734

(1,944)

86.7

Nippon

Telegraph

&

Telephone

Corp.

10,100

276,217

(7,165)

319.7

Resona

Holdings,

Inc.

102,900

399,888

(2,067)

92.2

SCREEN

Holdings

Co.

Ltd.

2,500

268,633

11,770

(525.2)

Sekisui

House

Ltd.

13,500

290,463

11,785

(525.9)

Shimamura

Co.

Ltd.

4,800

402,819

(4,241)

189.2

Sumitomo

Heavy

Industries

Ltd.

11,400

276,710

14,503

(647.1)

97

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Taisei

Corp.

10,275

312,464

(7,374)

329.0

Takeda

Pharmaceutical

Co.

Ltd.

10,500

286,737

(44)

2.0

Toyo

Suisan

Kaisha

Ltd.

5,900

250,151

(381)

17.0

Toyoda

Gosei

Co.

Ltd.

11,300

245,785

7,436

(331.8)

Toyota

Boshoku

Corp.

13,100

257,027

(1,741)

77.7

Yamada

Holdings

Co.

Ltd.

86,400

295,376

5,466

(243.9)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(12,900)

(304,004)

9,656

(430.9)

ANA

Holdings,

Inc.

(12,700)

(265,492)

(6,103)

272.3

Chugai

Pharmaceutical

Co.

Ltd.

(7,700)

(250,989)

(9,289)

414.5

Daiichi

Sankyo

Co.

Ltd.

(10,500)

(267,240)

(10,705)

477.7

Daikin

Industries

Ltd.

(1,300)

(294,475)

833

(37.2)

Denso

Corp.

(6,600)

(546,948)

(12,347)

551.0

East

Japan

Railway

Co.

(4,300)

(264,345)

3,340

(149.0)

Fast

Retailing

Co.

Ltd.

(500)

(284,222)

11,525

(514.3)

Harmonic

Drive

Systems,

Inc.

(6,200)

(261,455)

23,933

(1068.0)

JSR

Corp.

(7,500)

(285,026)

(922)

41.1

Keyence

Corp.

(400)

(251,503)

172

(7.7)

Kikkoman

Corp.

(5,400)

(454,740)

(22,998)

1026.3

Kobe

Bussan

Co.

Ltd.

(9,900)

(383,303)

(27,544)

1229.1

Lasertec

Corp.

(1,000)

(306,302)

(33,957)

1515.2

M3,

Inc.

(5,900)

(297,486)

(12,702)

566.8

Mercari

,

Inc.

(4,700)

(239,124)

7,782

(347.3)

MonotaRO

Co.

Ltd.

(13,600)

(244,610)

4,041

(180.3)

Nidec

Corp.

(4,300)

(508,666)

2,015

(89.9)

Nippon

Paint

Holdings

Co.

Ltd.

(36,800)

(401,885)

10,465

(467.0)

Nitori

Holdings

Co.

Ltd.

(1,700)

(254,272)

21,737

(970.0)

Odakyu

Electric

Railway

Co.

Ltd.

(14,100)

(262,140)

8,381

(374.0)

Oriental

Land

Co.

Ltd.

(2,900)

(489,019)

3,969

(177.1)

Rakuten

Group,

Inc.

(32,500)

(326,081)

(11,220)

500.7

SoftBank

Corp.

(29,600)

(373,865)

7,063

(315.2)

Sony

Group

Corp.

(3,100)

(391,463)

(16,870)

752.8

Sysmex

Corp.

(2,100)

(283,461)

(14,976)

668.3

Tokio

Marine

Holdings,

Inc.

(7,500)

(417,522)

(2,798)

124.9

Toyota

Motor

Corp.

(25,100)

(463,913)

(5,404)

241.1

Yaskawa

Electric

Corp.

(8,600)

(421,965)

630

(28.1)

Z

Holdings

Corp.

(41,900)

(241,763)

2,474

(110.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-5.58%

to

0.33%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-12

months

maturity

07/20/2022

$116,371,603

$489,069

$(22,557)

$466,512

98

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Abbott

Laboratories

1,982

278,947

7,195

1.5

Allstate

Corp.

(The)

2,458

289,184

8,627

1.8

Arrow

Electronics,

Inc.

2,638

354,204

23,874

5.1

Capital

One

Financial

Corp.

2,227

323,115

2,249

0.5

Cisco

Systems,

Inc.

4,261

270,020

12,400

2.7

Citigroup,

Inc.

7,185

433,902

5,655

1.2

Coca-Cola

Co.

(The)

7,214

427,141

10,301

2.2

Delta

Air

Lines,

Inc.

7,609

297,360

17,620

3.8

Global

Payments,

Inc.

2,462

332,813

16,073

3.4

Intel

Corp.

6,937

357,256

6,105

1.3

International

Paper

Co.

7,443

349,672

8,455

1.8

Johnson

&

Johnson

1,784

305,189

5,067

1.1

ManpowerGroup

,

Inc.

3,102

301,918

11,423

2.4

MDU

Resources

Group,

Inc.

8,712

268,678

13,765

3.0

Mosaic

Co.

(The)

7,999

314,281

22,637

4.9

Owens

Corning

3,865

349,782

13,437

2.9

Schneider

National,

Inc.

11,692

314,632

15,433

3.3

SS&C

Technologies

Holdings,

Inc.

3,664

300,375

7,401

1.6

Texas

Roadhouse,

Inc.

5,368

479,255

27,935

6.0

Tyson

Foods,

Inc.

3,789

330,249

6,555

1.4

Walmart,

Inc.

4,005

579,483

23,790

5.1

Short

Positions

Common

Stocks

United

States

American

Airlines

Group,

Inc.

(15,917)

(285,869)

(14,416)

(3.1)

Amphenol

Corp.

(3,480)

(304,361)

(17,330)

(3.7)

Aon

plc

(1,051)

(315,889)

(8,597)

(1.8)

Beyond

Meat,

Inc.

(5,851)

(381,251)

23,743

5.1

Cable

One,

Inc.

(170)

(299,786)

(14,535)

(3.1)

CenterPoint

Energy,

Inc.

(12,239)

(341,590)

(11,382)

(2.4)

Charter

Communications,

Inc.

(515)

(335,765)

(1,015)

(0.2)

Clarivate

plc

(11,994)

(282,099)

3,517

0.8

DraftKings

,

Inc.

(9,652)

(265,140)

11,595

2.5

First

Financial

Bankshares

,

Inc.

(5,625)

(285,975)

(6,300)

(1.4)

First

Republic

Bank

(1,487)

(307,080)

(10,662)

(2.3)

Home

Depot,

Inc.

(The)

(780)

(323,708)

(21,083)

(4.5)

Hormel

Foods

Corp.

(9,255)

(451,737)

(5,923)

(1.3)

Insulet

Corp.

(1,024)

(272,456)

(2,674)

(0.6)

Liberty

Broadband

Corp.

(1,696)

(273,226)

(9,481)

(2.0)

NextEra

Energy,

Inc.

(3,658)

(341,511)

(8,852)

(1.9)

Norwegian

Cruise

Line

Holdings

Ltd.

(14,363)

(297,889)

(5,889)

(1.3)

NVIDIA

Corp.

(991)

(291,463)

(15,955)

(3.4)

PepsiCo,

Inc.

(1,679)

(291,659)

(9,083)

(1.9)

PNC

Financial

Services

Group,

Inc.

(The)

(1,660)

(332,863)

(5,378)

(1.2)

Post

Holdings,

Inc.

(2,645)

(298,171)

(17,801)

(3.8)

Progressive

Corp.

(The)

(2,678)

(274,897)

(4,146)

(0.9)

Public

Service

Enterprise

Group,

Inc.

(3,992)

(266,386)

(10,539)

(2.3)

Realty

Income

Corp.

(4,004)

(286,646)

(15,255)

(3.3)

SVB

Financial

Group

(458)

(310,634)

(10,938)

(2.3)

Trex

Co.,

Inc.

(2,282)

(308,138)

(14,650)

(3.1)

99

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Uber

Technologies,

Inc.

(6,413)

(268,897)

(14,429)

(3.1)

Wayfair,

Inc.

(1,952)

(370,821)

21,206

4.5

Welltower

,

Inc.

(3,735)

(320,351)

(9,599)

(2.1)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Investment

Companies

$

74,095

$

–

$

74,095

JPMC

Investment

Companies

1,917,778

–

1,917,778

JPMS

Cash

–

77,180

77,180

MLIN

Cash

(100,010)

–

(100,010)

MSIP

Cash

10,814,808

–

10,814,808

U.S.

Treasury

Bills

1,288,186

–

1,288,186

100

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

7

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

87.4%

INVESTMENT

COMPANIES

-

28.2%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

618,096

618,096

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

85,406,199

85,372,036

TOTAL

INVESTMENT

COMPANIES

(Cost

$85,990,132)

85,990,132

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

59.2%

U.S.

Treasury

Bills

0.05%,

1/13/2022

(c)

$

5,212,000

5,211,978

0.05%,

1/20/2022

(c)(d)

23,374,000

23,373,862

0.05%,

1/27/2022

(c)

558,000

557,990

0.06%,

2/3/2022

(c)

152,000

151,996

0.05%,

2/10/2022

(c)(d)

21,617,000

21,616,258

0.05%,

2/17/2022

(c)(d)

7,020,000

7,019,737

0.05%,

3/17/2022

(c)(d)

6,941,000

6,940,222

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

59.2%

(continued)

0.04%,

3/24/2022

(c)(d)

$

13,273,000

13,271,348

0.05%,

3/31/2022

(c)(d)

6,988,000

6,987,111

0.05%,

4/7/2022

(c)(d)

1,487,000

1,486,717

0.06%,

4/21/2022

(c)(d)

4,319,000

4,318,044

0.06%,

4/28/2022

(c)(d)

37,047,000

37,037,976

0.09%,

6/2/2022

(c)(d)

12,028,000

12,022,675

0.11%,

6/9/2022

(c)(d)

25,916,000

25,903,568

0.13%,

6/16/2022

(c)(d)

1,199,000

1,198,283

0.16%,

6/23/2022

(c)(d)

6,247,000

6,242,030

0.21%,

6/30/2022

(c)(d)

7,150,000

7,143,460

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$180,485,018)

180,483,255

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$266,475,150)

266,473,387

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

87.4%

(Cost

$266,475,150)

266,473,387

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

12.6%

(e)

38,464,588

NET

ASSETS

-

100.0%

304,937,975

(a)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

2021

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/28/2022

HKD

1,172,550

$

1,613

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

01/28/2022

HKD

5,862,750

7,706

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/18/2022

CHF

767,880

24,889

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

03/18/2022

CHF

2,943,540

89,127

101

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.67%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

CAD

520,984

$

3,586

MSCI

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

EUR

170,624

3,885

MSCI

Germany

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

EUR

94,728

893

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

EUR

245,123

6,572

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

EUR

1,239,337

2,240

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

EUR

487,073

16,723

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

SEK

1,540,636

5,493

102

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

CHF

1,097,769

$

27,333

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SONIA

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

GBP

89,673

914

190,974

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

AUD

1,428,215

(59)

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

HKD

1,095,810

(3,008)

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TONAR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

JPY

1,042,314,126

(18,136)

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SORA

plus

or

minus

a

specified

spread

(0.60%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

SGD

153,451

(2,927)

(24,130)

$

166,844

103

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

Futures

contracts

outstanding

as

of

December

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

10

1/2022

EUR

$

1,816,340

$

33,250

CAC

40

10

Euro

Index

45

1/2022

EUR

3,659,537

98,929

IBEX

35

Index

10

1/2022

EUR

988,719

41,495

MSCI

Singapore

Index

15

1/2022

SGD

378,618

2,185

OMXS30

Index

61

1/2022

SEK

1,633,145

72,287

DAX

Index

6

3/2022

EUR

2,707,808

50,865

FTSE

100

Index

46

3/2022

GBP

4,560,164

63,901

FTSE/MIB

Index

3

3/2022

EUR

465,328

10,700

S&P

500

E-Mini

Index

467

3/2022

USD

111,110,975

2,036,287

S&P/TSX

60

Index

20

3/2022

CAD

4,050,437

67,611

SPI

200

Index

13

3/2022

AUD

1,737,226

17,901

2,495,411

Short

Contracts

TOPIX

Index

(5)

3/2022

JPY

(865,861)

196

196

$

2,495,607

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,499,876

USD

1,073,726

CITI

3/16/2022

$

17,705

AUD

1,499,875

USD

1,073,727

JPMC

3/16/2022

17,704

CAD

3,222,709

USD

2,528,735

CITI

3/16/2022

18,594

CAD

3,222,701

USD

2,529,717

JPMC

3/16/2022

17,606

CHF

1,950,800

USD

2,116,790

CITI

3/16/2022

28,069

CHF

1,950,782

USD

2,116,774

JPMC

3/16/2022

28,067

DKK

3,796,222

USD

577,257

CITI

3/16/2022

4,775

DKK

3,796,221

USD

577,257

JPMC

3/16/2022

4,775

EUR

6,013,445

USD

6,798,043

CITI

3/16/2022

58,219

EUR

6,013,435

USD

6,798,040

JPMC

3/16/2022

58,210

GBP

2,251,001

USD

3,006,512

CITI

3/16/2022

39,378

GBP

2,251,000

USD

3,006,514

JPMC

3/16/2022

39,374

HKD

2,289,750

USD

293,630

CITI

3/16/2022

57

HKD

2,289,750

USD

293,631

JPMC

3/16/2022

56

ILS

58,500

USD

18,580

CITI

3/16/2022

247

ILS

58,500

USD

18,581

JPMC

3/16/2022

247

JPY

268,293,000

USD

2,333,254

CITI

3/16/2022

501

JPY

268,293,001

USD

2,333,257

JPMC

3/16/2022

498

NOK

1,215,258

USD

134,975

CITI

3/16/2022

2,838

NOK

1,215,257

USD

134,975

JPMC

3/16/2022

2,838

SEK

2,542,936

USD

280,060

CITI

3/16/2022

1,520

SEK

2,542,936

USD

280,060

JPMC

3/16/2022

1,519

SGD

667,859

USD

489,792

CITI

3/16/2022

5,615

SGD

667,856

USD

489,790

JPMC

3/16/2022

5,614

USD

21,184

HKD

165,000

CITI

3/16/2022

21

USD

21,184

HKD

165,000

JPMC

3/16/2022

21

USD

15,010

SEK

134,715

CITI

3/16/2022

93

USD

15,010

SEK

134,714

JPMC

3/16/2022

93

Total

unrealized

appreciation

354,254

104

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

476,625

USD

346,882

CITI

3/16/2022

$

(52)

AUD

476,624

USD

346,882

JPMC

3/16/2022

(52)

HKD

2,289,750

USD

293,986

CITI

3/16/2022

(299)

HKD

2,289,750

USD

293,987

JPMC

3/16/2022

(300)

ILS

403,501

USD

130,541

CITI

3/16/2022

(678)

ILS

403,499

USD

130,541

JPMC

3/16/2022

(678)

JPY

269,712,501

USD

2,367,018

CITI

3/16/2022

(20,913)

JPY

269,712,499

USD

2,367,021

JPMC

3/16/2022

(20,916)

NZD

68,000

USD

47,439

CITI

3/16/2022

(918)

NZD

67,999

USD

47,438

JPMC

3/16/2022

(918)

SEK

4,756,566

USD

529,863

CITI

3/16/2022

(3,165)

SEK

4,756,563

USD

529,863

JPMC

3/16/2022

(3,166)

USD

21,159

HKD

165,000

CITI

3/16/2022

(4)

USD

21,159

HKD

165,000

JPMC

3/16/2022

(4)

USD

3,032

NZD

4,500

CITI

3/16/2022

(47)

USD

3,032

NZD

4,500

JPMC

3/16/2022

(47)

USD

4,933

SEK

44,905

CITI

3/16/2022

(39)

USD

4,933

SEK

44,905

JPMC

3/16/2022

(39)

Total

unrealized

depreciation

(52,235)

Net

unrealized

appreciation

$

302,019

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.76%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

09/26/2022

-

02/27/2023

$72,234,703

$169,978

$405,056

$575,034

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Brunswick

Corp.

8,387

844,823

26,671

4.6

Casey's

General

Stores,

Inc.

3,390

669,016

13,458

2.3

Columbia

Sportswear

Co.

13,496

1,315,050

29,151

5.1

Crocs,

Inc.

11,169

1,432,089

3,545

0.6

Dow,

Inc.

14,885

844,277

12,652

2.2

DuPont

de

Nemours,

Inc.

8,792

710,218

8,528

1.5

International

Paper

Co.

38,865

1,825,878

25,262

4.4

Kroger

Co.

(The)

16,645

753,353

25,300

4.4

Lennar

Corp.

10,399

1,207,948

27,973

4.9

105

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Louisiana-Pacific

Corp.

9,269

726,226

(4,913)

(0.9)

LyondellBasell

Industries

NV

13,012

1,200,097

7,287

1.3

Mohawk

Industries,

Inc.

3,946

718,882

29,871

5.2

Mosaic

Co.

(The)

42,105

1,654,305

(29,895)

(5.2)

NewMarket

Corp.

2,308

790,998

(8,678)

(1.5)

Packaging

Corp.

of

America

6,410

872,722

20,192

3.5

PulteGroup,

Inc.

26,454

1,512,111

47,088

8.2

Ralph

Lauren

Corp.

7,802

927,346

15,058

2.6

Reliance

Steel

&

Aluminum

Co.

4,736

768,274

5,115

0.9

Toll

Brothers,

Inc.

10,206

738,812

9,594

1.7

Tri

Pointe

Homes,

Inc.

27,163

757,576

22,545

3.9

United

States

Steel

Corp.

39,011

928,852

3,901

0.7

Walgreens

Boots

Alliance,

Inc.

26,421

1,378,119

35,087

6.1

Walmart,

Inc.

22,211

3,213,710

87,289

15.2

Westlake

Chemical

Corp.

14,692

1,427,034

26,739

4.7

Westrock

Co.

20,154

894,031

12,092

2.1

Short

Positions

Common

Stocks

United

Kingdom

Linde

plc

(2,110)

(730,967)

(6,351)

(1.1)

United

States

Air

Products

and

Chemicals,

Inc.

(3,010)

(915,823)

(6,140)

(1.1)

Albemarle

Corp.

(3,227)

(754,376)

(2,162)

(0.4)

Albertsons

Cos.,

Inc.

(25,617)

(773,377)

(16,651)

(2.9)

Amcor

plc

(93,323)

(1,120,809)

(18,665)

(3.2)

Ashland

Global

Holdings,

Inc.

(6,789)

(730,904)

(19,077)

(3.3)

Avient

Corp.

(14,301)

(800,141)

1,859

0.3

Ball

Corp.

(12,403)

(1,194,037)

(53,953)

(9.4)

Grocery

Outlet

Holding

Corp.

(50,911)

(1,439,763)

6,055

1.1

Hasbro,

Inc.

(8,339)

(848,743)

(19,688)

(3.4)

Helen

of

Troy

Ltd.

(5,148)

(1,258,532)

12,458

2.2

International

Flavors

&

Fragrances,

Inc.

(6,753)

(1,017,339)

(36,736)

(6.4)

Iridium

Communications,

Inc.

(20,791)

(858,460)

10,396

1.8

Leggett

&

Platt,

Inc.

(23,016)

(947,339)

(28,310)

(4.9)

Lululemon

Athletica,

Inc.

(1,832)

(717,136)

17,038

3.0

Peloton

Interactive,

Inc.

(20,376)

(728,646)

19,357

3.4

PVH

Corp.

(7,016)

(748,256)

(26,731)

(4.6)

RPM

International,

Inc.

(10,696)

(1,080,296)

(15,509)

(2.7)

Sherwin-Williams

Co.

(The)

(2,653)

(934,280)

(17,536)

(3.0)

Sysco

Corp.

(11,111)

(872,769)

(11,555)

(2.0)

T-Mobile

US,

Inc.

(7,395)

(857,672)

19,227

3.3

TopBuild

Corp.

(4,180)

(1,153,304)

18,058

3.1

Under

Armour,

Inc.

(42,991)

(910,979)

(12,467)

(2.2)

VF

Corp.

(17,305)

(1,267,072)

(37,033)

(6.4)

Vulcan

Materials

Co.

(4,466)

(927,052)

(402)

(0.1)

106

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.16%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$34,505,632

$(16)

$675,072

$675,056

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AMP

Ltd.

433,449

318,603

32,732

4.8

Ampol

Ltd.

21,120

456,043

21,547

3.2

Aristocrat

Leisure

Ltd.

10,671

338,512

3,618

0.5

Aurizon

Holdings

Ltd.

479,115

1,217,253

27,709

4.1

Australia

&

New

Zealand

Banking

Group

Ltd.

24,169

484,137

(1,258)

(0.2)

BlueScope

Steel

Ltd.

87,506

1,335,898

(4,638)

(0.7)

Brambles

Ltd.

72,013

557,116

(3,936)

(0.6)

Coles

Group

Ltd.

49,428

644,941

16,049

2.4

Harvey

Norman

Holdings

Ltd.

201,851

725,522

(10,348)

(1.5)

Incitec

Pivot

Ltd.

233,514

551,955

7,300

1.1

JB

Hi-Fi

Ltd.

31,915

1,122,273

15,452

2.3

Mineral

Resources

Ltd.

11,394

465,397

54,793

8.1

Newcrest

Mining

Ltd.

22,707

406,685

15,804

2.3

Sonic

Healthcare

Ltd.

26,336

893,221

55,734

8.3

South32

Ltd.

272,679

797,473

23,365

3.5

Suncorp

Group

Ltd.

94,237

758,710

15,955

2.4

Tabcorp

Holdings

Ltd.

106,180

387,909

10,645

1.6

Telstra

Corp.

Ltd.

463,059

1,407,329

29,018

4.3

Treasury

Wine

Estates

Ltd.

42,513

383,312

8,387

1.2

Westpac

Banking

Corp.

32,880

510,085

6,467

1.0

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(220,477)

(299,919)

(5,458)

(0.8)

APA

Group

(111,893)

(818,586)

(15,570)

(2.3)

Cochlear

Ltd.

(4,320)

(678,026)

(24,919)

(3.7)

Commonwealth

Bank

of

Australia

(10,270)

(754,961)

(12,847)

(1.9)

CSL

Ltd.

(3,644)

(770,707)

(25,476)

(3.8)

Evolution

Mining

Ltd.

(145,491)

(431,641)

(11,633)

(1.7)

IDP

Education

Ltd.

(35,207)

(886,945)

(3,470)

(0.5)

IGO

Ltd.

(44,748)

(374,765)

(19,447)

(2.9)

Insurance

Australia

Group

Ltd.

(188,649)

(584,628)

3,601

0.5

Lendlease

Corp.

Ltd.

(61,129)

(475,984)

(7,629)

(1.1)

Lynas

Rare

Earths

Ltd.

(55,904)

(414,849)

(27,102)

(4.0)

Macquarie

Group

Ltd.

(8,975)

(1,341,630)

(1,348)

(0.2)

Magellan

Financial

Group

Ltd.

(19,917)

(307,768)

114,765

17.0

107

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

NEXTDC

Ltd.

(33,008)

(306,500)

(12,198)

(1.8)

Northern

Star

Resources

Ltd.

(100,651)

(692,212)

(200)

(0.0)

Orica

Ltd.

(67,357)

(671,702)

(786)

(0.1)

OZ

Minerals

Ltd.

(23,578)

(486,090)

(14,784)

(2.2)

Pilbara

Minerals

Ltd.

(350,187)

(816,867)

(116,182)

(17.2)

Pro

Medicus

Ltd.

(15,153)

(687,711)

(28,470)

(4.2)

Qantas

Airways

Ltd.

(111,013)

(404,960)

(18,731)

(2.8)

Qube

Holdings

Ltd.

(124,965)

(288,469)

(1,173)

(0.2)

REA

Group

Ltd.

(3,345)

(407,895)

(20,754)

(3.1)

Reece

Ltd.

(18,904)

(371,770)

(28,290)

(4.2)

Santos

Ltd.

(99,114)

(456,566)

(1,664)

(0.2)

SEEK

Ltd.

(22,162)

(528,335)

(1,624)

(0.2)

Sydney

Airport

(123,966)

(782,657)

(9,232)

(1.4)

Transurban

Group

(87,859)

(882,482)

(16,926)

(2.5)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(16,103)

(347,062)

20,230

3.0

New

Zealand

Xero

Ltd.

(3,979)

(407,287)

(18,129)

(2.7)

United

States

James

Hardie

Industries

plc

(20,754)

(835,394)

(13,208)

(2.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.02%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$88,007,164

$(200,905)

$96,971

$(103,934)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Rio

Tinto

plc

38,943

2,568,147

(1,898)

1.8

Netherlands

Royal

Dutch

Shell

plc

41,220

903,312

13,568

(13.1)

Russia

Evraz

plc

186,854

1,527,684

9,837

(9.5)

South

Africa

Anglo

American

plc

17,588

723,434

22,523

(21.7)

United

Kingdom

Barclays

plc

688,402

1,753,542

67,451

(64.9)

Barratt

Developments

plc

111,871

1,135,992

44,410

(42.7)

BP

plc

227,748

1,020,453

(8,304)

8.0

British

American

Tobacco

plc

32,551

1,208,675

(8,688)

8.4

Centrica

plc

1,395,824

1,353,576

93,100

(89.6)

108

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

DCC

plc

19,248

1,575,703

(7,448)

7.2

GlaxoSmithKline

plc

50,781

1,105,643

(3,307)

3.2

IMI

plc

31,570

744,547

15,813

(15.2)

Imperial

Brands

plc

74,913

1,641,703

30,975

(29.8)

Inchcape

plc

86,142

1,060,454

59,840

(57.6)

Indivior

plc

326,425

1,135,510

22,462

(21.6)

Kingfisher

plc

282,834

1,300,964

8,889

(8.6)

Lloyds

Banking

Group

plc

1,153,428

749,027

24,039

(23.1)

M&G

plc

412,630

1,116,295

28,286

(27.2)

Man

Group

plc

348,355

1,072,227

38,383

(36.9)

Persimmon

plc

19,622

760,530

30,617

(29.5)

Royal

Mail

plc

293,503

2,012,322

39,046

(37.6)

Sage

Group

plc

(The)

144,482

1,671,793

80,184

(77.1)

Spectris

plc

20,731

1,031,898

28,902

(27.8)

Tate

&

Lyle

plc

118,916

1,069,870

15,023

(14.5)

Unilever

plc

17,869

958,609

(3,312)

3.2

Short

Positions

Common

Stocks

United

Kingdom

Abcam

plc

(32,768)

(768,640)

(38,060)

36.6

Admiral

Group

plc

(36,572)

(1,565,445)

(26,378)

25.4

AstraZeneca

plc

(23,250)

(2,714,890)

(30,372)

29.2

Auto

Trader

Group

plc

(93,238)

(933,767)

(26,748)

25.7

BT

Group

plc

(517,583)

(1,190,701)

(17,733)

17.1

Croda

International

plc

(16,704)

(2,287,971)

(44,016)

42.4

Dechra

Pharmaceuticals

plc

(11,340)

(819,595)

(50,998)

49.1

easyJet

plc

(117,467)

(892,276)

(82,697)

79.6

Experian

plc

(22,123)

(1,089,688)

(37,231)

35.8

Halma

plc

(30,805)

(1,335,671)

(55,732)

53.6

Hargreaves

Lansdown

plc

(59,456)

(1,092,573)

(6,913)

6.7

Informa

plc

(190,874)

(1,336,420)

(39,274)

37.8

J

Sainsbury

plc

(198,456)

(741,822)

(13,112)

12.6

Legal

&

General

Group

plc

(179,781)

(726,009)

(26,573)

25.6

National

Grid

plc

(80,760)

(1,164,502)

9,566

(9.2)

Ocado

Group

plc

(148,142)

(3,370,429)

79,336

(76.3)

Prudential

plc

(58,138)

(1,005,372)

(2,299)

2.2

Reckitt

Benckiser

Group

plc

(21,991)

(1,893,066)

(38,088)

36.6

RELX

plc

(36,826)

(1,202,256)

(35,422)

34.1

Rentokil

Initial

plc

(142,384)

(1,127,076)

(94,036)

90.5

Rolls-Royce

Holdings

plc

(713,745)

(1,191,339)

(86,345)

83.1

Severn

Trent

plc

(60,455)

(2,414,085)

(16,949)

16.3

St

James's

Place

plc

(50,631)

(1,157,032)

(49,678)

47.8

United

Utilities

Group

plc

(130,068)

(1,919,213)

20,889

(20.1)

Whitbread

plc

(27,138)

(1,103,909)

(85,371)

82.1

109

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-1.50%

to

0.04%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$17,658,485

$72,276

$296,982

$369,258

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

208,500

683,777

17,971

4.9

Chow

Tai

Fook

Jewellery

Group

Ltd.

11,600

20,902

461

0.1

SITC

International

Holdings

Co.

Ltd.

47,000

169,984

(11,142)

(3.0)

Hong

Kong

ASM

Pacific

Technology

Ltd.

36,600

395,527

16,338

4.4

Bank

of

East

Asia

Ltd.

(The)

165,000

237,106

2,251

0.6

CK

Asset

Holdings

Ltd.

58,497

368,997

14,526

3.9

CLP

Holdings

Ltd.

74,000

747,753

17,004

4.6

Henderson

Land

Development

Co.

Ltd.

17,000

72,515

1,550

0.4

HKT

Trust

&

HKT

Ltd.

242,000

325,168

2,398

0.6

Hong

Kong

&

China

Gas

Co.

Ltd.

67,955

105,994

2,111

0.6

Kerry

Properties

Ltd.

191,000

497,433

2,639

0.7

Man

Wah

Holdings

Ltd.

81,600

126,540

(1,339)

(0.4)

New

World

Development

Co.

Ltd.

99,250

392,958

9,836

2.7

Sino

Land

Co.

Ltd.

288,000

358,606

10,803

2.9

Sun

Hung

Kai

Properties

Ltd.

27,000

327,625

3,501

0.9

Swire

Pacific

Ltd.

47,000

267,336

5,441

1.5

WH

Group

Ltd.

737,000

462,654

491

0.1

Xinyi

Glass

Holdings

Ltd.

195,000

488,440

14,213

3.8

United

Kingdom

CK

Hutchison

Holdings

Ltd.

305,000

1,963,720

13,876

3.8

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(556,000)

(1,461,700)

60,644

16.4

ESR

Cayman

Ltd.

(240,000)

(811,826)

29,970

8.1

Hong

Kong

AIA

Group

Ltd.

(94,600)

(954,783)

11,530

3.1

Hang

Lung

Properties

Ltd.

(269,000)

(553,348)

(17,247)

(4.7)

Hang

Seng

Bank

Ltd.

(36,000)

(659,216)

4,492

1.2

MTR

Corp.

Ltd.

(247,526)

(1,328,733)

(33,563)

(9.1)

Power

Assets

Holdings

Ltd.

(32,500)

(202,583)

(853)

(0.2)

Swire

Properties

Ltd.

(45,600)

(114,314)

(2,267)

(0.6)

Techtronic

Industries

Co.

Ltd.

(40,000)

(797,396)

806

0.2

Wharf

Real

Estate

Investment

Co.

Ltd.

(230,000)

(1,168,686)

6,660

1.8

110

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Macau

Galaxy

Entertainment

Group

Ltd.

(134,000)

(695,139)

(19,200)

(5.2)

Sands

China

Ltd.

(13,600)

(31,563)

(2,679)

(0.7)

SJM

Holdings

Ltd.

(615,000)

(414,339)

(31,021)

(8.4)

Wynn

Macau

Ltd.

(556,400)

(451,824)

(57,925)

(15.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-0.60%

to

0.03%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/10/2026

$257,625,978

$(39,156)

$279,813

$240,657

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Aisin

Corp.

40,100

1,538,540

(37,971)

(15.8)

Brother

Industries

Ltd.

71,900

1,385,838

39,652

16.5

DeNA

Co.

Ltd.

96,700

1,489,069

36,630

15.2

Iida

Group

Holdings

Co.

Ltd.

77,200

1,795,476

78,712

32.7

Japan

Post

Holdings

Co.

Ltd.

172,700

1,345,381

9,338

3.9

Japan

Post

Insurance

Co.

Ltd.

102,500

1,646,546

12,254

5.1

Mitsubishi

Electric

Corp.

152,200

1,931,881

(41,599)

(17.3)

Mizuho

Financial

Group,

Inc.

287,500

3,651,611

(28,892)

(12.0)

Nihon

Unisys

Ltd.

47,000

1,318,987

(10,876)

(4.5)

Nippon

Express

Co.

Ltd.

22,200

1,328,555

17,329

7.2

Nippon

Telegraph

&

Telephone

Corp.

52,600

1,438,519

(35,683)

(14.8)

Resona

Holdings,

Inc.

554,900

2,156,439

(10,882)

(4.5)

SCREEN

Holdings

Co.

Ltd.

13,700

1,472,108

64,499

26.8

Sekisui

House

Ltd.

89,600

1,927,811

78,216

32.5

Shimamura

Co.

Ltd.

26,100

2,190,326

(21,031)

(8.7)

Sumitomo

Heavy

Industries

Ltd.

63,300

1,536,470

83,025

34.5

Taisei

Corp.

54,200

1,648,227

(38,470)

(16.0)

Takeda

Pharmaceutical

Co.

Ltd.

58,300

1,592,075

(19)

(0.0)

Toyo

Suisan

Kaisha

Ltd.

31,300

1,327,070

(2,021)

(0.8)

Toyoda

Gosei

Co.

Ltd.

62,000

1,348,556

40,799

17.0

Toyota

Boshoku

Corp.

74,600

1,463,682

(7,652)

(3.2)

Yamada

Holdings

Co.

Ltd.

492,800

1,684,738

31,175

13.0

111

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(74,700)

(1,760,395)

54,867

22.8

ANA

Holdings,

Inc.

(63,300)

(1,323,279)

(28,474)

(11.8)

Chugai

Pharmaceutical

Co.

Ltd.

(42,300)

(1,378,812)

(51,031)

(21.2)

Daiichi

Sankyo

Co.

Ltd.

(57,000)

(1,450,732)

(56,619)

(23.5)

Daikin

Industries

Ltd.

(6,800)

(1,540,331)

2,021

0.8

Denso

Corp.

(37,500)

(3,107,658)

(71,306)

(29.6)

East

Japan

Railway

Co.

(27,300)

(1,678,282)

20,468

8.5

Fast

Retailing

Co.

Ltd.

(2,300)

(1,307,423)

53,160

22.1

Harmonic

Drive

Systems,

Inc.

(33,700)

(1,421,132)

130,095

54.1

JSR

Corp.

(41,500)

(1,577,145)

(4,940)

(2.1)

Kikkoman

Corp.

(29,800)

(2,509,489)

(126,917)

(52.7)

Kobe

Bussan

Co.

Ltd.

(54,400)

(2,106,231)

(153,356)

(63.7)

Lasertec

Corp.

(5,700)

(1,745,919)

(193,548)

(80.4)

M3,

Inc.

(32,200)

(1,623,568)

(68,148)

(28.3)

MonotaRO

Co.

Ltd.

(74,300)

(1,336,360)

19,456

8.1

Nidec

Corp.

(24,100)

(2,850,895)

7,847

3.3

Nippon

Paint

Holdings

Co.

Ltd.

(200,900)

(2,193,987)

53,218

22.1

Nitori

Holdings

Co.

Ltd.

(9,200)

(1,376,058)

112,107

46.6

Odakyu

Electric

Railway

Co.

Ltd.

(84,200)

(1,565,403)

50,047

20.8

Oriental

Land

Co.

Ltd.

(15,700)

(2,647,446)

21,616

9.0

Rakuten

Group,

Inc.

(182,400)

(1,830,067)

(62,703)

(26.1)

SoftBank

Corp.

(134,600)

(1,700,075)

30,616

12.7

Sony

Group

Corp.

(17,000)

(2,146,730)

(90,268)

(37.5)

Sysmex

Corp.

(10,800)

(1,457,801)

(74,745)

(31.1)

Tokio

Marine

Holdings,

Inc.

(42,600)

(2,371,527)

(15,893)

(6.6)

Toyota

Motor

Corp.

(142,400)

(2,631,921)

(31,477)

(13.1)

Yaskawa

Electric

Corp.

(46,300)

(2,271,740)

1,929

0.8

Z

Holdings

Corp.

(235,200)

(1,357,102)

12,985

5.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.03%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

01/13/2025

-

12/28/2026

$53,211,920

$(509,512)

$60,775

$(448,737)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

112

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Amundi

SA

9,512

784,592

15,487

(3.5)

Arkema

SA

5,110

721,250

16,092

(3.6)

Atos

SE

24,465

1,036,375

24,478

(5.5)

Bollore

SA

81,063

453,432

18,802

(4.2)

Bouygues

SA

22,624

809,849

27,352

(6.1)

Carrefour

SA

71,999

1,319,994

77,884

(17.4)

Casino

Guichard

Perrachon

SA

24,221

638,935

18,154

(4.0)

Cie

de

Saint-Gobain

20,406

1,435,493

13,557

(3.0)

Cie

Generale

des

Etablissements

Michelin

SCA

3,168

518,869

8,840

(2.0)

Eiffage

SA

8,565

883,084

54,627

(12.2)

Electricite

de

France

SA

152,287

1,791,093

(308,183)

68.7

Eutelsat

Communications

SA

51,816

632,392

(23,733)

5.3

Ipsen

SA

12,056

1,103,242

(150,846)

33.6

Kering

SA

726

582,508

4,321

(1.0)

La

Francaise

des

Jeux

SAEM

22,911

1,015,364

(12,755)

2.8

Orange

SA

85,522

913,562

20,014

(4.5)

Publicis

Groupe

SA

27,220

1,833,922

33,273

(7.4)

Renault

SA

15,452

536,036

10,092

(2.2)

Rexel

SA

56,060

1,135,354

(2,238)

0.5

Rubis

SCA

37,296

1,115,271

43,515

(9.7)

SEB

SA

4,642

723,368

12,432

(2.8)

Sodexo

SA

16,309

1,429,778

7,421

(1.7)

Thales

SA

12,762

1,085,620

12,119

(2.7)

Vivendi

SE

66,020

893,047

38,026

(8.5)

Luxembourg

Eurofins

Scientific

SE

10,183

1,261,588

18,244

(4.1)

SES

SA

73,564

582,991

(750)

0.2

Singapore

STMicroelectronics

NV

28,589

1,405,862

10,460

(2.3)

Short

Positions

Common

Stocks

France

Accor

SA

(36,148)

(1,171,681)

(59,593)

13.3

Aeroports

de

Paris

(12,597)

(1,625,060)

(95,981)

21.4

Air

Liquide

SA

(5,097)

(888,939)

9,623

(2.1)

Airbus

SE

(2,890)

(369,758)

(22,474)

5.0

Alstom

SA

(62,721)

(2,227,252)

15,927

(3.5)

AXA

SA

(17,517)

(521,363)

(12,250)

2.7

Danone

SA

(13,903)

(864,203)

(25,127)

5.6

Dassault

Systemes

SE

(6,959)

(412,984)

10,124

(2.3)

Edenred

(14,062)

(649,360)

(21,622)

4.8

Engie

SA

(50,490)

(747,524)

9,253

(2.1)

EssilorLuxottica

SA

(4,183)

(890,465)

(5,403)

1.2

Faurecia

SE

(9,415)

(447,928)

(15,113)

3.4

Getlink

SE

(70,970)

(1,175,426)

(72,294)

16.1

L'Oreal

SA

(2,480)

(1,182,496)

764

(0.2)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(575)

(475,199)

(7,106)

1.6

Orpea

SA

(6,465)

(648,364)

(40,896)

9.1

Pernod

Ricard

SA

(7,901)

(1,900,806)

(9,980)

2.2

Remy

Cointreau

SA

(7,920)

(1,925,109)

(76,141)

17.0

Safran

SA

(11,119)

(1,361,225)

(17,900)

4.0

SCOR

SE

(18,128)

(565,928)

(15,838)

3.5

SOITEC

(3,927)

(962,159)

12,178

(2.7)

113

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Veolia

Environnement

SA

(9,823)

(360,739)

(16,615)

3.7

United

States

Schneider

Electric

SE

(10,886)

(2,140,139)

(51,303)

11.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.48%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

01/13/2025

-

01/04/2027

$394,706,262

$3,194,421

$191,279

$3,385,700

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Allstate

Corp.

(The)

13,251

1,558,980

116,727

3.4

Capital

One

Financial

Corp.

10,794

1,566,101

(39,197)

(1.2)

Citigroup,

Inc.

38,313

2,313,722

(49,267)

(1.5)

Coca-Cola

Co.

(The)

33,576

1,988,035

143,928

4.3

Delta

Air

Lines,

Inc.

41,996

1,641,204

79,413

2.3

Fulton

Financial

Corp.

88,608

1,506,336

79,747

2.4

Global

Payments,

Inc.

13,257

1,792,081

91,640

2.7

Intel

Corp.

35,697

1,838,396

36,411

1.1

Lithia

Motors,

Inc.

4,737

1,406,652

60,729

1.8

ManpowerGroup,

Inc.

17,233

1,677,288

60,513

1.8

MDU

Resources

Group,

Inc.

47,589

1,467,645

105,172

3.1

MGM

Resorts

International

29,851

1,339,713

66,376

2.0

Oracle

Corp.

15,521

1,353,586

(24,213)

(0.7)

Schneider

National,

Inc.

62,255

1,675,282

86,534

2.6

SS&C

Technologies

Holdings,

Inc.

19,734

1,617,793

81,501

2.4

Texas

Roadhouse,

Inc.

28,505

2,544,926

39,317

1.2

Tyson

Foods,

Inc.

19,790

1,724,896

63,426

1.9

VMware,

Inc.

12,624

1,462,869

21,684

0.6

Short

Positions

Common

Stocks

United

States

American

Airlines

Group,

Inc.

(81,785)

(1,468,859)

16,243

0.5

American

Express

Co.

(8,424)

(1,378,166)

37,234

1.1

Aon

plc

(5,076)

(1,525,643)

(25,685)

(0.8)

Atmos

Energy

Corp.

(12,956)

(1,357,400)

(123,600)

(3.7)

Beyond

Meat,

Inc.

(34,766)

(2,265,353)

143,224

4.2

Bill.com

Holdings,

Inc.

(5,318)

(1,324,980)

28,259

0.8

114

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Cable

One,

Inc.

(890)

(1,569,470)

(47,955)

(1.4)

Caesars

Entertainment,

Inc.

(14,778)

(1,382,186)

(43,552)

(1.3)

CenterPoint

Energy,

Inc.

(65,484)

(1,827,658)

(24,229)

(0.7)

Charter

Communications,

Inc.

(2,917)

(1,901,796)

(114,841)

(3.4)

Clarivate

plc

(67,298)

(1,582,849)

64,452

1.9

DISH

Network

Corp.

(41,881)

(1,358,620)

(10,379)

(0.3)

DraftKings,

Inc.

(54,218)

(1,489,368)

187,928

5.6

Erie

Indemnity

Co.

(7,396)

(1,424,913)

(21,596)

(0.6)

First

Financial

Bankshares,

Inc.

(30,192)

(1,534,961)

6,944

0.2

First

Republic

Bank

(7,950)

(1,641,754)

25,917

0.8

Home

Depot,

Inc.

(The)

(4,736)

(1,965,487)

(17,381)

(0.5)

Hormel

Foods

Corp.

(53,202)

(2,596,790)

(209,020)

(6.2)

Marvell

Technology,

Inc.

(16,240)

(1,420,838)

41,250

1.2

McCormick

&

Co.,

Inc.

(Non-Voting)

(17,266)

(1,668,068)

(111,262)

(3.3)

NextEra

Energy,

Inc.

(21,223)

(1,981,379)

(73,219)

(2.2)

Norwegian

Cruise

Line

Holdings

Ltd.

(77,611)

(1,609,652)

33,434

1.0

NVIDIA

Corp.

(5,250)

(1,544,078)

47,474

1.4

Post

Holdings,

Inc.

(14,144)

(1,594,453)

(170,152)

(5.0)

Progressive

Corp.

(The)

(14,333)

(1,471,282)

(70,510)

(2.1)

Public

Service

Enterprise

Group,

Inc.

(21,505)

(1,435,029)

(53,298)

(1.6)

Realty

Income

Corp.

(22,684)

(1,623,948)

(95,953)

(2.8)

Signature

Bank

(4,274)

(1,382,511)

(34,705)

(1.0)

SVB

Financial

Group

(2,658)

(1,802,762)

71,311

2.1

Uber

Technologies,

Inc.

(36,631)

(1,535,938)

(160,810)

(4.7)

Wayfair,

Inc.

(11,278)

(2,142,482)

219,310

6.5

Welltower,

Inc.

(20,733)

(1,778,269)

(33,587)

(1.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-1.33%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-62

months

maturity

ranging

from

01/21/2025

-

12/29/2026

$47,336,108

$532,088

$(16,246)

$515,842

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Alimentation

Couche-Tard,

Inc.

12,372

518,373

49,450

9.6

ARC

Resources

Ltd.

51,208

465,546

32,496

6.3

Atco

Ltd.

22,016

743,178

4,755

0.9

Bank

of

Montreal

4,904

527,986

2,694

0.5

Canadian

Natural

Resources

Ltd.

11,842

500,379

31,770

6.2

Canadian

Tire

Corp.

Ltd.

4,816

690,790

11,740

2.3

115

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

CI

Financial

Corp.

25,738

537,976

(3,705)

(0.7)

Empire

Co.

Ltd.

21,642

659,380

(22,258)

(4.3)

Fairfax

Financial

Holdings

Ltd.

3,312

1,629,202

99,927

19.4

Finning

International,

Inc.

46,874

1,181,346

32,323

6.3

iA

Financial

Corp.,

Inc.

7,632

436,700

7,587

1.5

Imperial

Oil

Ltd.

22,148

798,760

55,329

10.7

Kinross

Gold

Corp.

142,409

826,343

20,081

3.9

Magna

International,

Inc.

16,277

1,317,009

33,946

6.6

Manulife

Financial

Corp.

53,513

1,019,960

26,732

5.2

Nutrien

Ltd.

7,115

534,799

21,067

4.1

Onex

Corp.

13,981

1,097,303

44,469

8.6

Open

Text

Corp.

8,564

406,484

3,305

0.6

Quebecor,

Inc.

27,462

619,819

9,886

1.9

Stantec,

Inc.

12,264

689,041

14,631

2.8

Suncor

Energy,

Inc.

41,099

1,028,328

54,480

10.6

TFI

International,

Inc.

3,685

413,290

15,546

3.0

Toromont

Industries

Ltd.

5,043

455,921

12,951

2.5

Tourmaline

Oil

Corp.

21,878

706,350

23,062

4.5

West

Fraser

Timber

Co.

Ltd.

6,792

647,977

43,706

8.5

Chile

Lundin

Mining

Corp.

82,093

641,194

(38,204)

(7.4)

United

States

BRP,

Inc.

5,610

491,393

31,390

6.1

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(25,083)

(1,076,331)

(22,989)

(4.5)

Canada

Air

Canada

(60,229)

(1,006,078)

(46,982)

(9.1)

Algonquin

Power

&

Utilities

Corp.

(68,508)

(989,479)

(16,877)

(3.3)

Ballard

Power

Systems,

Inc.

(117,569)

(1,476,874)

67,218

13.0

BCE,

Inc.

(19,687)

(1,024,231)

(1,803)

(0.3)

Boralex,

Inc.

(19,329)

(529,926)

1,057

0.2

Brookfield

Asset

Management,

Inc.

(24,015)

(1,450,260)

(44,401)

(8.6)

CAE,

Inc.

(34,915)

(880,776)

(11,133)

(2.2)

Cameco

Corp.

(18,598)

(405,497)

(3,517)

(0.7)

Canadian

Pacific

Railway

Ltd.

(12,092)

(869,702)

13,996

2.7

Canopy

Growth

Corp.

(66,247)

(578,178)

69,434

13.5

Dollarama,

Inc.

(12,463)

(623,766)

(12,026)

(2.3)

Element

Fleet

Management

Corp.

(56,096)

(571,182)

(14,403)

(2.8)

Emera,

Inc.

(18,694)

(934,294)

(6,018)

(1.2)

Franco-Nevada

Corp.

(6,837)

(945,543)

(14,697)

(2.8)

Innergex

Renewable

Energy,

Inc.

(54,004)

(794,082)

(7,896)

(1.5)

Keyera

Corp.

(31,265)

(705,159)

(11,972)

(2.3)

Pan

American

Silver

Corp.

(16,789)

(418,879)

(1,374)

(0.3)

Restaurant

Brands

International,

Inc.

(13,438)

(814,811)

(26,499)

(5.1)

Saputo,

Inc.

(26,584)

(598,952)

(3,218)

(0.6)

Shopify,

Inc.

(375)

(516,332)

(6,492)

(1.3)

TC

Energy

Corp.

(11,627)

(540,746)

2,400

0.5

TMX

Group

Ltd.

(4,451)

(451,275)

(12,080)

(2.3)

116

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-6.80%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

01/21/2025

-

12/28/2026

$28,631,065

$57,594

$24,647

$82,241

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Italy

A2A

SpA

133,148

259,456

3,867

4.7

Assicurazioni

Generali

SpA

4,865

102,821

381

0.5

Atlantia

SpA

14,464

286,992

1,129

1.4

Azimut

Holding

SpA

16,151

451,522

14,178

17.2

Banca

Generali

SpA

11,545

506,443

5,623

6.8

Banco

BPM

SpA

548,395

1,641,951

35,696

43.4

Buzzi

Unicem

SpA

74,559

1,606,441

18,532

22.5

Davide

Campari-Milano

NV

8,458

123,421

1,060

1.3

Enel

SpA

1,025

8,196

132

0.2

Eni

SpA

50,095

696,210

4,567

5.6

Hera

SpA

246,569

1,024,831

22,771

27.7

Italgas

SpA

153,995

1,058,542

37,393

45.5

Leonardo

SpA

36,049

257,678

7,607

9.2

Poste

Italiane

SpA

11,979

156,928

2,086

2.5

Prysmian

SpA

28,423

1,069,165

47,204

57.4

UniCredit

SpA

55,058

846,316

23,558

28.6

Unipol

Gruppo

SpA

152,039

823,347

12,854

15.6

United

Kingdom

CNH

Industrial

NV

44,517

860,701

55,372

67.3

United

States

Stellantis

NV

106,379

2,008,286

20,239

24.6

Short

Positions

Common

Stocks

Italy

Amplifon

SpA

(15,878)

(854,367)

(50,561)

(61.5)

Brembo

SpA

(2,058)

(29,276)

(433)

(0.5)

DiaSorin

SpA

(1,634)

(310,862)

(15,256)

(18.6)

Ferrari

NV

(7,703)

(1,982,800)

10,386

12.6

FinecoBank

Banca

Fineco

SpA

(107,758)

(1,887,116)

(25,204)

(30.6)

Infrastrutture

Wireless

Italiane

SpA

(157,387)

(1,908,483)

(36,663)

(44.6)

Interpump

Group

SpA

(837)

(61,311)

(3,165)

(3.8)

Intesa

Sanpaolo

SpA

(757,358)

(1,956,199)

(54,088)

(65.8)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(101,645)

(1,166,933)

(5,691)

(6.9)

Moncler

SpA

(7,019)

(507,251)

(2,060)

(2.5)

Nexi

SpA

(85,086)

(1,348,307)

3,515

4.3

117

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Italy

(continued)

Pirelli

&

C

SpA

(9,553)

(66,255)

(1,211)

(1.5)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(3,005)

(192,963)

(3,001)

(3.6)

Saipem

SpA

(186,946)

(391,969)

(19,662)

(23.9)

Salvatore

Ferragamo

SpA

(14,249)

(365,336)

(21,923)

(26.7)

Snam

SpA

(119,028)

(716,927)

(16,737)

(20.4)

Terna

-

Rete

Elettrica

Nazionale

(77,185)

(624,399)

(7,800)

(9.5)

United

States

Tenaris

SA

(45,134)

(471,064)

(7,101)

(8.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-1.00%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

01/21/2025

-

12/16/2026

$5,761,578

$73,801

$(7,731)

$66,070

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

18,000

55,396

900

1.4

Yangzijiang

Shipbuilding

Holdings

Ltd.

2,151,200

2,137,405

77,592

117.4

Singapore

Genting

Singapore

Ltd.

816,900

469,889

3,325

5.0

Oversea-Chinese

Banking

Corp.

Ltd.

29,000

245,449

860

1.3

Singapore

Technologies

Engineering

Ltd.

86,100

240,281

2,680

4.1

United

Overseas

Bank

Ltd.

17,500

349,505

(454)

(0.7)

Venture

Corp.

Ltd.

2,900

39,408

(291)

(0.4)

Short

Positions

Common

Stocks

Singapore

City

Developments

Ltd.

(115,200)

(582,841)

(3,331)

(5.0)

DBS

Group

Holdings

Ltd.

(5,737)

(138,944)

(833)

(1.3)

Keppel

Corp.

Ltd.

(108,400)

(412,246)

387

0.6

SATS

Ltd.

(32,500)

(93,776)

(1,387)

(2.1)

Singapore

Airlines

Ltd.

(156,200)

(579,151)

(14,578)

(22.1)

Singapore

Telecommunications

Ltd.

(242,400)

(417,287)

8,931

13.5

118

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.45%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-62

months

maturity

ranging

from

01/22/2025

-

12/28/2026

$172,209,443

$1,204,318

$100,227

$1,304,545

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Abbott

Laboratories

11,044

1,554,333

40,090

3.1

Allegion

plc

9,608

1,272,484

43,716

3.4

AmerisourceBergen

Corp.

8,747

1,162,389

67,439

5.2

Arrow

Electronics,

Inc.

14,003

1,880,183

126,727

9.7

Bristol-Myers

Squibb

Co.

20,765

1,294,698

14,474

1.1

Cigna

Corp.

5,452

1,251,943

53,064

4.1

Cisco

Systems,

Inc.

23,184

1,469,170

67,465

5.2

Dell

Technologies,

Inc.

24,161

1,357,123

31,944

2.4

DENTSPLY

SIRONA,

Inc.

22,133

1,234,800

45,186

3.5

Emerson

Electric

Co.

14,802

1,376,142

30,319

2.3

EOG

Resources,

Inc.

13,522

1,201,159

53,534

4.1

Exxon

Mobil

Corp.

21,383

1,308,426

24,388

1.9

General

Dynamics

Corp.

5,565

1,160,136

32,243

2.5

Goldman

Sachs

Group,

Inc.

(The)

3,857

1,475,495

228

0.0

Johnson

&

Johnson

8,920

1,525,944

25,333

1.9

Lennox

International,

Inc.

3,938

1,277,330

46,411

3.6

Lockheed

Martin

Corp.

2,982

1,059,833

32,020

2.5

McKesson

Corp.

4,873

1,211,282

74,261

5.7

Medtronic

plc

12,745

1,318,470

27,272

2.1

Merck

&

Co.,

Inc.

14,250

1,092,120

12,827

1.0

nVent

Electric

plc

32,174

1,222,612

75,609

5.8

Oshkosh

Corp.

10,161

1,145,246

45,521

3.5

Owens

Corning

19,478

1,762,759

67,190

5.2

Pfizer,

Inc.

24,518

1,447,788

(10,543)

(0.8)

Univar

Solutions,

Inc.

41,879

1,187,270

79,791

6.1

Vertex

Pharmaceuticals,

Inc.

5,521

1,212,412

27,936

2.1

Vishay

Intertechnology,

Inc.

61,780

1,351,129

106,578

8.2

Short

Positions

Common

Stocks

United

States

10X

Genomics,

Inc.

(9,501)

(1,415,269)

(52,351)

(4.0)

Amphenol

Corp.

(17,870)

(1,562,910)

(88,237)

(6.8)

Boeing

Co.

(The)

(5,924)

(1,192,620)

(40,180)

(3.1)

Catalent,

Inc.

(9,989)

(1,278,892)

(26,571)

(2.0)

Dexcom,

Inc.

(2,085)

(1,119,541)

38,343

2.9

119

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Exact

Sciences

Corp.

(14,768)

(1,149,393)

35,711

2.7

Fastenal

Co.

(19,058)

(1,220,855)

(33,577)

(2.6)

Guardant

Health,

Inc.

(13,891)

(1,389,378)

42,784

3.3

Honeywell

International,

Inc.

(5,297)

(1,104,477)

(17,811)

(1.4)

IDEX

Corp.

(4,541)

(1,073,129)

(34,466)

(2.6)

II-VI,

Inc.

(17,148)

(1,171,723)

(2,915)

(0.2)

Illinois

Tool

Works,

Inc.

(5,212)

(1,286,322)

(37,785)

(2.9)

Ingersoll

Rand,

Inc.

(20,008)

(1,237,895)

(72,862)

(5.6)

Insulet

Corp.

(5,391)

(1,434,383)

(12,975)

(1.0)

Jazz

Pharmaceuticals

plc

(9,284)

(1,182,782)

(19,589)

(1.5)

Ligand

Pharmaceuticals,

Inc.

(7,134)

(1,101,918)

(60,140)

(4.6)

Progyny,

Inc.

(24,071)

(1,211,975)

(11,421)

(0.9)

Rockwell

Automation,

Inc.

(3,481)

(1,214,347)

(24,905)

(1.9)

STERIS

plc

(5,377)

(1,308,816)

(46,924)

(3.6)

Trane

Technologies

plc

(5,999)

(1,211,978)

(34,023)

(2.6)

Trex

Co.,

Inc.

(12,329)

(1,664,785)

(79,152)

(6.1)

Trinity

Industries,

Inc.

(38,585)

(1,165,267)

(53,213)

(4.1)

Williams

Cos.,

Inc.

(The)

(49,251)

(1,282,496)

(9,962)

(0.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

6-52

months

maturity

05/12/2022

$35,974,842

$(270,021)

$(18,468)

$(288,489)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

4,381

166,972

2,793

(1.0)

Adecco

Group

AG

(Registered)

34,018

1,733,468

70,011

(24.3)

Baloise

Holding

AG

(Registered)

4,452

726,624

23,308

(8.1)

Barry

Callebaut

AG

(Registered)

134

325,305

4,433

(1.5)

BKW

AG

3,892

505,356

4,685

(1.6)

Bucher

Industries

AG

(Registered)

1,112

547,959

28,748

(10.0)

Cie

Financiere

Richemont

SA

598

89,362

3,158

(1.1)

DKSH

Holding

AG

7,038

580,109

16,869

(5.8)

dormakaba

Holding

AG

690

455,714

6,761

(2.3)

Galenica

AG

12,911

969,604

32,025

(11.1)

Geberit

AG

(Registered)

609

496,417

17,047

(5.9)

Georg

Fischer

AG

(Registered)

123

186,101

4,614

(1.6)

Holcim

Ltd.

17,273

878,489

25,391

(8.8)

Kuehne

+

Nagel

International

AG

(Registered)

1,613

519,478

27,620

(9.6)

120

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Novartis

AG

(Registered)

26,924

2,365,866

7,798

(2.7)

OC

Oerlikon

Corp.

AG

(Registered)

51,435

526,030

12,269

(4.3)

Roche

Holding

AG

1,881

780,354

(1,871)

0.6

Sonova

Holding

AG

(Registered)

180

70,343

3,245

(1.1)

Swatch

Group

AG

(The)

2,204

671,197

16,561

(5.7)

Swiss

Life

Holding

AG

(Registered)

546

333,593

1,129

(0.4)

Swisscom

AG

(Registered)

274

154,570

(1,193)

0.4

Tecan

Group

AG

(Registered)

949

576,390

8,720

(3.0)

Temenos

AG

(Registered)

6,779

934,427

(2,723)

0.9

UBS

Group

AG

(Registered)

91,967

1,650,743

20,494

(7.1)

United

States

Swiss

Re

AG

2,186

215,788

674

(0.2)

Short

Positions

Common

Stocks

Austria

ams

AG

(34,430)

(623,027)

(408)

0.1

Switzerland

Alcon,

Inc.

(685)

(60,421)

(1,724)

0.6

Bachem

Holding

AG

(Registered)

(729)

(570,841)

(59,625)

20.7

Belimo

Holding

AG

(Registered)

(15)

(9,525)

(745)

0.3

Chocoladefabriken

Lindt

&

Spruengli

AG

(118)

(1,635,579)

(84,883)

29.4

Credit

Suisse

Group

AG

(Registered)

(8,316)

(80,629)

(1,278)

0.4

Dufry

AG

(Registered)

(36,621)

(1,805,216)

(136,951)

47.5

EMS-Chemie

Holding

AG

(Registered)

(774)

(865,008)

(7,854)

2.7

Flughafen

Zurich

AG

(Registered)

(5,270)

(946,407)

(29,136)

10.1

Givaudan

SA

(Registered)

(290)

(1,521,516)

(9,621)

3.3

Helvetia

Holding

AG

(Registered)

(2,060)

(241,999)

(2,784)

1.0

Idorsia

Ltd.

(51,620)

(1,051,953)

(62,365)

21.6

Julius

Baer

Group

Ltd.

(1,062)

(71,018)

(2,525)

0.9

Logitech

International

SA

(Registered)

(5,786)

(485,374)

1,113

(0.4)

Lonza

Group

AG

(Registered)

(835)

(695,211)

(9,589)

3.3

Nestle

SA

(Registered)

(12,681)

(1,770,487)

919

(0.3)

Partners

Group

Holding

AG

(395)

(652,070)

(15,556)

5.4

Schindler

Holding

AG

(552)

(148,173)

(1,916)

0.7

SIG

Combibloc

Group

AG

(46,969)

(1,308,284)

(37,604)

13.0

Sika

AG

(Registered)

(7,344)

(3,052,294)

(73,550)

25.5

Straumann

Holding

AG

(Registered)

(284)

(600,544)

(32,525)

11.3

Sulzer

AG

(Registered)

(2,597)

(255,121)

(5,838)

2.0

VAT

Group

AG

(759)

(376,102)

(15,604)

5.4

Zurich

Insurance

Group

AG

(1,570)

(687,784)

(12,538)

4.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

3-49

months

maturity

02/14/2022

$18,424,501

$148,583

$3,963

$152,546

121

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

772

2,755,510

167,373

109.7

Carlsberg

A/S

4,853

837,860

28,623

18.8

Coloplast

A/S

1,668

293,693

13,380

8.8

Demant

A/S

6,180

316,454

21,173

13.9

DSV

A/S

2,985

695,589

42,307

27.7

Genmab

A/S

1,874

748,013

39,030

25.6

GN

Store

Nord

A/S

14,698

922,238

21,358

14.0

H

Lundbeck

A/S

29,828

767,998

40,268

26.4

ISS

A/S

6,889

130,621

3,037

2.0

Novo

Nordisk

A/S

7,089

796,278

(33,344)

(21.9)

Pandora

A/S

6,184

769,233

40,748

26.7

Royal

Unibrew

A/S

1,488

167,375

959

0.6

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(55,173)

(1,456,226)

(83,114)

(54.5)

Chr

Hansen

Holding

A/S

(17,806)

(1,404,010)

(18,154)

(11.9)

Novozymes

A/S

(15,800)

(1,297,335)

(34,823)

(22.8)

Orsted

A/S

(8,863)

(1,135,059)

(8,799)

(5.8)

ROCKWOOL

International

A/S

(1,412)

(616,589)

(16,705)

(11.0)

SimCorp

A/S

(4,028)

(439,019)

(18,988)

(12.4)

Tryg

A/S

(29,465)

(727,126)

(5,523)

(3.6)

Vestas

Wind

Systems

A/S

(70,539)

(2,148,275)

(50,223)

(32.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.50%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-61

months

maturity

12/16/2022

$90,211,792

$(584,170)

$23,873

$(560,297)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

122

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

18,168

940,872

30,635

(5.5)

Proximus

SADP

56,347

1,100,444

(35,803)

6.4

Germany

Aurubis

AG

9,177

917,351

20,559

(3.7)

BASF

SE

13,923

977,191

23,007

(4.1)

Bayerische

Motoren

Werke

AG

8,650

865,366

9,290

(1.7)

Brenntag

SE

13,607

1,228,765

52,423

(9.4)

Covestro

AG

22,214

1,367,228

52,880

(9.4)

Deutsche

Bank

AG

(Registered)

140,768

1,753,268

1,510

(0.3)

Deutsche

Post

AG

(Registered)

28,143

1,810,180

89,038

(15.9)

Freenet

AG

27,535

727,695

8,509

(1.5)

Rheinmetall

AG

9,723

915,033

15,433

(2.8)

Volkswagen

AG

3,805

764,361

1,836

(0.3)

Netherlands

ASML

Holding

NV

1,652

1,323,286

77,580

(13.8)

ASR

Nederland

NV

28,198

1,298,611

29,997

(5.4)

Koninklijke

Ahold

Delhaize

NV

59,138

2,029,401

8,609

(1.5)

NN

Group

NV

15,352

830,241

23,989

(4.3)

Signify

NV

21,814

1,012,863

56,407

(10.1)

Spain

Acerinox

SA

98,554

1,268,258

44,985

(8.0)

CaixaBank

SA

287,557

785,503

37,799

(6.7)

Enagas

SA

32,365

751,882

19,216

(3.4)

Endesa

SA

44,754

1,030,302

28,074

(5.0)

Fluidra

SA

18,147

723,743

51,984

(9.3)

Iberdrola

SA

68,594

812,152

50,009

(8.9)

Repsol

SA

184,942

2,190,292

96,090

(17.1)

Telefonica

SA

239,140

1,036,961

(12,726)

2.3

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(12,793)

(771,290)

2,983

(0.5)

Elia

Group

SA/NV

(6,287)

(828,664)

8,749

(1.6)

China

Prosus

NV

(23,277)

(1,927,919)

(76,903)

13.7

Finland

Orion

OYJ

(18,775)

(779,891)

(16,702)

3.0

Germany

Carl

Zeiss

Meditec

AG

(6,723)

(1,410,327)

590

(0.1)

CTS

Eventim

AG

&

Co.

KGaA

(14,139)

(1,033,462)

(57,287)

10.2

Evotec

SE

(23,252)

(1,122,464)

(34,695)

6.2

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(13,662)

(914,759)

(26,131)

4.7

Fresenius

Medical

Care

AG

&

Co.

KGaA

(13,219)

(856,964)

(38,260)

6.8

Hannover

Rueck

SE

(7,756)

(1,470,511)

(8,189)

1.5

Nemetschek

SE

(6,491)

(829,966)

(32,747)

5.8

Rational

AG

(1,115)

(1,140,383)

(37,065)

6.6

Siemens

AG

(Registered)

(4,761)

(824,619)

(22,827)

4.1

Siemens

Healthineers

AG

(10,759)

(802,183)

(18,652)

3.3

Zalando

SE

(13,926)

(1,121,830)

(14,110)

2.5

Netherlands

Argenx

SE

(5,603)

(1,992,472)

(225,395)

40.2

Heineken

NV

(8,616)

(969,643)

(13,730)

2.5

IMCD

NV

(7,388)

(1,632,772)

(40,365)

7.2

123

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Saudi

Arabia

Delivery

Hero

SE

(20,588)

(2,278,897)

(106,974)

19.1

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

(55,778)

(1,487,101)

(105,250)

18.8

Amadeus

IT

Group

SA

(23,524)

(1,591,734)

(100,503)

17.9

Banco

Bilbao

Vizcaya

Argentaria

SA

(209,243)

(1,241,017)

(48,641)

8.7

Bankinter

SA

(155,550)

(792,550)

(26,837)

4.8

Cellnex

Telecom

SA

(27,484)

(1,592,083)

(64,694)

11.5

Ferrovial

SA

(52,580)

(1,644,371)

(105,919)

18.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-49

months

maturity

02/14/2022

$10,309,121

$18,870

$3,499

$22,369

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

23,718

1,195,819

(12,178)

(54.4)

Norway

Equinor

ASA

45,147

1,195,461

(15,948)

(71.3)

Leroy

Seafood

Group

ASA

65,011

508,053

22,523

100.7

Norsk

Hydro

ASA

80,246

631,423

26,991

120.7

Orkla

ASA

140,434

1,407,649

40,520

181.1

Telenor

ASA

15,657

246,113

1,838

8.2

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(9,450)

(624,593)

19,330

86.4

France

Adevinta

ASA

(73,081)

(970,813)

1,364

6.1

Norway

Gjensidige

Forsikring

ASA

(24,002)

(582,311)

(4,666)

(20.9)

Mowi

ASA

(22,583)

(534,466)

(6,434)

(28.8)

Salmar

ASA

(9,903)

(683,009)

(15,388)

(68.8)

Schibsted

ASA

(14,841)

(572,190)

3,134

14.0

TOMRA

Systems

ASA

(14,161)

(1,012,628)

(41,335)

(184.8)

United

Kingdom

Subsea

7

SA

(20,213)

(144,593)

(881)

(3.9)

124

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.50%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-49

months

maturity

02/14/2022

$26,676,221

$(224,952)

$(471)

$(225,423)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Axfood

AB

1,463

42,117

1,468

(0.7)

Boliden

AB

8,232

317,424

4,250

(1.9)

Electrolux

AB

20,920

506,676

15,115

(6.7)

Elekta

AB

2,328

29,434

1,382

(0.6)

Getinge

AB

44,612

1,944,288

95,655

(42.4)

H

&

M

Hennes

&

Mauritz

AB

58,622

1,150,287

53,147

(23.6)

Husqvarna

AB

37,980

607,259

21,872

(9.7)

Indutrade

AB

2,162

66,008

7,420

(3.3)

Saab

AB

37,495

952,362

27,272

(12.1)

Securitas

AB

47,302

650,708

17,787

(7.9)

Skanska

AB

15,509

400,770

19,284

(8.6)

SKF

AB

40,487

957,507

22,996

(10.2)

SSAB

AB

108,116

624,912

10,448

(4.6)

Svenska

Handelsbanken

AB

140,365

1,517,058

58,569

(26.0)

Swedish

Match

AB

17,313

137,442

3,697

(1.6)

Swedish

Orphan

Biovitrum

AB

29,490

603,058

5,458

(2.4)

Telefonaktiebolaget

LM

Ericsson

151,316

1,664,936

37,755

(16.7)

Telia

Co.

AB

33,981

132,899

1,065

(0.5)

Trelleborg

AB

20,856

547,208

38,242

(17.0)

Volvo

AB

2,678

61,933

3,016

(1.3)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(12,625)

(358,883)

(14,011)

6.2

Finland

Nordea

Bank

Abp

(371)

(4,526)

(202)

0.1

Sweden

AAK

AB

(4,118)

(88,787)

(656)

0.3

Alfa

Laval

AB

(5,059)

(203,218)

(11,760)

5.2

Assa

Abloy

AB

(9,247)

(281,858)

(9,593)

4.3

Atlas

Copco

AB

(13,005)

(898,656)

(46,061)

20.4

Beijer

Ref

AB

(33,724)

(735,298)

(65,032)

28.8

BillerudKorsnas

AB

(12,998)

(244,617)

16,439

(7.3)

Embracer

Group

AB

(177,075)

(1,878,588)

(165,944)

73.6

Epiroc

AB

(35,282)

(892,134)

(32,542)

14.4

125

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

EQT

AB

(24,119)

(1,307,492)

32,134

(14.3)

Essity

AB

(22,957)

(748,968)

(12,224)

5.4

Evolution

AB

(6,049)

(854,972)

(66,076)

29.3

Hexagon

AB

(15,713)

(248,903)

(15,685)

7.0

Hexpol

AB

(12,667)

(169,393)

(5,459)

2.4

Holmen

AB

(10,126)

(484,941)

(19,351)

8.6

Lifco

AB

(2,221)

(66,338)

(5,500)

2.4

Nibe

Industrier

AB

(27,346)

(413,196)

(36,833)

16.3

Sandvik

AB

(2,122)

(59,148)

(766)

0.3

Sinch

AB

(99,112)

(1,250,629)

(121,014)

53.7

Skandinaviska

Enskilda

Banken

AB

(60,215)

(835,998)

(15,647)

6.9

Svenska

Cellulosa

AB

SCA

(36,880)

(654,410)

(17,500)

7.8

Sweco

AB

(17,576)

(330,735)

(29,043)

12.9

Swedbank

AB

(15,408)

(309,637)

(7,761)

3.4

Tele2

AB

(30,886)

(440,610)

(20,763)

9.2

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Cash

$

(490,013)

$

–

$

(490,013)

BARC

Cash

–

4,636,692

4,636,692

BNPP

Cash

20,490,000

–

20,490,000

CITI

Investment

Companies

618,052

–

618,052

GSIN

Cash

(2,820,334)

–

(2,820,334)

U.S.

Treasury

Bills

22,875,335

–

22,875,335

JPMC

U.S.

Treasury

Bills

16,450,723

–

16,450,723

MSIP

U.S.

Treasury

Bills

12,345,641

–

12,345,641

126

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

84.3%

INVESTMENT

COMPANIES

-

45.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

835,876

835,876

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

11,416,909

11,412,342

TOTAL

INVESTMENT

COMPANIES

(Cost

$12,248,217)

12,248,218

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

39.3%

U.S.

Treasury

Bills

0.05%,

1/6/2022

(c)

$

2,526,000

2,525,999

0.05%,

1/20/2022

(c)(d)

317,000

316,998

0.05%,

1/27/2022

(c)

209,000

208,996

0.05%,

2/24/2022

(c)

233,000

232,991

0.06%,

3/3/2022

(c)

120,000

119,991

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

39.3%

(continued)

0.05%,

3/10/2022

(c)(d)

$

249,000

248,981

0.04%,

3/17/2022

(c)

524,000

523,941

0.04%,

3/24/2022

(c)

485,000

484,940

0.05%,

3/31/2022

(c)(d)

1,216,000

1,215,845

0.05%,

4/7/2022

(c)

540,000

539,897

0.06%,

4/28/2022

(c)

1,399,000

1,398,659

0.07%,

5/12/2022

(c)

1,883,000

1,882,393

0.07%,

5/19/2022

(c)(d)

796,000

795,706

0.21%,

6/30/2022

(c)

194,000

193,822

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$10,689,473)

10,689,159

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$22,937,690)

22,937,377

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

84.3%

(Cost

$22,937,690)

22,937,377

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

15.7%

(e)

4,280,035

NET

ASSETS

-

100.0%

27,217,412

(a)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

December

31,

2021:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

3M

BBR

Qtrly

1.50%

Qtrly

3/07/2024

AUD

400,000

$

1,744

$

842

$

2,586

Pay

3M

BBR

Qtrly

1.50%

Qtrly

6/13/2024

AUD

16,700,000

24,593

22,893

47,486

Pay

3M

BBR

Qtrly

3.00%

Semi

6/16/2032

NZD

400,000

7,076

(345)

6,731

Pay

6M

NIBOR

Semi

2.00%

Annual

6/19/2024

NOK

30,000,000

13,493

(2,126)

11,367

Receive

1D

SARON

Annual

0.50%

Annual

3/18/2024

CHF

5,200,000

1,289

(445)

844

Receive

1D

SONIA

Annual

0.50%

Annual

6/17/2024

GBP

19,100,000

268,949

77,633

346,582

Receive

1D

SONIA

Annual

0.50%

Annual

3/16/2027

GBP

3,100,000

80,616

35,391

116,007

Receive

1D

SONIA

Annual

0.50%

Annual

6/15/2027

GBP

2,300,000

70,463

17,261

87,724

Receive

1D

TONAR

Annual

0.00%

Annual

3/16/2032

JPY

239,200,000

25,356

(8,370)

16,986

Receive

3M

BA

Qtrly

2.00%

Semi

3/15/2032

CAD

5,200,000

(62,253)

63,567

1,314

Receive

3M

BA

Qtrly

1.75%

Semi

6/14/2032

CAD

300,000

6,728

(316)

6,412

Receive

3M

BBR

Qtrly

2.00%

Semi

3/13/2024

NZD

1,400,000

12,298

(5,738)

6,560

Receive

3M

BBR

Qtrly

1.50%

Semi

3/13/2024

NZD

8,300,000

8,750

85,341

94,091

Receive

3M

LIBOR

Qtrly

0.50%

Semi

3/18/2024

USD

8,200,000

86,306

7,549

93,855

Receive

3M

LIBOR

Qtrly

0.50%

Semi

6/17/2024

USD

9,300,000

104,369

31,429

135,798

Receive

3M

LIBOR

Qtrly

1.50%

Semi

6/15/2032

USD

2,100,000

24,371

5,617

29,988

Receive

3M

STIBOR

Qtrly

0.00%

Annual

3/20/2024

SEK

66,900,000

20,391

35,824

56,215

Receive

6M

BBR

Semi

2.00%

Semi

3/11/2032

AUD

2,600,000

(4,342)

10,359

6,017

Receive

6M

BBR

Semi

2.00%

Semi

6/10/2032

AUD

2,400,000

14,005

998

15,003

Receive

6M

EURIBOR

Semi

0.50%

Annual

3/18/2024

EUR

21,800,000

26,834

106,013

132,847

127

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

6M

EURIBOR

Semi

0.50%

Annual

6/17/2024

EUR

25,200,000

$

157,515

$

45,593

$

203,108

888,551

528,970

1,417,521

Pay

1D

SARON

Annual

0.50%

Annual

6/17/2024

CHF

1,100,000

(907)

(922)

(1,829)

Pay

1D

SARON

Annual

0.00%

Annual

3/16/2032

CHF

300,000

(3,620)

(383)

(4,003)

Pay

1D

SARON

Annual

0.00%

Annual

6/15/2032

CHF

500,000

(280)

(8,147)

(8,427)

Pay

1D

SONIA

Annual

0.25%

Annual

3/18/2024

GBP

3,700,000

(84,840)

763

(84,077)

Pay

1D

SONIA

Annual

0.75%

Annual

3/16/2032

GBP

600,000

(14,962)

(1,362)

(16,324)

Pay

1D

SONIA

Annual

0.75%

Annual

6/15/2032

GBP

1,400,000

(5,229)

(34,156)

(39,385)

Pay

1D

TONAR

Annual

0.00%

Annual

6/15/2032

JPY

87,200,000

(4,521)

(2,330)

(6,851)

Pay

3M

BA

Qtrly

1.00%

Semi

3/14/2024

CAD

23,100,000

(199,761)

(59,994)

(259,755)

Pay

3M

BA

Qtrly

1.25%

Semi

6/13/2024

CAD

18,800,000

(185,716)

(893)

(186,609)

Pay

3M

BBR

Qtrly

0.50%

Qtrly

3/07/2024

AUD

18,300,000

(149,271)

4,049

(145,222)

Pay

3M

BBR

Qtrly

2.00%

Semi

3/10/2032

NZD

800,000

(16,761)

(16,138)

(32,899)

Pay

3M

STIBOR

Qtrly

1.00%

Annual

6/16/2032

SEK

1,900,000

2,675

(3,225)

(550)

Pay

6M

EURIBOR

Semi

0.25%

Annual

3/16/2032

EUR

1,900,000

40,299

(57,066)

(16,767)

Pay

6M

EURIBOR

Semi

0.00%

Annual

6/15/2032

EUR

4,000,000

(105,286)

(60,393)

(165,679)

Pay

6M

NIBOR

Semi

1.50%

Annual

3/20/2024

NOK

32,500,000

869

(16,057)

(15,188)

Pay

6M

NIBOR

Semi

1.50%

Annual

6/19/2024

NOK

10,000,000

(6,730)

(607)

(7,337)

Pay

6M

NIBOR

Semi

1.50%

Annual

3/17/2032

NOK

10,200,000

(44,639)

750

(43,889)

Receive

1D

TONAR

Annual

0.00%

Annual

3/18/2024

JPY

446,700,000

(2,738)

81

(2,657)

Receive

1D

TONAR

Annual

0.00%

Annual

6/17/2024

JPY

1,670,200,000

(10,075)

759

(9,316)

Receive

3M

BBR

Qtrly

2.50%

Semi

3/13/2024

NZD

3,400,000

11,107

(17,788)

(6,681)

Receive

3M

BBR

Qtrly

3.00%

Semi

6/12/2024

NZD

19,000,000

(90,304)

(20,745)

(111,049)

Receive

3M

LIBOR

Qtrly

1.75%

Semi

3/16/2032

USD

200,000

(2,702)

114

(2,588)

Receive

3M

STIBOR

Qtrly

0.50%

Annual

3/20/2024

SEK

40,400,000

(13,941)

2,925

(11,016)

Receive

3M

STIBOR

Qtrly

0.50%

Annual

6/19/2024

SEK

24,600,000

(2,547)

1,282

(1,265)

(889,880)

(289,483)

(1,179,363)

$

(1,329)

$

239,487

$

238,158

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

December

31,

2021

were

as

follows:

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

0.19%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

-0.68%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.02%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.07%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.52%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.21%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

-0.05%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.21%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

-0.55%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

1.09%

128

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

Total

return

swap

contracts

outstanding

as

of

December

31,

2021

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

DTOP

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/17/2022

ZAR

377,850

$

412

iBovespa

Index

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

02/16/2022

BRL

(7,936,125)

50,969

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/10/2022

KRW

197,125,000

2,669

SGX

NIFTY

50

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/27/2022

USD

104,637

1,469

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/18/2022

CHF

2,687,580

89,156

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/19/2022

TWD

3,641,800

4,450

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/19/2022

TWD

10,925,400

13,231

Tel

Aviv

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/26/2022

ILS

593,418

1,538

WIG20

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/18/2022

PLN

364,640

2,580

MSCI

Brazil

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

CDI

plus

or

minus

a

specified

spread

(-0.45%)

Monthly

GSIN

03/16/2022

BRL

(598,489)

3,094

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SORA

plus

or

minus

a

specified

spread

(0.20%)

Monthly

GSIN

03/16/2022

SGD

(165,727)

3,161

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(0.03%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/16/2022

CHF

94,771

2,360

175,089

129

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2022

HKD

(7,026,950)

$

(10,994)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/28/2022

HKD

(1,240,050)

(2,295)

MSCI

Australia

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BBR

plus

or

minus

a

specified

spread

(0.07%)

Monthly

GSIN

03/16/2022

AUD

(440,045)

(10)

MSCI

Emerging

Markets

Thailand

Net

Total

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.25%)

Monthly

JPMC

03/16/2022

USD

(138,641)

(3,631)

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

(-0.22%)

Monthly

GSIN

03/16/2022

EUR

(619,273)

(21,262)

(38,192)

$

136,897

Futures

contracts

outstanding

as

of

December

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

4

1/2022

USD

$

311,120

$

8,062

CAC

40

10

Euro

Index

13

1/2022

EUR

1,057,200

28,481

LME

Aluminum

Base

Metal

1

1/2022

USD

70,071

3,239

LME

Aluminum

Base

Metal

1

1/2022

USD

70,050

(2,128)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,075

(10,178)

LME

Aluminum

Base

Metal

4

1/2022

USD

280,259

(4,953)

LME

Copper

Base

Metal

2

1/2022

USD

487,363

(7,215)

LME

Copper

Base

Metal

2

1/2022

USD

487,059

(8,197)

LME

Nickel

Base

Metal

1

1/2022

USD

125,100

2,941

LME

Nickel

Base

Metal

1

1/2022

USD

125,151

3,975

LME

Nickel

Base

Metal

2

1/2022

USD

250,482

6,374

LME

Zinc

Base

Metal

1

1/2022

USD

89,500

14,272

LME

Zinc

Base

Metal

1

1/2022

USD

89,348

3,068

LME

Zinc

Base

Metal

1

1/2022

USD

89,469

966

LME

Zinc

Base

Metal

1

1/2022

USD

89,500

(2,757)

LME

Zinc

Base

Metal

2

1/2022

USD

179,100

(10,156)

130

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

OMXS30

Index

17

1/2022

SEK

$

455,139

$

19,069

SGX

FTSE

Taiwan

Index

7

1/2022

USD

448,980

2,130

SGX

NIFTY

50

Index

18

1/2022

USD

627,822

9,252

WTI

Crude

Oil

2

1/2022

USD

150,420

10,296

LME

Aluminum

Base

Metal

1

2/2022

USD

70,085

2,332

LME

Aluminum

Base

Metal

1

2/2022

USD

70,091

3,463

LME

Aluminum

Base

Metal

1

2/2022

USD

70,113

3,408

LME

Aluminum

Base

Metal

1

2/2022

USD

70,082

1,854

LME

Aluminum

Base

Metal

1

2/2022

USD

70,113

2,860

LME

Aluminum

Base

Metal

1

2/2022

USD

70,103

6,225

LME

Aluminum

Base

Metal

1

2/2022

USD

70,106

4,984

LME

Copper

Base

Metal

1

2/2022

USD

243,288

2,772

LME

Nickel

Base

Metal

1

2/2022

USD

124,753

3,670

LME

Nickel

Base

Metal

1

2/2022

USD

124,785

9,762

LME

Nickel

Base

Metal

1

2/2022

USD

124,743

4,140

LME

Zinc

Base

Metal

2

2/2022

USD

177,615

16,996

Australia

10

Year

Bond

87

3/2022

AUD

8,808,854

(29,337)

Canada

10

Year

Bond

3

3/2022

CAD

338,029

345

Copper

5

3/2022

USD

557,938

6,510

Corn

11

3/2022

USD

326,288

1,015

EURO

STOXX

50

Index

98

3/2022

EUR

4,783,692

117,952

Euro-Bund

35

3/2022

EUR

6,832,252

(92,020)

FTSE/JSE

Top

40

Index

14

3/2022

ZAR

588,571

11,310

FTSE/MIB

Index

17

3/2022

EUR

2,636,857

59,850

Japan

10

Year

Bond

2

3/2022

JPY

2,636,356

(6,337)

KOSPI

200

Index

17

3/2022

KRW

1,409,516

10,209

LME

Aluminum

Base

Metal

1

3/2022

USD

70,166

(809)

LME

Aluminum

Base

Metal

1

3/2022

USD

70,158

(602)

LME

Aluminum

Base

Metal

1

3/2022

USD

70,144

3,741

LME

Aluminum

Base

Metal

2

3/2022

USD

140,363

10,269

LME

Aluminum

Base

Metal

2

3/2022

USD

140,425

11,069

LME

Aluminum

Base

Metal

2

3/2022

USD

140,450

8,244

LME

Aluminum

Base

Metal

3

3/2022

USD

210,638

(661)

LME

Aluminum

Base

Metal

4

3/2022

USD

280,600

13,088

LME

Aluminum

Base

Metal

4

3/2022

USD

280,750

(1,737)

LME

Aluminum

Base

Metal

9

3/2022

USD

631,800

(3,226)

LME

Copper

Base

Metal

1

3/2022

USD

243,288

4,035

LME

Copper

Base

Metal

1

3/2022

USD

243,025

1,351

LME

Copper

Base

Metal

1

3/2022

USD

243,019

1,138

LME

Copper

Base

Metal

2

3/2022

USD

486,575

2,738

LME

Copper

Base

Metal

2

3/2022

USD

486,238

17,732

LME

Lead

Base

Metal

1

3/2022

USD

57,850

335

LME

Nickel

Base

Metal

1

3/2022

USD

124,788

6,105

LME

Nickel

Base

Metal

5

3/2022

USD

623,805

13,050

LME

Zinc

Base

Metal

1

3/2022

USD

88,700

5,222

LME

Zinc

Base

Metal

1

3/2022

USD

88,797

8,481

LME

Zinc

Base

Metal

1

3/2022

USD

88,788

7,735

LME

Zinc

Base

Metal

1

3/2022

USD

88,700

8,060

LME

Zinc

Base

Metal

2

3/2022

USD

176,975

534

LME

Zinc

Base

Metal

3

3/2022

USD

265,200

2,645

LME

Zinc

Base

Metal

6

3/2022

USD

530,250

3,282

LME

Zinc

Base

Metal

7

3/2022

USD

619,792

31,758

LME

Zinc

Base

Metal

16

3/2022

USD

1,419,200

57,137

MEX

BOLSA

Index

2

3/2022

MXN

52,514

2,421

S&P/TSX

60

Index

1

3/2022

CAD

202,522

(1,285)

Soybean

1

3/2022

USD

66,963

298

131

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

TOPIX

Index

18

3/2022

JPY

$

3,117,100

$

12,877

U.S.

Treasury

Ultra

Bond

4

3/2022

USD

784,500

(10,190)

423,339

Short

Contracts

FTSE

Bursa

Malaysia

KLCI

Index

(1)

1/2022

MYR

(18,705)

(264)

Hang

Seng

Index

(10)

1/2022

HKD

(1,503,742)

(18,788)

HSCEI

(15)

1/2022

HKD

(795,154)

(10,802)

IBEX

35

Index

(14)

1/2022

EUR

(1,384,207)

(57,925)

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,075)

9,558

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,050)

2,097

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,071)

(2,267)

LME

Aluminum

Base

Metal

(4)

1/2022

USD

(280,259)

5,282

LME

Copper

Base

Metal

(2)

1/2022

USD

(487,363)

5,707

LME

Copper

Base

Metal

(2)

1/2022

USD

(487,059)

5,758

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,151)

(5,004)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,100)

(3,002)

LME

Nickel

Base

Metal

(2)

1/2022

USD

(250,482)

(6,168)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,469)

(487)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,348)

(2,975)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,500)

1,201

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,500)

(13,795)

LME

Zinc

Base

Metal

(2)

1/2022

USD

(179,100)

8,125

MSCI

Singapore

Index

(2)

1/2022

SGD

(50,482)

(293)

Natural

Gas

(4)

1/2022

USD

(149,200)

2,927

SGX

FTSE

China

A50

Index

(1)

1/2022

USD

(15,699)

155

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,082)

(1,910)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,091)

(4,749)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,113)

(2,865)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,113)

(2,610)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,085)

(2,418)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,103)

(6,024)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,106)

(5,122)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,288)

(3,508)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(124,785)

(9,514)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(124,753)

(4,246)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(124,743)

(3,797)

LME

Zinc

Base

Metal

(2)

2/2022

USD

(177,615)

(16,486)

Australia

3

Year

Bond

(6)

3/2022

AUD

(498,299)

(145)

DAX

Index

(3)

3/2022

EUR

(1,353,904)

(32,459)

DJIA

CBOT

E-Mini

Index

(3)

3/2022

USD

(543,390)

(9,154)

Euro-Bobl

(12)

3/2022

EUR

(1,820,735)

7,552

Euro-BTP

(24)

3/2022

EUR

(4,015,535)

58,668

Euro-Buxl

(1)

3/2022

EUR

(235,465)

9,687

Euro-OAT

(6)

3/2022

EUR

(1,114,888)

15,169

Euro-Schatz

(17)

3/2022

EUR

(2,168,285)

1,290

FTSE

100

Index

(59)

3/2022

GBP

(5,848,906)

(67,275)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,144)

(3,759)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,166)

731

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,158)

90

LME

Aluminum

Base

Metal

(2)

3/2022

USD

(140,425)

(10,772)

LME

Aluminum

Base

Metal

(2)

3/2022

USD

(140,363)

(10,076)

LME

Aluminum

Base

Metal

(2)

3/2022

USD

(140,450)

(8,435)

LME

Aluminum

Base

Metal

(3)

3/2022

USD

(210,638)

254

LME

Aluminum

Base

Metal

(4)

3/2022

USD

(280,750)

1,238

LME

Aluminum

Base

Metal

(4)

3/2022

USD

(280,600)

(12,527)

LME

Aluminum

Base

Metal

(14)

3/2022

USD

(982,800)

(57,497)

132

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

3/2022

USD

$

(243,019)

$

(1,271)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,025)

(1,778)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(5,427)

LME

Copper

Base

Metal

(2)

3/2022

USD

(486,238)

(16,559)

LME

Copper

Base

Metal

(3)

3/2022

USD

(729,863)

(21,895)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,788)

(5,601)

LME

Nickel

Base

Metal

(3)

3/2022

USD

(374,283)

(14,154)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,788)

(6,872)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,797)

(8,434)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,700)

(5,827)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,700)

(7,525)

LME

Zinc

Base

Metal

(2)

3/2022

USD

(176,975)

444

LME

Zinc

Base

Metal

(3)

3/2022

USD

(265,200)

(2,283)

LME

Zinc

Base

Metal

(6)

3/2022

USD

(530,250)

(959)

LME

Zinc

Base

Metal

(7)

3/2022

USD

(619,792)

(32,041)

LME

Zinc

Base

Metal

(13)

3/2022

USD

(1,153,100)

(53,258)

Long

Gilt

(95)

3/2022

GBP

(16,064,405)

85,199

MSCI Emerging Markets E-Mini Index

(3)

3/2022

USD

(183,945)

539

NASDAQ

100

E-Mini

Index

(1)

3/2022

USD

(326,415)

(3,399)

Russell

2000

E-Mini

Index

(3)

3/2022

USD

(336,420)

(4,124)

S&P

500

E-Mini

Index

(27)

3/2022

USD

(6,423,975)

(95,952)

S&P

Midcap

400

E-Mini

Index

(1)

3/2022

USD

(283,770)

(10,416)

SET50

Index

(46)

3/2022

THB

(271,772)

(4,023)

Soybean

Meal

(3)

3/2022

USD

(119,730)

(9,282)

Soybean

Oil

(1)

3/2022

USD

(33,918)

(2,124)

SPI

200

Index

(8)

3/2022

AUD

(1,069,062)

(15,579)

U.S.

Treasury

10

Year

Note

(56)

3/2022

USD

(7,298,375)

47,131

U.S.

Treasury

2

Year

Note

(35)

3/2022

USD

(7,634,648)

4,221

U.S.

Treasury

5

Year

Note

(150)

3/2022

USD

(18,133,594)

(58,316)

U.S.

Treasury

Long

Bond

(3)

3/2022

USD

(479,813)

(7,248)

Wheat

(10)

3/2022

USD

(385,375)

8,852

(509,590)

$

(86,251)

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

2,451,000

USD

1,767,802

CITI

3/16/2022

$

15,743

AUD

2,451,000

USD

1,767,804

JPMC

3/16/2022

15,741

BRL

4,201,503

USD

733,315

CITI

**

3/16/2022

8,003

BRL

4,201,497

USD

733,315

JPMC

**

3/16/2022

8,002

CAD

4,488,168

USD

3,522,588

CITI

3/16/2022

24,999

CAD

4,488,168

USD

3,523,572

JPMC

3/16/2022

24,016

CHF

3,416,000

USD

3,711,779

CITI

3/16/2022

44,035

CHF

3,416,000

USD

3,711,784

JPMC

3/16/2022

44,030

CNY

5,361,813

USD

833,546

CITI

**

3/16/2022

5,980

CNY

5,361,812

USD

833,547

JPMC

**

3/16/2022

5,979

CZK

3,950,000

USD

175,432

CITI

3/16/2022

4,128

CZK

3,950,000

USD

175,432

JPMC

3/16/2022

4,128

EUR

3,788,500

USD

4,291,091

CITI

3/16/2022

28,388

EUR

3,788,500

USD

4,291,096

JPMC

3/16/2022

28,382

133

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

GBP

1,375,500

USD

1,831,251

CITI

3/16/2022

$

29,975

GBP

1,375,500

USD

1,831,253

JPMC

3/16/2022

29,973

HUF

144,431,500

USD

435,644

CITI

3/16/2022

6,324

HUF

144,431,500

USD

435,645

JPMC

3/16/2022

6,323

IDR

9,652,577,502

USD

669,316

CITI

**

3/16/2022

4,173

IDR

9,652,577,498

USD

669,317

JPMC

**

3/16/2022

4,172

INR

78,003,509

USD

1,031,470

CITI

**

3/16/2022

6,750

INR

78,003,491

USD

1,031,472

JPMC

**

3/16/2022

6,748

JPY

38,108,500

USD

331,427

CITI

3/16/2022

61

JPY

38,108,500

USD

331,427

JPMC

3/16/2022

61

KRW

38,871,000

USD

32,623

CITI

**

3/16/2022

10

KRW

38,871,000

USD

32,623

JPMC

**

3/16/2022

10

MXN

34,755,002

USD

1,620,499

CITI

3/16/2022

55,836

MXN

34,754,998

USD

1,620,501

JPMC

3/16/2022

55,834

NOK

21,411,000

USD

2,386,966

CITI

3/16/2022

41,097

NOK

21,411,000

USD

2,386,969

JPMC

3/16/2022

41,094

PLN

7,061,504

USD

1,719,250

CITI

3/16/2022

24,081

PLN

7,061,496

USD

1,719,250

JPMC

3/16/2022

24,079

RUB

32,096,000

USD

419,494

CITI

**

3/16/2022

3,012

RUB

32,095,998

USD

419,494

JPMC

**

3/16/2022

3,011

SEK

4,063,527

USD

447,145

CITI

3/16/2022

2,811

SEK

4,063,526

USD

447,146

JPMC

3/16/2022

2,811

SGD

845,500

USD

618,508

CITI

3/16/2022

8,670

SGD

845,500

USD

618,508

JPMC

3/16/2022

8,669

THB

1,021,439

USD

30,287

CITI

3/16/2022

281

THB

1,021,437

USD

30,287

JPMC

3/16/2022

281

USD

147,934

AUD

203,126

CITI

3/16/2022

123

USD

147,932

AUD

203,124

JPMC

3/16/2022

123

USD

97,288

CAD

123,000

CITI

3/16/2022

65

USD

97,288

CAD

123,000

JPMC

3/16/2022

65

USD

524,053

CLP

438,497,000

CITI

**

3/16/2022

14,946

USD

524,052

CLP

438,497,000

JPMC

**

3/16/2022

14,945

USD

36,329

CNY

232,000

CITI

**

3/16/2022

4

USD

36,329

CNY

232,000

JPMC

**

3/16/2022

4

USD

139,267

COP

555,000,000

CITI

**

3/16/2022

3,845

USD

139,267

COP

555,000,000

JPMC

**

3/16/2022

3,845

USD

37,626

HUF

12,221,500

CITI

3/16/2022

227

USD

37,626

HUF

12,221,500

JPMC

3/16/2022

227

USD

127,911

ILS

395,000

CITI

3/16/2022

783

USD

127,911

ILS

395,000

JPMC

3/16/2022

783

USD

2,031,120

JPY

231,498,750

CITI

3/16/2022

17,421

USD

2,031,118

JPY

231,498,750

JPMC

3/16/2022

17,418

USD

1,122,503

KRW

1,331,776,000

CITI

**

3/16/2022

4,462

USD

1,122,502

KRW

1,331,776,000

JPMC

**

3/16/2022

4,460

USD

810,579

PHP

41,200,000

CITI

**

3/16/2022

13,511

USD

810,578

PHP

41,200,000

JPMC

**

3/16/2022

13,510

USD

779,025

RUB

58,318,504

CITI

**

3/16/2022

11,331

USD

779,024

RUB

58,318,496

JPMC

**

3/16/2022

11,330

USD

175,779

SEK

1,583,000

CITI

3/16/2022

493

USD

175,779

SEK

1,583,000

JPMC

3/16/2022

492

USD

1,152

THB

38,000

CITI

3/16/2022

16

USD

1,152

THB

38,000

JPMC

3/16/2022

16

USD

233,450

TWD

6,425,000

CITI

**

3/16/2022

446

USD

233,450

TWD

6,425,000

JPMC

**

3/16/2022

446

USD

470,083

ZAR

7,530,000

CITI

3/16/2022

2,249

USD

470,082

ZAR

7,530,000

JPMC

3/16/2022

2,247

ZAR

7,652,771

USD

469,702

CITI

3/16/2022

5,758

134

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ZAR

7,652,757

USD

469,702

JPMC

3/16/2022

$

5,757

Total

unrealized

appreciation

779,049

CLP

732,497,002

USD

868,195

CITI

**

3/16/2022

(17,747)

CLP

732,496,998

USD

868,196

JPMC

**

3/16/2022

(17,748)

COP

690,000,000

USD

172,645

CITI

**

3/16/2022

(4,283)

COP

690,000,000

USD

172,646

JPMC

**

3/16/2022

(4,283)

HUF

497,500

USD

1,532

CITI

3/16/2022

(10)

HUF

497,500

USD

1,532

JPMC

3/16/2022

(10)

ILS

35,000

USD

11,355

CITI

3/16/2022

(91)

ILS

35,000

USD

11,355

JPMC

3/16/2022

(91)

JPY

249,104,501

USD

2,204,247

CITI

3/16/2022

(37,403)

JPY

249,104,499

USD

2,204,249

JPMC

3/16/2022

(37,406)

KRW

443,251,500

USD

376,087

CITI

**

3/16/2022

(3,973)

KRW

443,251,500

USD

376,088

JPMC

**

3/16/2022

(3,973)

NZD

3,753,000

USD

2,618,192

CITI

3/16/2022

(50,670)

NZD

3,753,000

USD

2,618,196

JPMC

3/16/2022

(50,673)

PHP

9,700,000

USD

191,832

CITI

**

3/16/2022

(4,173)

PHP

9,700,000

USD

191,832

JPMC

**

3/16/2022

(4,173)

RUB

24,839,002

USD

330,305

CITI

**

3/16/2022

(3,329)

RUB

24,839,000

USD

330,305

JPMC

**

3/16/2022

(3,329)

SEK

10,684,974

USD

1,190,264

CITI

3/16/2022

(7,111)

SEK

10,684,973

USD

1,190,265

JPMC

3/16/2022

(7,113)

THB

1,541,564

USD

46,903

CITI

3/16/2022

(767)

THB

1,541,560

USD

46,903

JPMC

3/16/2022

(767)

USD

3,904,691

AUD

5,451,878

CITI

3/16/2022

(62,536)

USD

3,904,682

AUD

5,451,872

JPMC

3/16/2022

(62,541)

USD

539,035

BRL

3,136,500

CITI

**

3/16/2022

(14,373)

USD

539,034

BRL

3,136,500

JPMC

**

3/16/2022

(14,374)

USD

391,526

CAD

497,000

CITI

3/16/2022

(1,318)

USD

391,526

CAD

497,000

JPMC

3/16/2022

(1,319)

USD

4,152,398

CHF

3,827,004

CITI

3/16/2022

(55,306)

USD

4,152,384

CHF

3,826,996

JPMC

3/16/2022

(55,311)

USD

1,138

CLP

1,000,000

CITI

**

3/16/2022

(23)

USD

1,138

CLP

1,000,000

JPMC

**

3/16/2022

(23)

USD

77,618

CNY

498,500

CITI

**

3/16/2022

(434)

USD

77,618

CNY

498,500

JPMC

**

3/16/2022

(434)

USD

306,643

CZK

6,950,000

CITI

3/16/2022

(9,292)

USD

306,642

CZK

6,950,000

JPMC

3/16/2022

(9,293)

USD

5,461,628

EUR

4,826,004

CITI

3/16/2022

(40,767)

USD

5,461,612

EUR

4,825,996

JPMC

3/16/2022

(40,773)

USD

4,072,363

GBP

3,050,004

CITI

3/16/2022

(54,681)

USD

4,072,252

GBP

3,049,996

JPMC

3/16/2022

(54,780)

USD

123,748

HUF

40,806,500

CITI

3/16/2022

(1,121)

USD

123,748

HUF

40,806,500

JPMC

3/16/2022

(1,122)

USD

824,728

IDR

11,932,577,504

CITI

**

3/16/2022

(7,844)

USD

824,727

IDR

11,932,577,496

JPMC

**

3/16/2022

(7,845)

USD

93,388

ILS

295,000

CITI

3/16/2022

(1,555)

USD

93,388

ILS

295,000

JPMC

3/16/2022

(1,555)

USD

1,383,641

INR

105,007,003

CITI

**

3/16/2022

(13,994)

USD

1,383,639

INR

105,006,997

JPMC

**

3/16/2022

(13,996)

USD

1,376,392

JPY

158,261,751

CITI

3/16/2022

(253)

USD

1,376,390

JPY

158,261,749

JPMC

3/16/2022

(255)

USD

232,210

KRW

276,759,500

CITI

**

3/16/2022

(132)

USD

232,210

KRW

276,759,500

JPMC

**

3/16/2022

(132)

USD

749,153

MXN

16,031,501

CITI

3/16/2022

(24,093)

USD

749,152

MXN

16,031,499

JPMC

3/16/2022

(24,094)

USD

2,214,278

NOK

20,063,000

CITI

3/16/2022

(60,919)

USD

2,214,275

NOK

20,063,000

JPMC

3/16/2022

(60,922)

135

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

(Continued)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

444,600

NZD

657,500

CITI

3/16/2022

$

(5,212)

USD

444,599

NZD

657,500

JPMC

3/16/2022

(5,213)

USD

1,169,623

PLN

4,839,001

CITI

3/16/2022

(25,021)

USD

1,169,621

PLN

4,838,999

JPMC

3/16/2022

(25,022)

USD

631,172

RUB

48,122,005

CITI

**

3/16/2022

(2,297)

USD

631,171

RUB

48,121,995

JPMC

**

3/16/2022

(2,298)

USD

1,893,496

SEK

17,214,501

CITI

3/16/2022

(12,674)

USD

1,893,493

SEK

17,214,499

JPMC

3/16/2022

(12,676)

USD

1,173,939

SGD

1,600,500

CITI

3/16/2022

(13,285)

USD

1,173,937

SGD

1,600,500

JPMC

3/16/2022

(13,286)

USD

5,067

THB

171,000

CITI

3/16/2022

(51)

USD

5,067

THB

171,000

JPMC

3/16/2022

(51)

USD

232,637

TWD

6,425,000

CITI

**

3/16/2022

(366)

USD

232,637

TWD

6,425,000

JPMC

**

3/16/2022

(367)

USD

199,919

ZAR

3,237,500

CITI

3/16/2022

(1,226)

USD

199,918

ZAR

3,237,500

JPMC

3/16/2022

(1,225)

ZAR

5,328,737

USD

333,051

CITI

3/16/2022

(1,978)

ZAR

5,328,735

USD

333,052

JPMC

3/16/2022

(1,978)

Total

unrealized

depreciation

(1,080,759)

Net

unrealized

depreciation

$

(301,710)

**

Non-deliverable

forward.

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

2,246,882

$

2,246,882

CITI

Investment

Companies

334,206

–

334,206

CRSU

Cash

–

491,103

491,103

GSCO

Cash

–

369,670

369,670

GSIN

U.S.

Treasury

Bills

299,966

–

299,966

JPMC

Investment

Companies

501,669

–

501,669

JPMS

Cash

–

207,579

207,579

MLIN

Cash

(120,016)

–

(120,016)

MSCL

Cash

–

489,984

489,984

136

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

Consolidated

Schedule

of

Investments

December

31,

2021

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

30,495

$

30,495

JPPC

Cash

–

123,576

123,576

MSCL

Cash

–

111,232

111,232

137

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

(a)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

December

31,

2021,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

94.8%

INVESTMENT

COMPANIES

-

19.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

16,050,927

16,050,927

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)(c)

176,492,443

176,421,846

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(1)(a)

1,407,120

1,407,120

TOTAL

INVESTMENT

COMPANIES

(Cost

$193,880,349)

193,879,893

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

75.8%

U.S.

Treasury

Bills

0.05%,

1/6/2022

(d)

$

2,567,000

2,566,999

0.05%,

1/20/2022

(d)(e)

54,200,000

54,199,680

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

75.8%

(continued)

0.05%,

1/27/2022

(d)

$

74,559,000

74,557,633

0.06%,

2/3/2022

(d)(f)

73,208,000

73,206,109

0.05%,

3/10/2022

(d)(e)

154,481,000

154,468,963

0.05%,

3/17/2022

(d)(g)

221,238,000

221,213,215

0.05%,

3/24/2022

(d)(f)

116,855,000

116,840,459

0.05%,

3/31/2022

(d)(f)

60,622,000

60,614,284

0.06%,

5/19/2022

(d)(f)

13,934,000

13,928,855

0.10%,

6/9/2022

(d)(f)

1,127,000

1,126,459

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$772,722,128)

772,722,656

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$966,602,477)

966,602,549

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

94.8%

(Cost

$966,602,477)

966,602,549

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

5.2%

(h)

53,200,655

NET

ASSETS

-

100.0%

1,019,803,204

Affiliate

Value

At

12/31/2020

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2021

Shares

Held

At

12/31/2021

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

17.3%

INVESTMENT

COMPANIES

-

17.3%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)^(a)

(Cost

$176,422,302)

$342,382,832

$3,616,909,883

$(3,782,884,876)

$(79)

$14,086

$176,421,846

176,492,443

$31,071

$–

^    No

longer

affiliated

as

of

December

31,

2021.

(1)

Level

1

security

(See

Note

5).

(a)

Represents

7-day

effective

yield

as

of

December

31,

2021.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

138

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Total

return

swap

contracts

outstanding

as

of

December

31,

2021

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/11/2022

USD

(56,300)

$

850

iBovespa

Index

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

02/16/2022

BRL

(199,461,275)

1,204,823

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/18/2022

CHF

6,143,040

151,871

1,357,544

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/11/2022

USD

844,500

(13,414)

Hang

Seng

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2022

HKD

(63,317,700)

(101,915)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

01/28/2022

HKD

(71,096,200)

(129,119)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2022

HKD

(30,587,900)

(75,865)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/18/2022

USD

(1,356,940)

(139,712)

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/18/2022

USD

1,356,940

(40,936)

(500,961)

$

856,583

Futures

contracts

outstanding

as

of

December

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

2

1/2022

EUR

$

363,268

$

(627)

Brent

Crude

Oil

9

1/2022

USD

700,020

(12,160)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,063

(6,665)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,065

(1,238)

LME

Aluminum

Base

Metal

2

1/2022

USD

140,300

(5,570)

LME

Aluminum

Base

Metal

2

1/2022

USD

140,136

2,413

LME

Aluminum

Base

Metal

4

1/2022

USD

280,300

(40,712)

LME

Aluminum

Base

Metal

5

1/2022

USD

350,250

(14,755)

LME

Aluminum

Base

Metal

5

1/2022

USD

350,450

(48,940)

LME

Aluminum

Base

Metal

6

1/2022

USD

420,371

(17,066)

139

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

7

1/2022

USD

$

491,050

$

(15,847)

LME

Aluminum

Base

Metal

10

1/2022

USD

701,200

(66,080)

LME

Aluminum

Base

Metal

13

1/2022

USD

910,917

29,027

LME

Aluminum

Base

Metal

14

1/2022

USD

982,100

(79,834)

LME

Aluminum

Base

Metal

14

1/2022

USD

981,470

(121,894)

LME

Aluminum

Base

Metal

15

1/2022

USD

1,052,025

(94,019)

LME

Aluminum

Base

Metal

26

1/2022

USD

1,838,363

(50,993)

LME

Aluminum

Base

Metal

30

1/2022

USD

2,104,500

(89,113)

LME

Copper

Base

Metal

1

1/2022

USD

243,516

14,033

LME

Copper

Base

Metal

1

1/2022

USD

243,508

2,006

LME

Copper

Base

Metal

1

1/2022

USD

243,511

(367)

LME

Copper

Base

Metal

2

1/2022

USD

487,013

5,873

LME

Copper

Base

Metal

2

1/2022

USD

486,200

27,570

LME

Copper

Base

Metal

2

1/2022

USD

487,354

11,655

LME

Copper

Base

Metal

2

1/2022

USD

487,338

13,565

LME

Copper

Base

Metal

3

1/2022

USD

731,044

(12,898)

LME

Copper

Base

Metal

4

1/2022

USD

974,692

27,606

LME

Copper

Base

Metal

4

1/2022

USD

974,117

(18,369)

LME

Nickel

Base

Metal

2

1/2022

USD

250,185

13,419

LME

Nickel

Base

Metal

2

1/2022

USD

250,199

5,723

LME

Nickel

Base

Metal

3

1/2022

USD

375,849

50,940

LME

Nickel

Base

Metal

5

1/2022

USD

625,605

25,303

LME

Nickel

Base

Metal

5

1/2022

USD

626,325

49,328

LME

Nickel

Base

Metal

6

1/2022

USD

750,511

48,535

LME

Nickel

Base

Metal

7

1/2022

USD

876,771

60,300

LME

Nickel

Base

Metal

11

1/2022

USD

1,377,717

49,362

LME

Nickel

Base

Metal

15

1/2022

USD

1,878,615

47,371

LME

Nickel

Base

Metal

15

1/2022

USD

1,877,265

59,348

LME

Nickel

Base

Metal

17

1/2022

USD

2,129,811

314,823

LME

Nickel

Base

Metal

21

1/2022

USD

2,630,943

326,730

LME

Nickel

Base

Metal

31

1/2022

USD

3,849,828

483,151

LME

Zinc

Base

Metal

3

1/2022

USD

267,908

12,025

LME

Zinc

Base

Metal

4

1/2022

USD

357,030

24,374

LME

Zinc

Base

Metal

5

1/2022

USD

448,719

67,642

LME

Zinc

Base

Metal

6

1/2022

USD

536,085

18,207

LME

Zinc

Base

Metal

7

1/2022

USD

626,281

6,761

LME

Zinc

Base

Metal

7

1/2022

USD

628,250

99,598

LME

Zinc

Base

Metal

10

1/2022

USD

897,250

99,346

LME

Zinc

Base

Metal

10

1/2022

USD

897,375

143,596

LME

Zinc

Base

Metal

14

1/2022

USD

1,248,975

75,161

LME

Zinc

Base

Metal

14

1/2022

USD

1,255,100

72,023

LME

Zinc

Base

Metal

16

1/2022

USD

1,433,600

19,153

LME

Zinc

Base

Metal

17

1/2022

USD

1,521,500

(46,864)

LME

Zinc

Base

Metal

18

1/2022

USD

1,611,000

256,897

LME

Zinc

Base

Metal

20

1/2022

USD

1,788,750

30,080

LME

Zinc

Base

Metal

20

1/2022

USD

1,794,000

168,453

LME

Zinc

Base

Metal

41

1/2022

USD

3,671,550

(208,196)

NY

Harbor

ULSD

39

1/2022

USD

3,808,841

93,953

OMXS30

Index

12

1/2022

SEK

321,274

97

RBOB

Gasoline

340

1/2022

USD

31,767,288

1,590,843

SGX

FTSE

Taiwan

Index

14

1/2022

USD

897,960

1,104

WTI

Crude

Oil

77

1/2022

USD

5,791,170

14,885

100

oz

Gold

70

2/2022

USD

12,800,200

132,270

Lean

Hogs

92

2/2022

USD

2,998,280

11,573

LME

Aluminum

Base

Metal

1

2/2022

USD

70,091

3,526

LME

Aluminum

Base

Metal

1

2/2022

USD

70,082

2,208

140

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

1

2/2022

USD

$

70,106

$

2,959

LME

Aluminum

Base

Metal

3

2/2022

USD

210,308

18,674

LME

Aluminum

Base

Metal

6

2/2022

USD

420,633

29,903

LME

Aluminum

Base

Metal

8

2/2022

USD

560,978

25,806

LME

Aluminum

Base

Metal

9

2/2022

USD

631,125

42,161

LME

Aluminum

Base

Metal

10

2/2022

USD

701,000

25,971

LME

Aluminum

Base

Metal

16

2/2022

USD

1,121,900

28,253

LME

Aluminum

Base

Metal

19

2/2022

USD

1,332,138

73,306

LME

Aluminum

Base

Metal

20

2/2022

USD

1,402,220

63,179

LME

Aluminum

Base

Metal

21

2/2022

USD

1,472,363

60,051

LME

Aluminum

Base

Metal

49

2/2022

USD

3,436,738

207,868

LME

Copper

Base

Metal

1

2/2022

USD

243,495

6,346

LME

Copper

Base

Metal

1

2/2022

USD

243,488

2,354

LME

Copper

Base

Metal

1

2/2022

USD

243,497

2,731

LME

Copper

Base

Metal

1

2/2022

USD

243,288

(3,641)

LME

Copper

Base

Metal

1

2/2022

USD

243,288

2,266

LME

Copper

Base

Metal

1

2/2022

USD

243,499

2,914

LME

Copper

Base

Metal

1

2/2022

USD

243,502

7,299

LME

Copper

Base

Metal

2

2/2022

USD

486,975

4,770

LME

Copper

Base

Metal

2

2/2022

USD

487,000

6,939

LME

Copper

Base

Metal

2

2/2022

USD

486,984

1,970

LME

Copper

Base

Metal

3

2/2022

USD

729,863

79

LME

Copper

Base

Metal

3

2/2022

USD

729,863

22,155

LME

Copper

Base

Metal

3

2/2022

USD

729,863

13,930

LME

Copper

Base

Metal

3

2/2022

USD

729,863

(3,966)

LME

Nickel

Base

Metal

1

2/2022

USD

125,049

8,857

LME

Nickel

Base

Metal

1

2/2022

USD

124,743

4,140

LME

Nickel

Base

Metal

1

2/2022

USD

125,064

8,421

LME

Nickel

Base

Metal

2

2/2022

USD

250,142

16,376

LME

Nickel

Base

Metal

2

2/2022

USD

250,113

13,311

LME

Nickel

Base

Metal

3

2/2022

USD

375,105

25,429

LME

Nickel

Base

Metal

5

2/2022

USD

625,005

39,852

LME

Nickel

Base

Metal

6

2/2022

USD

748,464

12,290

LME

Nickel

Base

Metal

9

2/2022

USD

1,122,781

34,324

LME

Nickel

Base

Metal

10

2/2022

USD

1,250,130

64,514

LME

Nickel

Base

Metal

10

2/2022

USD

1,250,205

60,207

LME

Nickel

Base

Metal

14

2/2022

USD

1,746,990

111,541

LME

Zinc

Base

Metal

1

2/2022

USD

88,850

8,039

LME

Zinc

Base

Metal

2

2/2022

USD

178,353

12,486

LME

Zinc

Base

Metal

3

2/2022

USD

267,188

28,229

LME

Zinc

Base

Metal

4

2/2022

USD

356,614

26,211

LME

Zinc

Base

Metal

5

2/2022

USD

445,654

46,868

LME

Zinc

Base

Metal

6

2/2022

USD

534,716

43,271

LME

Zinc

Base

Metal

8

2/2022

USD

710,458

69,378

LME

Zinc

Base

Metal

10

2/2022

USD

890,965

80,936

LME

Zinc

Base

Metal

12

2/2022

USD

1,068,885

97,150

LME

Zinc

Base

Metal

18

2/2022

USD

1,598,720

99,041

LME

Zinc

Base

Metal

26

2/2022

USD

2,311,400

238,157

Low

Sulphur

Gasoil

63

2/2022

USD

4,197,375

98,661

Coffee

'C'

240

3/2022

USD

20,349,000

(577,709)

Copper

56

3/2022

USD

6,248,900

46,006

Corn

544

3/2022

USD

16,136,400

270,516

Cotton

No.

2

305

3/2022

USD

17,171,500

964,290

EURO

STOXX

50

Index

91

3/2022

EUR

4,442,000

134,483

FTSE/JSE

Top

40

Index

5

3/2022

ZAR

210,204

1,331

FTSE/MIB

Index

9

3/2022

EUR

1,395,983

31,957

141

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

KC

HRW

Wheat

268

3/2022

USD

$

10,740,100

$

(187,863)

LME

Aluminum

Base

Metal

1

3/2022

USD

70,200

4,297

LME

Aluminum

Base

Metal

3

3/2022

USD

210,581

13,190

LME

Aluminum

Base

Metal

7

3/2022

USD

491,313

32,092

LME

Aluminum

Base

Metal

13

3/2022

USD

912,275

33,697

LME

Aluminum

Base

Metal

13

3/2022

USD

912,051

(7,848)

LME

Aluminum

Base

Metal

14

3/2022

USD

982,975

77,484

LME

Aluminum

Base

Metal

15

3/2022

USD

1,052,250

62,213

LME

Aluminum

Base

Metal

16

3/2022

USD

1,122,400

46,884

LME

Aluminum

Base

Metal

23

3/2022

USD

1,613,306

86,038

LME

Aluminum

Base

Metal

27

3/2022

USD

1,896,075

110,545

LME

Aluminum

Base

Metal

28

3/2022

USD

1,964,375

125,392

LME

Aluminum

Base

Metal

41

3/2022

USD

2,877,431

203,860

LME

Aluminum

Base

Metal

60

3/2022

USD

4,211,250

(26,070)

LME

Aluminum

Base

Metal

62

3/2022

USD

4,353,175

(13,661)

LME

Aluminum

Base

Metal

214

3/2022

USD

15,022,800

235,482

LME

Copper

Base

Metal

1

3/2022

USD

243,288

4,035

LME

Copper

Base

Metal

1

3/2022

USD

243,163

4,922

LME

Copper

Base

Metal

1

3/2022

USD

243,097

4,094

LME

Copper

Base

Metal

1

3/2022

USD

243,013

(65)

LME

Copper

Base

Metal

1

3/2022

USD

243,288

11,113

LME

Copper

Base

Metal

1

3/2022

USD

243,019

1,278

LME

Copper

Base

Metal

2

3/2022

USD

486,575

6,570

LME

Copper

Base

Metal

3

3/2022

USD

729,863

23,355

LME

Copper

Base

Metal

3

3/2022

USD

729,863

19,755

LME

Copper

Base

Metal

5

3/2022

USD

1,216,438

19,349

LME

Copper

Base

Metal

62

3/2022

USD

15,083,825

241,831

LME

Nickel

Base

Metal

1

3/2022

USD

124,758

4,998

LME

Nickel

Base

Metal

1

3/2022

USD

124,788

6,175

LME

Nickel

Base

Metal

1

3/2022

USD

124,604

6,371

LME

Nickel

Base

Metal

1

3/2022

USD

124,773

3,210

LME

Nickel

Base

Metal

3

3/2022

USD

374,327

16,028

LME

Nickel

Base

Metal

3

3/2022

USD

373,860

23,715

LME

Nickel

Base

Metal

5

3/2022

USD

622,710

495

LME

Nickel

Base

Metal

5

3/2022

USD

623,891

27,776

LME

Nickel

Base

Metal

5

3/2022

USD

622,710

10,995

LME

Nickel

Base

Metal

5

3/2022

USD

623,804

30,815

LME

Nickel

Base

Metal

6

3/2022

USD

748,535

26,345

LME

Nickel

Base

Metal

6

3/2022

USD

748,624

32,168

LME

Nickel

Base

Metal

7

3/2022

USD

871,794

22,533

LME

Nickel

Base

Metal

15

3/2022

USD

1,869,795

86,851

LME

Nickel

Base

Metal

193

3/2022

USD

24,078,873

495,169

LME

Zinc

Base

Metal

1

3/2022

USD

88,400

875

LME

Zinc

Base

Metal

2

3/2022

USD

177,532

11,254

LME

Zinc

Base

Metal

3

3/2022

USD

265,050

591

LME

Zinc

Base

Metal

4

3/2022

USD

355,143

36,431

LME

Zinc

Base

Metal

5

3/2022

USD

443,000

16,466

LME

Zinc

Base

Metal

7

3/2022

USD

620,900

38,587

LME

Zinc

Base

Metal

7

3/2022

USD

619,792

27,739

LME

Zinc

Base

Metal

7

3/2022

USD

621,576

59,367

LME

Zinc

Base

Metal

8

3/2022

USD

710,280

74,052

LME

Zinc

Base

Metal

8

3/2022

USD

709,950

46,973

LME

Zinc

Base

Metal

11

3/2022

USD

973,638

18,461

LME

Zinc

Base

Metal

187

3/2022

USD

16,586,900

1,127,065

MSCI EAFE E-Mini Index

1

3/2022

USD

116,090

(255)

Nikkei

225

Index

10

3/2022

JPY

2,501,956

(3,839)

142

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

S&P/TSX

60

Index

40

3/2022

CAD

$

8,100,874

$

202,599

Silver

4

3/2022

USD

467,040

11,392

Soybean

Meal

47

3/2022

USD

1,875,770

(42,909)

SPI

200

Index

43

3/2022

AUD

5,746,208

(16,496)

TOPIX

Index

6

3/2022

JPY

1,039,033

(2,671)

Wheat

72

3/2022

USD

2,774,700

(76,151)

3

Month

Euro

Euribor

145

6/2022

EUR

41,479,042

(124)

3

Month

SARON

51

9/2022

CHF

14,086,287

(6,256)

9,871,253

Short

Contracts

CAC

40

10

Euro

Index

(2)

1/2022

EUR

(162,646)

(4,996)

Hang

Seng

Index

(137)

1/2022

HKD

(20,601,259)

(278,963)

IBEX

35

Index

(23)

1/2022

EUR

(2,274,054)

(103,859)

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,065)

1,353

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,063)

6,193

LME

Aluminum

Base

Metal

(2)

1/2022

USD

(140,136)

(1,891)

LME

Aluminum

Base

Metal

(2)

1/2022

USD

(140,300)

5,544

LME

Aluminum

Base

Metal

(4)

1/2022

USD

(280,300)

40,543

LME

Aluminum

Base

Metal

(5)

1/2022

USD

(350,250)

15,060

LME

Aluminum

Base

Metal

(5)

1/2022

USD

(350,450)

49,057

LME

Aluminum

Base

Metal

(6)

1/2022

USD

(420,371)

17,312

LME

Aluminum

Base

Metal

(7)

1/2022

USD

(491,050)

18,183

LME

Aluminum

Base

Metal

(10)

1/2022

USD

(701,200)

72,068

LME

Aluminum

Base

Metal

(13)

1/2022

USD

(910,917)

(39,955)

LME

Aluminum

Base

Metal

(14)

1/2022

USD

(982,100)

72,629

LME

Aluminum

Base

Metal

(14)

1/2022

USD

(981,470)

125,626

LME

Aluminum

Base

Metal

(15)

1/2022

USD

(1,052,025)

102,077

LME

Aluminum

Base

Metal

(26)

1/2022

USD

(1,838,363)

30,798

LME

Aluminum

Base

Metal

(30)

1/2022

USD

(2,104,500)

88,412

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,511)

1,190

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,508)

(2,055)

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,516)

(14,381)

LME

Copper

Base

Metal

(2)

1/2022

USD

(487,338)

(13,293)

LME

Copper

Base

Metal

(2)

1/2022

USD

(486,200)

(28,156)

LME

Copper

Base

Metal

(2)

1/2022

USD

(487,013)

(5,756)

LME

Copper

Base

Metal

(2)

1/2022

USD

(487,354)

(13,109)

LME

Copper

Base

Metal

(3)

1/2022

USD

(731,044)

13,023

LME

Copper

Base

Metal

(4)

1/2022

USD

(974,117)

18,018

LME

Copper

Base

Metal

(4)

1/2022

USD

(974,692)

(32,903)

LME

Nickel

Base

Metal

(2)

1/2022

USD

(250,185)

(12,291)

LME

Nickel

Base

Metal

(2)

1/2022

USD

(250,199)

(6,005)

LME

Nickel

Base

Metal

(3)

1/2022

USD

(375,849)

(50,328)

LME

Nickel

Base

Metal

(5)

1/2022

USD

(626,325)

(49,440)

LME

Nickel

Base

Metal

(5)

1/2022

USD

(625,605)

(22,455)

LME

Nickel

Base

Metal

(6)

1/2022

USD

(750,511)

(47,539)

LME

Nickel

Base

Metal

(7)

1/2022

USD

(876,771)

(62,617)

LME

Nickel

Base

Metal

(11)

1/2022

USD

(1,377,717)

(53,129)

LME

Nickel

Base

Metal

(15)

1/2022

USD

(1,878,615)

(46,259)

LME

Nickel

Base

Metal

(15)

1/2022

USD

(1,877,265)

(75,059)

LME

Nickel

Base

Metal

(17)

1/2022

USD

(2,129,811)

(308,714)

LME

Nickel

Base

Metal

(21)

1/2022

USD

(2,630,943)

(315,905)

LME

Nickel

Base

Metal

(31)

1/2022

USD

(3,849,828)

(497,061)

LME

Zinc

Base

Metal

(3)

1/2022

USD

(267,908)

(12,804)

LME

Zinc

Base

Metal

(4)

1/2022

USD

(357,030)

(20,542)

LME

Zinc

Base

Metal

(5)

1/2022

USD

(448,719)

(69,706)

LME

Zinc

Base

Metal

(6)

1/2022

USD

(536,085)

(17,853)

143

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(7)

1/2022

USD

$

(626,281)

$

(3,295)

LME

Zinc

Base

Metal

(7)

1/2022

USD

(628,250)

(98,434)

LME

Zinc

Base

Metal

(10)

1/2022

USD

(897,375)

(139,334)

LME

Zinc

Base

Metal

(10)

1/2022

USD

(897,250)

(100,275)

LME

Zinc

Base

Metal

(14)

1/2022

USD

(1,255,100)

(75,991)

LME

Zinc

Base

Metal

(14)

1/2022

USD

(1,248,975)

(78,496)

LME

Zinc

Base

Metal

(16)

1/2022

USD

(1,433,600)

54,144

LME

Zinc

Base

Metal

(17)

1/2022

USD

(1,521,500)

20,647

LME

Zinc

Base

Metal

(18)

1/2022

USD

(1,611,000)

(248,583)

LME

Zinc

Base

Metal

(20)

1/2022

USD

(1,794,000)

(182,184)

LME

Zinc

Base

Metal

(20)

1/2022

USD

(1,788,750)

(47,365)

LME

Zinc

Base

Metal

(41)

1/2022

USD

(3,671,550)

166,774

MSCI

Singapore

Index

(198)

1/2022

SGD

(4,997,752)

(27,828)

Natural

Gas

(25)

1/2022

USD

(932,500)

805

SGX

FTSE

China

A50

Index

(144)

1/2022

USD

(2,260,656)

(11,559)

SGX

NIFTY

50

Index

(58)

1/2022

USD

(2,022,982)

(19,188)

Live

Cattle

(193)

2/2022

USD

(10,784,840)

(254,385)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,091)

(3,569)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,106)

(3,109)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,082)

(2,060)

LME

Aluminum

Base

Metal

(3)

2/2022

USD

(210,308)

(20,565)

LME

Aluminum

Base

Metal

(6)

2/2022

USD

(420,633)

(30,707)

LME

Aluminum

Base

Metal

(8)

2/2022

USD

(560,978)

(25,198)

LME

Aluminum

Base

Metal

(9)

2/2022

USD

(631,125)

(39,852)

LME

Aluminum

Base

Metal

(10)

2/2022

USD

(701,000)

(28,760)

LME

Aluminum

Base

Metal

(16)

2/2022

USD

(1,121,900)

(31,012)

LME

Aluminum

Base

Metal

(19)

2/2022

USD

(1,332,138)

(64,404)

LME

Aluminum

Base

Metal

(20)

2/2022

USD

(1,402,220)

(76,079)

LME

Aluminum

Base

Metal

(21)

2/2022

USD

(1,472,363)

(54,943)

LME

Aluminum

Base

Metal

(49)

2/2022

USD

(3,436,738)

(203,367)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,288)

(1,490)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,497)

(1,850)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,495)

(5,573)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,288)

3,785

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,488)

(2,240)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,499)

(3,576)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,502)

(7,255)

LME

Copper

Base

Metal

(2)

2/2022

USD

(486,984)

(3,639)

LME

Copper

Base

Metal

(2)

2/2022

USD

(486,975)

(5,235)

LME

Copper

Base

Metal

(2)

2/2022

USD

(487,000)

(6,630)

LME

Copper

Base

Metal

(3)

2/2022

USD

(729,863)

(21,920)

LME

Copper

Base

Metal

(3)

2/2022

USD

(729,863)

(1,245)

LME

Copper

Base

Metal

(3)

2/2022

USD

(729,863)

4,380

LME

Copper

Base

Metal

(3)

2/2022

USD

(729,863)

(14,779)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(124,743)

(4,127)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(125,064)

(8,307)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(125,049)

(8,802)

LME

Nickel

Base

Metal

(2)

2/2022

USD

(250,142)

(16,193)

LME

Nickel

Base

Metal

(2)

2/2022

USD

(250,113)

(15,546)

LME

Nickel

Base

Metal

(3)

2/2022

USD

(375,105)

(26,904)

LME

Nickel

Base

Metal

(5)

2/2022

USD

(625,005)

(35,670)

LME

Nickel

Base

Metal

(6)

2/2022

USD

(748,464)

(7,062)

LME

Nickel

Base

Metal

(9)

2/2022

USD

(1,122,781)

(38,607)

LME

Nickel

Base

Metal

(10)

2/2022

USD

(1,250,130)

(71,455)

LME

Nickel

Base

Metal

(10)

2/2022

USD

(1,250,205)

(65,235)

LME

Nickel

Base

Metal

(14)

2/2022

USD

(1,746,990)

(109,271)

144

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

2/2022

USD

$

(88,850)

$

(7,890)

LME

Zinc

Base

Metal

(2)

2/2022

USD

(178,353)

(14,241)

LME

Zinc

Base

Metal

(3)

2/2022

USD

(267,188)

(27,184)

LME

Zinc

Base

Metal

(4)

2/2022

USD

(356,614)

(25,326)

LME

Zinc

Base

Metal

(5)

2/2022

USD

(445,654)

(42,419)

LME

Zinc

Base

Metal

(6)

2/2022

USD

(534,716)

(40,033)

LME

Zinc

Base

Metal

(8)

2/2022

USD

(710,458)

(67,353)

LME

Zinc

Base

Metal

(10)

2/2022

USD

(890,965)

(74,885)

LME

Zinc

Base

Metal

(12)

2/2022

USD

(1,068,885)

(98,118)

LME

Zinc

Base

Metal

(18)

2/2022

USD

(1,598,720)

(99,354)

LME

Zinc

Base

Metal

(26)

2/2022

USD

(2,311,400)

(242,372)

Sugar

No.

11

(244)

2/2022

USD

(5,159,526)

20,147

Australia

10

Year

Bond

(303)

3/2022

AUD

(30,679,111)

63,704

Australia

3

Year

Bond

(2,413)

3/2022

AUD

(200,399,439)

(6,612)

Canada

10

Year

Bond

(1,021)

3/2022

CAD

(115,042,595)

(1,998,982)

Cocoa

(234)

3/2022

GBP

(5,387,589)

(101,882)

Cocoa

(410)

3/2022

USD

(10,332,000)

(449,300)

DJIA

CBOT

E-Mini

Index

(45)

3/2022

USD

(8,150,850)

(249,967)

Euro-

Bobl

(318)

3/2022

EUR

(48,249,471)

106,904

Euro-BTP

(1,198)

3/2022

EUR

(200,442,124)

3,243,790

Euro-Bund

(117)

3/2022

EUR

(22,839,244)

266,315

Euro-

Buxl

(31)

3/2022

EUR

(7,299,402)

216,615

Euro-OAT

(675)

3/2022

EUR

(125,424,845)

952,472

Euro-Schatz

(376)

3/2022

EUR

(47,957,354)

9,717

FTSE

100

Index

(366)

3/2022

GBP

(36,283,045)

(674,758)

Japan

10

Year

Bond

(43)

3/2022

JPY

(56,681,648)

99,438

KOSPI

200

Index

(56)

3/2022

KRW

(4,643,113)

(46,920)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,200)

(4,415)

LME

Aluminum

Base

Metal

(3)

3/2022

USD

(210,581)

(13,978)

LME

Aluminum

Base

Metal

(7)

3/2022

USD

(491,313)

(31,925)

LME

Aluminum

Base

Metal

(13)

3/2022

USD

(912,275)

(27,398)

LME

Aluminum

Base

Metal

(13)

3/2022

USD

(912,051)

1,167

LME

Aluminum

Base

Metal

(14)

3/2022

USD

(982,975)

(75,396)

LME

Aluminum

Base

Metal

(15)

3/2022

USD

(1,052,250)

(65,436)

LME

Aluminum

Base

Metal

(16)

3/2022

USD

(1,122,400)

(49,474)

LME

Aluminum

Base

Metal

(23)

3/2022

USD

(1,613,306)

(94,355)

LME

Aluminum

Base

Metal

(27)

3/2022

USD

(1,896,075)

(114,271)

LME

Aluminum

Base

Metal

(28)

3/2022

USD

(1,964,375)

(123,409)

LME

Aluminum

Base

Metal

(41)

3/2022

USD

(2,877,431)

(206,948)

LME

Aluminum

Base

Metal

(60)

3/2022

USD

(4,211,250)

18,573

LME

Aluminum

Base

Metal

(62)

3/2022

USD

(4,353,175)

5,258

LME

Aluminum

Base

Metal

(269)

3/2022

USD

(18,883,800)

(1,076,301)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,097)

(3,842)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,163)

(4,789)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(4,094)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,013)

(450)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,019)

(1,271)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(11,953)

LME

Copper

Base

Metal

(2)

3/2022

USD

(486,575)

(6,811)

LME

Copper

Base

Metal

(3)

3/2022

USD

(729,863)

(19,666)

LME

Copper

Base

Metal

(3)

3/2022

USD

(729,863)

(23,727)

LME

Copper

Base

Metal

(5)

3/2022

USD

(1,216,438)

(26,035)

LME

Copper

Base

Metal

(19)

3/2022

USD

(4,622,463)

(93,184)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,773)

(3,173)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,604)

(6,136)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,758)

(4,611)

145

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

3/2022

USD

$

(124,788)

$

(6,111)

LME

Nickel

Base

Metal

(3)

3/2022

USD

(374,327)

(16,836)

LME

Nickel

Base

Metal

(3)

3/2022

USD

(373,860)

(23,607)

LME

Nickel

Base

Metal

(5)

3/2022

USD

(622,710)

111

LME

Nickel

Base

Metal

(5)

3/2022

USD

(623,804)

(30,585)

LME

Nickel

Base

Metal

(5)

3/2022

USD

(622,710)

(8,712)

LME

Nickel

Base

Metal

(5)

3/2022

USD

(623,891)

(27,984)

LME

Nickel

Base

Metal

(6)

3/2022

USD

(748,624)

(34,706)

LME

Nickel

Base

Metal

(6)

3/2022

USD

(748,535)

(22,253)

LME

Nickel

Base

Metal

(7)

3/2022

USD

(871,794)

(23,195)

LME

Nickel

Base

Metal

(15)

3/2022

USD

(1,869,795)

(94,045)

LME

Nickel

Base

Metal

(46)

3/2022

USD

(5,739,006)

(204,616)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,400)

(902)

LME

Zinc

Base

Metal

(2)

3/2022

USD

(177,532)

(11,537)

LME

Zinc

Base

Metal

(3)

3/2022

USD

(265,050)

(771)

LME

Zinc

Base

Metal

(4)

3/2022

USD

(355,143)

(35,500)

LME

Zinc

Base

Metal

(5)

3/2022

USD

(443,000)

(15,065)

LME

Zinc

Base

Metal

(7)

3/2022

USD

(621,576)

(59,071)

LME

Zinc

Base

Metal

(7)

3/2022

USD

(620,900)

(38,121)

LME

Zinc

Base

Metal

(7)

3/2022

USD

(619,792)

(27,387)

LME

Zinc

Base

Metal

(8)

3/2022

USD

(709,950)

(48,774)

LME

Zinc

Base

Metal

(8)

3/2022

USD

(710,280)

(77,002)

LME

Zinc

Base

Metal

(11)

3/2022

USD

(973,638)

(5,516)

LME

Zinc

Base

Metal

(50)

3/2022

USD

(4,435,000)

(251,700)

Long

Gilt

(456)

3/2022

GBP

(77,109,145)

(33,314)

MSCI Emerging Markets E-Mini Index

(506)

3/2022

USD

(31,025,390)

(413,875)

NASDAQ

100

E-Mini

Index

(6)

3/2022

USD

(1,958,490)

16,361

Palladium

(4)

3/2022

USD

(764,840)

(44,284)

Russell

2000

E-Mini

Index

(30)

3/2022

USD

(3,364,200)

(135,644)

S&P

500

E-Mini

Index

(6)

3/2022

USD

(1,427,550)

10,387

S&P

Midcap

400

E-Mini

Index

(8)

3/2022

USD

(2,270,160)

(79,382)

Soybean

(22)

3/2022

USD

(1,473,175)

(64,250)

Soybean

Oil

(53)

3/2022

USD

(1,797,654)

(1,971)

U.S.

Treasury

10

Year

Note

(703)

3/2022

USD

(91,620,672)

(813,013)

U.S.

Treasury

2

Year

Note

(6,072)

3/2022

USD

(1,324,502,437)

1,034,168

U.S.

Treasury

5

Year

Note

(2,517)

3/2022

USD

(304,281,702)

(875,084)

U.S.

Treasury

Long

Bond

(129)

3/2022

USD

(20,631,938)

(200,705)

U.S.

Treasury

Ultra

Bond

(92)

3/2022

USD

(18,043,500)

(136,595)

Platinum

(29)

4/2022

USD

(1,400,990)

(6,065)

3

Month

Canadian

Bankers

Acceptance

(407)

6/2022

CAD

(79,440,531)

(77,187)

3

Month

Eurodollar

(1,589)

6/2022

USD

(394,866,499)

1,352,462

ASX

90

Day

Bank

Accepted

Bill

(97)

6/2022

AUD

(70,502,813)

(874)

3

Month

Canadian

Bankers

Acceptance

(160)

9/2022

CAD

(31,126,922)

(22,724)

3

Month

Euro

Euribor

(251)

9/2022

EUR

(71,733,783)

(1,012)

3

Month

Eurodollar

(1,491)

9/2022

USD

(369,712,087)

1,731,047

3

Month

SONIA

(20)

9/2022

GBP

(6,707,179)

10,242

3

Month

SONIA

(98)

9/2022

GBP

(32,865,175)

(1,922)

ASX

90

Day

Bank

Accepted

Bill

(244)

9/2022

AUD

(177,211,957)

(6,075)

3

Month

Euro

Euribor

(166)

12/2022

EUR

(47,394,218)

81,877

3

Month

Euro

Euribor

(750)

12/2022

EUR

(214,130,503)

12,889

3

Month

Eurodollar

(1,449)

12/2022

USD

(358,410,149)

1,406,418

3

Month

SARON

(41)

12/2022

CHF

(11,318,083)

216

3

Month

SONIA

(89)

12/2022

GBP

(29,788,218)

(10,957)

3

Month

Euro

Euribor

(184)

3/2023

EUR

(52,462,649)

146,788

3

Month

Euro

Euribor

(551)

3/2023

EUR

(157,102,825)

16,323

3

Month

Eurodollar

(1,162)

3/2023

USD

(286,926,849)

1,163,118

146

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

SARON

(34)

3/2023

CHF

$

(9,380,597)

$

(1,351)

3

Month

SONIA

(112)

3/2023

GBP

(37,454,082)

23,192

3

Month

Euro

Euribor

(365)

6/2023

EUR

(103,955,652)

380,082

3

Month

Euro

Euribor

(797)

6/2023

EUR

(226,993,575)

59,160

3

Month

Eurodollar

(1,050)

6/2023

USD

(258,838,125)

1,069,050

3

Month

SONIA

(191)

6/2023

GBP

(63,837,039)

95,463

3

Month

Euro

Euribor

(332)

9/2023

EUR

(94,486,051)

403,868

3

Month

Euro

Euribor

(805)

9/2023

EUR

(229,100,213)

84,658

3

Month

Eurodollar

(1,043)

9/2023

USD

(256,747,488)

379,815

3

Month

SONIA

(222)

9/2023

GBP

(74,160,463)

99,631

3

Month

Euro

Euribor

(702)

12/2023

EUR

(199,666,885)

144,622

3

Month

Eurodollar

(1,158)

12/2023

USD

(284,824,575)

(102,766)

3

Month

SONIA

(3)

12/2023

GBP

(1,001,864)

2,090

3

Month

SONIA

(185)

12/2023

GBP

(61,781,605)

49,088

3

Month

SONIA

(32)

3/2024

GBP

(10,686,007)

23,377

3

Month

SONIA

(116)

3/2024

GBP

(38,736,774)

22,418

736,775

$

10,608,028

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

83,824,158

USD

60,548,260

CITI

3/16/2022

$

448,970

AUD

83,824,158

USD

60,548,336

JPMC

3/16/2022

448,894

BRL

82,164,500

USD

14,324,423

CITI

**

3/16/2022

172,776

BRL

82,164,500

USD

14,324,441

JPMC

**

3/16/2022

172,758

CAD

144,876,981

USD

113,409,867

CITI

3/16/2022

1,105,402

CAD

144,876,978

USD

113,428,996

JPMC

3/16/2022

1,086,272

CHF

52,719,004

USD

57,189,184

CITI

3/16/2022

774,153

CHF

52,718,996

USD

57,189,247

JPMC

3/16/2022

774,082

EUR

1,651,000

USD

1,871,463

CITI

3/16/2022

10,933

EUR

1,651,000

USD

1,871,466

JPMC

3/16/2022

10,931

GBP

69,208,004

USD

92,263,542

CITI

3/16/2022

1,383,683

GBP

69,207,996

USD

92,263,647

JPMC

3/16/2022

1,383,568

HUF

3,258,212,642

USD

9,815,556

CITI

3/16/2022

154,744

HUF

3,258,212,640

USD

9,815,568

JPMC

3/16/2022

154,732

IDR

200,408,660,359

USD

13,849,257

CITI

**

3/16/2022

133,857

IDR

200,408,660,353

USD

13,849,274

JPMC

**

3/16/2022

133,839

ILS

11,553,500

USD

3,683,564

CITI

3/16/2022

34,832

ILS

11,553,500

USD

3,683,569

JPMC

3/16/2022

34,827

INR

4,266,835,152

USD

56,460,185

CITI

**

3/16/2022

331,032

INR

4,266,835,144

USD

56,460,255

JPMC

**

3/16/2022

330,962

MXN

1,664,059,125

USD

77,054,781

CITI

3/16/2022

3,207,640

MXN

1,664,059,123

USD

77,054,877

JPMC

3/16/2022

3,207,543

NOK

248,760,504

USD

27,673,634

CITI

3/16/2022

536,460

NOK

248,760,500

USD

27,673,668

JPMC

3/16/2022

536,425

NZD

30,056,500

USD

20,359,219

CITI

3/16/2022

203,193

NZD

30,056,500

USD

20,359,245

JPMC

3/16/2022

203,168

PLN

223,954,009

USD

54,290,146

CITI

3/16/2022

999,213

PLN

223,954,007

USD

54,290,213

JPMC

3/16/2022

999,145

SEK

345,684,214

USD

38,038,638

CITI

3/16/2022

239,134

147

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SEK

345,684,213

USD

38,038,686

JPMC

3/16/2022

$

239,087

SGD

102,698,000

USD

75,639,130

CITI

3/16/2022

540,474

SGD

102,698,000

USD

75,639,224

JPMC

3/16/2022

540,379

TWD

107,192,993

USD

3,883,460

CITI

**

3/16/2022

3,917

TWD

113,151,857

USD

4,099,610

JPMC

**

3/16/2022

3,866

USD

10,045,270

AUD

13,801,000

CITI

3/16/2022

2,547

USD

10,045,257

AUD

13,801,000

JPMC

3/16/2022

2,535

USD

6,751,513

CLP

5,745,635,001

CITI

**

3/16/2022

80,681

USD

6,751,505

CLP

5,745,634,999

JPMC

**

3/16/2022

80,674

USD

6,328,443

COP

25,340,771,500

CITI

**

3/16/2022

145,194

USD

6,328,435

COP

25,340,771,500

JPMC

**

3/16/2022

145,186

USD

40,193

HUF

13,119,500

CITI

3/16/2022

47

USD

40,193

HUF

13,119,500

JPMC

3/16/2022

47

USD

1,223,684

ILS

3,796,500

CITI

3/16/2022

1,812

USD

1,223,682

ILS

3,796,500

JPMC

3/16/2022

1,811

USD

154,842,091

JPY

17,649,442,860

CITI

3/16/2022

1,317,847

USD

154,841,898

JPY

17,649,442,860

JPMC

3/16/2022

1,317,654

USD

21,663,230

KRW

25,703,475,085

CITI

**

3/16/2022

84,880

USD

21,663,203

KRW

25,703,475,075

JPMC

**

3/16/2022

84,853

USD

1,312,999

NOK

11,508,000

CITI

3/16/2022

7,962

USD

1,312,998

NOK

11,508,000

JPMC

3/16/2022

7,960

USD

2,713,749

NZD

3,920,500

CITI

3/16/2022

31,636

USD

2,713,745

NZD

3,920,500

JPMC

3/16/2022

31,632

USD

14,804,679

PHP

752,308,598

CITI

**

3/16/2022

250,277

USD

14,804,660

PHP

752,308,594

JPMC

**

3/16/2022

250,259

USD

40,772,615

SEK

362,340,000

CITI

3/16/2022

650,540

USD

40,768,296

SEK

362,340,000

JPMC

3/16/2022

646,220

USD

7,269,199

TWD

200,019,501

CITI

**

3/16/2022

15,448

USD

7,269,190

TWD

200,019,499

JPMC

**

3/16/2022

15,440

USD

5,773,310

ZAR

92,725,000

CITI

3/16/2022

12,359

USD

5,773,303

ZAR

92,725,000

JPMC

3/16/2022

12,352

ZAR

323,373,343

USD

19,930,284

CITI

3/16/2022

160,716

ZAR

323,373,339

USD

19,930,309

JPMC

3/16/2022

160,692

Total

unrealized

appreciation

26,060,152

AUD

679,886

USD

494,814

CITI

3/16/2022

(74)

AUD

679,886

USD

494,814

JPMC

3/16/2022

(74)

CAD

5,704,500

USD

4,522,949

CITI

3/16/2022

(13,935)

CAD

5,704,500

USD

4,522,955

JPMC

3/16/2022

(13,941)

CLP

5,508,342,672

USD

6,612,823

CITI

**

3/16/2022

(217,494)

CLP

5,508,342,672

USD

6,612,831

JPMC

**

3/16/2022

(217,502)

COP

24,553,623,688

USD

6,139,425

CITI

**

3/16/2022

(148,243)

COP

24,553,623,688

USD

6,139,433

JPMC

**

3/16/2022

(148,251)

ILS

69,127,500

USD

22,354,213

CITI

3/16/2022

(106,112)

ILS

69,127,500

USD

22,354,241

JPMC

3/16/2022

(106,140)

INR

373,442,000

USD

4,986,228

CITI

**

3/16/2022

(15,746)

INR

373,442,000

USD

4,986,234

JPMC

**

3/16/2022

(15,752)

JPY

847,321,500

USD

7,470,371

CITI

3/16/2022

(99,918)

JPY

847,321,500

USD

7,470,380

JPMC

3/16/2022

(99,927)

KRW

52,913,239,505

USD

44,781,568

CITI

**

3/16/2022

(360,321)

KRW

52,913,239,495

USD

44,781,624

JPMC

**

3/16/2022

(360,377)

NZD

45,636,470

USD

31,837,211

CITI

3/16/2022

(616,147)

NZD

45,636,468

USD

31,837,249

JPMC

3/16/2022

(616,187)

PHP

392,125,500

USD

7,801,116

CITI

**

3/16/2022

(214,931)

PHP

392,125,500

USD

7,801,126

JPMC

**

3/16/2022

(214,941)

SEK

963,189,411

USD

107,268,943

CITI

3/16/2022

(614,534)

SEK

963,189,411

USD

107,269,077

JPMC

3/16/2022

(614,669)

TWD

434,478,988

USD

15,811,696

CITI

**

3/16/2022

(55,221)

TWD

428,520,113

USD

15,595,552

JPMC

**

3/16/2022

(55,176)

148

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

130,283,437

AUD

182,504,500

CITI

3/16/2022

$

(2,521,583)

USD

130,283,274

AUD

182,504,500

JPMC

3/16/2022

(2,521,747)

USD

48,148,034

BRL

277,970,000

CITI

**

3/16/2022

(897,310)

USD

48,147,973

BRL

277,969,992

JPMC

**

3/16/2022

(897,370)

USD

24,977,515

CAD

31,887,500

CITI

3/16/2022

(227,357)

USD

24,977,483

CAD

31,887,500

JPMC

3/16/2022

(227,388)

USD

16,222,515

CHF

14,909,000

CITI

3/16/2022

(169,589)

USD

16,222,494

CHF

14,909,000

JPMC

3/16/2022

(169,610)

USD

2,503,676

CLP

2,171,498,999

CITI

**

3/16/2022

(17,491)

USD

2,503,672

CLP

2,171,499,001

JPMC

**

3/16/2022

(17,495)

USD

315,246,088

EUR

278,516,459

CITI

3/16/2022

(2,305,948)

USD

315,245,691

EUR

278,516,457

JPMC

3/16/2022

(2,306,342)

USD

87,074,748

GBP

65,374,012

CITI

3/16/2022

(1,384,599)

USD

87,073,348

GBP

65,374,004

JPMC

3/16/2022

(1,385,989)

USD

5,248,865

HUF

1,731,359,500

CITI

3/16/2022

(49,185)

USD

5,248,858

HUF

1,731,359,500

JPMC

3/16/2022

(49,192)

USD

11,142,980

IDR

161,676,116,000

CITI

**

3/16/2022

(137,648)

USD

11,143,264

IDR

161,676,116,000

JPMC

**

3/16/2022

(137,364)

USD

5,716,809

ILS

17,910,500

CITI

3/16/2022

(47,533)

USD

5,716,802

ILS

17,910,500

JPMC

3/16/2022

(47,541)

USD

57,201,852

INR

4,370,231,504

CITI

**

3/16/2022

(965,562)

USD

57,201,781

INR

4,370,231,496

JPMC

**

3/16/2022

(965,633)

USD

80,953,990

JPY

9,308,376,860

CITI

3/16/2022

(15,224)

USD

80,953,888

JPY

9,308,376,860

JPMC

3/16/2022

(15,325)

USD

18,218,635

KRW

21,760,668,500

CITI

**

3/16/2022

(49,686)

USD

18,218,612

KRW

21,760,668,500

JPMC

**

3/16/2022

(49,709)

USD

34,307,762

MXN

743,377,000

CITI

3/16/2022

(1,547,477)

USD

34,307,719

MXN

743,377,000

JPMC

3/16/2022

(1,547,520)

USD

10,778,075

NOK

97,835,500

CITI

3/16/2022

(316,727)

USD

10,778,062

NOK

97,835,500

JPMC

3/16/2022

(316,741)

USD

35,088,408

NZD

51,602,501

CITI

3/16/2022

(214,168)

USD

35,088,363

NZD

51,602,499

JPMC

3/16/2022

(214,212)

USD

1,198,183

PHP

62,022,000

CITI

**

3/16/2022

(1,714)

USD

1,198,182

PHP

62,022,000

JPMC

**

3/16/2022

(1,716)

USD

29,833,529

PLN

123,257,500

CITI

3/16/2022

(596,059)

USD

29,831,897

PLN

123,257,500

JPMC

3/16/2022

(597,691)

USD

79,718,553

SEK

723,837,500

CITI

3/16/2022

(432,308)

USD

79,718,454

SEK

723,837,500

JPMC

3/16/2022

(432,407)

USD

80,048,433

SGD

109,414,000

CITI

3/16/2022

(1,112,983)

USD

80,048,333

SGD

109,414,000

JPMC

3/16/2022

(1,113,083)

USD

13,948,529

TWD

385,692,004

CITI

**

3/16/2022

(38,675)

USD

13,948,512

TWD

385,691,996

JPMC

**

3/16/2022

(38,693)

USD

11,226,615

ZAR

182,406,000

CITI

3/16/2022

(106,166)

USD

11,226,601

ZAR

182,406,000

JPMC

3/16/2022

(106,180)

ZAR

237,526,712

USD

14,804,160

CITI

3/16/2022

(46,761)

ZAR

237,526,710

USD

14,804,178

JPMC

3/16/2022

(46,780)

Total

unrealized

depreciation

(31,333,094)

Net

unrealized

depreciation

$

(5,272,942)

**

Non-deliverable

forward.

149

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.30%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

12/27/2023

$5,283,719

$3,860

$226,315

$230,175

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.55%

to

0.23%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

09/18/2023

-

12/26/2023

$2,978,403

$16,481

$(12,207)

$4,274

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.10%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/24/2026

-

12/25/2026

$127,530,754

$(180,073)

$(290,369)

$(470,442)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Asics

Corp.

36,800

815,837

(92,254)

19.6

Calbee

,

Inc.

32,200

747,694

(137)

0.0

Dai-ichi

Life

Holdings,

Inc.

87,000

1,754,788

(48,319)

10.3

Disco

Corp.

3,200

978,088

57,566

(12.2)

ENEOS

Holdings,

Inc.

241,800

903,319

(5,150)

1.1

Hamamatsu

Photonics

KK

11,300

721,730

22,423

(4.8)

Inpex

Corp.

187,400

1,629,556

18,462

(3.9)

150

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Japan

Post

Holdings

Co.

Ltd.

113,700

885,754

5,916

(1.3)

Kyushu

Electric

Power

Co.,

Inc.

166,100

1,240,122

(1,781)

0.4

MISUMI

Group,

Inc.

33,200

1,363,922

(29,301)

6.2

Mitsubishi

Electric

Corp.

102,000

1,294,690

(9,572)

2.0

Mitsui

OSK

Lines

Ltd.

16,400

1,218,920

98,983

(21.0)

Mizuho

Financial

Group,

Inc.

92,200

1,171,056

4,481

(1.0)

Nagoya

Railroad

Co.

Ltd.

66,700

1,015,448

8,825

(1.9)

NOF

Corp.

16,700

844,428

592

(0.1)

SCREEN

Holdings

Co.

Ltd.

7,100

762,917

31,484

(6.7)

Sekisui

House

Ltd.

42,300

910,116

39,308

(8.4)

Shimamura

Co.

Ltd.

9,100

763,677

(47,943)

10.2

Shin-Etsu

Chemical

Co.

Ltd.

4,900

850,520

11,743

(2.5)

SoftBank

Group

Corp.

15,500

743,073

11,754

(2.5)

Sumitomo

Mitsui

Financial

Group,

Inc.

21,300

727,338

6,317

(1.3)

Toyoda

Gosei

Co.

Ltd.

41,700

907,013

29,211

(6.2)

Yakult

Honsha

Co.

Ltd.

20,000

1,043,385

30,230

(6.4)

Yamada

Holdings

Co.

Ltd.

213,300

729,210

5,938

(1.3)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(56,400)

(1,329,134)

56,908

(12.1)

ANA

Holdings,

Inc.

(34,700)

(725,399)

(2,002)

0.4

Asahi

Group

Holdings

Ltd.

(22,200)

(864,219)

27,362

(5.8)

Astellas

Pharma,

Inc.

(71,500)

(1,163,700)

(45,171)

9.6

Central

Japan

Railway

Co.

(12,500)

(1,663,401)

84,130

(17.9)

Concordia

Financial

Group

Ltd.

(250,600)

(910,067)

20,430

(4.3)

Daiwa

Securities

Group,

Inc.

(179,900)

(1,015,175)

15,800

(3.4)

Denso

Corp.

(13,900)

(1,151,905)

(106,889)

22.7

East

Japan

Railway

Co.

(41,000)

(2,520,496)

19,808

(4.2)

Japan

Airlines

Co.

Ltd.

(78,500)

(1,490,190)

18,658

(4.0)

Kobe

Bussan

Co.

Ltd.

(18,500)

(716,274)

(65,892)

14.0

Lasertec

Corp.

(5,900)

(1,807,179)

(232,500)

49.4

M3,

Inc.

(19,800)

(998,343)

(7,157)

1.5

MEIJI

Holdings

Co.

Ltd.

(12,200)

(728,264)

8,778

(1.9)

Mitsubishi

Corp.

(36,300)

(1,152,638)

(30,984)

6.6

Nidec

Corp.

(8,300)

(981,844)

(13,604)

2.9

Oriental

Land

Co.

Ltd.

(14,400)

(2,428,231)

(68,171)

14.5

ORIX

Corp.

(67,200)

(1,371,430)

(53,296)

11.3

Rakuten

Group,

Inc.

(100,500)

(1,008,343)

11,701

(2.5)

Seven

&

i

Holdings

Co.

Ltd.

(35,000)

(1,539,581)

(15,116)

3.2

Sumitomo

Electric

Industries

Ltd.

(61,400)

(801,330)

12,240

(2.6)

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(22,000)

(735,644)

2,847

(0.6)

Tokyo

Electron

Ltd.

(1,600)

(920,916)

(45,865)

9.7

West

Japan

Railway

Co.

(17,600)

(736,083)

47,279

(10.0)

Yaskawa

Electric

Corp.

(16,900)

(829,210)

(834)

0.2

Z

Holdings

Corp.

(156,700)

(904,158)

45,284

(9.6)

151

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.20%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2026

-

12/28/2026

$558,965,484

$3,661,370

$(345,267)

$3,316,103

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Abbott

Laboratories

10,572

1,487,903

86,796

2.6

Accenture

plc

4,494

1,862,988

193,691

5.8

Allegion

plc

13,732

1,818,666

21,285

0.6

Alphabet,

Inc.

667

1,932,326

(37,172)

(1.1)

Anthem,

Inc.

3,686

1,708,608

161,742

4.9

AutoNation,

Inc.

15,494

1,810,474

(43,538)

(1.3)

AutoZone,

Inc.

1,051

2,203,306

137,219

4.1

Bristol-Myers

Squibb

Co.

28,705

1,789,757

138,071

4.2

Cisco

Systems

Inc

/Delaware

36,541

2,315,603

212,669

6.4

Coca-Cola

Co.

(The)

33,800

2,001,298

106,722

3.2

Exxon

Mobil

Corp.

24,069

1,472,782

(34,178)

(1.0)

Gartner,

Inc.

6,169

2,062,420

142,874

4.3

General

Dynamics

Corp.

8,705

1,814,731

56,931

1.7

Global

Payments,

Inc.

12,910

1,745,174

79,482

2.4

Johnson

&

Johnson

18,078

3,092,603

93,463

2.8

Johnson

Controls

International

plc

22,648

1,841,509

52,770

1.6

JPMorgan

Chase

&

Co.

9,948

1,575,266

(20,990)

(0.6)

Lennox

International,

Inc.

6,516

2,113,530

(23,132)

(0.7)

Louisiana-Pacific

Corp.

23,537

1,844,124

86,852

2.6

Meta

Platforms,

Inc.

6,471

2,176,521

42,256

1.3

Microsoft

Corp.

5,992

2,015,229

19,294

0.6

Mondelez

International,

Inc.

22,569

1,496,550

120,067

3.6

OGE

Energy

Corp.

40,317

1,547,366

102,808

3.1

Pfizer,

Inc.

43,609

2,575,111

303,955

9.2

Procter

&

Gamble

Co.

(The)

11,344

1,855,652

116,389

3.5

SS&C

Technologies

Holdings,

Inc.

20,162

1,652,881

83,269

2.5

Target

Corp.

7,519

1,740,197

(46,016)

(1.4)

Tri

Pointe

Homes,

Inc.

55,802

1,556,318

30,691

0.9

United

Parcel

Service,

Inc.

7,565

1,621,482

59,007

1.8

UnitedHealth

Group,

Inc.

3,039

1,526,003

87,584

2.6

Vertex

Pharmaceuticals,

Inc.

6,911

1,517,656

77,334

2.3

Walmart,

Inc.

20,504

2,966,724

126,920

3.8

Zebra

Technologies

Corp.

2,918

1,736,794

(7,412)

(0.2)

152

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Amcor

plc

(138,562)

(1,664,130)

(62,353)

(1.9)

Amphenol

Corp.

(22,638)

(1,979,919)

(98,475)

(3.0)

Avangrid

,

Inc.

(36,705)

(1,830,845)

(25,326)

(0.8)

BorgWarner,

Inc.

(35,821)

(1,614,452)

37,612

1.1

Carnival

Corp.

(92,467)

(1,860,436)

(85,994)

(2.6)

Church

&

Dwight

Co.,

Inc.

(14,798)

(1,516,795)

(102,994)

(3.1)

General

Mills,

Inc.

(26,453)

(1,782,403)

(90,205)

(2.7)

Hasbro,

Inc.

(16,016)

(1,630,108)

(21,942)

(0.7)

Helen

of

Troy

Ltd.

(6,889)

(1,684,154)

9,507

0.3

Hormel

Foods

Corp.

(59,998)

(2,928,502)

(240,592)

(7.3)

Huntington

Bancshares,

Inc.

(103,763)

(1,600,025)

1,038

0.0

International

Flavors

&

Fragrances,

Inc.

(10,322)

(1,555,009)

(32,721)

(1.0)

Jazz

Pharmaceuticals

plc

(13,194)

(1,680,916)

(56,866)

(1.7)

Kimberly-Clark

Corp.

(12,463)

(1,781,212)

(91,105)

(2.7)

Royal

Caribbean

Cruises

Ltd.

(27,944)

(2,148,894)

(61,477)

(1.9)

T-Mobile

US,

Inc.

(15,442)

(1,790,963)

(30,730)

(0.9)

Walt

Disney

Co.

(The)

(14,158)

(2,192,933)

(27,608)

(0.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.95%

to

0.23%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

09/18/2023

-

12/27/2023

$42,709,794

$127,883

$650,493

$778,376

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

ALS

Ltd.

96,496

918,700

(5,244)

(0.7)

Ampol

Ltd.

66,289

1,431,376

13,930

1.8

Aristocrat

Leisure

Ltd.

16,394

520,060

(14,743)

(1.9)

Aurizon

Holdings

Ltd.

337,525

857,525

(4,446)

(0.6)

Australia

&

New

Zealand

Banking

Group

Ltd.

24,130

483,356

(6,092)

(0.8)

BlueScope

Steel

Ltd.

89,578

1,367,529

(5,655)

(0.7)

Brambles

Ltd.

67,273

520,446

(5,220)

(0.7)

Coles

Group

Ltd.

73,606

960,418

(858)

(0.1)

JB

Hi-Fi

Ltd.

43,417

1,526,734

(15,744)

(2.0)

Medibank

Pvt

Ltd.

118,884

289,554

(5,393)

(0.7)

Mineral

Resources

Ltd.

27,121

1,107,779

(1,248)

(0.2)

Newcrest

Mining

Ltd.

33,689

603,374

5,551

0.7

Origin

Energy

Ltd.

133,205

508,375

(2,356)

(0.3)

153

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

OZ

Minerals

Ltd.

19,456

401,110

(2,322)

(0.3)

QBE

Insurance

Group

Ltd.

72,001

594,566

(9,414)

(1.2)

REA

Group

Ltd.

6,068

739,942

385

0.0

Santos

Ltd.

68,374

314,963

(4,391)

(0.6)

Sonic

Healthcare

Ltd.

23,650

802,121

(1,425)

(0.2)

South32

Ltd.

299,106

874,761

(68)

(0.0)

Suncorp

Group

Ltd.

55,307

445,281

(3,792)

(0.5)

Telstra

Corp.

Ltd.

697,280

2,119,173

(6,455)

(0.8)

WiseTech

Global

Ltd.

7,025

297,940

(7,804)

(1.0)

Woodside

Petroleum

Ltd.

36,674

584,656

(8,213)

(1.1)

Worley

Ltd.

79,869

618,761

(13,458)

(1.7)

Short

Positions

Common

Stocks

Australia

Ansell

Ltd.

(15,496)

(354,384)

8,534

1.1

APA

Group

(176,092)

(1,288,252)

47,916

6.2

Atlas

Arteria

Ltd.

(167,564)

(843,257)

(5,719)

(0.7)

carsales.com

Ltd.

(25,067)

(458,016)

4,131

0.5

Cochlear

Ltd.

(8,734)

(1,370,806)

17,897

2.3

Computershare

Ltd.

(43,921)

(639,364)

(577)

(0.1)

CSL

Ltd.

(7,044)

(1,489,809)

12,072

1.6

Evolution

Mining

Ltd.

(192,306)

(570,531)

290

0.0

IDP

Education

Ltd.

(39,026)

(983,154)

28,038

3.6

Lendlease

Corp.

Ltd.

(112,102)

(872,887)

(3,455)

(0.4)

Macquarie

Group

Ltd.

(6,643)

(993,031)

8,441

1.1

National

Australia

Bank

Ltd.

(16,663)

(349,875)

4,730

0.6

NEXTDC

Ltd.

(131,444)

(1,220,541)

9,296

1.2

Northern

Star

Resources

Ltd.

(142,728)

(981,591)

(5,510)

(0.7)

Orica

Ltd.

(110,416)

(1,101,098)

11,482

1.5

Pilbara

Minerals

Ltd.

(362,981)

(846,711)

(9,502)

(1.2)

Pro

Medicus

Ltd.

(16,731)

(759,328)

9,971

1.3

Qantas

Airways

Ltd.

(95,065)

(346,784)

412

0.1

SEEK

Ltd.

(44,241)

(1,054,691)

24,569

3.2

Seven

Group

Holdings

Ltd.

(43,490)

(684,267)

25,118

3.2

Sydney

Airport

(171,883)

(1,085,180)

1,536

0.2

Transurban

Group

(118,269)

(1,187,929)

12,374

1.6

Wesfarmers

Ltd.

(10,009)

(431,853)

4,637

0.6

Westpac

Banking

Corp.

(63,616)

(986,908)

6,346

0.8

Woolworths

Group

Ltd.

(16,127)

(445,808)

6,039

0.8

New

Zealand

Xero

Ltd.

(3,507)

(358,974)

10,657

1.4

154

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-0.53%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

14-25

months

maturity

ranging

from

11/25/2022

-

12/27/2023

$77,846,555

$(68,104)

$1,431,174

$1,363,070

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Alimentation

Couche-Tard,

Inc.

70,596

2,957,894

(204)

(0.0)

Bank

of

Montreal

8,617

927,744

(5,091)

(0.4)

Canadian

Natural

Resources

Ltd.

37,628

1,589,957

(4,403)

(0.3)

Canadian

Tire

Corp.

Ltd.

4,447

637,862

(4,802)

(0.4)

CCL

Industries,

Inc.

15,880

851,528

(3,126)

(0.2)

Cenovus

Energy,

Inc.

78,325

960,371

(4,306)

(0.3)

CI

Financial

Corp.

45,432

949,620

(13,974)

(1.0)

Empire

Co.

Ltd.

31,738

966,981

(6,018)

(0.4)

Enbridge,

Inc.

34,404

1,343,849

7,856

0.6

Fairfax

Financial

Holdings

Ltd.

4,056

1,995,182

(20,388)

(1.5)

Finning

International,

Inc.

35,128

885,316

2,489

0.2

Gildan

Activewear

,

Inc.

14,492

614,416

(5,693)

(0.4)

iA

Financial

Corp.,

Inc.

13,090

749,005

(616)

(0.0)

Imperial

Oil

Ltd.

37,343

1,346,763

10,147

0.7

Intact

Financial

Corp.

6,076

789,767

(615)

(0.0)

Loblaw

Cos.

Ltd.

10,089

826,613

(6,182)

(0.5)

Magna

International,

Inc.

22,104

1,788,485

1,729

0.1

National

Bank

of

Canada

32,924

2,510,131

(14,820)

(1.1)

Nutrien

Ltd.

16,870

1,268,034

(29,382)

(2.2)

Onex

Corp.

10,401

816,326

(6,316)

(0.5)

Stantec

,

Inc.

18,253

1,025,527

(10,309)

(0.8)

Suncor

Energy,

Inc.

72,638

1,817,457

640

0.0

TFI

International,

Inc.

10,042

1,126,257

(14,273)

(1.0)

Thomson

Reuters

Corp.

7,785

930,975

(3,543)

(0.3)

Toromont

Industries

Ltd.

7,025

635,107

3,073

0.2

Toronto-Dominion

Bank

(The)

13,340

1,022,739

(5,568)

(0.4)

Tourmaline

Oil

Corp.

47,684

1,539,519

(35,847)

(2.6)

Chile

Lundin

Mining

Corp.

102,311

799,109

1,611

0.1

United

States

BRP,

Inc.

16,259

1,424,165

(2,877)

(0.2)

155

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(14,385)

(617,272)

134

0.0

Canada

Air

Canada

(154,436)

(2,579,733)

25,620

1.9

Algonquin

Power

&

Utilities

Corp.

(183,832)

(2,655,133)

31,850

2.3

Ballard

Power

Systems,

Inc.

(144,285)

(1,812,474)

(65,445)

(4.8)

Barrick

Gold

Corp.

(37,454)

(712,098)

(14,412)

(1.1)

BCE,

Inc.

(54,424)

(2,831,451)

4,739

0.3

CAE,

Inc.

(80,320)

(2,026,176)

3,612

0.3

Canadian

Imperial

Bank

of

Commerce

(11,780)

(1,373,146)

4,160

0.3

Canadian

Pacific

Railway

Ltd.

(31,807)

(2,287,680)

30,996

2.3

Canadian

Utilities

Ltd.

(39,438)

(1,143,903)

(1,864)

(0.1)

Canopy

Growth

Corp.

(116,082)

(1,013,119)

12,994

1.0

CGI,

Inc.

(10,293)

(910,132)

10,866

0.8

Emera

,

Inc.

(31,782)

(1,588,409)

(3,217)

(0.2)

Fortis,

Inc.

(19,282)

(930,298)

1,979

0.1

IGM

Financial,

Inc.

(22,325)

(805,144)

19,981

1.5

Keyera

Corp.

(41,090)

(926,754)

5,116

0.4

Kinaxis

,

Inc.

(5,194)

(728,133)

5,167

0.4

Restaurant

Brands

International,

Inc.

(28,740)

(1,742,644)

13,138

1.0

Rogers

Communications,

Inc.

(33,770)

(1,607,943)

(3,733)

(0.3)

Royal

Bank

of

Canada

(6,636)

(704,283)

2,820

0.2

SSR

Mining,

Inc.

(35,508)

(628,502)

(5,576)

(0.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.35%

to

0.30%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

12/27/2023

$33,729,674

$36,239

$318,231

$354,470

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

27,519

1,048,826

(6,704)

(1.9)

Adecco

Group

AG

(Registered)

20,338

1,036,371

6,244

1.8

Baloise

Holding

AG

(Registered)

3,911

638,326

4,767

1.3

Barry

Callebaut

AG

(Registered)

146

354,437

3,518

1.0

Belimo

Holding

AG

(Registered)

934

593,077

15,886

4.5

BKW

AG

4,305

558,982

5,219

1.5

Bucher

Industries

AG

(Registered)

1,049

516,914

3,428

1.0

156

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

DKSH

Holding

AG

4,423

364,567

747

0.2

EMS-

Chemie

Holding

AG

(Registered)

127

141,933

1,012

0.3

Geberit

AG

(Registered)

2,689

2,191,895

(2,569)

(0.7)

Georg

Fischer

AG

(Registered)

219

331,351

(5,595)

(1.6)

Holcim

Ltd.

3,654

185,839

(310)

(0.1)

Kuehne

+

Nagel

International

AG

(Registered)

9,274

2,986,760

12,646

3.6

Novartis

AG

(Registered)

22,496

1,976,769

(3,267)

(0.9)

OC

Oerlikon

Corp.

AG

(Registered)

14,860

151,974

(590)

(0.2)

Roche

Holding

AG

3,118

1,293,537

(6,792)

(1.9)

Schindler

Holding

AG

1,028

275,946

(4,282)

(1.2)

SGS

SA

(Registered)

33

110,012

489

0.1

Swiss

Life

Holding

AG

(Registered)

233

142,358

(737)

(0.2)

Swisscom

AG

(Registered)

928

523,507

(993)

(0.3)

Tecan

Group

AG

(Registered)

746

453,095

(2,505)

(0.7)

Temenos

AG

(Registered)

1,930

266,034

5,795

1.6

UBS

Group

AG

(Registered)

69,347

1,244,730

(12,511)

(3.5)

VAT

Group

AG

621

307,720

(5,647)

(1.6)

United

States

Swiss

Re

AG

3,254

321,214

(268)

(0.1)

Short

Positions

Common

Stocks

Austria

ams

AG

(104,410)

(1,889,348)

47,573

13.4

Switzerland

Bachem

Holding

AG

(Registered)

(298)

(233,348)

(11,233)

(3.2)

Banque

Cantonale

Vaudoise

(Registered)

(6,919)

(536,671)

(3,604)

(1.0)

Chocoladefabriken

Lindt

&

Spruengli

AG

(14)

(194,052)

(2,300)

(0.6)

Cie

Financiere

Richemont

SA

(940)

(140,469)

605

0.2

Credit

Suisse

Group

AG

(Registered)

(80,559)

(781,069)

10,697

3.0

Dufry

AG

(Registered)

(51,532)

(2,540,247)

(4,318)

(1.2)

Flughafen

Zurich

AG

(Registered)

(7,129)

(1,280,254)

9,857

2.8

Givaudan

SA

(Registered)

(116)

(608,606)

(3,993)

(1.1)

Helvetia

Holding

AG

(Registered)

(957)

(112,424)

(669)

(0.2)

Idorsia

Ltd.

(46,120)

(939,869)

(2,963)

(0.8)

Julius

Baer

Group

Ltd.

(5,746)

(384,248)

1,555

0.4

Lonza

Group

AG

(Registered)

(533)

(443,770)

2,651

0.7

Nestle

SA

(Registered)

(6,714)

(937,391)

780

0.2

Partners

Group

Holding

AG

(152)

(250,923)

(276)

(0.1)

SIG

Combibloc

Group

AG

(31,988)

(891,000)

(10,502)

(3.0)

Sika

AG

(Registered)

(3,595)

(1,494,145)

(10,987)

(3.1)

Sonova

Holding

AG

(Registered)

(521)

(203,605)

(730)

(0.2)

Straumann

Holding

AG

(Registered)

(323)

(683,013)

5,386

1.5

Sulzer

AG

(Registered)

(4,132)

(405,914)

2,223

0.6

Zurich

Insurance

Group

AG

(1,742)

(763,134)

(494)

(0.1)

157

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

12/27/2023

$14,548,179

$(8,852)

$993,521

$984,669

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

962

3,433,680

(3,630)

(0.4)

Carlsberg

A/S

1,310

226,169

1,347

0.1

DSV

A/S

6,408

1,493,245

9,924

1.0

Genmab

A/S

1,447

577,574

2,468

0.3

Jyske

Bank

A/S

(Registered)

1,385

71,243

(147)

(0.0)

Novo

Nordisk

A/S

8,707

978,021

7,446

0.8

Pandora

A/S

3,925

488,234

1,391

0.1

Royal

Unibrew

A/S

1,868

210,118

(1,030)

(0.1)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(4,486)

(118,403)

1,057

0.1

Chr

Hansen

Holding

A/S

(13,970)

(1,101,540)

(3,521)

(0.4)

Demant

A/S

(6,561)

(335,964)

15

0.0

Novozymes

A/S

(3,441)

(282,540)

(4,792)

(0.5)

Orsted

A/S

(4,974)

(637,006)

(6,472)

(0.7)

ROCKWOOL

International

A/S

(398)

(173,798)

1,485

0.2

SimCorp

A/S

(6,733)

(733,842)

2,131

0.2

Tryg

A/S

(37,185)

(917,638)

(4,220)

(0.4)

Vestas

Wind

Systems

A/S

(90,926)

(2,769,164)

(12,304)

(1.2)

158

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-10.00%

to

0.30%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

12/27/2023

$147,435,601

$(111,807)

$166,792

$54,985

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

22,848

1,183,236

10,348

18.8

Finland

Kone

OYJ

16,371

1,174,763

(2,421)

(4.4)

Nokian

Renkaat

OYJ

31,598

1,193,950

(7,539)

(13.7)

Valmet

OYJ

27,934

1,197,689

2,205

4.0

France

Cie

de

Saint-Gobain

27,639

1,944,310

9,381

17.1

Electricite

de

France

SA

106,680

1,254,695

15,140

27.5

LVMH

Moet

Hennessy

Louis

Vuitton

SE

2,395

1,979,309

(1,143)

(2.1)

Renault

SA

31,984

1,109,537

10,781

19.6

Rexel

SA

64,383

1,303,915

(1,959)

(3.6)

Germany

Bayerische

Motoren

Werke

AG

16,172

1,617,884

(39,013)

(71.0)

Brenntag

SE

18,608

1,680,374

25,684

46.7

Deutsche

Post

AG

(Registered)

39,986

2,571,932

28,767

52.3

Freenet

AG

45,079

1,191,348

5,762

10.5

Volkswagen

AG

7,129

1,432,097

(15,981)

(29.1)

Italy

Buzzi

Unicem

SpA

57,015

1,228,439

1,272

2.3

Davide

Campari-Milano

NV

89,023

1,299,048

1,239

2.3

Italgas

SpA

155,563

1,069,320

27,760

50.5

Luxembourg

Eurofins

Scientific

SE

8,823

1,093,096

(18,720)

(34.0)

Netherlands

ASR

Nederland

NV

29,065

1,338,539

(1,302)

(2.4)

Koninklijke

Ahold

Delhaize

NV

87,271

2,994,823

13,841

25.2

Signify

NV

32,631

1,515,116

(27,723)

(50.4)

Spain

Acciona

SA

7,255

1,380,906

2,305

4.2

Acerinox

SA

86,447

1,112,457

(190)

(0.3)

Fluidra

SA

38,513

1,535,985

25,271

46.0

Iberdrola

SA

136,591

1,617,235

57,116

103.9

Repsol

SA

127,665

1,511,953

(14,750)

(26.8)

United

Kingdom

CNH

Industrial

NV

71,308

1,378,684

(17,192)

(31.3)

159

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Belgium

KBC

Group

NV

(15,163)

(1,302,825)

1,594

2.9

China

Prosus

NV

(26,721)

(2,213,169)

24,099

43.8

Finland

Orion

OYJ

(25,215)

(1,047,401)

(10,718)

(19.5)

France

Accor

SA

(40,696)

(1,319,097)

1,379

2.5

Aeroports

de

Paris

(9,375)

(1,209,410)

(20,898)

(38.0)

Alstom

SA

(83,451)

(2,963,384)

(7,542)

(13.7)

Edenred

(26,250)

(1,212,182)

267

0.5

Safran

SA

(9,501)

(1,163,144)

(9,178)

(16.7)

Germany

Continental

AG

(10,628)

(1,116,636)

20,339

37.0

Deutsche

Telekom

AG

(Registered)

(65,457)

(1,209,482)

1,434

2.6

Fresenius

Medical

Care

AG

&

Co.

KGaA

(40,490)

(2,624,895)

(20,278)

(36.9)

Hannover

Rueck

SE

(8,416)

(1,595,645)

(763)

(1.4)

Siemens

AG

(Registered)

(7,754)

(1,343,015)

(11,667)

(21.2)

Zalando

SE

(12,547)

(1,010,742)

(4,200)

(7.6)

Italy

Intesa

Sanpaolo

SpA

(431,975)

(1,115,759)

(3,028)

(5.5)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(128,216)

(1,471,981)

(22,605)

(41.1)

Netherlands

ABN

AMRO

Bank

NV

(141,216)

(2,075,834)

(21,396)

(38.9)

Argenx

SE

(5,139)

(1,827,470)

(8,487)

(15.4)

Saudi

Arabia

Delivery

Hero

SE

(14,551)

(1,610,658)

19,417

35.3

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

(41,996)

(1,119,658)

(14,622)

(26.6)

Aena

SME

SA

(9,967)

(1,569,643)

(16,636)

(30.3)

Amadeus

IT

Group

SA

(34,215)

(2,315,132)

4,925

9.0

Ferrovial

SA

(65,226)

(2,039,858)

(14,675)

(26.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-2.00%

to

0.30%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

12/27/2023

$48,801,717

$(209,014)

$637,956

$428,942

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

160

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

BHP

Group

plc

75,918

2,258,919

(9,443)

(2.2)

Glencore

plc

281,464

1,434,138

(14,096)

(3.3)

Rio

Tinto

plc

34,698

2,288,205

12,231

2.9

Austria

Mondi

plc

15,036

372,952

(1,315)

(0.3)

Chile

Antofagasta

plc

39,025

709,756

3,790

0.9

Netherlands

Royal

Dutch

Shell

plc

68,002

1,490,224

(9,491)

(2.2)

Russia

Evraz

plc

187,262

1,531,020

(7,484)

(1.7)

South

Africa

Anglo

American

plc

32,985

1,356,747

4,857

1.1

United

Kingdom

Ashtead

Group

plc

14,839

1,196,239

(32,906)

(7.7)

Barclays

plc

429,919

1,095,117

(1,788)

(0.4)

BP

plc

108,721

487,138

(7,295)

(1.7)

British

American

Tobacco

plc

11,851

440,048

930

0.2

Diageo

plc

11,160

610,185

(8,291)

(1.9)

DS

Smith

plc

118,631

617,819

(6,169)

(1.4)

Howden

Joinery

Group

plc

66,535

814,976

(18,767)

(4.4)

Inchcape

plc

60,579

745,760

(4,506)

(1.1)

M&G

plc

234,992

635,728

(2,958)

(0.7)

Man

Group

plc

371,413

1,143,199

(3,487)

(0.8)

Rotork

plc

136,599

664,802

(11,140)

(2.6)

Royal

Mail

plc

49,080

336,503

(9,860)

(2.3)

Spectris

plc

19,875

989,290

(7,119)

(1.7)

Spirax-Sarco

Engineering

plc

3,805

828,084

(9,071)

(2.1)

Travis

Perkins

plc

33,526

707,754

(22,393)

(5.2)

Unilever

plc

12,657

679,003

(1,301)

(0.3)

Short

Positions

Common

Stocks

Jordan

Hikma

Pharmaceuticals

plc

(12,718)

(381,935)

1,597

0.4

Russia

Coca-Cola

HBC

AG

(7,812)

(270,493)

2,841

0.7

United

Kingdom

Abcam

plc

(24,456)

(573,665)

(6,255)

(1.5)

Admiral

Group

plc

(12,044)

(515,537)

(2,026)

(0.5)

ASOS

plc

(14,472)

(468,363)

(11,733)

(2.7)

AstraZeneca

plc

(7,430)

(867,597)

2,930

0.7

Auto

Trader

Group

plc

(28,146)

(281,879)

(3,615)

(0.8)

BAE

Systems

plc

(72,473)

(540,446)

(2,098)

(0.5)

Berkeley

Group

Holdings

plc

(10,206)

(660,891)

15,837

3.7

boohoo

Group

plc

(333,599)

(559,376)

(4,652)

(1.1)

BT

Group

plc

(699,998)

(1,610,347)

1,250

0.3

Compass

Group

plc

(24,783)

(557,957)

(8,655)

(2.0)

easyJet

plc

(45,182)

(343,201)

(6,712)

(1.6)

GlaxoSmithKline

plc

(41,674)

(907,358)

4,979

1.2

Hargreaves

Lansdown

plc

(17,050)

(313,314)

2,041

0.5

Ocado

Group

plc

(115,396)

(2,625,414)

(30,199)

(7.0)

Prudential

plc

(23,732)

(410,394)

764

0.2

Reckitt

Benckiser

Group

plc

(15,773)

(1,357,797)

2,162

0.5

161

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Rentokil

Initial

plc

(72,260)

(571,992)

(4,525)

(1.1)

Rolls-Royce

Holdings

plc

(853,523)

(1,424,647)

(16,566)

(3.9)

Severn

Trent

plc

(40,864)

(1,631,778)

18,674

4.4

Taylor

Wimpey

plc

(368,664)

(878,943)

3,021

0.7

Tesco

plc

(172,112)

(677,618)

417

0.1

United

Utilities

Group

plc

(35,566)

(524,793)

7,865

1.8

Vodafone

Group

plc

(207,216)

(312,116)

3,807

0.9

Whitbread

plc

(23,075)

(938,636)

(11,605)

(2.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-16.00%

to

0.23%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

09/18/2023

-

12/27/2023

$12,763,959

$14,134

$451,867

$466,001

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

424,000

1,390,511

(1,515)

(0.3)

SITC

International

Holdings

Co.

Ltd.

197,000

712,487

(31,547)

(6.8)

Hong

Kong

ASM

Pacific

Technology

Ltd.

96,300

1,040,691

6,377

1.4

CLP

Holdings

Ltd.

26,000

262,724

(1,859)

(0.4)

HKT

Trust

&

HKT

Ltd.

134,000

180,052

(1,420)

(0.3)

Hong

Kong

&

China

Gas

Co.

Ltd.

436,000

680,057

132

0.0

Kerry

Properties

Ltd.

120,500

313,826

(1,427)

(0.3)

Man

Wah

Holdings

Ltd.

260,800

404,432

6,419

1.4

New

World

Development

Co.

Ltd.

16,000

63,348

1,073

0.2

Swire

Properties

Ltd.

136,400

341,939

3,980

0.9

Xinyi

Glass

Holdings

Ltd.

118,000

295,569

(433)

(0.1)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

87,500

563,362

(8,933)

(1.9)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(419,400)

(1,102,585)

37,680

8.1

Chow

Tai

Fook

Jewellery

Group

Ltd.

(174,200)

(313,887)

(3,355)

(0.7)

ESR

Cayman

Ltd.

(206,800)

(699,524)

636

0.1

Hong

Kong

Hang

Lung

Properties

Ltd.

(165,000)

(339,414)

6,348

1.4

162

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Henderson

Land

Development

Co.

Ltd.

(91,000)

(388,167)

(129)

(0.0)

MTR

Corp.

Ltd.

(280,000)

(1,503,055)

(274)

(0.1)

Power

Assets

Holdings

Ltd.

(12,500)

(77,917)

954

0.2

Sun

Hung

Kai

Properties

Ltd.

(13,500)

(163,812)

316

0.1

Techtronic

Industries

Co.

Ltd.

(16,500)

(328,926)

(7,073)

(1.5)

Wharf

Real

Estate

Investment

Co.

Ltd.

(135,000)

(685,968)

22,139

4.8

Macau

Galaxy

Entertainment

Group

Ltd.

(95,000)

(492,822)

(6,097)

(1.3)

Sands

China

Ltd.

(80,000)

(185,664)

(2,630)

(0.6)

Wynn

Macau

Ltd.

(287,200)

(233,220)

(5,228)

(1.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.30%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

12/27/2023

$21,274,875

$40,400

$283,789

$324,189

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

14,620

178,343

403

0.1

Sweden

Assa

Abloy

AB

6,582

200,626

(46)

(0.0)

Axfood

AB

27,989

805,751

7,550

2.3

BillerudKorsnas

AB

17,892

336,721

7,644

2.4

Boliden

AB

4,137

159,522

(1,166)

(0.4)

Elekta

AB

6,429

81,285

498

0.2

Getinge

AB

56,549

2,464,528

(21,790)

(6.7)

H

&

M

Hennes

&

Mauritz

AB

12,534

245,944

(2,284)

(0.7)

Hexpol

AB

5,706

76,305

1,194

0.4

Husqvarna

AB

25,160

402,281

3,978

1.2

ICA

Gruppen

AB

4,751

280,974

210

0.1

Indutrade

AB

22,523

687,651

23,118

7.1

Nibe

Industrier

AB

5,992

90,539

2,310

0.7

Saab

AB

25,660

651,756

1,440

0.4

Securitas

AB

34,739

477,886

3,103

1.0

SKF

AB

2,402

56,807

585

0.2

SSAB

AB

105,921

612,225

(12,295)

(3.8)

Svenska

Cellulosa

AB

SCA

24,626

436,971

5,153

1.6

Svenska

Handelsbanken

AB

18,815

203,352

1,253

0.4

Swedbank

AB

26,658

535,715

561

0.2

Swedish

Match

AB

42,640

338,505

3,276

1.0

163

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Tele2

AB

36,762

524,435

11,210

3.5

Telefonaktiebolaget

LM

Ericsson

97,031

1,067,636

717

0.2

Volvo

AB

27,089

626,474

532

0.2

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(12,315)

(350,071)

(1,182)

(0.4)

Sweden

AAK

AB

(5,784)

(124,707)

1,198

0.4

Beijer

Ref

AB

(10,752)

(234,430)

(4,904)

(1.5)

Electrolux

AB

(5,608)

(135,824)

(97)

(0.0)

Embracer

Group

AB

(155,708)

(1,651,906)

(14,192)

(4.4)

Epiroc

AB

(13,150)

(332,508)

(131)

(0.0)

EQT

AB

(19,485)

(1,056,283)

27,915

8.6

Essity

AB

(66,578)

(2,172,094)

(18,441)

(5.7)

Evolution

AB

(4,455)

(629,674)

436

0.1

Hexagon

AB

(10,332)

(163,665)

471

0.1

Sinch

AB

(114,286)

(1,442,099)

14,315

4.4

Skandinaviska

Enskilda

Banken

AB

(30,021)

(416,798)

(2,172)

(0.7)

Skanska

AB

(4,523)

(116,879)

(1,303)

(0.4)

Sweco

AB

(3,376)

(63,528)

(1,023)

(0.3)

Swedish

Orphan

Biovitrum

AB

(5,334)

(109,078)

3,430

1.1

Telia

Co.

AB

(136,582)

(534,167)

(77)

(0.0)

Trelleborg

AB

(7,582)

(198,932)

(997)

(0.3)

164

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

9,775,586

$

9,775,586

CITI

Investment

Companies

16,050,844

–

16,050,844

GSCO

Cash

–

1,194,031

1,194,031

U.S.

Treasury

Bills

–

8,399,332

8,399,332

GSIN

Cash

(2,580,024)

–

(2,580,024)

U.S.

Treasury

Bills

34,755,207

–

34,755,207

JPMC

U.S.

Treasury

Bills

31,146,645

–

31,146,645

JPMS

Cash

–

1,133,775

1,133,775

MLIN

Cash

14,102,545

–

14,102,545

MSCL

Cash

–

12,144,915

12,144,915

MSCS

Cash

(1,940,394)

–

(1,940,394)

U.S.

Treasury

Bills

6,948,595

–

6,948,595

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

(38,293)

$

(38,293)

U.S.

Treasury

Bills

–

2,099,988

2,099,988

JPPC

Cash

–

2,530,074

2,530,074

MACQ

U.S.

Treasury

Bills

389,940

–

389,940

MSCL

Cash

–

8,626,423

8,626,423

SOCG

Cash

340,086

–

340,086

165

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

92.9%

INVESTMENT

COMPANIES

-

28.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

7,134,627

7,134,627

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

10,049,315

10,045,296

TOTAL

INVESTMENT

COMPANIES

(Cost

$17,179,923)

17,179,923

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

64.1%

U.S.

Treasury

Bills

0.05%,

1/6/2022

(c)

$

1,179,000

1,179,000

0.05%,

1/20/2022

(c)

2,062,000

2,061,988

0.05%,

1/27/2022

(c)

3,109,000

3,108,943

0.05%,

2/3/2022

(c)

685,000

684,982

0.05%,

2/10/2022

(c)

2,318,000

2,317,920

0.05%,

2/17/2022

(c)

2,081,000

2,080,922

0.05%,

2/24/2022

(c)

291,000

290,988

0.05%,

3/3/2022

(c)

13,528,000

13,526,947

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

64.1%

(continued)

0.05%,

3/10/2022

(c)

$

1,245,000

1,244,903

0.05%,

3/17/2022

(c)

285,000

284,968

0.05%,

3/24/2022

(c)(d)

6,685,000

6,684,168

0.05%,

3/31/2022

(c)

927,000

926,882

0.06%,

4/7/2022

(c)

947,000

946,819

0.05%,

4/14/2022

(c)

59,000

58,988

0.06%,

4/21/2022

(c)

643,000

642,858

0.06%,

4/28/2022

(c)(d)

842,000

841,795

0.07%,

5/5/2022

(c)

955,000

954,745

0.16%,

6/23/2022

(c)

326,000

325,741

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$38,163,566)

38,163,557

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$55,343,489)

55,343,480

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

92.9%

(Cost

$55,343,489)

55,343,480

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

7.1%

(e)

4,215,565

NET

ASSETS

-

100.0%

59,559,045

(a)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

2021

:

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)

iBovespa

Index

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

02/16/2022

BRL

(16,930,400)

$

100,797

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/18/2022

CHF

511,920

11,807

112,604

Hang

Seng

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2022

HKD

(7,035,300)

(11,558)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2022

HKD

(8,680,350)

(21,529)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/18/2022

USD

(119,730)

(11,246)

166

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/18/2022

USD

119,730

$

(3,612)

(47,945)

$

64,659

Futures

contracts

outstanding

as

of

December

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

1

1/2022

USD

$

77,780

$

(1,471)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,090

(9,788)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,150

(2,264)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,071

2,233

LME

Aluminum

Base

Metal

1

1/2022

USD

70,120

(6,608)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,065

(1,526)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,105

(8,873)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,150

(5,702)

LME

Aluminum

Base

Metal

2

1/2022

USD

141,413

(3,922)

LME

Aluminum

Base

Metal

2

1/2022

USD

140,270

(12,536)

LME

Aluminum

Base

Metal

4

1/2022

USD

280,600

(11,892)

LME

Copper

Base

Metal

1

1/2022

USD

243,677

5,827

LME

Nickel

Base

Metal

1

1/2022

USD

125,265

9,866

LME

Nickel

Base

Metal

1

1/2022

USD

125,247

4,488

LME

Nickel

Base

Metal

1

1/2022

USD

125,253

9,060

LME

Nickel

Base

Metal

1

1/2022

USD

125,100

2,862

LME

Nickel

Base

Metal

1

1/2022

USD

125,085

9,176

LME

Nickel

Base

Metal

2

1/2022

USD

250,566

28,650

LME

Nickel

Base

Metal

2

1/2022

USD

250,482

6,316

LME

Nickel

Base

Metal

2

1/2022

USD

250,302

7,913

LME

Nickel

Base

Metal

2

1/2022

USD

248,376

31,171

LME

Nickel

Base

Metal

2

1/2022

USD

250,566

37,038

LME

Zinc

Base

Metal

1

1/2022

USD

89,725

9,935

LME

Zinc

Base

Metal

1

1/2022

USD

89,213

5,109

LME

Zinc

Base

Metal

1

1/2022

USD

89,600

1,197

LME

Zinc

Base

Metal

1

1/2022

USD

89,469

966

LME

Zinc

Base

Metal

1

1/2022

USD

89,258

6,094

LME

Zinc

Base

Metal

1

1/2022

USD

89,650

5,144

LME

Zinc

Base

Metal

1

1/2022

USD

89,750

14,228

LME

Zinc

Base

Metal

2

1/2022

USD

179,000

28,544

LME

Zinc

Base

Metal

2

1/2022

USD

179,000

(5,513)

LME

Zinc

Base

Metal

2

1/2022

USD

179,400

16,845

LME

Zinc

Base

Metal

3

1/2022

USD

268,313

6,869

LME

Zinc

Base

Metal

4

1/2022

USD

358,200

(20,312)

NY

Harbor

ULSD

3

1/2022

USD

292,988

10,025

OMXS30

Index

1

1/2022

SEK

26,773

7

RBOB

Gasoline

29

1/2022

USD

2,709,563

137,326

SGX

FTSE

Taiwan

Index

1

1/2022

USD

64,140

79

WTI

Crude

Oil

7

1/2022

USD

526,470

2,034

100

oz

Gold

6

2/2022

USD

1,097,160

10,052

Lean

Hogs

8

2/2022

USD

260,720

2,136

167

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

1

2/2022

USD

$

70,119

$

1,766

LME

Aluminum

Base

Metal

1

2/2022

USD

70,100

2,597

LME

Aluminum

Base

Metal

1

2/2022

USD

70,103

6,225

LME

Aluminum

Base

Metal

1

2/2022

USD

70,091

3,526

LME

Aluminum

Base

Metal

1

2/2022

USD

70,122

3,226

LME

Aluminum

Base

Metal

1

2/2022

USD

70,125

4,685

LME

Aluminum

Base

Metal

2

2/2022

USD

140,222

5,797

LME

Aluminum

Base

Metal

3

2/2022

USD

210,338

8,579

LME

Aluminum

Base

Metal

3

2/2022

USD

210,338

12,322

LME

Aluminum

Base

Metal

5

2/2022

USD

350,688

21,198

LME

Copper

Base

Metal

1

2/2022

USD

243,288

26

LME

Copper

Base

Metal

1

2/2022

USD

243,492

985

LME

Copper

Base

Metal

1

2/2022

USD

243,288

2,772

LME

Nickel

Base

Metal

1

2/2022

USD

125,013

6,451

LME

Nickel

Base

Metal

1

2/2022

USD

125,001

7,970

LME

Nickel

Base

Metal

1

2/2022

USD

125,071

8,188

LME

Nickel

Base

Metal

1

2/2022

USD

124,753

3,970

LME

Nickel

Base

Metal

1

2/2022

USD

125,021

5,869

LME

Nickel

Base

Metal

1

2/2022

USD

124,744

2,048

LME

Nickel

Base

Metal

2

2/2022

USD

249,570

15,336

LME

Zinc

Base

Metal

1

2/2022

USD

89,074

8,096

LME

Zinc

Base

Metal

1

2/2022

USD

89,119

7,212

LME

Zinc

Base

Metal

1

2/2022

USD

89,097

8,094

LME

Zinc

Base

Metal

1

2/2022

USD

89,176

6,243

LME

Zinc

Base

Metal

2

2/2022

USD

177,636

11,005

LME

Zinc

Base

Metal

3

2/2022

USD

266,700

27,288

Low

Sulphur

Gasoil

6

2/2022

USD

399,750

10,155

Coffee

'C'

21

3/2022

USD

1,780,538

(65,806)

Copper

5

3/2022

USD

557,938

5,545

Corn

47

3/2022

USD

1,394,138

20,581

Cotton

No.

2

28

3/2022

USD

1,576,400

92,571

EURO

STOXX

50

Index

8

3/2022

EUR

390,506

12,133

FTSE/MIB

Index

1

3/2022

EUR

155,109

3,519

KC

HRW

Wheat

23

3/2022

USD

921,725

(22,608)

LME

Aluminum

Base

Metal

1

3/2022

USD

70,150

3,116

LME

Aluminum

Base

Metal

1

3/2022

USD

70,175

2,592

LME

Aluminum

Base

Metal

1

3/2022

USD

70,150

4,148

LME

Aluminum

Base

Metal

1

3/2022

USD

70,188

4,585

LME

Aluminum

Base

Metal

1

3/2022

USD

70,194

4,397

LME

Aluminum

Base

Metal

2

3/2022

USD

140,425

11,069

LME

Aluminum

Base

Metal

2

3/2022

USD

140,316

(1,207)

LME

Aluminum

Base

Metal

3

3/2022

USD

210,675

12,216

LME

Aluminum

Base

Metal

3

3/2022

USD

210,431

11,222

LME

Aluminum

Base

Metal

3

3/2022

USD

210,469

13,435

LME

Aluminum

Base

Metal

5

3/2022

USD

350,906

24,867

LME

Aluminum

Base

Metal

6

3/2022

USD

421,125

(2,607)

LME

Aluminum

Base

Metal

7

3/2022

USD

491,488

(1,542)

LME

Aluminum

Base

Metal

24

3/2022

USD

1,684,800

28,088

LME

Copper

Base

Metal

1

3/2022

USD

243,288

6,910

LME

Copper

Base

Metal

1

3/2022

USD

243,097

4,094

LME

Copper

Base

Metal

1

3/2022

USD

243,288

11,113

LME

Copper

Base

Metal

1

3/2022

USD

243,288

4,035

LME

Copper

Base

Metal

7

3/2022

USD

1,703,013

34,282

LME

Nickel

Base

Metal

1

3/2022

USD

124,653

5,790

LME

Nickel

Base

Metal

1

3/2022

USD

124,778

5,555

LME

Nickel

Base

Metal

1

3/2022

USD

124,761

4,348

168

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

2

3/2022

USD

$

249,207

$

12,741

LME

Nickel

Base

Metal

3

3/2022

USD

373,626

9,657

LME

Nickel

Base

Metal

20

3/2022

USD

2,495,220

50,980

LME

Zinc

Base

Metal

1

3/2022

USD

88,785

8,297

LME

Zinc

Base

Metal

1

3/2022

USD

88,797

8,481

LME

Zinc

Base

Metal

1

3/2022

USD

88,600

3,293

LME

Zinc

Base

Metal

1

3/2022

USD

88,744

5,872

LME

Zinc

Base

Metal

2

3/2022

USD

176,800

969

LME

Zinc

Base

Metal

2

3/2022

USD

177,025

3,357

LME

Zinc

Base

Metal

19

3/2022

USD

1,685,300

112,838

Nikkei

225

Index

1

3/2022

JPY

250,196

(238)

S&P/TSX

60

Index

4

3/2022

CAD

810,087

20,883

Soybean

Meal

4

3/2022

USD

159,640

(3,555)

SPI

200

Index

4

3/2022

AUD

534,531

(1,840)

TOPIX

Index

1

3/2022

JPY

173,172

(288)

Wheat

6

3/2022

USD

231,225

(6,428)

3

Month

Euro

Euribor

12

6/2022

EUR

3,432,748

(7)

3

Month

SARON

4

9/2022

CHF

1,104,807

(491)

983,374

Short

Contracts

Hang

Seng

Index

(11)

1/2022

HKD

(1,654,116)

(23,384)

IBEX

35

Index

(2)

1/2022

EUR

(197,744)

(8,715)

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,065)

1,232

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,090)

9,812

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,120)

7,207

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,150)

5,188

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,071)

(3,074)

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,105)

9,338

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,150)

2,598

LME

Aluminum

Base

Metal

(2)

1/2022

USD

(140,270)

13,610

LME

Aluminum

Base

Metal

(2)

1/2022

USD

(141,413)

2,369

LME

Aluminum

Base

Metal

(4)

1/2022

USD

(280,600)

11,696

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,677)

(6,555)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,253)

(9,686)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,085)

(9,288)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,100)

(3,002)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,247)

(4,830)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,265)

(9,888)

LME

Nickel

Base

Metal

(2)

1/2022

USD

(250,482)

(6,168)

LME

Nickel

Base

Metal

(2)

1/2022

USD

(250,302)

(10,008)

LME

Nickel

Base

Metal

(2)

1/2022

USD

(248,376)

(32,069)

LME

Nickel

Base

Metal

(2)

1/2022

USD

(250,566)

(27,805)

LME

Nickel

Base

Metal

(2)

1/2022

USD

(250,566)

(36,319)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,213)

(5,094)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,469)

(471)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,650)

(5,428)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,725)

(10,028)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,258)

(5,135)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,750)

(14,062)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,600)

3,384

LME

Zinc

Base

Metal

(2)

1/2022

USD

(179,400)

(18,218)

LME

Zinc

Base

Metal

(2)

1/2022

USD

(179,000)

(27,620)

LME

Zinc

Base

Metal

(2)

1/2022

USD

(179,000)

2,429

LME

Zinc

Base

Metal

(3)

1/2022

USD

(268,313)

(8,076)

LME

Zinc

Base

Metal

(4)

1/2022

USD

(358,200)

16,271

MSCI

Singapore

Index

(17)

1/2022

SGD

(429,100)

(2,174)

169

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Natural

Gas

(2)

1/2022

USD

$

(74,600)

$

418

SGX

FTSE

China

A50

Index

(12)

1/2022

USD

(188,388)

1,858

SGX

NIFTY

50

Index

(5)

1/2022

USD

(174,395)

(1,543)

Live

Cattle

(17)

2/2022

USD

(949,960)

(23,133)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,119)

(1,938)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,122)

(3,150)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,103)

(6,855)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,125)

(4,428)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,100)

(2,876)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,091)

(3,569)

LME

Aluminum

Base

Metal

(2)

2/2022

USD

(140,222)

(7,328)

LME

Aluminum

Base

Metal

(3)

2/2022

USD

(210,338)

(11,086)

LME

Aluminum

Base

Metal

(3)

2/2022

USD

(210,338)

(7,849)

LME

Aluminum

Base

Metal

(5)

2/2022

USD

(350,688)

(22,332)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,288)

(415)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,288)

(2,753)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,492)

(1,819)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(124,744)

(1,177)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(125,021)

(6,523)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(125,001)

(7,134)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(125,013)

(7,145)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(125,071)

(8,096)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(124,753)

(4,756)

LME

Nickel

Base

Metal

(2)

2/2022

USD

(249,570)

(15,036)

LME

Zinc

Base

Metal

(1)

2/2022

USD

(89,097)

(7,488)

LME

Zinc

Base

Metal

(1)

2/2022

USD

(89,074)

(8,176)

LME

Zinc

Base

Metal

(1)

2/2022

USD

(89,176)

(7,120)

LME

Zinc

Base

Metal

(1)

2/2022

USD

(89,119)

(6,672)

LME

Zinc

Base

Metal

(2)

2/2022

USD

(177,636)

(11,039)

LME

Zinc

Base

Metal

(3)

2/2022

USD

(266,700)

(27,858)

Sugar

No.

11

(21)

2/2022

USD

(444,058)

1,005

Australia

10

Year

Bond

(26)

3/2022

AUD

(2,632,531)

6,369

Australia

3

Year

Bond

(207)

3/2022

AUD

(17,191,332)

(299)

Canada

10

Year

Bond

(88)

3/2022

CAD

(9,915,522)

(149,240)

Cocoa

(20)

3/2022

GBP

(460,478)

(7,264)

Cocoa

(35)

3/2022

USD

(882,000)

(36,769)

DJIA

CBOT

E-Mini

Index

(4)

3/2022

USD

(724,520)

(19,604)

Euro-Bobl

(27)

3/2022

EUR

(4,096,653)

10,198

Euro-BTP

(103)

3/2022

EUR

(17,233,338)

281,130

Euro-Bund

(10)

3/2022

EUR

(1,952,072)

24,839

Euro-Buxl

(3)

3/2022

EUR

(706,394)

19,858

Euro-OAT

(58)

3/2022

EUR

(10,777,246)

86,789

Euro-Schatz

(32)

3/2022

EUR

(4,081,477)

831

FTSE

100

Index

(32)

3/2022

GBP

(3,172,288)

(60,616)

Japan

10

Year

Bond

(4)

3/2022

JPY

(5,272,711)

8,283

KOSPI

200

Index

(5)

3/2022

KRW

(414,564)

(4,189)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,188)

(4,561)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,175)

(2,108)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,194)

(4,659)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,150)

(4,362)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,150)

(3,353)

LME

Aluminum

Base

Metal

(2)

3/2022

USD

(140,316)

180

LME

Aluminum

Base

Metal

(2)

3/2022

USD

(140,425)

(10,771)

LME

Aluminum

Base

Metal

(3)

3/2022

USD

(210,469)

(13,222)

LME

Aluminum

Base

Metal

(3)

3/2022

USD

(210,675)

(12,793)

LME

Aluminum

Base

Metal

(3)

3/2022

USD

(210,431)

(12,307)

170

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(5)

3/2022

USD

$

(350,906)

$

(25,512)

LME

Aluminum

Base

Metal

(6)

3/2022

USD

(421,125)

1,857

LME

Aluminum

Base

Metal

(7)

3/2022

USD

(491,488)

594

LME

Aluminum

Base

Metal

(29)

3/2022

USD

(2,035,800)

(119,294)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,097)

(3,842)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(5,207)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(11,953)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(7,056)

LME

Copper

Base

Metal

(3)

3/2022

USD

(729,863)

(15,272)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,761)

(4,092)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,778)

(5,597)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,653)

(6,270)

LME

Nickel

Base

Metal

(2)

3/2022

USD

(249,207)

(12,273)

LME

Nickel

Base

Metal

(3)

3/2022

USD

(373,626)

(9,941)

LME

Nickel

Base

Metal

(7)

3/2022

USD

(873,327)

(34,314)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,600)

(3,013)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,744)

(6,097)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,797)

(8,439)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,785)

(8,713)

LME

Zinc

Base

Metal

(2)

3/2022

USD

(177,025)

(1,003)

LME

Zinc

Base

Metal

(2)

3/2022

USD

(176,800)

(918)

LME

Zinc

Base

Metal

(7)

3/2022

USD

(620,900)

(23,608)

Long

Gilt

(39)

3/2022

GBP

(6,594,861)

(2,641)

MSCI Emerging Markets E-Mini Index

(44)

3/2022

USD

(2,697,860)

(45,148)

Russell

2000

E-Mini

Index

(3)

3/2022

USD

(336,420)

(11,112)

S&P

Midcap

400

E-Mini

Index

(1)

3/2022

USD

(283,770)

(10,416)

Soybean

(2)

3/2022

USD

(133,925)

(6,525)

Soybean

Oil

(5)

3/2022

USD

(169,590)

(1,956)

U.S.

Treasury

10

Year

Note

(61)

3/2022

USD

(7,950,016)

(77,520)

U.S.

Treasury

2

Year

Note

(525)

3/2022

USD

(114,519,726)

96,586

U.S.

Treasury

5

Year

Note

(218)

3/2022

USD

(26,354,156)

(66,844)

U.S.

Treasury

Long

Bond

(11)

3/2022

USD

(1,759,313)

(14,275)

U.S.

Treasury

Ultra

Bond

(8)

3/2022

USD

(1,569,000)

(18,745)

Platinum

(2)

4/2022

USD

(96,620)

(205)

3

Month

Canadian

Bankers

Acceptance

(35)

6/2022

CAD

(6,831,495)

(6,760)

3

Month

Eurodollar

(137)

6/2022

USD

(34,044,499)

112,547

ASX

90

Day

Bank

Accepted

Bill

(8)

6/2022

AUD

(5,814,665)

(34)

3

Month

Canadian

Bankers

Acceptance

(14)

9/2022

CAD

(2,723,606)

(2,022)

3

Month

Euro

Euribor

(22)

9/2022

EUR

(6,287,423)

(65)

3

Month

Eurodollar

(129)

9/2022

USD

(31,987,162)

142,317

3

Month

SONIA

(10)

9/2022

GBP

(3,353,589)

1,174

ASX

90

Day

Bank

Accepted

Bill

(24)

9/2022

AUD

(17,430,684)

(484)

3

Month

Euro

Euribor

(79)

12/2022

EUR

(22,555,080)

3,647

3

Month

Eurodollar

(125)

12/2022

USD

(30,918,750)

101,647

3

Month

SARON

(4)

12/2022

CHF

(1,104,203)

(46)

3

Month

SONIA

(8)

12/2022

GBP

(2,677,593)

(1,127)

3

Month

Euro

Euribor

(64)

3/2023

EUR

(18,247,878)

5,913

3

Month

Eurodollar

(100)

3/2023

USD

(24,692,500)

78,343

3

Month

SARON

(3)

3/2023

CHF

(827,700)

(121)

3

Month

SONIA

(10)

3/2023

GBP

(3,344,114)

3,136

3

Month

Euro

Euribor

(100)

6/2023

EUR

(28,481,001)

17,782

3

Month

Eurodollar

(91)

6/2023

USD

(22,432,638)

71,622

3

Month

SONIA

(18)

6/2023

GBP

(6,016,056)

9,718

3

Month

Euro

Euribor

(98)

9/2023

EUR

(27,890,461)

20,858

3

Month

Eurodollar

(90)

9/2023

USD

(22,154,625)

27,630

3

Month

SONIA

(19)

9/2023

GBP

(6,347,067)

10,177

171

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

Euro

Euribor

(61)

12/2023

EUR

$

(17,349,972)

$

14,080

3

Month

Eurodollar

(101)

12/2023

USD

(24,842,213)

(9,054)

3

Month

SONIA

(16)

12/2023

GBP

(5,343,274)

5,132

3

Month

SONIA

(13)

3/2024

GBP

(4,341,190)

5,010

(183,360)

$

800,014

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

11,283,877

USD

8,148,045

CITI

3/16/2022

$

63,016

AUD

11,283,873

USD

8,148,052

JPMC

3/16/2022

63,006

BRL

12,453,000

USD

2,164,276

CITI

**

3/16/2022

32,945

BRL

12,453,000

USD

2,164,279

JPMC

**

3/16/2022

32,942

CAD

15,233,000

USD

11,924,883

CITI

3/16/2022

115,753

CAD

15,233,000

USD

11,926,912

JPMC

3/16/2022

113,725

CHF

5,675,503

USD

6,156,403

CITI

3/16/2022

83,683

CHF

5,675,497

USD

6,156,404

JPMC

3/16/2022

83,675

EUR

4,825,000

USD

5,469,297

CITI

3/16/2022

31,952

EUR

4,825,000

USD

5,469,304

JPMC

3/16/2022

31,945

GBP

7,280,502

USD

9,705,196

CITI

3/16/2022

146,248

GBP

7,280,498

USD

9,705,203

JPMC

3/16/2022

146,236

HUF

345,082,484

USD

1,039,581

CITI

3/16/2022

16,389

HUF

345,082,484

USD

1,039,582

JPMC

3/16/2022

16,388

IDR

20,987,209,156

USD

1,450,301

CITI

**

3/16/2022

14,040

IDR

20,987,209,156

USD

1,450,303

JPMC

**

3/16/2022

14,038

ILS

1,214,500

USD

387,558

CITI

3/16/2022

3,319

ILS

1,214,500

USD

387,559

JPMC

3/16/2022

3,319

INR

453,208,016

USD

5,994,017

CITI

**

3/16/2022

38,143

INR

453,208,016

USD

5,994,025

JPMC

**

3/16/2022

38,135

MXN

177,453,008

USD

8,217,157

CITI

3/16/2022

341,918

MXN

177,453,000

USD

8,217,167

JPMC

3/16/2022

341,908

NOK

24,456,000

USD

2,717,422

CITI

3/16/2022

55,953

NOK

24,456,000

USD

2,717,426

JPMC

3/16/2022

55,949

NZD

2,791,000

USD

1,889,642

CITI

3/16/2022

19,752

NZD

2,791,000

USD

1,889,644

JPMC

3/16/2022

19,750

PLN

23,648,503

USD

5,733,114

CITI

3/16/2022

105,185

PLN

23,648,498

USD

5,733,120

JPMC

3/16/2022

105,178

SEK

36,675,054

USD

4,035,675

CITI

3/16/2022

25,370

SEK

36,675,052

USD

4,035,680

JPMC

3/16/2022

25,366

SGD

11,246,500

USD

8,280,973

CITI

3/16/2022

61,486

SGD

11,246,500

USD

8,280,984

JPMC

3/16/2022

61,476

TWD

11,749,004

USD

425,652

CITI

**

3/16/2022

428

TWD

12,383,185

USD

448,656

JPMC

**

3/16/2022

421

USD

1,070,690

AUD

1,471,000

CITI

3/16/2022

271

USD

1,070,689

AUD

1,471,000

JPMC

3/16/2022

270

USD

698,767

CLP

594,690,001

CITI

**

3/16/2022

8,317

USD

698,767

CLP

594,689,999

JPMC

**

3/16/2022

8,316

USD

687,157

COP

2,751,347,503

CITI

**

3/16/2022

15,817

USD

687,156

COP

2,751,347,497

JPMC

**

3/16/2022

15,816

USD

5,502

HUF

1,796,000

CITI

3/16/2022

6

172

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

5,502

HUF

1,796,000

JPMC

3/16/2022

$

6

USD

1

IDR

7,500

CITI

**

3/16/2022

–

USD

1

IDR

7,500

JPMC

**

3/16/2022

–

USD

120,531

ILS

374,000

CITI

3/16/2022

162

USD

120,531

ILS

374,000

JPMC

3/16/2022

162

USD

15,608,605

JPY

1,778,131,787

CITI

3/16/2022

141,468

USD

15,608,585

JPY

1,778,131,786

JPMC

3/16/2022

141,449

USD

2,302,741

KRW

2,732,050,630

CITI

**

3/16/2022

9,155

USD

2,302,738

KRW

2,732,050,617

JPMC

**

3/16/2022

9,152

USD

120,437

NOK

1,057,000

CITI

3/16/2022

571

USD

120,437

NOK

1,057,000

JPMC

3/16/2022

571

USD

241,055

NZD

348,500

CITI

3/16/2022

2,637

USD

241,054

NZD

348,500

JPMC

3/16/2022

2,636

USD

1,572,753

PHP

79,923,002

CITI

**

3/16/2022

26,537

USD

1,572,751

PHP

79,922,998

JPMC

**

3/16/2022

26,535

USD

4,006,274

SEK

35,537,501

CITI

3/16/2022

71,191

USD

4,005,815

SEK

35,537,499

JPMC

3/16/2022

70,730

USD

773,054

TWD

21,270,500

CITI

**

3/16/2022

1,674

USD

773,053

TWD

21,270,500

JPMC

**

3/16/2022

1,673

USD

869,399

ZAR

13,899,500

CITI

3/16/2022

5,831

USD

869,398

ZAR

13,899,500

JPMC

3/16/2022

5,831

ZAR

41,671,611

USD

2,570,537

CITI

3/16/2022

18,495

ZAR

41,671,611

USD

2,570,540

JPMC

3/16/2022

18,493

Total

unrealized

appreciation

2,912,809

AUD

73,125

USD

53,220

CITI

3/16/2022

(8)

AUD

73,125

USD

53,220

JPMC

3/16/2022

(8)

CAD

637,000

USD

504,008

CITI

3/16/2022

(503)

CAD

637,000

USD

504,009

JPMC

3/16/2022

(504)

CLP

584,217,472

USD

701,359

CITI

**

3/16/2022

(23,067)

CLP

584,217,464

USD

701,360

JPMC

**

3/16/2022

(23,068)

COP

2,683,619,999

USD

671,016

CITI

**

3/16/2022

(16,202)

COP

2,683,619,993

USD

671,017

JPMC

**

3/16/2022

(16,203)

ILS

7,293,502

USD

2,357,965

CITI

3/16/2022

(10,614)

ILS

7,293,498

USD

2,357,967

JPMC

3/16/2022

(10,617)

INR

32,229,000

USD

430,324

CITI

**

3/16/2022

(1,359)

INR

32,229,000

USD

430,325

JPMC

**

3/16/2022

(1,359)

JPY

502,195,000

USD

4,410,535

CITI

3/16/2022

(42,176)

JPY

502,195,000

USD

4,410,541

JPMC

3/16/2022

(42,181)

KRW

5,486,292,008

USD

4,643,746

CITI

**

3/16/2022

(37,944)

KRW

5,486,291,992

USD

4,643,753

JPMC

**

3/16/2022

(37,951)

NZD

4,820,500

USD

3,362,909

CITI

3/16/2022

(65,083)

NZD

4,820,500

USD

3,362,913

JPMC

3/16/2022

(65,087)

PHP

48,661,500

USD

967,667

CITI

**

3/16/2022

(26,246)

PHP

48,661,500

USD

967,669

JPMC

**

3/16/2022

(26,248)

SEK

103,447,450

USD

11,519,987

CITI

3/16/2022

(65,203)

SEK

103,447,444

USD

11,520,001

JPMC

3/16/2022

(65,218)

TWD

47,080,500

USD

1,713,601

CITI

**

3/16/2022

(6,216)

TWD

46,446,311

USD

1,690,598

JPMC

**

3/16/2022

(6,210)

USD

13,957,907

AUD

19,555,000

CITI

3/16/2022

(271,891)

USD

13,957,889

AUD

19,555,000

JPMC

3/16/2022

(271,909)

USD

5,066,045

BRL

29,260,000

CITI

**

3/16/2022

(96,623)

USD

5,066,039

BRL

29,260,000

JPMC

**

3/16/2022

(96,629)

USD

4,379,873

CAD

5,605,000

CITI

3/16/2022

(50,493)

USD

4,379,868

CAD

5,605,000

JPMC

3/16/2022

(50,499)

USD

2,644,935

CHF

2,430,000

CITI

3/16/2022

(26,794)

USD

2,644,932

CHF

2,430,000

JPMC

3/16/2022

(26,797)

USD

226,099

CLP

196,275,003

CITI

**

3/16/2022

(1,782)

USD

226,099

CLP

196,274,997

JPMC

**

3/16/2022

(1,782)

173

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

32,456,149

EUR

28,676,503

CITI

3/16/2022

$

(239,519)

USD

32,456,105

EUR

28,676,500

JPMC

3/16/2022

(239,560)

USD

9,256,293

GBP

6,949,003

CITI

3/16/2022

(146,591)

USD

9,256,430

GBP

6,948,999

JPMC

3/16/2022

(146,449)

USD

647,136

HUF

213,383,000

CITI

3/16/2022

(5,826)

USD

647,135

HUF

213,383,000

JPMC

3/16/2022

(5,827)

USD

1,165,543

IDR

16,912,845,500

CITI

**

3/16/2022

(14,517)

USD

1,165,577

IDR

16,912,845,500

JPMC

**

3/16/2022

(14,483)

USD

983,984

ILS

3,072,000

CITI

3/16/2022

(4,713)

USD

983,982

ILS

3,072,000

JPMC

3/16/2022

(4,715)

USD

6,053,079

INR

462,076,000

CITI

**

3/16/2022

(97,114)

USD

6,053,071

INR

462,076,000

JPMC

**

3/16/2022

(97,122)

USD

8,389,676

JPY

964,692,288

CITI

3/16/2022

(1,730)

USD

8,389,666

JPY

964,692,287

JPMC

3/16/2022

(1,741)

USD

1,912,967

KRW

2,286,546,001

CITI

**

3/16/2022

(6,614)

USD

1,912,964

KRW

2,286,545,999

JPMC

**

3/16/2022

(6,616)

USD

4,526,788

MXN

97,548,501

CITI

3/16/2022

(178,260)

USD

4,526,782

MXN

97,548,499

JPMC

3/16/2022

(178,266)

USD

1,155,824

NOK

10,496,000

CITI

3/16/2022

(34,450)

USD

1,155,823

NOK

10,496,000

JPMC

3/16/2022

(34,451)

USD

3,752,240

NZD

5,518,500

CITI

3/16/2022

(23,106)

USD

3,752,235

NZD

5,518,500

JPMC

3/16/2022

(23,110)

USD

101,539

PHP

5,256,000

CITI

**

3/16/2022

(145)

USD

101,539

PHP

5,256,000

JPMC

**

3/16/2022

(145)

USD

3,634,027

PLN

15,005,500

CITI

3/16/2022

(70,503)

USD

3,633,854

PLN

15,005,500

JPMC

3/16/2022

(70,677)

USD

9,408,885

SEK

85,434,000

CITI

3/16/2022

(51,261)

USD

9,408,873

SEK

85,434,000

JPMC

3/16/2022

(51,272)

USD

8,540,126

SGD

11,675,000

CITI

3/16/2022

(120,187)

USD

8,540,116

SGD

11,675,000

JPMC

3/16/2022

(120,198)

USD

1,495,986

TWD

41,355,003

CITI

**

3/16/2022

(3,762)

USD

1,495,984

TWD

41,354,997

JPMC

**

3/16/2022

(3,764)

USD

1,234,140

ZAR

20,048,000

CITI

3/16/2022

(11,431)

USD

1,234,138

ZAR

20,048,000

JPMC

3/16/2022

(11,434)

ZAR

16,990,390

USD

1,059,177

CITI

3/16/2022

(3,573)

ZAR

16,990,388

USD

1,059,178

JPMC

3/16/2022

(3,575)

Total

unrealized

depreciation

(3,511,181)

Net

unrealized

depreciation

$

(598,372)

**

Non-deliverable

forward.

174

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NOWA

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2026

-

12/29/2026

$490,557

$20,579

$644

$21,223

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2026

-

12/04/2026

$440,472

$7,103

$(372)

$6,731

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.13%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2026

-

12/29/2026

$3,155,152

$38,329

$(5,701)

$32,628

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

ALS

Ltd.

7,397

70,424

(170)

(0.5)

AMP

Ltd.

24,117

17,727

884

2.7

Ampol

Ltd.

5,512

119,020

4,232

13.0

Aristocrat

Leisure

Ltd.

871

27,630

(790)

(2.4)

Aurizon

Holdings

Ltd.

22,141

56,252

1,616

5.0

Australia

&

New

Zealand

Banking

Group

Ltd.

652

13,060

(36)

(0.1)

BlueScope

Steel

Ltd.

8,447

128,955

(3,036)

(9.3)

175

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Brambles

Ltd.

3,581

27,704

136

0.4

Coles

Group

Ltd.

4,307

56,198

268

0.8

JB

Hi-Fi

Ltd.

3,572

125,607

1,688

5.2

Mineral

Resources

Ltd.

2,280

93,128

14,661

44.9

Newcrest

Mining

Ltd.

2,369

42,429

1,768

5.4

Origin

Energy

Ltd.

9,039

34,497

1,396

4.3

OZ

Minerals

Ltd.

1,228

25,317

1,130

3.5

QBE

Insurance

Group

Ltd.

4,728

39,043

(2,506)

(7.7)

REA

Group

Ltd.

388

47,313

(31)

(0.1)

Santos

Ltd.

5,163

23,783

(1,062)

(3.3)

Sonic

Healthcare

Ltd.

973

33,001

1,582

4.8

South32

Ltd.

24,415

71,404

3,846

11.8

Suncorp

Group

Ltd.

2,348

18,904

328

1.0

Telstra

Corp.

Ltd.

55,779

169,523

5,081

15.6

WiseTech

Global

Ltd.

626

26,550

2,996

9.2

Woodside

Petroleum

Ltd.

2,379

37,926

(470)

(1.4)

Worley

Ltd.

15,759

122,088

2,187

6.7

Short

Positions

Common

Stocks

Australia

Ansell

Ltd.

(1,231)

(28,152)

733

2.2

APA

Group

(12,374)

(90,526)

(3,929)

(12.0)

Atlas

Arteria

Ltd.

(11,299)

(56,862)

(3,250)

(10.0)

carsales.com

Ltd.

(1,920)

(35,082)

1,821

5.6

Cochlear

Ltd.

(657)

(103,116)

1,051

3.2

Computershare

Ltd.

(3,177)

(46,248)

(632)

(1.9)

CSL

Ltd.

(455)

(96,233)

4,578

14.0

Evolution

Mining

Ltd.

(10,390)

(30,825)

(584)

(1.8)

IDP

Education

Ltd.

(3,633)

(91,524)

2,755

8.4

Lendlease

Corp.

Ltd.

(8,772)

(68,304)

870

2.7

Macquarie

Group

Ltd.

(523)

(78,181)

(1,343)

(4.1)

Magellan

Financial

Group

Ltd.

(3,689)

(57,004)

19,986

61.3

NEXTDC

Ltd.

(11,414)

(105,986)

(4,998)

(15.3)

Northern

Star

Resources

Ltd.

(11,145)

(76,648)

(1,761)

(5.4)

Orica

Ltd.

(11,291)

(112,597)

2,986

9.2

Pilbara

Minerals

Ltd.

(33,881)

(79,033)

(17,045)

(52.2)

Pro

Medicus

Ltd.

(1,822)

(82,690)

(4,817)

(14.8)

Qantas

Airways

Ltd.

(6,310)

(23,018)

287

0.9

SEEK

Ltd.

(3,431)

(81,794)

5,781

17.7

Seven

Group

Holdings

Ltd.

(3,364)

(52,929)

(607)

(1.9)

Sydney

Airport

(14,833)

(93,648)

(938)

(2.9)

Transurban

Group

(7,447)

(74,800)

(562)

(1.7)

Wesfarmers

Ltd.

(327)

(14,109)

52

0.2

Westpac

Banking

Corp.

(3,167)

(49,131)

(688)

(2.1)

Woolworths

Group

Ltd.

(608)

(16,807)

1,130

3.5

New

Zealand

Xero

Ltd.

(320)

(32,755)

78

0.2

176

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CORRA

plus

or

minus

a

specified

spread

(-0.17%

to

0.02%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2026

-

12/29/2026

$7,527,045

$52,300

$(5,132)

$47,168

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Alimentation

Couche-Tard,

Inc.

6,658

278,963

2,622

5.6

ARC

Resources

Ltd.

7,429

67,539

556

1.2

Canadian

Natural

Resources

Ltd.

3,207

135,511

1,578

3.3

Canadian

Tire

Corp.

Ltd.

446

63,973

561

1.2

CCL

Industries,

Inc.

1,498

80,327

3,611

7.7

Cenovus

Energy,

Inc.

7,404

90,783

(758)

(1.6)

CI

Financial

Corp.

3,852

80,515

(5,366)

(11.4)

Empire

Co.

Ltd.

2,807

85,523

1,730

3.7

Enbridge,

Inc.

1,880

73,434

1,690

3.6

Fairfax

Financial

Holdings

Ltd.

446

219,391

14,094

29.9

Finning

International,

Inc.

3,668

92,443

(2,300)

(4.9)

iA

Financial

Corp.,

Inc.

1,154

66,031

1,305

2.8

Imperial

Oil

Ltd.

3,672

132,429

3,948

8.4

Intact

Financial

Corp.

620

80,588

1,521

3.2

Loblaw

Cos.

Ltd.

1,006

82,424

4,054

8.6

Magna

International,

Inc.

2,309

186,826

2,689

5.7

National

Bank

of

Canada

2,785

212,329

(531)

(1.1)

Nutrien

Ltd.

1,587

119,287

8,356

17.7

Onex

Corp.

869

68,204

2,086

4.4

Stantec,

Inc.

1,591

89,389

(328)

(0.7)

Suncor

Energy,

Inc.

7,452

186,455

3,032

6.4

TFI

International,

Inc.

1,085

121,688

3,519

7.5

Thomson

Reuters

Corp.

771

92,201

(1,127)

(2.4)

Toronto-Dominion

Bank

(The)

1,996

153,027

2,402

5.1

Tourmaline

Oil

Corp.

4,242

136,957

(298)

(0.6)

Chile

Lundin

Mining

Corp.

10,294

80,402

(9,525)

(20.2)

United

States

BRP,

Inc.

1,626

142,425

13,265

28.1

Short

Positions

Common

Stocks

Canada

Air

Canada

(14,833)

(247,774)

10,205

21.6

Algonquin

Power

&

Utilities

Corp.

(16,486)

(238,112)

(7,910)

(16.8)

Ballard

Power

Systems,

Inc.

(13,251)

(166,456)

11,924

25.3

177

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

BCE,

Inc.

(4,362)

(226,936)

(1,020)

(2.2)

CAE,

Inc.

(7,303)

(184,228)

(6,398)

(13.6)

Canadian

Imperial

Bank

of

Commerce

(1,153)

(134,400)

(5,089)

(10.8)

Canadian

National

Railway

Co.

(558)

(68,542)

3,568

7.6

Canadian

Pacific

Railway

Ltd.

(3,275)

(235,550)

1,593

3.4

Canadian

Utilities

Ltd.

(3,898)

(113,062)

(5,401)

(11.5)

Canopy

Growth

Corp.

(11,248)

(98,168)

16,971

36.0

CGI,

Inc.

(940)

(83,117)

(3,325)

(7.0)

Emera,

Inc.

(3,507)

(175,274)

(9,496)

(20.1)

Fortis,

Inc.

(2,629)

(126,841)

(6,732)

(14.3)

George

Weston

Ltd.

(567)

(65,739)

(3,788)

(8.0)

IGM

Financial,

Inc.

(1,953)

(70,434)

1,576

3.3

Keyera

Corp.

(4,155)

(93,713)

131

0.3

Kinaxis,

Inc.

(463)

(64,907)

2,031

4.3

Northland

Power,

Inc.

(2,195)

(65,853)

(702)

(1.5)

Pan

American

Silver

Corp.

(2,591)

(64,644)

(2,395)

(5.1)

Parkland

Corp.

(2,996)

(82,352)

(2,821)

(6.0)

Restaurant

Brands

International,

Inc.

(2,752)

(166,867)

(2,551)

(5.4)

Rogers

Communications,

Inc.

(2,764)

(131,607)

(5,582)

(11.8)

Royal

Bank

of

Canada

(701)

(74,398)

(2,472)

(5.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2026

-

12/28/2026

$3,379,269

$4,470

$(2,611)

$1,859

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

3,207

122,228

2,781

149.6

Adecco

Group

AG

(Registered)

2,496

127,190

1,836

98.8

Baloise

Holding

AG

(Registered)

194

31,663

1,296

69.7

Barry

Callebaut

AG

(Registered)

14

33,987

126

6.8

Belimo

Holding

AG

(Registered)

78

49,529

656

35.3

BKW

AG

459

59,599

(1,043)

(56.1)

Bucher

Industries

AG

(Registered)

96

47,306

939

50.5

DKSH

Holding

AG

429

35,360

726

39.0

EMS-Chemie

Holding

AG

(Registered)

13

14,529

1,266

68.1

Geberit

AG

(Registered)

246

200,523

913

49.1

Georg

Fischer

AG

(Registered)

22

33,286

(1,199)

(64.5)

Kuehne

+

Nagel

International

AG

(Registered)

944

304,022

16,404

882.4

178

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Novartis

AG

(Registered)

1,775

155,973

10,461

562.7

OC

Oerlikon

Corp.

AG

(Registered)

1,685

17,233

(76)

(4.1)

Roche

Holding

AG

330

136,904

1,393

74.9

Schindler

Holding

AG

103

27,648

(502)

(27.0)

SGS

SA

(Registered)

7

23,336

425

22.9

Swiss

Life

Holding

AG

(Registered)

25

15,274

230

12.4

Swisscom

AG

(Registered)

91

51,335

532

28.6

Tecan

Group

AG

(Registered)

63

38,264

1,053

56.7

Temenos

AG

(Registered)

142

19,573

386

20.8

UBS

Group

AG

(Registered)

8,006

143,702

(1,777)

(95.6)

VAT

Group

AG

80

39,642

(719)

(38.7)

United

States

Swiss

Re

AG

162

15,992

61

3.3

Short

Positions

Common

Stocks

Austria

ams

AG

(9,092)

(164,524)

5,082

273.4

Switzerland

Alcon,

Inc.

(342)

(30,166)

(512)

(27.5)

Bachem

Holding

AG

(Registered)

(39)

(30,539)

(3,019)

(162.4)

Banque

Cantonale

Vaudoise

(Registered)

(747)

(57,941)

500

26.9

Chocoladefabriken

Lindt

&

Spruengli

AG

(1)

(13,861)

(894)

(48.1)

Cie

Financiere

Richemont

SA

(61)

(9,116)

398

21.4

Credit

Suisse

Group

AG

(Registered)

(5,293)

(51,319)

551

29.6

Dufry

AG

(Registered)

(4,936)

(243,318)

(2,378)

(127.9)

Flughafen

Zurich

AG

(Registered)

(655)

(117,627)

(5,775)

(310.7)

Givaudan

SA

(Registered)

(17)

(89,192)

240

12.9

Helvetia

Holding

AG

(Registered)

(295)

(34,655)

(973)

(52.4)

Idorsia

Ltd.

(4,286)

(87,343)

(7,965)

(428.5)

Julius

Baer

Group

Ltd.

(515)

(34,439)

(690)

(37.1)

Logitech

International

SA

(Registered)

(108)

(9,060)

(34)

(1.9)

Nestle

SA

(Registered)

(1,178)

(164,469)

(3,597)

(193.5)

Partners

Group

Holding

AG

(28)

(46,223)

434

23.4

SIG

Combibloc

Group

AG

(2,329)

(64,872)

3,027

162.9

Sika

AG

(Registered)

(265)

(110,139)

(1,804)

(97.0)

Sonova

Holding

AG

(Registered)

(164)

(64,091)

(2,149)

(115.6)

Straumann

Holding

AG

(Registered)

(26)

(54,979)

3,343

179.8

Sulzer

AG

(Registered)

(296)

(29,078)

1,022

55.0

Vifor

Pharma

AG

(342)

(60,756)

(14,593)

(785.0)

Zurich

Insurance

Group

AG

(154)

(67,464)

(1,912)

(102.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Denmark

Tomorrow/Next

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2026

-

12/29/2026

$1,526,958

$50,794

$(4,266)

$46,528

179

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

86

306,961

23,501

50.5

Carlsberg

A/S

280

48,341

3,772

8.1

Coloplast

A/S

139

24,474

1,537

3.3

DSV

A/S

929

216,483

11,009

23.7

Genmab

A/S

178

71,049

(907)

(1.9)

GN

Store

Nord

A/S

117

7,341

488

1.0

H

Lundbeck

A/S

225

5,793

225

0.5

ISS

A/S

396

7,508

127

0.3

Jyske

Bank

A/S

(Registered)

100

5,144

73

0.2

Novo

Nordisk

A/S

496

55,714

(1,252)

(2.7)

Pandora

A/S

389

48,388

(3,087)

(6.6)

Royal

Unibrew

A/S

215

24,184

1,219

2.6

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(544)

(14,358)

614

1.3

Chr

Hansen

Holding

A/S

(1,199)

(94,542)

(1,156)

(2.5)

Danske

Bank

A/S

(2,420)

(41,779)

144

0.3

Demant

A/S

(1,190)

(60,935)

(2,959)

(6.4)

Novozymes

A/S

(63)

(5,173)

(170)

(0.4)

Orsted

A/S

(468)

(59,935)

(71)

(0.2)

ROCKWOOL

International

A/S

(44)

(19,214)

154

0.3

SimCorp

A/S

(622)

(67,793)

(1,871)

(4.0)

Tryg

A/S

(3,291)

(81,214)

2,635

5.7

Vestas

Wind

Systems

A/S

(8,558)

(260,635)

16,769

36.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2026

-

12/28/2026

$14,461,715

$(81,516)

$(26,584)

$(108,100)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

180

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

2,348

121,597

179

(0.2)

Finland

Kone

OYJ

1,535

110,150

2,773

(2.6)

Nokian

Renkaat

OYJ

3,181

120,196

(34)

0.0

Valmet

OYJ

2,539

108,861

886

(0.8)

France

Cie

de

Saint-Gobain

2,392

168,269

1,589

(1.5)

Electricite

de

France

SA

8,761

103,041

(11,506)

10.6

L'Oreal

SA

239

113,958

(74)

0.1

LVMH

Moet

Hennessy

Louis

Vuitton

SE

272

224,790

3,362

(3.1)

Renault

SA

3,796

131,685

2,374

(2.2)

Rexel

SA

6,164

124,836

(246)

0.2

Germany

Bayerische

Motoren

Werke

AG

1,417

141,760

(3,739)

3.5

Brenntag

SE

1,557

140,603

3,292

(3.0)

Deutsche

Post

AG

(Registered)

3,667

235,864

12,385

(11.5)

Freenet

AG

3,829

101,193

3,594

(3.3)

Merck

KGaA

565

145,350

938

(0.9)

Volkswagen

AG

843

169,345

(5,683)

5.3

Italy

Buzzi

Unicem

SpA

4,882

105,187

(22)

0.0

Davide

Campari-Milano

NV

7,430

108,421

(1,395)

1.3

Luxembourg

Eurofins

Scientific

SE

1,815

224,863

3,252

(3.0)

Netherlands

ASR

Nederland

NV

2,605

119,969

5,773

(5.3)

Koninklijke

Ahold

Delhaize

NV

8,753

300,371

930

(0.9)

Signify

NV

3,210

149,046

1,153

(1.1)

Spain

Acciona

SA

614

116,868

5,137

(4.8)

Acerinox

SA

8,497

109,345

10,543

(9.8)

Fluidra

SA

4,038

161,045

6,104

(5.6)

Iberdrola

SA

13,493

159,757

8,158

(7.5)

Repsol

SA

13,180

156,092

4,031

(3.7)

United

Kingdom

CNH

Industrial

NV

6,259

121,013

8,183

(7.6)

Short

Positions

Common

Stocks

Belgium

KBC

Group

NV

(1,314)

(112,901)

(5)

0.0

China

Prosus

NV

(2,916)

(241,518)

1,702

(1.6)

France

Accor

SA

(4,757)

(154,191)

(7,842)

7.3

Aeroports

de

Paris

(872)

(112,491)

(6,802)

6.3

Alstom

SA

(8,301)

(294,772)

2,108

(1.9)

Dassault

Systemes

SE

(2,300)

(136,494)

4,197

(3.9)

Edenred

(2,322)

(107,226)

(3,570)

3.3

Pernod

Ricard

SA

(432)

(103,930)

(546)

0.5

Safran

SA

(854)

(104,550)

(1,527)

1.4

Germany

Continental

AG

(1,175)

(123,452)

2,597

(2.4)

Deutsche

Telekom

AG

(Registered)

(5,452)

(100,739)

(1,926)

1.8

181

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

(continued)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(3,817)

(247,449)

(9,510)

8.8

Hannover

Rueck

SE

(795)

(150,729)

(4,790)

4.4

Siemens

AG

(Registered)

(778)

(134,752)

(999)

0.9

Italy

Mediobanca

Banca

di

Credito

Finanziario

SpA

(9,880)

(113,427)

(274)

0.3

Netherlands

ABN

AMRO

Bank

NV

(16,660)

(244,897)

(5,618)

5.2

Argenx

SE

(479)

(170,336)

(22,469)

20.8

Saudi

Arabia

Delivery

Hero

SE

(1,125)

(124,527)

12,093

(11.2)

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

(6,793)

(181,109)

(15,422)

14.3

Aena

SME

SA

(828)

(130,397)

(7,163)

6.6

Amadeus

IT

Group

SA

(3,717)

(251,508)

(7,622)

7.1

Ferrovial

SA

(5,919)

(185,109)

(11,712)

10.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.03%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2026

-

12/29/2026

$4,900,018

$16,896

$4,140

$21,036

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

BHP

Group

plc

8,073

240,210

7,036

33.4

Glencore

plc

24,184

123,224

2,446

11.6

Rio

Tinto

plc

3,640

240,045

4,690

22.3

Austria

Mondi

plc

1,378

34,180

(123)

(0.6)

Chile

Antofagasta

plc

3,858

70,166

(3,003)

(14.3)

Netherlands

Royal

Dutch

Shell

plc

7,095

155,483

(4,714)

(22.4)

Russia

Evraz

plc

17,414

142,374

684

3.3

South

Africa

Anglo

American

plc

3,252

133,762

2,869

13.6

United

Kingdom

Ashtead

Group

plc

645

51,996

(3,181)

(15.1)

Barclays

plc

50,231

127,952

3,610

17.2

BP

plc

13,237

59,310

(2,196)

(10.4)

182

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Diageo

plc

1,668

91,200

1,983

9.4

DS

Smith

plc

10,362

53,964

(43)

(0.2)

Howden

Joinery

Group

plc

5,745

70,370

464

2.2

Inchcape

plc

5,563

68,484

1,873

8.9

M&G

plc

20,483

55,413

1,174

5.6

Man

Group

plc

34,990

107,698

2,288

10.9

NatWest

Group

plc

8,791

26,921

838

4.0

Rotork

plc

11,998

58,392

113

0.5

Royal

Mail

plc

12,382

84,894

3,165

15.0

Spectris

plc

1,748

87,008

1,372

6.5

Spirax-Sarco

Engineering

plc

336

73,124

(20)

(0.1)

Travis

Perkins

plc

3,313

69,939

985

4.7

Unilever

plc

483

25,911

176

0.8

Short

Positions

Common

Stocks

Jordan

Hikma

Pharmaceuticals

plc

(1,035)

(31,082)

306

1.5

United

Kingdom

Abcam

plc

(1,983)

(46,515)

(890)

(4.2)

Admiral

Group

plc

(972)

(41,606)

(971)

(4.6)

ASOS

plc

(1,527)

(49,419)

2,629

12.5

AstraZeneca

plc

(485)

(56,633)

(1,704)

(8.1)

Auto

Trader

Group

plc

(2,914)

(29,183)

(117)

(0.6)

BAE

Systems

plc

(8,062)

(60,120)

(116)

(0.6)

Berkeley

Group

Holdings

plc

(809)

(52,387)

(490)

(2.3)

boohoo

Group

plc

(31,621)

(53,022)

15,525

73.8

BT

Group

plc

(59,311)

(136,445)

5,218

24.8

Compass

Group

plc

(3,533)

(79,541)

(5,463)

(26.0)

Croda

International

plc

(1,011)

(138,478)

2,532

12.0

Dechra

Pharmaceuticals

plc

(799)

(57,747)

(3,119)

(14.8)

easyJet

plc

(13,029)

(98,968)

(4,375)

(20.8)

GlaxoSmithKline

plc

(3,783)

(82,366)

(568)

(2.7)

Imperial

Brands

plc

(1,187)

(26,013)

(576)

(2.7)

J

Sainsbury

plc

(11,227)

(41,966)

(101)

(0.5)

Ocado

Group

plc

(11,752)

(267,374)

(7,555)

(35.9)

Reckitt

Benckiser

Group

plc

(2,149)

(184,994)

(5,457)

(25.9)

Rentokil

Initial

plc

(7,063)

(55,909)

4,720

22.4

Rolls-Royce

Holdings

plc

(79,846)

(133,274)

926

4.4

Severn

Trent

plc

(3,362)

(134,251)

(1,333)

(6.3)

Taylor

Wimpey

plc

(36,123)

(86,122)

(3,428)

(16.3)

Tesco

plc

(14,346)

(56,481)

(1,499)

(7.1)

United

Utilities

Group

plc

(2,943)

(43,425)

1,222

5.8

Whitbread

plc

(2,017)

(82,047)

(1,851)

(8.8)

183

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.60%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-60

months

maturity

ranging

from

09/21/2026

-

11/04/2026

$1,191,227

$5,671

$7,852

$13,523

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

34,000

111,503

2,931

21.7

SITC

International

Holdings

Co.

Ltd.

36,000

130,201

(13,378)

(98.9)

Hong

Kong

ASM

Pacific

Technology

Ltd.

7,600

82,131

(1,006)

(7.4)

CLP

Holdings

Ltd.

1,500

15,157

777

5.7

HKT

Trust

&

HKT

Ltd.

9,000

12,093

(211)

(1.6)

Hong

Kong

&

China

Gas

Co.

Ltd.

33,000

51,472

1,618

12.0

Kerry

Properties

Ltd.

13,500

35,159

(333)

(2.5)

Man

Wah

Holdings

Ltd.

19,600

30,394

(2,232)

(16.5)

New

World

Development

Co.

Ltd.

2,000

7,919

(148)

(1.1)

Swire

Properties

Ltd.

10,200

25,570

(199)

(1.5)

Xinyi

Glass

Holdings

Ltd.

6,000

15,029

(668)

(4.9)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

6,500

41,850

(91)

(0.7)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(32,600)

(85,704)

213

1.6

Chow

Tai

Fook

Jewellery

Group

Ltd.

(8,800)

(15,857)

417

3.1

ESR

Cayman

Ltd.

(15,400)

(52,092)

(741)

(5.5)

Hong

Kong

Hang

Lung

Properties

Ltd.

(11,000)

(22,628)

(85)

(0.6)

Henderson

Land

Development

Co.

Ltd.

(6,000)

(25,593)

645

4.8

MTR

Corp.

Ltd.

(22,000)

(118,097)

(728)

(5.4)

Power

Assets

Holdings

Ltd.

(1,500)

(9,350)

(337)

(2.5)

Sun

Hung

Kai

Properties

Ltd.

(500)

(6,067)

140

1.0

Techtronic

Industries

Co.

Ltd.

(3,500)

(69,772)

6,755

49.9

WH

Group

Ltd.

(74,000)

(46,454)

997

7.4

Wharf

Real

Estate

Investment

Co.

Ltd.

(10,000)

(50,812)

2,280

16.9

Macau

Galaxy

Entertainment

Group

Ltd.

(9,000)

(46,688)

3,056

22.6

Sands

China

Ltd.

(26,800)

(62,197)

4,957

36.7

Wynn

Macau

Ltd.

(26,400)

(21,438)

1,042

7.7

184

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2026

-

12/29/2026

$2,050,204

$15,791

$(1,411)

$14,380

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Assa

Abloy

AB

1,084

33,041

709

4.9

Axfood

AB

2,493

71,769

2,549

17.7

BillerudKorsnas

AB

1,738

32,708

(3,158)

(22.0)

Boliden

AB

673

25,951

197

1.4

Elekta

AB

583

7,371

554

3.8

Getinge

AB

5,497

239,571

2,293

15.9

H

&

M

Hennes

&

Mauritz

AB

1,839

36,085

1,466

10.2

Hexpol

AB

1,011

13,520

506

3.5

Husqvarna

AB

2,749

43,954

1,159

8.1

ICA

Gruppen

AB

762

45,065

34

0.2

Indutrade

AB

2,030

61,978

3,293

22.9

Lifco

AB

1,664

49,701

1,652

11.5

Saab

AB

2,431

61,747

1,071

7.4

Securitas

AB

3,273

45,025

(2,197)

(15.3)

SSAB

AB

8,867

51,251

4,172

29.0

Svenska

Cellulosa

AB

SCA

2,663

47,253

1,884

13.1

Svenska

Handelsbanken

AB

628

6,787

124

0.9

Swedbank

AB

3,142

63,141

(563)

(3.9)

Swedish

Match

AB

5,661

44,941

3,537

24.6

Tele2

AB

3,295

47,005

509

3.5

Telefonaktiebolaget

LM

Ericsson

6,352

69,891

2,690

18.7

Volvo

AB

3,361

77,728

2,147

14.9

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(1,709)

(48,581)

2,907

20.2

Sweden

AAK

AB

(980)

(21,130)

(299)

(2.1)

Atlas

Copco

AB

(346)

(23,909)

(1,223)

(8.5)

Beijer

Ref

AB

(946)

(20,626)

(1,132)

(7.9)

Electrolux

AB

(1,027)

(24,874)

(900)

(6.3)

Embracer

Group

AB

(12,492)

(132,528)

(2,447)

(17.0)

Epiroc

AB

(837)

(21,164)

2

0.0

EQT

AB

(2,148)

(116,443)

7,865

54.7

Essity

AB

(5,709)

(186,255)

(5,360)

(37.3)

185

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Evolution

AB

(297)

(41,978)

(2,325)

(16.2)

Sinch

AB

(9,740)

(122,903)

(3,985)

(27.7)

Skandinaviska

Enskilda

Banken

AB

(2,668)

(37,041)

1,200

8.3

Skanska

AB

(328)

(8,476)

(284)

(2.0)

Swedish

Orphan

Biovitrum

AB

(362)

(7,403)

35

0.2

Telia

Co.

AB

(9,436)

(36,904)

(606)

(4.2)

Trelleborg

AB

(934)

(24,506)

(2,285)

(15.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-1.75%

to

0.30%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

10-13

months

maturity

ranging

from

10/19/2022

-

01/25/2023

$11,890,624

$(18,204)

$(11,010)

$(29,214)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Asics

Corp.

3,500

77,593

(388)

1.3

Calbee,

Inc.

2,800

65,017

(1,093)

3.7

Dai-ichi

Life

Holdings,

Inc.

7,500

151,275

(4,521)

15.5

Disco

Corp.

300

91,696

5,535

(18.9)

Hitachi

Metals

Ltd.

3,600

66,705

201

(0.7)

Hitachi

Transport

System

Ltd.

1,400

65,818

327

(1.1)

Inpex

Corp.

19,200

166,956

(3,156)

10.8

Kyushu

Electric

Power

Co.,

Inc.

13,300

99,299

(3,180)

10.9

MISUMI

Group,

Inc.

2,800

115,030

(852)

2.9

Mitsubishi

Electric

Corp.

9,700

123,122

(2,651)

9.1

Mitsui

OSK

Lines

Ltd.

1,700

126,351

7,117

(24.4)

Mizuho

Financial

Group,

Inc.

5,800

73,667

(24)

0.1

Nippon

Telegraph

&

Telephone

Corp.

2,400

65,636

(1,703)

5.8

Nissan

Motor

Co.

Ltd.

14,200

68,395

(992)

3.4

NOF

Corp.

1,400

70,790

429

(1.5)

SCREEN

Holdings

Co.

Ltd.

700

75,217

3,296

(11.3)

Sekisui

House

Ltd.

3,700

79,608

3,230

(11.1)

Shimamura

Co.

Ltd.

800

67,136

(762)

2.6

Shin-Etsu

Chemical

Co.

Ltd.

500

86,788

1,203

(4.1)

Taiheiyo

Cement

Corp.

3,800

75,041

(2,678)

9.2

Toyoda

Gosei

Co.

Ltd.

3,900

84,829

2,566

(8.8)

Yakult

Honsha

Co.

Ltd.

1,800

93,905

(2,187)

7.5

Yamada

Holdings

Co.

Ltd.

19,800

67,690

1,253

(4.3)

186

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(4,700)

(110,761)

3,518

(12.0)

Asahi

Group

Holdings

Ltd.

(1,900)

(73,965)

1,220

(4.2)

Astellas

Pharma,

Inc.

(6,700)

(109,046)

(2,266)

7.8

Central

Japan

Railway

Co.

(1,400)

(186,301)

7,746

(26.5)

Concordia

Financial

Group

Ltd.

(22,400)

(81,347)

2,409

(8.2)

Daiwa

Securities

Group,

Inc.

(16,200)

(91,417)

1,402

(4.8)

Denso

Corp.

(1,600)

(132,593)

(2,910)

10.0

East

Japan

Railway

Co.

(3,600)

(221,312)

2,796

(9.6)

Japan

Airlines

Co.

Ltd.

(7,700)

(146,171)

(5,298)

18.1

Kao

Corp.

(1,300)

(68,087)

119

(0.4)

KDDI

Corp.

(2,300)

(67,261)

1,212

(4.1)

Lasertec

Corp.

(600)

(183,781)

(20,374)

69.7

M3,

Inc.

(1,400)

(70,590)

(2,498)

8.6

Mitsubishi

Corp.

(4,000)

(127,012)

91

(0.3)

NSK

Ltd.

(15,500)

(99,581)

4,101

(14.0)

Odakyu

Electric

Railway

Co.

Ltd.

(3,600)

(66,929)

2,140

(7.3)

Oriental

Land

Co.

Ltd.

(1,500)

(252,941)

2,053

(7.0)

ORIX

Corp.

(6,500)

(132,653)

(2,997)

10.3

Rakuten

Group,

Inc.

(12,100)

(121,402)

(4,451)

15.2

Seven

&

i

Holdings

Co.

Ltd.

(3,200)

(140,762)

1,032

(3.5)

SoftBank

Corp.

(6,000)

(75,783)

1,432

(4.9)

Sumitomo

Electric

Industries

Ltd.

(5,200)

(67,865)

1,234

(4.2)

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2,000)

(66,877)

1,732

(5.9)

Tokyo

Electron

Ltd.

(200)

(115,115)

(6,671)

22.8

West

Japan

Railway

Co.

(3,800)

(158,927)

5,348

(18.3)

Yaskawa

Electric

Corp.

(1,400)

(68,692)

58

(0.2)

Z

Holdings

Corp.

(11,600)

(66,932)

503

(1.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-1.20%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

10-13

months

maturity

ranging

from

10/19/2022

-

01/25/2023

$49,706,070

$215,985

$(35,526)

$180,459

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Abbott

Laboratories

1,017

143,133

3,692

2.0

Accenture

plc

434

179,915

7,947

4.4

187

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Allegion

plc

1,226

162,371

5,578

3.1

Alphabet,

Inc.

49

141,955

3,064

1.7

Anthem,

Inc.

356

165,020

6,565

3.6

AutoNation,

Inc.

1,509

176,327

4,376

2.4

AutoZone,

Inc.

74

155,133

7,401

4.1

Bristol-Myers

Squibb

Co.

2,481

154,690

1,960

1.1

Cisco

Systems

Inc/Delaware

3,316

210,135

9,650

5.3

Coca-Cola

Co.

(The)

2,357

139,558

3,488

1.9

Gartner,

Inc.

607

202,932

8,650

4.8

General

Dynamics

Corp.

739

154,059

4,634

2.6

Global

Payments,

Inc.

1,242

167,894

8,718

4.8

Johnson

&

Johnson

1,762

301,425

5,004

2.8

Johnson

Controls

International

plc

1,985

161,400

8,456

4.7

KLA

Corp.

359

154,409

13,843

7.7

Lennox

International,

Inc.

588

190,724

6,985

3.9

Louisiana-Pacific

Corp.

2,285

179,030

8,295

4.6

Meta

Platforms,

Inc.

596

200,465

1,526

0.8

Pfizer,

Inc.

3,820

225,571

(1,643)

(0.9)

Procter

&

Gamble

Co.

(The)

1,266

207,092

7,748

4.3

SS&C

Technologies

Holdings,

Inc.

1,704

139,694

3,442

1.9

Target

Corp.

614

142,104

4,992

2.8

Tri

Pointe

Homes,

Inc.

5,701

159,001

12,029

6.7

United

Parcel

Service,

Inc.

730

156,468

5,658

3.1

Vertex

Pharmaceuticals,

Inc.

695

152,622

3,517

1.9

Walmart,

Inc.

2,115

306,019

12,563

7.0

Zebra

Technologies

Corp.

242

144,038

1,617

0.9

Short

Positions

Common

Stocks

United

States

Amcor

plc

(11,423)

(137,190)

(2,513)

(1.4)

Amphenol

Corp.

(1,892)

(165,474)

(9,422)

(5.2)

Avangrid,

Inc.

(3,359)

(167,547)

(6,617)

(3.7)

BorgWarner,

Inc.

(3,167)

(142,737)

(4,560)

(2.5)

Broadridge

Financial

Solutions,

Inc.

(777)

(142,051)

(5,462)

(3.0)

Carnival

Corp.

(7,517)

(151,242)

(13,831)

(7.7)

Church

&

Dwight

Co.,

Inc.

(1,751)

(179,478)

(7,722)

(4.3)

Entergy

Corp.

(1,359)

(153,091)

(4,254)

(2.4)

General

Mills,

Inc.

(2,130)

(143,519)

575

0.3

Grocery

Outlet

Holding

Corp.

(5,050)

(142,814)

2,576

1.4

Hasbro,

Inc.

(1,491)

(151,754)

(4,369)

(2.4)

Helen

of

Troy

Ltd.

(672)

(164,284)

(1,089)

(0.6)

Hormel

Foods

Corp.

(5,327)

(260,011)

(3,409)

(1.9)

International

Flavors

&

Fragrances,

Inc.

(1,097)

(165,263)

(6,823)

(3.8)

Jazz

Pharmaceuticals

plc

(1,096)

(139,630)

(2,313)

(1.3)

Kimberly-Clark

Corp.

(1,194)

(170,646)

(4,239)

(2.3)

Marvell

Technology,

Inc.

(2,128)

(186,179)

(7,363)

(4.1)

Royal

Caribbean

Cruises

Ltd.

(2,379)

(182,945)

(10,682)

(5.9)

Silicon

Laboratories,

Inc.

(679)

(140,159)

(5,805)

(3.2)

T-Mobile

US,

Inc.

(1,429)

(165,735)

5,473

3.0

Walt

Disney

Co.

(The)

(973)

(150,708)

(5,964)

(3.3)

Waste

Management,

Inc.

(836)

(139,528)

(4,673)

(2.6)

188

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

854,996

$

854,996

CITI

Investment

Companies

1,401,145

–

1,401,145

GSCO

Cash

–

648,360

648,360

GSIN

Cash

(60,031)

–

(60,031)

U.S.

Treasury

Bills

1,989,722

–

1,989,722

JPMC

Investment

Companies

5,733,483

–

5,733,483

JPMS

Cash

–

509,881

509,881

MLIN

Cash

(270,039)

–

(270,039)

MSCL

Cash

–

863,552

863,552

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

88,529

$

88,529

JPPC

Cash

–

237,333

237,333

MSCL

Cash

–

747,242

747,242

SOCG

Cash

20,020

–

20,020

189

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

130.0%

COMMON

STOCKS

-

57.2%

Australia

-

1.2%

Afterpay

Ltd.

(2)*

212

12,798

Ampol

Ltd.

(2)

1,017

21,960

Aurizon

Holdings

Ltd.

(2)(a)

75,327

191,378

BHP

Group

Ltd.

(2)(a)

2,222

67,086

BHP

Group

plc

(2)(a)

3,710

110,390

BlueScope

Steel

Ltd.

(2)

13,888

212,019

carsales.com

Ltd.

(2)

603

11,018

Harvey

Norman

Holdings

Ltd.

(2)

25,067

90,099

Incitec

Pivot

Ltd.

(2)

5,050

11,937

JB

Hi-Fi

Ltd.

(2)

5,729

201,457

Mineral

Resources

Ltd.

(2)

315

12,866

Newcrest

Mining

Ltd.

(2)

1,622

29,050

Rio

Tinto

plc

(2)(a)

4,813

317,400

Sonic

Healthcare

Ltd.

(2)

805

27,303

South32

Ltd.

(2)

38,696

113,170

Suncorp

Group

Ltd.

(2)

2,939

23,662

Worley

Ltd.

(2)

4,275

33,119

1,486,712

—

Austria

-

0.0%

(b)

Mondi

plc

(2)

301

7,466

Belgium

-

0.2%

Etablissements

Franz

Colruyt

NV

(2)

858

36,407

Proximus

SADP

(2)

6,952

135,771

Telenet

Group

Holding

NV

(2)

546

19,926

192,104

—

Brazil

-

0.2%

Yara

International

ASA

(2)

3,907

196,984

Canada

-

2.6%

Agnico

Eagle

Mines

Ltd.

677

35,960

Atco

Ltd.,

Class

I

390

13,165

Bank

of

Nova

Scotia

(The)

(a)

489

34,618

Barrick

Gold

Corp.

(a)

5,936

112,859

Canadian

National

Railway

Co.

(a)

534

65,594

Canadian

Natural

Resources

Ltd.

3,235

136,694

Canadian

Tire

Corp.

Ltd.,

Class

A

1,362

195,361

CGI,

Inc.

*

1,772

156,685

Empire

Co.

Ltd.,

Class

A

357

10,877

Enbridge,

Inc.

(a)

616

24,061

Fairfax

Financial

Holdings

Ltd.

291

143,145

Gildan

Activewear

,

Inc.

1,063

45,068

Imperial

Oil

Ltd.

4,520

163,012

Intact

Financial

Corp.

85

11,048

Kinross

Gold

Corp.

41,383

240,129

Magna

International,

Inc.

2,657

214,984

Manulife

Financial

Corp.

14,699

280,164

Onex

Corp.

5,862

460,081

Open

Text

Corp.

1,705

80,927

Ritchie

Bros

Auctioneers,

Inc.

2,090

127,900

Shaw

Communications,

Inc.,

Class

B

964

29,256

Shopify,

Inc.,

Class

A

*(a)

11

15,146

Suncor

Energy,

Inc.

20,352

509,222

Thomson

Reuters

Corp.

(a)

602

71,991

INVESTMENTS

SHARES

VALUE

($)

Canada

-

2.6%

(continued)

Toromont

Industries

Ltd.

1,191

107,674

Toronto-Dominion

Bank

(The)

555

42,550

Yamana

Gold,

Inc.

12,216

51,377

3,379,548

—

Chile

-

0.0%

(b)

Lundin

Mining

Corp.

1,794

14,012

China

-

0.1%

BOC

Hong

Kong

Holdings

Ltd.

(2)

12,000

39,354

NXP

Semiconductors

NV

343

78,129

SITC

International

Holdings

Co.

Ltd.

(2)

15,000

54,250

171,733

—

Denmark

-

0.6%

AP

Moller

-

Maersk

A/S,

Class

B

(2)(a)

121

431,888

Genmab

A/S

(2)*

24

9,580

GN

Store

Nord

A/S

(2)

758

47,561

H

Lundbeck

A/S

(2)

375

9,655

Novo

Nordisk

A/S,

Class

B

(2)

1,228

137,936

Pandora

A/S

(2)

651

80,978

717,598

—

Finland

-

0.2%

Huhtamaki

OYJ

(2)

1,629

72,052

Kone

OYJ,

Class

B

(2)(a)

1,042

74,773

Nokian

Renkaat

OYJ

(2)

2,161

81,655

UPM-

Kymmene

OYJ

(2)

565

21,497

249,977

—

France

-

1.5%

Atos

SE

(2)

1,066

45,157

BioMerieux

(2)

103

14,646

BNP

Paribas

SA

(2)

836

57,802

Bouygues

SA

(2)

1,573

56,307

Carrefour

SA

(2)

12,822

235,073

Casino

Guichard

Perrachon

SA

(2)*

422

11,132

Cie

de

Saint-Gobain

(2)(a)

3,460

243,400

Cie

Generale

des

Etablissements

Michelin

SCA

(2)

601

98,434

CNP

Assurances

(2)

1,676

41,456

Eiffage

SA

(2)

152

15,672

Electricite

de

France

SA

(2)

3,631

42,705

Eutelsat

Communications

SA

(2)

6,108

74,545

Ipsen

SA

(2)

1,024

93,706

La

Francaise

des

Jeux

SAEM

(2)

(a)(c)

767

33,992

Orange

SA

(2)

11,455

122,364

Publicis

Groupe

SA

(2)

1,899

127,943

Rexel

SA

(2)*

7,363

149,119

Rubis

SCA

(2)

2,075

62,049

Sanofi

(2)(a)

836

83,888

Sartorius

Stedim

Biotech

(2)

74

40,641

SEB

SA

(2)

1,161

180,921

Societe

BIC

SA

(2)

1,235

66,534

Sodexo

SA

(2)(a)

322

28,229

Thales

SA

(2)

128

10,889

1,936,604

—

190

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Germany

-

1.3%

adidas

AG

(2)

232

66,803

Aurubis

AG

(2)

2,354

235,311

Bayerische

Motoren

Werke

AG

(2)

921

92,139

Brenntag

SE

(2)

946

85,427

Covestro

AG

(2)(c)

1,294

79,643

Daimler

AG

(Registered)

(2)(a)

71

5,425

Daimler

Truck

Holding

AG

*

258

9,485

Deutsche

Bank

AG

(Registered)

(2)*

13,267

165,241

Deutsche

Post

AG

(Registered)

(2)

(a)

4,412

283,783

Freenet

AG

(2)

926

24,472

GEA

Group

AG

(2)

1,433

78,270

HelloFresh

SE

(2)*

1,207

92,502

HOCHTIEF

AG

(2)

430

34,630

METRO

AG

(2)

8,552

89,714

ProSiebenSat.1

Media

SE

(2)

2,989

47,483

Rheinmetall

AG

(2)

728

68,512

SAP

SE

(2)(a)

305

42,926

Telefonica

Deutschland

Holding

AG

(2)

5,384

14,934

Uniper

SE

(2)

523

24,832

Volkswagen

AG

(Preference)

(2)(a)

492

98,835

1,640,367

—

Hong

Kong

-

0.2%

CK

Asset

Holdings

Ltd.

(2)

1,915

12,080

CLP

Holdings

Ltd.

(2)

2,500

25,262

Hong

Kong

Exchanges

&

Clearing

Ltd.

(2)

800

46,787

Swire

Pacific

Ltd.,

Class

A

(2)

10,500

59,724

WH

Group

Ltd.

(2)(c)

74,500

46,768

Xinyi

Glass

Holdings

Ltd.

(2)

32,000

80,154

270,775

—

Italy

-

0.4%

Banco

BPM

SpA

(2)

24,505

73,371

Buzzi

Unicem

SpA

(2)

6,897

148,602

Poste

Italiane

SpA

(2)(c)

687

9,000

Prysmian

SpA

(2)

445

16,739

Telecom

Italia

SpA

(2)

9,170

4,511

UniCredit

SpA

(2)

8,133

125,015

Unipol

Gruppo

SpA

(2)

22,837

123,671

500,909

—

Japan

-

2.9%

Advantest

Corp.

(2)

200

18,940

Aisin

Corp.

(2)

600

23,021

Alfresa

Holdings

Corp.

(2)

1,500

19,989

Amada

Co.

Ltd.

(2)

1,100

10,892

Brother

Industries

Ltd.

(2)

3,500

67,461

COMSYS

Holdings

Corp.

(2)

400

8,911

DeNA

Co.

Ltd.

(2)

4,800

73,914

Disco

Corp.

(2)

100

30,565

ENEOS

Holdings,

Inc.

(2)

9,100

33,996

Food

&

Life

Cos.

Ltd.

(2)(a)

1,300

49,086

Fujitsu

Ltd.

(2)

100

17,183

Haseko

Corp.

(2)

2,200

27,289

Hirose

Electric

Co.

Ltd.

(2)

200

33,612

Hitachi

Transport

System

Ltd.

(2)(a)

1,300

61,117

INVESTMENTS

SHARES

VALUE

($)

Japan

-

2.9%

(continued)

Honda

Motor

Co.

Ltd.

(2)

3,600

102,423

Hoya

Corp.

(2)

200

29,678

Iida

Group

Holdings

Co.

Ltd.

(2)

2,500

58,144

Japan

Post

Holdings

Co.

Ltd.

(2)*(a)

1,600

12,464

Japan

Post

Insurance

Co.

Ltd.

(2)

3,400

54,617

Kajima

Corp.

(2)

12,800

147,104

Kamigumi

Co.

Ltd.

(2)

8,700

164,742

Kaneka

Corp.

(2)

200

6,567

Kinden

Corp.

(2)

2,700

40,597

Mabuchi

Motor

Co.

Ltd.

(2)

2,200

72,767

Marubeni

Corp.

(2)

9,600

93,533

McDonald's

Holdings

Co.

Japan

Ltd.

(2)(a)

200

8,851

Mitsubishi

Electric

Corp.

(2)(a)

2,400

30,463

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)

1,100

18,647

Mitsubishi

Materials

Corp.

(2)

600

10,311

Mitsui

Chemicals,

Inc.

(2)

1,000

26,880

Mizuho

Financial

Group,

Inc.

(2)

16,500

209,572

Nabtesco

Corp.

(2)

400

11,852

NET

One

Systems

Co.

Ltd.

(2)

1,200

32,289

NGK

Spark

Plug

Co.

Ltd.

(2)

4,500

78,355

Nihon

Unisys

Ltd.

(2)

1,300

36,483

Nintendo

Co.

Ltd.

(2)

100

46,786

Nippo

Corp.

(2)

800

27,773

Nippon

Telegraph

&

Telephone

Corp.

(2)

5,400

147,681

Nitto

Denko

Corp.

(2)

1,100

84,978

Nomura

Holdings,

Inc.

(2)

10,100

43,992

NS

Solutions

Corp.

(2)

900

27,752

Obayashi

Corp.

(2)

20,000

154,787

Ono

Pharmaceutical

Co.

Ltd.

(2)

1,000

24,855

ORIX

Corp.

(2)

500

10,204

Panasonic

Corp.

(2)(a)

1,000

10,993

Rakus

Co.

Ltd.

(2)

400

10,734

Renesas

Electronics

Corp.

(2)*

5,300

65,830

Resona

Holdings,

Inc.

(2)

19,100

74,226

Rohto

Pharmaceutical

Co.

Ltd.

(2)

1,800

54,422

Sankyu,

Inc.

(2)

1,700

70,543

SCREEN

Holdings

Co.

Ltd.

(2)

1,400

150,434

Seino

Holdings

Co.

Ltd.

(2)

900

9,121

Sekisui

House

Ltd.

(2)

2,500

53,789

Shimamura

Co.

Ltd.

(2)

1,300

109,097

Shimizu

Corp.

(2)

10,300

63,864

Sojitz

Corp.

(2)

6,580

98,870

Sony

Group

Corp.

(2)(a)

100

12,628

Subaru

Corp.

(2)

3,300

58,964

Sumitomo

Heavy

Industries

Ltd.

(2)

500

12,136

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)

300

10,244

Sumitomo

Rubber

Industries

Ltd.

(2)

1,900

19,380

Suzuken

Co.

Ltd.

(2)

700

20,200

Taiheiyo

Cement

Corp.

(2)

6,700

132,309

Taisei

Corp.

(2)

4,900

149,009

Teijin

Ltd.

(2)

1,000

12,308

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*

6,300

16,287

Toshiba

Corp.

(2)

1,100

45,263

191

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Japan

-

2.9%

(continued)

Tosoh

Corp.

(2)

500

7,428

Toyoda

Gosei

Co.

Ltd.

(2)

500

10,875

Toyota

Boshoku

Corp.

(2)

3,800

74,558

Yamada

Holdings

Co.

Ltd.

(2)

18,200

62,220

Yamato

Holdings

Co.

Ltd.

(2)(a)

1,900

44,634

Yokohama

Rubber

Co.

Ltd.

(The)

(2)

4,400

70,570

3,822,059

—

Luxembourg

-

0.1%

Eurofins

Scientific

SE

(2)

216

26,761

SES

SA,

FDR

(2)

5,436

43,080

69,841

—

Netherlands

-

1.3%

Adyen

NV

(2)*(a)(c)

18

47,250

ASML

Holding

NV

(2)

707

566,323

ASR

Nederland

NV

(2)

1,207

55,586

ING

Groep

NV

(2)

5,135

71,392

Koninklijke

Ahold

Delhaize

NV

(2)

12,314

422,572

Koninklijke

KPN

NV

(2)

8,880

27,600

NN

Group

NV

(2)

1,712

92,585

Royal

Dutch

Shell

plc,

Class

A

(2)

(a)

12,632

276,823

Royal

Dutch

Shell

plc,

Class

B

(2)

(a)

2,989

65,628

Signify

NV

(2)(c)

1,916

88,963

1,714,722

—

Norway

-

0.0%

(b)

Equinor

ASA

(2)

1,585

41,970

Russia

-

0.2%

Evraz

plc

(2)

27,473

224,614

Singapore

-

0.2%

STMicroelectronics

NV

(2)

4,556

224,041

South

Africa

-

0.1%

Anglo

American

plc

(2)

2,656

109,247

Spain

-

0.7%

Acerinox

SA

(2)

4,069

52,363

CaixaBank

SA

(2)

28,262

77,202

Enagas

SA

(2)

6,935

161,109

Endesa

SA

(2)

4,121

94,871

Fluidra

SA

(2)

2,397

95,598

Iberdrola

SA

(2)(a)

4,164

49,302

Mapfre

SA

(2)

55,046

112,545

Repsol

SA

(2)

16,211

191,988

Telefonica

SA

(2)

8,755

37,964

872,942

—

Sweden

-

1.0%

Autoliv

,

Inc.

984

101,755

Electrolux

AB,

Class

B

(2)

6,681

161,812

Getinge

AB,

Class

B

(2)

3,431

149,530

H

&

M

Hennes

&

Mauritz

AB,

Class

B

(2)(a)

587

11,518

Husqvarna

AB,

Class

B

(2)

8,833

141,230

Saab

AB,

Class

B

(2)

2,332

59,232

Securitas

AB,

Class

B

(2)(a)

1,783

24,528

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

1.0%

(continued)

Skanska

AB,

Class

B

(2)

652

16,848

Svenska

Handelsbanken

AB,

Class

A

(2)

25,945

280,413

Swedish

Orphan

Biovitrum

AB

(2)*

3,174

64,907

Telefonaktiebolaget

LM

Ericsson,

Class

B

(2)

19,782

217,662

Trelleborg

AB,

Class

B

(2)

762

19,993

1,249,428

—

Switzerland

-

1.2%

Adecco

Group

AG

(Registered)

(2)

(a)

1,784

90,908

BKW

AG

(2)

497

64,533

DKSH

Holding

AG

(2)

839

69,155

dormakaba

Holding

AG

(2)

20

13,209

Galenica

AG

(2)(c)

1,397

104,913

Holcim

Ltd.

(2)*

4,436

225,611

Novartis

AG

(Registered)

(2)(a)

3,733

328,026

OC

Oerlikon

Corp.

AG

(Registered)

(2)

1,201

12,283

Roche

Holding

AG

(2)(a)

872

361,759

Swiss

Life

Holding

AG

(Registered)

(2)

108

65,986

Temenos

AG

(Registered)

(2)

240

33,082

UBS

Group

AG

(Registered)

(2)

10,543

189,239

1,558,704

—

United

Kingdom

-

2.2%

abrdn

plc

(2)

9,167

29,866

Aviva

plc

(2)

53,883

300,353

BAE

Systems

plc

(2)

15,568

116,094

Barclays

plc

(2)

58,116

148,037

BP

plc

(2)(a)

47,466

212,677

Bunzl

plc

(2)

1,003

39,183

CK

Hutchison

Holdings

Ltd.

(2)(a)

38,000

244,660

CNH

Industrial

NV

(2)

722

13,959

DCC

plc

(2)

2,233

182,800

Dunelm

Group

plc

(2)

2,007

37,516

Entain

plc

(2)*(a)

533

12,183

GlaxoSmithKline

plc

(2)(a)

1,813

39,474

HSBC

Holdings

plc

(2)

4,575

27,630

IMI

plc

(2)

973

22,947

Inchcape

plc

(2)

12,432

153,045

JD

Sports

Fashion

plc

(2)

17,225

50,788

Kingfisher

plc

(2)

31,443

144,630

M&G

plc

(2)

63,012

170,467

Man

Group

plc

(2)

30,187

92,915

Marks

&

Spencer

Group

plc

(2)*

3,636

11,438

Royal

Mail

plc

(2)(a)

37,400

256,423

Sage

Group

plc

(The)

(2)

15,194

175,809

Standard

Chartered

plc

(2)

1,906

11,590

Tate

&

Lyle

plc

(2)

17,112

153,954

Vodafone

Group

plc

(2)

72,216

108,774

2,757,212

—

United

States

-

38.8%

3M

Co.

(a)

928

164,841

A

O

Smith

Corp.

1,222

104,909

Abbott

Laboratories

(a)

2,370

333,554

AbbVie,

Inc.

(a)

1,496

202,558

192

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

38.8%

(continued)

ABIOMED,

Inc.

*

138

49,565

Accenture

plc,

Class

A

(a)

546

226,344

ACI

Worldwide,

Inc.

*

2,631

91,296

Activision

Blizzard,

Inc.

2,752

183,091

Acuity

Brands,

Inc.

179

37,898

Adobe,

Inc.

*(a)

535

303,377

Advanced

Micro

Devices,

Inc.

*

1,662

239,162

AECOM

*

301

23,282

AES

Corp.

(The)

1,829

44,445

AGCO

Corp.

789

91,540

Alaska

Air

Group,

Inc.

*

1,044

54,392

Alcoa

Corp.

165

9,831

Align

Technology,

Inc.

*

93

61,118

Alleghany

Corp.

*

38

25,368

Allegion

plc

1,402

185,681

Allison

Transmission

Holdings,

Inc.

1,994

72,482

Allstate

Corp.

(The)

2,086

245,418

Ally

Financial,

Inc.

3,078

146,544

Alphabet,

Inc.,

Class

A

*(a)

262

759,023

Alphabet,

Inc.,

Class

C

*(a)

262

758,121

Amazon.com,

Inc.

*(a)

469

1,563,804

Amdocs

Ltd.

2,111

157,987

American

Eagle

Outfitters,

Inc.

1,147

29,042

American

Electric

Power

Co.,

Inc.

(a)

1,033

91,906

American

Tower

Corp.,

REIT

324

94,770

AmerisourceBergen

Corp.

730

97,010

Amkor

Technology,

Inc.

5,494

136,196

Anaplan,

Inc.

*

268

12,288

Anthem,

Inc.

(a)

473

219,254

APA

Corp.

2,971

79,890

Apple,

Inc.

(a)

15,926

2,827,979

Applied

Materials,

Inc.

1,755

276,167

Arch

Capital

Group

Ltd.

*

1,142

50,762

Arista

Networks,

Inc.

*

731

105,081

Arrow

Electronics,

Inc.

*

1,782

239,269

Associated

Banc-Corp.

5,613

126,798

AT&T,

Inc.

(a)

7,170

176,382

Autodesk,

Inc.

*

435

122,318

Automatic

Data

Processing,

Inc.

(a)

42

10,356

AutoNation,

Inc.

*

1,832

214,069

AutoZone,

Inc.

*(a)

70

146,747

Avnet,

Inc.

1,854

76,440

Axis

Capital

Holdings

Ltd.

524

28,542

Axon

Enterprise,

Inc.

*

48

7,536

Bank

of

America

Corp.

(a)

471

20,955

Bank

of

New

York

Mellon

Corp.

(The)

1,382

80,267

Bath

&

Body

Works,

Inc.

567

39,571

Bausch

Health

Cos.,

Inc.

*

657

18,147

Baxter

International,

Inc.

956

82,063

Becton

Dickinson

and

Co.

442

111,154

Berkshire

Hathaway,

Inc.,

Class

B

*(a)

1,355

405,145

Best

Buy

Co.,

Inc.

(a)

1,222

124,155

Biogen,

Inc.

*

279

66,938

Bio-Rad

Laboratories,

Inc.,

Class

A

*

33

24,934

BOK

Financial

Corp.

960

101,270

Booking

Holdings,

Inc.

*(a)

52

124,760

INVESTMENTS

SHARES

VALUE

($)

United

States

-

38.8%

(continued)

Booz

Allen

Hamilton

Holding

Corp.

(a)

798

67,662

Boyd

Gaming

Corp.

*(a)

3,038

199,202

Bristol-Myers

Squibb

Co.

(a)

3,015

187,985

Broadcom,

Inc.

(a)

401

266,829

Brunswick

Corp.

1,612

162,377

CACI

International,

Inc.,

Class

A

*(a)

365

98,262

Cadence

Design

Systems,

Inc.

*

354

65,968

Capital

One

Financial

Corp.

1,815

263,338

Cardinal

Health,

Inc.

1,758

90,519

Cathay

General

Bancorp

1,416

60,874

Cboe

Global

Markets,

Inc.

385

50,204

CDW

Corp.

487

99,728

Change

Healthcare,

Inc.

*

326

6,970

Cheniere

Energy,

Inc.

466

47,262

Chevron

Corp.

(a)

1,923

225,664

Chubb

Ltd.

(a)

858

165,860

Cigna

Corp.

(a)

791

181,637

Cirrus

Logic,

Inc.

*

1,637

150,637

Cisco

Systems,

Inc.

7,563

479,267

Citigroup,

Inc.

(a)

1,026

61,960

Citizens

Financial

Group,

Inc.

671

31,705

Clean

Harbors,

Inc.

*

197

19,655

CMC

Materials,

Inc.

86

16,485

CNA

Financial

Corp.

269

11,858

Coca-Cola

Co.

(The)

(a)

4,057

240,215

Cognizant

Technology

Solutions

Corp.,

Class

A

1,148

101,851

Columbia

Sportswear

Co.

1,419

138,267

Comcast

Corp.,

Class

A

(a)

2,232

112,337

CommVault

Systems,

Inc.

*

411

28,326

ConocoPhillips

804

58,033

Constellation

Brands,

Inc.,

Class

A

207

51,951

Copart

,

Inc.

*(a)

74

11,220

Corning,

Inc.

308

11,467

Corteva

,

Inc.

(a)

475

22,458

Costco

Wholesale

Corp.

(a)

212

120,352

Coterra

Energy,

Inc.

3,178

60,382

Cracker

Barrel

Old

Country

Store,

Inc.

(a)

587

75,512

Crane

Co.

75

7,630

Crocs,

Inc.

*

660

84,625

Crown

Castle

International

Corp.,

REIT

311

64,918

Cummins,

Inc.

(a)

435

94,891

CVS

Health

Corp.

(a)

1,578

162,786

Danaher

Corp.

(a)

239

78,633

Darling

Ingredients,

Inc.

*

1,174

81,346

Deckers

Outdoor

Corp.

*

399

146,158

Deere

&

Co.

(a)

381

130,641

Dell

Technologies,

Inc.,

Class

C

*

3,066

172,217

DENTSPLY

SIRONA,

Inc.

1,105

61,648

Devon

Energy

Corp.

2,010

88,541

Dick's

Sporting

Goods,

Inc.

654

75,203

Digital

Realty

Trust,

Inc.,

REIT

191

33,782

Discover

Financial

Services

173

19,992

DocuSign,

Inc.

*

739

112,557

Dollar

Tree,

Inc.

*(a)

40

5,621

Dominion

Energy,

Inc.

(a)

162

12,727

193

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

38.8%

(continued)

Donaldson

Co.,

Inc.

2,181

129,246

Dow,

Inc.

(a)

920

52,182

DR

Horton,

Inc.

834

90,447

Dropbox,

Inc.,

Class

A

*

2,064

50,651

Duke

Energy

Corp.

(a)

602

63,150

DuPont

de

Nemours,

Inc.

(a)

992

80,134

Dycom

Industries,

Inc.

*

685

64,226

Dynatrace

,

Inc.

*

227

13,699

Eaton

Corp.

plc

(a)

396

68,437

Eli

Lilly

&

Co.

274

75,684

EMCOR

Group,

Inc.

714

90,956

Emergent

BioSolutions

,

Inc.

*

238

10,346

Emerson

Electric

Co.

(a)

1,913

177,852

Encompass

Health

Corp.

637

41,571

EOG

Resources,

Inc.

3,164

281,058

Equinix

,

Inc.,

REIT

(a)

61

51,596

Euronet

Worldwide,

Inc.

*

179

21,331

Evercore

,

Inc.,

Class

A

409

55,563

Everest

Re

Group

Ltd.

128

35,062

Exxon

Mobil

Corp.

(a)

6,047

370,016

FactSet

Research

Systems,

Inc.

30

14,580

Fair

Isaac

Corp.

*

174

75,459

Fidelity

National

Financial,

Inc.

1,533

79,992

Fidelity

National

Information

Services,

Inc.

612

66,800

First

American

Financial

Corp.

2,657

207,857

FirstEnergy

Corp.

450

18,716

Flowserve

Corp.

1,377

42,136

FNB

Corp.

4,104

49,782

Foot

Locker,

Inc.

3,553

155,017

Ford

Motor

Co.

(a)

10,026

208,240

Fortinet,

Inc.

*

98

35,221

Frontdoor

,

Inc.

*(a)

1,044

38,263

Fulton

Financial

Corp.

10,575

179,775

Garmin

Ltd.

(a)

146

19,881

Gartner,

Inc.

*

615

205,607

Generac

Holdings,

Inc.

*

208

73,199

General

Dynamics

Corp.

(a)

34

7,088

General

Electric

Co.

(a)

1,129

106,657

General

Motors

Co.

*(a)

1,377

80,734

Gentex

Corp.

330

11,501

Genuine

Parts

Co.

(a)

994

139,359

Glacier

Bancorp,

Inc.

626

35,494

Global

Payments,

Inc.

1,960

264,953

GoDaddy

,

Inc.,

Class

A

*

489

41,497

Goldman

Sachs

Group,

Inc.

(The)

971

371,456

Goodyear

Tire

&

Rubber

Co.

(The)

*

1,307

27,865

Graham

Holdings

Co.,

Class

B

(a)

121

76,209

Grand

Canyon

Education,

Inc.

*(a)

475

40,712

Graphic

Packaging

Holding

Co.

736

14,352

H&R

Block,

Inc.

(a)

321

7,563

Hancock

Whitney

Corp.

219

10,954

Harley-Davidson,

Inc.

744

28,041

Hartford

Financial

Services

Group,

Inc.

(The)

500

34,520

HCA

Healthcare,

Inc.

(a)

46

11,818

Healthcare

Services

Group,

Inc.

8,578

152,603

Henry

Schein,

Inc.

*

129

10,001

HollyFrontier

Corp.

1,965

64,413

INVESTMENTS

SHARES

VALUE

($)

United

States

-

38.8%

(continued)

Hologic

,

Inc.

*

2,725

208,626

Home

Depot,

Inc.

(The)

(a)

237

98,357

HubSpot

,

Inc.

*

21

13,842

Huntington

Ingalls

Industries,

Inc.

429

80,111

ICU

Medical,

Inc.

*

87

20,649

IDEXX

Laboratories,

Inc.

*

43

28,314

Illumina,

Inc.

*

123

46,794

Incyte

Corp.

*

1,889

138,653

Intel

Corp.

9,197

473,646

Intercontinental

Exchange,

Inc.

(a)

464

63,461

International

Bancshares

Corp.

3,558

150,824

International

Business

Machines

Corp.

(a)

1,321

176,565

International

Paper

Co.

1,515

71,175

Intuit,

Inc.

(a)

278

178,815

Intuitive

Surgical,

Inc.

*

54

19,402

IQVIA

Holdings,

Inc.

*

260

73,356

Jabil,

Inc.

1,164

81,887

Jack

in

the

Box,

Inc.

(a)

540

47,239

Janus

Henderson

Group

plc

1,570

65,846

Jefferies

Financial

Group,

Inc.

831

32,243

Johnson

&

Johnson

(a)

2,572

439,992

Johnson

Controls

International

plc

(a)

1,202

97,735

JPMorgan

Chase

&

Co.

2,717

430,237

Kemper

Corp.

591

34,745

Kinder

Morgan,

Inc.

6,768

107,340

KLA

Corp.

373

160,431

Knight-Swift

Transportation

Holdings,

Inc.

(a)

1,399

85,255

Kohl's

Corp.

1,975

97,545

Kraft

Heinz

Co.

(The)

1,426

51,193

L3Harris

Technologies,

Inc.

(a)

218

46,486

Laboratory

Corp.

of

America

Holdings

*

208

65,356

Lam

Research

Corp.

359

258,175

Lear

Corp.

74

13,538

Lennar

Corp.,

Class

A

1,052

122,200

Lennox

International,

Inc.

605

196,238

Lithia

Motors,

Inc.

484

143,724

Lockheed

Martin

Corp.

(a)

524

186,235

Louisiana-Pacific

Corp.

1,483

116,193

Lowe's

Cos.,

Inc.

(a)

959

247,882

Lumen

Technologies,

Inc.

907

11,383

LyondellBasell

Industries

NV,

Class

A

(a)

934

86,143

M&T

Bank

Corp.

141

21,655

Manhattan

Associates,

Inc.

*

395

61,419

ManpowerGroup

,

Inc.

1,410

137,235

Marathon

Oil

Corp.

4,570

75,039

Markel

Corp.

*

205

252,970

Marriott

Vacations

Worldwide

Corp.

(a)

301

50,863

Masco

Corp.

326

22,892

Mastercard

,

Inc.,

Class

A

(a)

650

233,558

Mattel,

Inc.

*

502

10,823

Maximus,

Inc.

519

41,349

McDonald's

Corp.

(a)

635

170,224

McKesson

Corp.

650

161,571

Medpace

Holdings,

Inc.

*

185

40,263

194

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

38.8%

(continued)

Medtronic

plc

(a)

1,762

182,279

Merck

&

Co.,

Inc.

(a)

4,551

348,789

Meta

Platforms,

Inc.,

Class

A

*(a)

3,208

1,079,010

MetLife,

Inc.

(a)

1,048

65,490

MGM

Resorts

International

(a)

456

20,465

Microchip

Technology,

Inc.

812

70,693

Micron

Technology,

Inc.

1,568

146,059

Microsoft

Corp.

(a)

7,075

2,379,463

Minerals

Technologies,

Inc.

259

18,946

MKS

Instruments,

Inc.

147

25,603

Moderna

,

Inc.

*

824

209,280

Mohawk

Industries,

Inc.

*

582

106,029

Molina

Healthcare,

Inc.

*

105

33,398

Mondelez

International,

Inc.,

Class

A

(a)

746

49,467

Morgan

Stanley

(a)

469

46,037

Mosaic

Co.

(The)

3,188

125,257

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

98

8,238

Navient

Corp.

524

11,119

NetApp,

Inc.

276

25,389

Netflix,

Inc.

*(a)

225

135,549

NetScout

Systems,

Inc.

*

1,564

51,737

Newell

Brands,

Inc.

2,429

53,049

NewMarket

Corp.

319

109,328

Newmont

Corp.

(a)

206

12,776

Nexstar

Media

Group,

Inc.,

Class

A

287

43,331

NIKE,

Inc.,

Class

B

(a)

941

156,836

Nordson

Corp.

454

115,893

NRG

Energy,

Inc.

2,594

111,750

nVent

Electric

plc

3,582

136,116

NVIDIA

Corp.

1,616

475,282

NVR,

Inc.

*

12

70,906

OGE

Energy

Corp.

1,050

40,299

Old

Republic

International

Corp.

5,308

130,471

Olin

Corp.

973

55,967

Omnicom

Group,

Inc.

1,630

119,430

ON

Semiconductor

Corp.

*

788

53,521

OneMain

Holdings,

Inc.

2,819

141,063

Oracle

Corp.

(a)

2,906

253,432

O'Reilly

Automotive,

Inc.

*(a)

170

120,059

Organon

&

Co.

3,076

93,664

Oshkosh

Corp.

944

106,398

Otis

Worldwide

Corp.

(a)

828

72,094

Owens

Corning

1,779

161,000

PACCAR,

Inc.

(a)

1,441

127,183

Packaging

Corp.

of

America

259

35,263

PacWest

Bancorp

1,369

61,838

PayPal

Holdings,

Inc.

*(a)

807

152,184

Penn

National

Gaming,

Inc.

*(a)

232

12,029

Penske

Automotive

Group,

Inc.

1,049

112,474

People's

United

Financial,

Inc.

2,475

44,105

PepsiCo,

Inc.

(a)

147

25,535

Perrigo

Co.

plc

277

10,775

Pfizer,

Inc.

6,602

389,848

Philip

Morris

International,

Inc.

(a)

832

79,040

Pinterest,

Inc.,

Class

A

*

2,317

84,223

Popular,

Inc.

2,498

204,936

Procter

&

Gamble

Co.

(The)

(a)

2,128

348,098

Prologis,

Inc.,

REIT

514

86,537

INVESTMENTS

SHARES

VALUE

($)

United

States

-

38.8%

(continued)

Prosperity

Bancshares,

Inc.

2,706

195,644

Prudential

Financial,

Inc.

295

31,931

Public

Storage,

REIT

111

41,576

PulteGroup,

Inc.

3,850

220,066

PVH

Corp.

191

20,370

Qorvo

,

Inc.

*

838

131,055

QUALCOMM,

Inc.

(a)

2,051

375,066

Qurate

Retail,

Inc.,

Series

A

10,830

82,308

Regal

Rexnord

Corp.

50

8,509

Regeneron

Pharmaceuticals,

Inc.

*

342

215,980

Reliance

Steel

&

Aluminum

Co.

843

136,751

Republic

Services,

Inc.

(a)

182

25,380

Ross

Stores,

Inc.

(a)

317

36,227

Royal

Gold,

Inc.

256

26,934

Ryder

System,

Inc.

964

79,463

salesforce.com,

Inc.

*(a)

648

164,676

Sanderson

Farms,

Inc.

67

12,802

Schlumberger

NV

536

16,053

Schneider

National,

Inc.,

Class

B

8,520

229,273

Science

Applications

International

Corp.

(a)

566

47,312

Sealed

Air

Corp.

199

13,427

SEI

Investments

Co.

659

40,159

Sempra

Energy

(a)

660

87,305

Sensata

Technologies

Holding

plc

*

1,575

97,162

Sensient

Technologies

Corp.

428

42,826

ServiceNow

,

Inc.

*(a)

227

147,348

Silgan

Holdings,

Inc.

822

35,214

Simon

Property

Group,

Inc.,

REIT

376

60,074

Simpson

Manufacturing

Co.,

Inc.

443

61,608

Six

Flags

Entertainment

Corp.

*(a)

1,878

79,965

Skechers

USA,

Inc.,

Class

A

*

493

21,396

Skyworks

Solutions,

Inc.

535

83,000

SLM

Corp.

8,200

161,294

Snap,

Inc.,

Class

A

*(a)

168

7,901

Snap-on,

Inc.

216

46,522

SolarWinds

Corp.

1,397

19,823

SS&C

Technologies

Holdings,

Inc.

3,099

254,056

Stanley

Black

&

Decker,

Inc.

(a)

235

44,326

Starbucks

Corp.

(a)

556

65,035

State

Street

Corp.

853

79,329

Steel

Dynamics,

Inc.

1,226

76,098

Stellantis

NV

(2)

8,568

161,752

Stifel

Financial

Corp.

193

13,591

Syneos

Health,

Inc.

*

925

94,979

Synopsys,

Inc.

*

506

186,461

Take-Two

Interactive

Software,

Inc.

*

89

15,817

Tapestry,

Inc.

1,210

49,126

Targa

Resources

Corp.

1,053

55,009

Target

Corp.

(a)

1,232

285,134

TD

SYNNEX

Corp.

521

59,582

TEGNA,

Inc.

4,281

79,455

Tempur

Sealy

International,

Inc.

209

9,829

Tenet

Healthcare

Corp.

*

791

64,617

Terex

Corp.

1,294

56,871

Tesla,

Inc.

*

798

843,309

Texas

Capital

Bancshares,

Inc.

*

593

35,728

Texas

Instruments,

Inc.

(a)

279

52,583

Texas

Roadhouse,

Inc.

(a)

896

79,995

195

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

38.8%

(continued)

Thermo

Fisher

Scientific,

Inc.

(a)

479

319,608

TJX

Cos.,

Inc.

(The)

(a)

850

64,532

Toro

Co.

(The)

184

18,383

TransUnion

(a)

322

38,183

Travel

+

Leisure

Co.

(a)

1,613

89,151

Tri

Pointe

Homes,

Inc.

*

7,668

213,861

Twitter,

Inc.

*

917

39,633

Tyson

Foods,

Inc.,

Class

A

1,911

166,563

Ulta

Beauty,

Inc.

*

93

38,348

UMB

Financial

Corp.

2,058

218,374

Umpqua

Holdings

Corp.

7,020

135,065

United

Parcel

Service,

Inc.,

Class

B

(a)

489

104,812

United

Rentals,

Inc.

*

134

44,527

United

States

Steel

Corp.

6,444

153,432

United

Therapeutics

Corp.

*

76

16,422

UnitedHealth

Group,

Inc.

(a)

347

174,243

Univar

Solutions,

Inc.

*

4,048

114,761

Universal

Display

Corp.

820

135,325

Urban

Outfitters,

Inc.

*

2,385

70,024

US

Bancorp

1,090

61,225

Veeva

Systems,

Inc.,

Class

A

*

42

10,730

VeriSign,

Inc.

*

530

134,525

Verizon

Communications,

Inc.

(a)

317

16,471

Vertex

Pharmaceuticals,

Inc.

*

819

179,852

Virgin

Galactic

Holdings,

Inc.

*

1,183

15,829

Virtu

Financial,

Inc.,

Class

A

5,877

169,434

Visa,

Inc.,

Class

A

(a)

619

134,143

Vishay

Intertechnology

,

Inc.

4,803

105,042

VMware,

Inc.,

Class

A

1,384

160,378

W

R

Berkley

Corp.

774

63,770

Walgreens

Boots

Alliance,

Inc.

798

41,624

Walmart,

Inc.

(a)

3,928

568,342

Washington

Federal,

Inc.

877

29,274

Waters

Corp.

*

101

37,633

Wells

Fargo

&

Co.

5,218

250,360

Wendy's

Co.

(The)

(a)

2,431

57,979

Werner

Enterprises,

Inc.

636

30,312

Western

Digital

Corp.

*

703

45,843

Western

Union

Co.

(The)

1,692

30,185

Westlake

Chemical

Corp.

1,461

141,907

Whirlpool

Corp.

175

41,066

Williams-Sonoma,

Inc.

110

18,604

World

Fuel

Services

Corp.

1,408

37,270

WW

Grainger,

Inc.

(a)

49

25,394

Xerox

Holdings

Corp.

528

11,954

Xilinx,

Inc.

243

51,523

XPO

Logistics,

Inc.

*(a)

1,366

105,769

Zebra

Technologies

Corp.,

Class

A

*

253

150,586

Zions

Bancorp

NA

1,040

65,686

Zoetis,

Inc.

(a)

150

36,605

Zoom

Video

Communications,

Inc.,

Class

A

*

508

93,426

Zscaler

,

Inc.

*

45

14,460

Zynga,

Inc.,

Class

A

*

5,160

33,024

49,596,785

—

TOTAL

COMMON

STOCKS

(Cost

$58,092,922)

73,006,354

INVESTMENTS

SHARES

VALUE

($)

PREFERRED

STOCKS

-

0.0%

(b)

United

States

-

0.0%

(b)

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$16,834)

302

31,172

PRINCIPAL

AMOUNT

FOREIGN

GOVERNMENT

SECURITIES

-

13.1%

Federal

Republic

of

Germany

0.50%,

4/15/2030

(2)(d)(e)(f)

EUR

2,398,000

3,712,781

French

Republic

0.10%,

3/1/2026

(2)(d)(e)(f)

400,000

518,541

1.85%,

7/25/2027

(2)(d)(e)(f)

1,100,000

1,800,451

0.10%,

3/1/2028

(2)(d)(e)(f)

800,000

1,091,058

0.10%,

3/1/2029

(2)(d)(e)(f)

600,000

821,336

0.70%,

7/25/2030

(2)(d)(e)(f)

1,300,000

1,990,251

0.10%,

7/25/2031

(2)(d)(e)(f)

400,000

558,756

United

Kingdom

Gilt

Inflation

Linked

0.13%,

8/10/2028

(2)(d)(e)(f)

GBP

700,000

1,316,655

0.13%,

3/22/2029

(2)(d)(e)(f)

700,000

1,568,541

0.13%,

8/10/2031

(2)(d)(e)(f)

300,000

580,128

1.25%,

11/22/2032

(2)(d)(e)(f)

900,000

2,689,267

Cost:

$16,488,178

$–

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$16,488,178)

16,647,765

U.S.

TREASURY

OBLIGATIONS

-

14.5%

U.S.

Treasury

Inflation

Linked

Notes

0.25%,

7/15/2029

(2)

$

200,000

242,298

0.13%,

1/15/2030

(2)

3,300,000

3,937,265

0.13%,

7/15/2030

(2)

3,700,000

4,465,454

0.13%,

1/15/2031

(2)(d)

3,900,000

4,639,227

0.13%,

7/15/2031

(2)(d)

4,500,000

5,219,569

Cost:

$18,008,499

$–

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$18,008,499)

18,503,813

SHORT-TERM

INVESTMENTS

-

45.2%

REPURCHASE

AGREEMENTS

-

0.9%

BNPP,

(1.00)%,

dated

12/7/2021,

due

1/19/2022,

repurchase

price

EUR

121,580,

collateralized

by

French

Republic,

0.10%,

due

3/1/2029

(2)

EUR

121,725

138,584

BNPP,

(0.98)%,

dated

12/1/2021,

due

1/19/2022,

repurchase

price

EUR

134,702,

collateralized

by

French

Republic,

0.70%,

due

7/25/2030

(2)

134,882

153,563

BNPP,

(0.98)%,

dated

12/1/2021,

due

1/19/2022,

repurchase

price

EUR

122,944,

collateralized

by

French

Republic,

0.10%,

due

7/25/2031

(2)

123,108

140,158

196

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

REPURCHASE

AGREEMENTS

-

0.9%

(continued)

BNPP,

(0.98)%,

dated

12/1/2021,

due

1/19/2022,

repurchase

price

EUR

144,141,

collateralized

by

French

Republic,

1.85%,

due

7/25/2027

(2)

EUR

144,334

164,325

BNPP,

(0.98)%,

dated

12/1/2021,

due

1/19/2022,

repurchase

price

EUR

113,477,

collateralized

by

French

Republic,

0.10%,

due

3/1/2026

(2)

113,629

129,367

BNPP,

(1.40)%,

dated

11/24/2021,

due

1/19/2022,

repurchase

price

EUR

134,125,

collateralized

by

French

Republic,

0.70%,

due

7/25/2030

(2)

134,418

153,035

BNPP,

(1.40)%,

dated

11/24/2021,

due

1/19/2022,

repurchase

price

EUR

117,859,

collateralized

by

French

Republic,

0.10%,

due

3/1/2028

(2)

118,116

134,475

JPMS,

(1.20)%,

dated

11/30/2021,

due

1/19/2022,

repurchase

price

EUR

137,649,

collateralized

by

Federal

Republic

of

Germany,

0.50%,

due

4/15/2030

(2)

137,879

156,975

TOTAL

REPURCHASE

AGREEMENTS

(Cost

$1,160,268)

1,170,482

SHARES

INVESTMENT

COMPANIES

-

17.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(g)(h)

1,855,301

1,855,301

Limited

Purpose

Cash

Investment

Fund,

0.01%

(g)

20,242,595

20,234,498

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(g)

25,370

25,370

TOTAL

INVESTMENT

COMPANIES

(Cost

$22,115,125)

22,115,169

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

26.9%

U.S.

Treasury

Bills

0.05%,

1/6/2022

(2)(

i

)

$

729,000

729,000

0.05%,

1/13/2022

(2)(

i

)

968,000

967,996

0.05%,

3/10/2022

(2)(

i

)

2,232,000

2,231,826

0.05%,

3/17/2022

(2)(

i

)

1,568,000

1,567,824

0.05%,

3/24/2022

(2)(

i

)

2,582,000

2,581,679

0.05%,

3/31/2022

(2)(

i

)

6,188,000

6,187,212

0.05%,

4/7/2022

(2)(

i

)

1,652,000

1,651,685

0.06%,

4/28/2022

(2)(

i

)

2,540,000

2,539,381

0.06%,

5/12/2022

(2)(

i

)

3,100,000

3,099,000

0.07%,

5/19/2022

(2)(

i

)

7,861,000

7,858,097

0.07%,

5/26/2022

(2)(

i

)

1,198,000

1,197,553

0.11%,

6/9/2022

(2)(

i

)

2,266,000

2,264,913

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

26.9%

(continued)

0.13%,

6/16/2022

(2)(

i

)

$

1,393,000

1,392,167

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$34,269,951)

34,268,333

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$57,545,344)

57,553,984

TOTAL

LONG

POSITIONS

(Cost

$150,151,777)

165,743,088

SHARES

SHORT

POSITIONS

-

(13.1)%

COMMON

STOCKS

-

(13.1)%

Australia

-

(0.4)%

Cochlear

Ltd.

(2)

(208)

(32,646)

Crown

Resorts

Ltd.

(2)*

(3,229)

(28,108)

Domino's

Pizza

Enterprises

Ltd.

(2)

(278)

(23,861)

Evolution

Mining

Ltd.

(2)

(6,775)

(20,100)

IDP

Education

Ltd.

(2)

(1,823)

(45,926)

Magellan

Financial

Group

Ltd.

(2)

(1,237)

(19,115)

Northern

Star

Resources

Ltd.

(2)

(20,655)

(142,051)

OZ

Minerals

Ltd.

(2)

(4,860)

(100,195)

Pilbara

Minerals

Ltd.

(2)*

(14,399)

(33,588)

Qantas

Airways

Ltd.

(2)*

(3,113)

(11,356)

Santos

Ltd.

(2)

(5,470)

(25,198)

Sydney

Airport

(2)*

(9,761)

(61,626)

(543,770)

—

Austria

-

(0.1)%

ams

AG

(2)*

(3,649)

(66,030)

Belgium

-

0.0%

(b)

Elia

Group

SA/NV

(2)

(131)

(17,267)

Galapagos

NV

(2)*

(591)

(32,796)

(50,063)

—

Brazil

-

(0.1)%

Wheaton

Precious

Metals

Corp.

(2,425)

(104,059)

Canada

-

(0.9)%

Air

Canada

*

(10,674)

(178,301)

Algonquin

Power

&

Utilities

Corp.

(2,133)

(30,807)

Ballard

Power

Systems,

Inc.

*

(18,749)

(235,520)

Brookfield

Asset

Management,

Inc.,

Class

A

(2,761)

(166,736)

Canopy

Growth

Corp.

*

(6,757)

(58,973)

Franco-Nevada

Corp.

(744)

(102,894)

Keyera

Corp.

(9,525)

(214,829)

Lightspeed

Commerce,

Inc.

*

(837)

(33,799)

Pan

American

Silver

Corp.

(2,713)

(67,688)

Restaurant

Brands

International,

Inc.

(2,701)

(163,775)

(1,253,322)

—

China

-

(0.1)%

Prosus

NV

(2)*

(1,401)

(116,038)

197

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

Denmark

-

(0.2)%

Ambu

A/S,

Class

B

(2)

(3,500)

(92,378)

ISS

A/S

(2)*

(1,244)

(23,587)

Vestas

Wind

Systems

A/S

(2)

(4,469)

(136,105)

(252,070)

—

Faroe

Islands

-

(0.1)%

Bakkafrost

P/F

(2)

(980)

(64,773)

France

-

(0.4)%

Accor

SA

(2)*

(345)

(11,183)

Adevinta

ASA

(2)*

(3,166)

(42,057)

Aeroports

de

Paris

(2)*

(1,077)

(138,937)

Alstom

SA

(2)

(5,572)

(197,864)

Remy

Cointreau

SA

(2)

(42)

(10,209)

Safran

SA

(2)

(456)

(55,825)

(456,075)

—

Germany

-

(0.4)%

CTS

Eventim

AG

&

Co.

KGaA

(2)*

(1,923)

(140,557)

Evotec

SE

(2)*

(2,485)

(119,961)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(2)*

(657)

(43,990)

HUGO

BOSS

AG

(2)

(1,167)

(70,643)

MTU

Aero

Engines

AG

(2)

(64)

(12,995)

Rational

AG

(2)

(53)

(54,207)

thyssenkrupp

AG

(2)*

(701)

(7,680)

(450,033)

—

Italy

-

0.0%

(b)

Nexi

SpA

(2)*(c)

(2,223)

(35,227)

Japan

-

(0.7)%

ANA

Holdings,

Inc.

(2)*

(900)

(18,814)

Benefit

One,

Inc.

(2)

(500)

(21,482)

Central

Japan

Railway

Co.

(2)

(600)

(79,843)

East

Japan

Railway

Co.

(2)

(900)

(55,328)

Harmonic

Drive

Systems,

Inc.

(2)

(600)

(25,302)

Japan

Airlines

Co.

Ltd.

(2)*

(4,500)

(85,425)

Japan

Airport

Terminal

Co.

Ltd.

(2)*

(300)

(12,512)

Keikyu

Corp.

(2)

(800)

(8,003)

Keio

Corp.

(2)

(1,000)

(44,122)

Lasertec

Corp.

(2)

(100)

(30,630)

Mercari

,

Inc.

(2)*

(1,800)

(91,579)

Nexon

Co.

Ltd.

(2)

(1,400)

(27,071)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(8,700)

(95,011)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(3,600)

(66,929)

Park24

Co.

Ltd.

(2)*

(1,100)

(15,079)

Rakuten

Group,

Inc.

(2)

(8,400)

(84,279)

Showa

Denko

KK

(2)

(1,200)

(25,233)

Toho

Gas

Co.

Ltd.

(2)

(1,200)

(30,567)

West

Japan

Railway

Co.

(2)

(900)

(37,641)

(854,850)

—

Netherlands

-

(0.1)%

Argenx

SE

(2)*

(441)

(156,824)

OCI

NV

(2)*

(622)

(16,235)

(173,059)

—

Panama

-

0.0%

(b)

Copa

Holdings

SA,

Class

A

*

(717)

(59,267)

INVESTMENTS

SHARES

VALUE

($)

Saudi

Arabia

-

(0.2)%

Delivery

Hero

SE

(2)*(c)

(1,938)

(214,518)

Spain

-

(0.2)%

ACS

Actividades

de

Construccion

y

Servicios

SA

(2)

(1,737)

(46,310)

Amadeus

IT

Group

SA

(2)*

(2,932)

(198,392)

(244,702)

—

Sweden

-

(0.3)%

Beijer

Ref

AB

(2)

(803)

(17,508)

Embracer

Group

AB

(2)*

(9,790)

(103,862)

Epiroc

AB,

Class

A

(2)

(492)

(12,441)

EQT

AB

(2)

(1,482)

(80,339)

Sinch

AB

(2)*(c)

(10,586)

(133,578)

(347,728)

—

Switzerland

-

(0.3)%

Dufry

AG

(Registered)

(2)*

(5,644)

(278,219)

Flughafen

Zurich

AG

(Registered)

(2)*

(268)

(48,128)

Idorsia

Ltd.

(2)*

(5,230)

(106,581)

(432,928)

—

United

Kingdom

-

(0.8)%

ASOS

plc

(2)*

(418)

(13,528)

boohoo

Group

plc

(2)*

(18,385)

(30,828)

BT

Group

plc

(2)

(33,778)

(77,706)

easyJet

plc

(2)*

(5,902)

(44,831)

Hiscox

Ltd.

(2)

(5,699)

(66,929)

Informa

plc

(2)*

(5,413)

(37,900)

Just

Eat

Takeaway.com

NV

(2)*(c)

(420)

(22,819)

Ocado

Group

plc

(2)*

(11,278)

(256,591)

Prudential

plc

(2)

(5,802)

(100,333)

Rolls-Royce

Holdings

plc

(2)*

(144,509)

(241,205)

St

James's

Place

plc

(2)

(2,357)

(53,863)

WH

Smith

plc

(2)*

(2,299)

(46,209)

(992,742)

—

United

States

-

(7.8)%

10X

Genomics,

Inc.,

Class

A

*

(1,191)

(177,411)

ADT,

Inc.

(6,313)

(53,092)

Alnylam

Pharmaceuticals,

Inc.

*

(320)

(54,266)

American

Airlines

Group,

Inc.

*

(9,136)

(164,083)

Aon

plc,

Class

A

(19)

(5,711)

Arrowhead

Pharmaceuticals,

Inc.

*

(293)

(19,426)

Aspen

Technology,

Inc.

*

(246)

(37,441)

Avalara,

Inc.

*

(195)

(25,176)

Avis

Budget

Group,

Inc.

*

(171)

(35,460)

Azenta

,

Inc.

(334)

(34,439)

Baker

Hughes

Co.

(3,236)

(77,858)

Beyond

Meat,

Inc.

*

(877)

(57,145)

Bill.com

Holdings,

Inc.

*

(867)

(216,013)

BioMarin

Pharmaceutical,

Inc.

*

(139)

(12,281)

Block,

Inc.

*

(279)

(45,061)

Boeing

Co.

(The)

*

(79)

(15,904)

BorgWarner,

Inc.

(1,308)

(58,952)

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

(40)

(20,204)

Bright

Horizons

Family

Solutions,

Inc.

*

(893)

(112,411)

Brookfield

Renewable

Corp.

(392)

(14,426)

198

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(7.8)%

(continued)

Cable

One,

Inc.

(31)

(54,667)

Caesars

Entertainment,

Inc.

*

(768)

(71,831)

CarMax,

Inc.

*

(105)

(13,674)

Carnival

Corp.

*

(8,512)

(171,261)

Carvana

Co.

*

(578)

(133,975)

CenterPoint

Energy,

Inc.

(6,129)

(171,060)

Ceridian

HCM

Holding,

Inc.

*

(802)

(83,777)

ChargePoint

Holdings,

Inc.

*

(1,763)

(33,585)

Charles

Schwab

Corp.

(The)

(131)

(11,017)

Chegg

,

Inc.

*

(2,396)

(73,557)

Chemours

Co.

(The)

(2,367)

(79,437)

Chewy,

Inc.,

Class

A

*

(572)

(33,731)

Choice

Hotels

International,

Inc.

(212)

(33,070)

Cinemark

Holdings,

Inc.

*

(5,313)

(85,646)

Clarivate

plc

*

(7,018)

(165,063)

Cloudflare

,

Inc.,

Class

A

*

(180)

(23,670)

CNX

Resources

Corp.

*

(7,748)

(106,535)

Compass

Minerals

International,

Inc.

(396)

(20,228)

Coupa

Software,

Inc.

*

(479)

(75,706)

Crowdstrike

Holdings,

Inc.,

Class

A

*

(52)

(10,647)

Dexcom

,

Inc.

*

(79)

(42,419)

DISH

Network

Corp.,

Class

A

*

(962)

(31,207)

DraftKings

,

Inc.,

Class

A

*

(5,177)

(142,212)

Dun

&

Bradstreet

Holdings,

Inc.

*

(1,168)

(23,932)

DXC

Technology

Co.

*

(537)

(17,286)

Elanco

Animal

Health,

Inc.

*

(1,857)

(52,702)

Energizer

Holdings,

Inc.

(291)

(11,669)

Enphase

Energy,

Inc.

*

(75)

(13,721)

Envestnet

,

Inc.

*

(740)

(58,712)

Erie

Indemnity

Co.,

Class

A

(50)

(9,633)

Everbridge

,

Inc.

*

(805)

(54,201)

Exact

Sciences

Corp.

*

(2,190)

(170,448)

Fastly

,

Inc.,

Class

A

*

(2,645)

(93,765)

Five9,

Inc.

*

(248)

(34,055)

Fluor

Corp.

*

(5,822)

(144,211)

Fox

Factory

Holding

Corp.

*

(174)

(29,597)

Freshpet

,

Inc.

*

(823)

(78,407)

GameStop

Corp.,

Class

A

*

(733)

(108,770)

Gap,

Inc.

(The)

(438)

(7,731)

Grocery

Outlet

Holding

Corp.

*

(5,258)

(148,696)

Guardant

Health,

Inc.

*

(1,258)

(125,825)

Guidewire

Software,

Inc.

*

(299)

(33,945)

Haemonetics

Corp.

*

(898)

(47,630)

HealthEquity

,

Inc.

*

(1,643)

(72,686)

HEICO

Corp.

(84)

(12,114)

Hexcel

Corp.

*

(273)

(14,141)

Hyatt

Hotels

Corp.,

Class

A

*

(111)

(10,645)

IAC/InterActiveCorp

*

(425)

(55,552)

II-VI,

Inc.

*

(2,239)

(152,991)

Insulet

Corp.

*

(446)

(118,667)

Ionis

Pharmaceuticals,

Inc.

*

(1,923)

(58,517)

Iovance

Biotherapeutics

,

Inc.

*

(6,580)

(125,612)

Iridium

Communications,

Inc.

*

(691)

(28,531)

Jackson

Financial,

Inc.,

Class

A

(160)

(6,693)

Jazz

Pharmaceuticals

plc

*

(898)

(114,405)

KAR

Auction

Services,

Inc.

*

(2,426)

(37,894)

Kirby

Corp.

*

(273)

(16,222)

Leggett

&

Platt,

Inc.

(855)

(35,192)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(7.8)%

(continued)

LendingTree

,

Inc.

*

(158)

(19,371)

Ligand

Pharmaceuticals,

Inc.

*

(1,064)

(164,345)

LivaNova

plc

*

(234)

(20,459)

Live

Nation

Entertainment,

Inc.

*

(546)

(65,351)

Lyft,

Inc.,

Class

A

*

(2,608)

(111,440)

Marvell

Technology,

Inc.

(270)

(23,622)

Match

Group,

Inc.

*

(668)

(88,343)

MillerKnoll

,

Inc.

(2,459)

(96,368)

Mirati

Therapeutics,

Inc.

*

(1,141)

(167,373)

Murphy

Oil

Corp.

(1,547)

(40,392)

Natera

,

Inc.

*

(1,291)

(120,566)

NCR

Corp.

*

(630)

(25,326)

Nektar

Therapeutics

*

(6,264)

(84,627)

New

Fortress

Energy,

Inc.

(2,618)

(63,199)

New

Relic,

Inc.

*

(773)

(84,999)

Nordstrom,

Inc.

*

(390)

(8,822)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(9,090)

(188,527)

Novocure

Ltd.

*

(1,161)

(87,168)

Nuance

Communications,

Inc.

*

(436)

(24,120)

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

(197)

(10,084)

Palo

Alto

Networks,

Inc.

*

(66)

(36,746)

Peloton

Interactive,

Inc.,

Class

A

*

(1,635)

(58,468)

Phillips

66

(489)

(35,433)

Plug

Power,

Inc.

*

(3,273)

(92,397)

Progyny

,

Inc.

*

(2,769)

(139,419)

Quanta

Services,

Inc.

(366)

(41,966)

QuantumScape

Corp.

*

(2,857)

(63,397)

R1

RCM,

Inc.

*

(476)

(12,133)

RH

*

(62)

(33,228)

RingCentral,

Inc.,

Class

A

*

(306)

(57,329)

Royal

Caribbean

Cruises

Ltd.

*

(3,176)

(244,233)

Sabre

Corp.

*

(26,423)

(226,973)

Sailpoint

Technologies

Holdings,

Inc.

*

(3,606)

(174,314)

Scientific

Games

Corp.

*

(584)

(39,029)

Scotts

Miracle-

Gro

Co.

(The)

(82)

(13,202)

Shift4

Payments,

Inc.,

Class

A

*

(2,507)

(145,231)

Signature

Bank

(314)

(101,570)

Silicon

Laboratories,

Inc.

*

(373)

(76,995)

SolarEdge

Technologies,

Inc.

*

(149)

(41,805)

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

(1,653)

(71,228)

Splunk

,

Inc.

*

(313)

(36,220)

STERIS

plc

(141)

(34,321)

Strategic

Education,

Inc.

(314)

(18,162)

Sunrun

,

Inc.

*

(398)

(13,651)

Switch,

Inc.,

Class

A

(2,185)

(62,578)

Tandem

Diabetes

Care,

Inc.

*

(130)

(19,568)

Teladoc

Health,

Inc.

*

(483)

(44,349)

Tenaris

SA

(2)

(1,378)

(14,382)

Thor

Industries,

Inc.

(610)

(63,300)

TransDigm

Group,

Inc.

*

(19)

(12,089)

Trex

Co.,

Inc.

*

(1,162)

(156,905)

Trinity

Industries,

Inc.

(5,212)

(157,402)

TripAdvisor,

Inc.

*

(4,859)

(132,456)

Twilio

,

Inc.,

Class

A

*

(43)

(11,324)

Uber

Technologies,

Inc.

*

(680)

(28,512)

Ultragenyx

Pharmaceutical,

Inc.

*

(1,575)

(132,442)

199

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(7.8)%

(continued)

United

Airlines

Holdings,

Inc.

*

(2,538)

(111,114)

US

Foods

Holding

Corp.

*

(745)

(25,948)

Valero

Energy

Corp.

(166)

(12,468)

VF

Corp.

(425)

(31,119)

Viasat

,

Inc.

*

(598)

(26,635)

Vimeo,

Inc.

*

(1,123)

(20,169)

Visteon

Corp.

*

(296)

(32,897)

Vroom,

Inc.

*

(15,290)

(164,979)

Wayfair,

Inc.,

Class

A

*

(575)

(109,233)

WEX,

Inc.

*

(49)

(6,879)

Wingstop

,

Inc.

(175)

(30,240)

Wolfspeed

,

Inc.

*

(1,332)

(148,878)

World

Wrestling

Entertainment,

Inc.,

Class

A

(285)

(14,062)

Wynn

Resorts

Ltd.

*

(1,310)

(111,402)

Zillow

Group,

Inc.,

Class

C

*

(110)

(7,024)

(10,019,839)

—

TOTAL

COMMON

STOCKS

(Proceeds

$(19,066,045))

(16,731,093)

TOTAL

SHORT

POSITIONS

(Proceeds

$(19,066,045))

(16,731,093)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

116.9%

(Cost

$131,085,732)

149,011,995

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(16.9)%

(j)

(21,565,285)

NET

ASSETS

-

100.0%

127,446,710

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

3,747,069

2.9

%

Consumer

Discretionary

7,830,507

6.1

Consumer

Staples

2,316,309

1.8

Energy

2,686,827

2.1

Financials

9,456,576

7.4

Foreign

Government

Securities

16,647,765

13.1

Health

Care

4,663,359

3.7

Industrials

6,309,523

5.0

Information

Technology

14,427,881

11.3

Materials

3,610,064

2.8

Real

Estate

498,033

0.4

U.S.

Treasury

Obligations

18,503,813

14.5

Utilities

760,285

0.6

Short-Term

Investments

57,553,984

45.2

Total

Investments

In

Securities

At

Value

149,011,995

116.9

Liabilities

in

Excess

of

Other

Assets

(j)

(21,565,285)

(16.9)

Net

Assets

$

127,446,710

100.0%

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$18,448,891.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2021

amounted

to

$4,387,

which

represents

approximately

0.0%

of

net

assets

of

the

fund.

(d)

On

December

31,

2021,

securities

valued

at

$26,506,561

were

pledged

as

collateral

for

repurchase

and

reverse

repurchase

agreements

outstanding.

(e)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

December

31,

2021,

the

value

of

these

securities

amounted

to

$16,647,765

or

13.06%

of

net

assets.

(f)

Inflation

protected

security.

(g)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(i)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(j)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

200

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Reverse

repurchase

agreements

at

December

31,

2021:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

BNPP

11/12/2021

(0.67)%

1/19/2022

EUR

$

2,146,633

BNPP

11/12/2021

(0.67)%

1/19/2022

EUR

256,934

BNPP

11/12/2021

(0.67)%

1/19/2022

EUR

957,288

BNPP

11/12/2021

(0.67)%

1/19/2022

EUR

129,461

BNPP

11/12/2021

(0.67)%

1/19/2022

EUR

1,080,090

BNPP

11/12/2021

(0.67)%

1/19/2022

EUR

699,671

BNPP

11/12/2021

(0.67)%

1/19/2022

EUR

1,965,183

BNPP

11/17/2021

(0.62)%

1/19/2022

EUR

133,999

BNPP

11/15/2021

(0.62)%

1/19/2022

EUR

259,070

BNPP

11/19/2021

(0.52)%

1/19/2022

EUR

152,244

BNPP

12/10/2021

0.17%

1/13/2022

USD

113,125

BNPP

12/9/2021

0.17%

1/13/2022

USD

113,875

BNPP

12/8/2021

0.17%

1/13/2022

USD

113,625

BNPP

12/6/2021

0.17%

1/13/2022

USD

2,736,000

BNPP

12/16/2021

0.18%

1/13/2022

USD

455,000

BNPP

12/15/2021

0.18%

1/13/2022

USD

565,000

BN

PP

12/14/2021

0.18%

1/13/2022

USD

678,000

BNPP

12/13/2021

0.18%

1/13/2022

USD

113,500

BNPP

12/20/2021

0.18%

1/13/2022

USD

227,000

CITI

12/6/2021

0.16%

1/13/2022

USD

4,278,125

CITI

12/17/2021

0.16%

1/13/2022

USD

231,000

JPMS

11/12/2021

(0.84)%

1/19/2022

EUR

3,839,250

MPFS

11/12/2021

0.22%

1/19/2022

GBP

2,096,339

MPFS

11/12/2021

0.22%

1/19/2022

GBP

1,130,972

MPFS

11/12/2021

0.22%

1/19/2022

GBP

386,300

MPFS

11/12/2021

0.22%

1/19/2022

GBP

1,347,299

MPFS

11/15/2021

0.22%

1/19/2022

GBP

302,079

MPFS

11/19/2021

0.22%

1/19/2022

GBP

195,244

MPFS

12/16/2021

0.22%

1/19/2022

GBP

303,745

MPFS

12/20/2021

0.35%

1/19/2022

GBP

190,446

MPFS

12/20/2021

0.35%

1/19/2022

GBP

226,961

$

27,423,458

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

December

31,

2021

was

$17,630,509

at

a

net

weighted

average

interest

rate

of

(0.310)%.

201

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Total

return

swap

contracts

outstanding

as

of

December

31,

2021

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/18/2022

USD

949,200

$

20,690

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/11/2022

USD

56,300

5,460

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/04/2022

USD

55,880

1,381

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/04/2022

USD

447,040

12,728

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/18/2022

USD

79,820

12,707

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/18/2022

USD

119,730

18,480

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/18/2022

USD

780,114

33,795

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/18/2022

CHF

1,407,780

48,954

154,195

Live

Cattle

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/04/2022

USD

(55,880)

(4)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/01/2022

USD

57,930

(5)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/18/2022

USD

(203,508)

(2,816)

(2,825)

$

151,370

Futures

contracts

outstanding

as

of

December

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

CAC

40

10

Euro

Index

12

1/2022

EUR

$

975,877

$

8,650

LME

Aluminum

Base

Metal

1

1/2022

USD

70,706

(1,951)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,150

(5,653)

202

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

1

1/2022

USD

$

70,150

$

(2,263)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,150

(2,599)

LME

Aluminum

Base

Metal

1

1/2022

USD

70,068

940

LME

Aluminum

Base

Metal

1

1/2022

USD

70,071

2,143

LME

Aluminum

Base

Metal

2

1/2022

USD

140,180

(19,476)

LME

Aluminum

Base

Metal

2

1/2022

USD

140,300

(5,830)

LME

Aluminum

Base

Metal

2

1/2022

USD

140,240

(13,691)

LME

Aluminum

Base

Metal

3

1/2022

USD

210,315

(25,819)

LME

Aluminum

Base

Metal

4

1/2022

USD

280,540

(24,172)

LME

Copper

Base

Metal

1

1/2022

USD

243,529

(3,877)

LME

Copper

Base

Metal

1

1/2022

USD

243,681

(3,595)

LME

Copper

Base

Metal

1

1/2022

USD

243,673

6,347

LME

Nickel

Base

Metal

1

1/2022

USD

125,283

16,560

LME

Nickel

Base

Metal

1

1/2022

USD

124,188

15,586

LME

Nickel

Base

Metal

1

1/2022

USD

125,085

6,942

LME

Nickel

Base

Metal

1

1/2022

USD

125,253

9,210

LME

Nickel

Base

Metal

1

1/2022

USD

125,271

9,108

LME

Zinc

Base

Metal

1

1/2022

USD

89,738

14,360

LME

Zinc

Base

Metal

1

1/2022

USD

89,744

13,528

LME

Zinc

Base

Metal

1

1/2022

USD

89,600

1,631

Natural

Gas

1

1/2022

USD

37,300

(12,507)

NY

Harbor

ULSD

3

1/2022

USD

292,988

10,310

100

oz

Gold

7

2/2022

USD

1,280,020

(6,348)

Brent

Crude

Oil

50

2/2022

USD

3,867,500

236,891

Lean

Hogs

12

2/2022

USD

391,080

7,694

Live

Cattle

1

2/2022

USD

55,880

1,334

LME

Aluminum

Base

Metal

1

2/2022

USD

70,082

2,054

LME

Aluminum

Base

Metal

1

2/2022

USD

70,103

6,475

LME

Aluminum

Base

Metal

1

2/2022

USD

70,122

3,443

LME

Aluminum

Base

Metal

1

2/2022

USD

70,138

4,332

LME

Aluminum

Base

Metal

1

2/2022

USD

70,088

1,735

LME

Aluminum

Base

Metal

4

2/2022

USD

280,450

15,891

LME

Copper

Base

Metal

1

2/2022

USD

243,488

2,160

LME

Copper

Base

Metal

1

2/2022

USD

243,495

6,373

LME

Copper

Base

Metal

1

2/2022

USD

243,500

5,672

LME

Copper

Base

Metal

4

2/2022

USD

973,150

15,964

LME

Nickel

Base

Metal

1

2/2022

USD

124,753

3,954

LME

Nickel

Base

Metal

1

2/2022

USD

125,013

6,426

LME

Nickel

Base

Metal

1

2/2022

USD

125,001

7,393

Low

Sulphur

Gasoil

5

2/2022

USD

333,125

11,147

Natural

Gas

4

2/2022

USD

142,280

(5,980)

NY

Harbor

ULSD

8

2/2022

USD

775,622

6,848

RBOB

Gasoline

8

2/2022

USD

748,810

(11,560)

Sugar

No.

11

55

2/2022

USD

1,163,008

(62,101)

WTI

Crude

Oil

11

2/2022

USD

823,680

13,954

Australia

10

Year

Bond

98

3/2022

AUD

9,922,617

(11,988)

Australia

3

Year

Bond

31

3/2022

AUD

2,574,547

557

Canada

10

Year

Bond

55

3/2022

CAD

6,197,201

137,635

Cocoa

3

3/2022

USD

75,600

1,206

Coffee

'C'

7

3/2022

USD

593,513

42,925

Corn

101

3/2022

USD

2,995,913

85,571

Cotton

No.

2

9

3/2022

USD

506,700

30,359

EURO

STOXX

50

Index

99

3/2022

EUR

4,832,506

120,115

Euro-BTP

19

3/2022

EUR

3,178,965

(32,783)

Euro-Bund

50

3/2022

EUR

9,760,361

(135,345)

Euro-

Buxl

5

3/2022

EUR

1,177,323

(51,720)

203

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Euro-OAT

23

3/2022

EUR

$

4,273,735

$

(58,662)

Euro-Schatz

8

3/2022

EUR

1,020,369

(1,484)

Feeder

Cattle

1

3/2022

USD

84,975

4,724

FTSE/MIB

Index

13

3/2022

EUR

2,016,420

46,731

Japan

10

Year

Bond

25

3/2022

JPY

32,954,447

(76,193)

KC

HRW

Wheat

4

3/2022

USD

160,300

10,999

LME

Aluminum

Base

Metal

1

3/2022

USD

70,194

4,816

LME

Aluminum

Base

Metal

1

3/2022

USD

70,225

3,972

LME

Aluminum

Base

Metal

1

3/2022

USD

70,200

4,410

LME

Aluminum

Base

Metal

1

3/2022

USD

70,188

(163)

LME

Aluminum

Base

Metal

1

3/2022

USD

70,188

4,585

LME

Aluminum

Base

Metal

2

3/2022

USD

140,425

11,069

LME

Aluminum

Base

Metal

2

3/2022

USD

140,332

(1,737)

LME

Aluminum

Base

Metal

2

3/2022

USD

140,300

8,670

LME

Aluminum

Base

Metal

4

3/2022

USD

280,575

16,046

LME

Aluminum

Base

Metal

4

3/2022

USD

280,725

20,201

LME

Aluminum

Base

Metal

4

3/2022

USD

280,850

(882)

LME

Aluminum

Base

Metal

26

3/2022

USD

1,825,200

16,564

LME

Copper

Base

Metal

1

3/2022

USD

243,288

12,184

LME

Copper

Base

Metal

1

3/2022

USD

243,288

3,760

LME

Copper

Base

Metal

1

3/2022

USD

243,288

3,891

LME

Copper

Base

Metal

1

3/2022

USD

243,025

1,450

LME

Copper

Base

Metal

1

3/2022

USD

243,288

6,957

LME

Copper

Base

Metal

1

3/2022

USD

243,075

2,172

LME

Copper

Base

Metal

1

3/2022

USD

243,288

7,785

LME

Copper

Base

Metal

18

3/2022

USD

4,379,175

118,746

LME

Lead

Base

Metal

1

3/2022

USD

57,879

274

LME

Lead

Base

Metal

4

3/2022

USD

231,400

7,283

LME

Nickel

Base

Metal

1

3/2022

USD

124,542

3,219

LME

Nickel

Base

Metal

11

3/2022

USD

1,372,371

99,455

LME

Zinc

Base

Metal

3

3/2022

USD

265,200

2,645

LME

Zinc

Base

Metal

16

3/2022

USD

1,419,200

105,028

Low

Sulphur

Gasoil

9

3/2022

USD

596,700

(302)

Soybean

2

3/2022

USD

133,925

8,020

Soybean

Meal

21

3/2022

USD

838,110

113,878

TOPIX

Index

13

3/2022

JPY

2,251,239

3,309

U.S.

Treasury

10

Year

Note

354

3/2022

USD

46,136,156

451,705

U.S.

Treasury

2

Year

Note

137

3/2022

USD

29,884,195

(87,807)

U.S.

Treasury

5

Year

Note

287

3/2022

USD

34,695,609

133,571

U.S.

Treasury

Long

Bond

42

3/2022

USD

6,717,375

97,246

U.S.

Treasury

Ultra

Bond

13

3/2022

USD

2,549,625

56,216

100

oz

Gold

1

4/2022

USD

183,100

375

Lean

Hogs

2

4/2022

USD

69,380

(499)

1,618,392

Short

Contracts

Amsterdam

Exchange

Index

(6)

1/2022

EUR

(1,089,804)

(23,570)

Hang

Seng

Index

(9)

1/2022

HKD

(1,353,367)

(16,576)

IBEX

35

Index

(23)

1/2022

EUR

(2,274,054)

(95,120)

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,150)

2,772

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,706)

1,185

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,068)

(1,183)

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,071)

(2,389)

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,150)

2,598

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,150)

5,645

LME

Aluminum

Base

Metal

(2)

1/2022

USD

(140,300)

4,944

LME

Aluminum

Base

Metal

(2)

1/2022

USD

(140,180)

19,569

204

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(2)

1/2022

USD

$

(140,240)

$

14,439

LME

Aluminum

Base

Metal

(3)

1/2022

USD

(210,315)

25,919

LME

Aluminum

Base

Metal

(4)

1/2022

USD

(280,540)

27,182

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,529)

3,718

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,673)

(7,426)

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,681)

3,491

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,283)

(16,055)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,253)

(9,675)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,271)

(8,886)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(124,188)

(16,028)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,085)

(6,564)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,738)

(14,089)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,600)

(953)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,744)

(13,743)

OMXS30

Index

(2)

1/2022

SEK

(53,546)

(1,222)

WTI

Crude

Oil

(8)

1/2022

USD

(601,680)

(56,851)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,103)

(6,024)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,082)

(1,925)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,122)

(3,250)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,088)

(1,894)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,138)

(4,440)

LME

Aluminum

Base

Metal

(4)

2/2022

USD

(280,450)

(14,849)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,500)

(7,003)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,488)

(2,328)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,495)

(5,698)

LME

Copper

Base

Metal

(4)

2/2022

USD

(973,150)

(17,032)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(124,753)

(4,756)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(125,001)

(7,344)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(125,013)

(6,816)

DAX

Index

(1)

3/2022

EUR

(451,301)

(10,542)

Euro-

Bobl

(14)

3/2022

EUR

(2,124,191)

11,095

FTSE

100

Index

(29)

3/2022

GBP

(2,874,886)

(39,795)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,188)

(4,518)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,200)

(4,380)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,225)

(4,410)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,194)

(4,656)

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,188)

185

LME

Aluminum

Base

Metal

(2)

3/2022

USD

(140,332)

1,463

LME

Aluminum

Base

Metal

(2)

3/2022

USD

(140,300)

(8,006)

LME

Aluminum

Base

Metal

(2)

3/2022

USD

(140,425)

(10,772)

LME

Aluminum

Base

Metal

(4)

3/2022

USD

(280,575)

(15,886)

LME

Aluminum

Base

Metal

(4)

3/2022

USD

(280,850)

339

LME

Aluminum

Base

Metal

(4)

3/2022

USD

(280,725)

(19,623)

LME

Aluminum

Base

Metal

(27)

3/2022

USD

(1,895,400)

19,375

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(7,661)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,075)

(2,009)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,025)

(1,889)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(7,915)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(5,432)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(11,953)

LME

Copper

Base

Metal

(1)

3/2022

USD

(243,288)

(6,915)

LME

Copper

Base

Metal

(9)

3/2022

USD

(2,189,588)

(34,018)

LME

Lead

Base

Metal

(1)

3/2022

USD

(57,879)

(432)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,542)

(3,309)

LME

Nickel

Base

Metal

(4)

3/2022

USD

(499,044)

(37,115)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,700)

(13,378)

205

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(3)

3/2022

USD

$

(265,200)

$

(2,283)

Long

Gilt

(77)

3/2022

GBP

(13,020,623)

55,962

S&P

500

E-Mini

Index

(26)

3/2022

USD

(6,186,050)

(81,392)

S&P/TSX

60

Index

(4)

3/2022

CAD

(810,087)

(3,556)

SPI

200

Index

(1)

3/2022

AUD

(133,633)

(2,358)

Wheat

(21)

3/2022

USD

(809,288)

(11,724)

(529,735)

$

1,088,657

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

4,414,502

USD

3,161,535

CITI

3/16/2022

$

50,814

AUD

4,414,499

USD

3,161,537

JPMC

3/16/2022

50,809

BRL

9,157,000

USD

1,596,728

CITI

**

3/16/2022

18,944

BRL

9,157,000

USD

1,596,730

JPMC

**

3/16/2022

18,942

CAD

5,450,000

USD

4,271,405

CITI

3/16/2022

36,445

CAD

5,450,000

USD

4,272,207

JPMC

3/16/2022

35,643

CHF

2,931,000

USD

3,186,412

CITI

3/16/2022

36,156

CHF

2,931,000

USD

3,186,416

JPMC

3/16/2022

36,152

CNY

12,613,503

USD

1,960,408

CITI

**

3/16/2022

14,551

CNY

12,613,497

USD

1,960,410

JPMC

**

3/16/2022

14,549

CZK

7,165,502

USD

319,575

CITI

3/16/2022

6,156

CZK

7,165,498

USD

319,576

JPMC

3/16/2022

6,155

DKK

686,500

USD

104,390

CITI

3/16/2022

863

DKK

686,500

USD

104,390

JPMC

3/16/2022

863

EUR

2,198,500

USD

2,486,254

CITI

3/16/2022

20,377

EUR

2,198,500

USD

2,486,257

JPMC

3/16/2022

20,374

GBP

2,006,000

USD

2,672,036

CITI

3/16/2022

42,337

GBP

2,006,000

USD

2,672,039

JPMC

3/16/2022

42,334

HKD

359,500

USD

46,100

CITI

3/16/2022

10

HKD

359,500

USD

46,100

JPMC

3/16/2022

10

HUF

217,813,001

USD

656,174

CITI

3/16/2022

10,345

HUF

217,812,999

USD

656,175

JPMC

3/16/2022

10,344

INR

234,046,505

USD

3,096,052

CITI

**

3/16/2022

19,087

INR

234,046,495

USD

3,096,056

JPMC

**

3/16/2022

19,083

JPY

128,075,000

USD

1,113,825

CITI

3/16/2022

239

JPY

128,075,000

USD

1,113,827

JPMC

3/16/2022

238

KRW

461,454,999

USD

387,286

CITI

**

3/16/2022

111

KRW

461,454,999

USD

387,286

JPMC

**

3/16/2022

111

MXN

82,319,501

USD

3,824,136

CITI

3/16/2022

146,373

MXN

82,319,499

USD

3,824,141

JPMC

3/16/2022

146,368

NOK

14,709,500

USD

1,653,573

CITI

3/16/2022

14,523

NOK

14,709,500

USD

1,653,575

JPMC

3/16/2022

14,521

NZD

650,000

USD

443,813

CITI

3/16/2022

869

NZD

650,000

USD

443,813

JPMC

3/16/2022

868

PLN

4,511,500

USD

1,098,844

CITI

3/16/2022

14,947

PLN

4,511,500

USD

1,098,845

JPMC

3/16/2022

14,946

RUB

53,135,626

USD

694,484

CITI

**

3/16/2022

4,983

RUB

53,135,623

USD

694,485

JPMC

**

3/16/2022

4,983

SEK

10,758,976

USD

1,183,906

CITI

3/16/2022

7,441

206

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SEK

10,758,976

USD

1,183,908

JPMC

3/16/2022

$

7,438

SGD

5,500

USD

4,023

CITI

3/16/2022

57

SGD

5,500

USD

4,023

JPMC

3/16/2022

57

USD

141,105

AUD

193,750

CITI

3/16/2022

117

USD

141,104

AUD

193,749

JPMC

3/16/2022

117

USD

291,158

HKD

2,267,750

CITI

3/16/2022

293

USD

291,158

HKD

2,267,750

JPMC

3/16/2022

292

USD

21,261

HUF

6,856,500

CITI

3/16/2022

279

USD

21,261

HUF

6,856,500

JPMC

3/16/2022

279

USD

2,907,478

JPY

331,124,750

CITI

3/16/2022

27,179

USD

2,907,474

JPY

331,124,750

JPMC

3/16/2022

27,175

USD

297,195

KRW

353,409,000

CITI

**

3/16/2022

504

USD

297,194

KRW

353,409,000

JPMC

**

3/16/2022

503

USD

42,690

RUB

3,205,500

CITI

**

3/16/2022

494

USD

42,690

RUB

3,205,500

JPMC

**

3/16/2022

493

USD

909,529

SEK

8,191,751

CITI

3/16/2022

2,453

USD

909,527

SEK

8,191,747

JPMC

3/16/2022

2,451

USD

262,743

ZAR

4,216,500

CITI

3/16/2022

774

USD

262,743

ZAR

4,216,500

JPMC

3/16/2022

774

ZAR

21,109,620

USD

1,300,201

CITI

3/16/2022

11,327

ZAR

21,109,614

USD

1,300,202

JPMC

3/16/2022

11,327

Total

unrealized

appreciation

977,247

AUD

1,300,000

USD

946,126

CITI

3/16/2022

(141)

AUD

1,299,999

USD

946,126

JPMC

3/16/2022

(142)

CAD

170,500

USD

134,868

CITI

3/16/2022

(100)

CAD

170,500

USD

134,868

JPMC

3/16/2022

(100)

CLP

409,458,503

USD

491,559

CITI

**

3/16/2022

(16,167)

CLP

409,458,497

USD

491,560

JPMC

**

3/16/2022

(16,168)

HKD

231,000

USD

29,631

CITI

3/16/2022

(3)

HKD

231,000

USD

29,631

JPMC

3/16/2022

(3)

INR

7,694,500

USD

102,781

CITI

**

3/16/2022

(368)

INR

7,694,500

USD

102,781

JPMC

**

3/16/2022

(368)

JPY

256,230,500

USD

2,258,038

CITI

3/16/2022

(29,209)

JPY

256,230,500

USD

2,258,041

JPMC

3/16/2022

(29,212)

KRW

2,434,844,501

USD

2,056,665

CITI

**

3/16/2022

(12,586)

KRW

2,434,844,500

USD

2,056,667

JPMC

**

3/16/2022

(12,589)

MXN

1,753,500

USD

85,012

CITI

3/16/2022

(436)

MXN

1,753,500

USD

85,012

JPMC

3/16/2022

(436)

NZD

850,000

USD

592,983

CITI

3/16/2022

(11,476)

NZD

850,000

USD

592,983

JPMC

3/16/2022

(11,477)

RUB

31,881,377

USD

423,930

CITI

**

3/16/2022

(4,249)

RUB

31,881,374

USD

423,930

JPMC

**

3/16/2022

(4,250)

SEK

26,371,024

USD

2,937,627

CITI

3/16/2022

(17,552)

SEK

26,371,024

USD

2,937,631

JPMC

3/16/2022

(17,555)

USD

3,805,784

AUD

5,331,251

CITI

3/16/2022

(73,665)

USD

3,805,778

AUD

5,331,250

JPMC

3/16/2022

(73,670)

USD

517,897

BRL

3,001,503

CITI

**

3/16/2022

(11,691)

USD

517,896

BRL

3,001,497

JPMC

**

3/16/2022

(11,692)

USD

1,018,504

CAD

1,299,001

CITI

3/16/2022

(8,266)

USD

1,018,501

CAD

1,298,999

JPMC

3/16/2022

(8,268)

USD

6,294,820

CHF

5,801,504

CITI

3/16/2022

(83,801)

USD

6,294,804

CHF

5,801,496

JPMC

3/16/2022

(83,808)

USD

232,290

CNY

1,494,000

CITI

**

3/16/2022

(1,633)

USD

232,290

CNY

1,494,000

JPMC

**

3/16/2022

(1,633)

USD

70,422

DKK

464,000

CITI

3/16/2022

(718)

USD

70,422

DKK

464,000

JPMC

3/16/2022

(718)

USD

16,091,695

EUR

14,220,744

CITI

3/16/2022

(122,163)

USD

16,083,726

EUR

14,213,730

JPMC

3/16/2022

(122,134)

207

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

7,950,142

GBP

5,951,809

CITI

3/16/2022

$

(103,412)

USD

7,941,115

GBP

5,944,800

JPMC

3/16/2022

(102,955)

USD

290,808

HKD

2,267,750

CITI

3/16/2022

(58)

USD

290,807

HKD

2,267,750

JPMC

3/16/2022

(58)

USD

69,299

HUF

22,838,000

CITI

3/16/2022

(586)

USD

69,299

HUF

22,838,000

JPMC

3/16/2022

(586)

USD

794,340

INR

60,508,500

CITI

**

3/16/2022

(11,023)

USD

794,339

INR

60,508,500

JPMC

**

3/16/2022

(11,024)

USD

1,021,999

JPY

117,513,251

CITI

3/16/2022

(194)

USD

1,021,998

JPY

117,513,249

JPMC

3/16/2022

(195)

USD

557,490

KRW

665,725,000

CITI

**

3/16/2022

(1,393)

USD

557,490

KRW

665,725,000

JPMC

**

3/16/2022

(1,393)

USD

977,000

MXN

21,239,500

CITI

3/16/2022

(47,443)

USD

976,999

MXN

21,239,500

JPMC

3/16/2022

(47,444)

USD

1,686,121

NOK

15,197,001

CITI

3/16/2022

(37,259)

USD

1,686,118

NOK

15,196,999

JPMC

3/16/2022

(37,261)

USD

397,866

PLN

1,664,000

CITI

3/16/2022

(12,940)

USD

397,865

PLN

1,664,000

JPMC

3/16/2022

(12,940)

USD

159,474

RUB

12,189,500

CITI

**

3/16/2022

(986)

USD

159,474

RUB

12,189,500

JPMC

**

3/16/2022

(986)

USD

3,609,323

SEK

32,859,751

CITI

3/16/2022

(29,253)

USD

3,609,319

SEK

32,859,751

JPMC

3/16/2022

(29,256)

USD

165,034

SGD

225,001

CITI

3/16/2022

(1,868)

USD

165,033

SGD

224,999

JPMC

3/16/2022

(1,868)

USD

174,531

ZAR

2,853,000

CITI

3/16/2022

(2,724)

USD

174,531

ZAR

2,853,000

JPMC

3/16/2022

(2,724)

ZAR

22,804,385

USD

1,427,260

CITI

3/16/2022

(10,436)

ZAR

22,804,383

USD

1,427,262

JPMC

3/16/2022

(10,439)

Total

unrealized

depreciation

(1,307,151)

Net

unrealized

depreciation

$

(329,904)

**

Non-deliverable

forward.

208

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

1,874,968

$

1,874,968

BNPP

Cash

(49,001)

–

(49,001)

Foreign

Government

Securities

6,780,393

–

6,780,393

U.S.

Treasury

Inflation

Linked

Notes

5,219,569

–

5,219,569

CITI

Cash

(32,885)

–

(32,885)

Investment

Companies

686,803

–

686,803

U.S.

Treasury

Inflation

Linked

Notes

4,639,227

–

4,639,227

GSCO

Cash

–

678,606

678,606

JPMC

Investment

Companies

1,168,498

–

1,168,498

JPMS

Cash

–

861,424

861,424

Foreign

Government

Securities

3,712,781

–

3,712,781

MLIN

Cash

60,000

–

60,000

MPFS

Foreign

Government

Securities

6,154,591

–

6,154,591

MSCL

Cash

–

90,161

90,161

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

86,194

$

86,194

GSIN

Cash

117,184

–

117,184

MLIN

Cash

110,060

–

110,060

MSCL

Cash

–

482,729

482,729

SOCG

Cash

120,016

–

120,016

209

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

90.3%

INVESTMENT

COMPANIES

-

46.9%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

84,677

84,677

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

116,405,964

116,359,401

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(1)(a)

964

964

TOTAL

INVESTMENT

COMPANIES

(Cost

$116,445,050)

116,445,042

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

43.4%

U.S.

Treasury

Bills

0.05%,

1/6/2022

(c)

$

2,882,000

2,881,999

0.05%,

1/20/2022

(c)

5,009,000

5,008,970

0.05%,

1/27/2022

(c)

2,839,000

2,838,948

0.06%,

2/3/2022

(c)

6,500,000

6,499,832

0.05%,

2/10/2022

(c)

647,000

646,978

0.05%,

2/17/2022

(c)

3,728,000

3,727,860

0.04%,

3/10/2022

(c)

4,053,000

4,052,684

0.05%,

3/17/2022

(c)

4,315,000

4,314,517

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

43.4%

(continued)

0.04%,

3/24/2022

(c)

$

9,888,000

9,886,770

0.05%,

3/31/2022

(c)

5,799,000

5,798,262

0.06%,

4/7/2022

(b)(c)

2,697,000

2,696,486

0.05%,

4/14/2022

(c)

964,000

963,797

0.06%,

4/21/2022

(c)

7,466,000

7,464,348

0.06%,

4/28/2022

(c)

4,099,000

4,098,002

0.06%,

5/5/2022

(c)

1,271,000

1,270,661

0.07%,

5/19/2022

(b)(c)

2,826,000

2,824,956

0.07%,

5/26/2022

(c)

8,384,000

8,380,869

0.09%,

6/2/2022

(c)

5,415,000

5,412,603

0.11%,

6/9/2022

(c)

1,703,000

1,702,183

0.13%,

6/16/2022

(c)

9,785,000

9,779,149

0.16%,

6/23/2022

(c)

4,882,000

4,878,116

0.21%,

6/30/2022

(c)

12,495,000

12,483,571

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$107,612,105)

107,611,561

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$224,057,155)

224,056,603

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

90.3%

(Cost

$224,057,155)

224,056,603

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

9.7%

(d)

24,042,647

NET

ASSETS

-

100.0%

248,099,250

(a)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

Includes

appreciation/(depreciation)

on

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

2021

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/18/2022

USD

29,663

$

576

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/11/2022

USD

112,600

5,085

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/18/2022

USD

3,512,080

371,870

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/18/2022

USD

339,180

14,993

210

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/18/2022

USD

38,538

$

1,095

393,619

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/18/2022

USD

(29,663)

(528)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/18/2022

USD

(878,020)

(112,860)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/18/2022

USD

(339,180)

(13,171)

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/18/2022

USD

(38,538)

(672)

(127,231)

$

266,388

Futures

contracts

outstanding

as

of

December

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

1

1/2022

USD

$

70,075

$

(10,178)

LME

Aluminum

Base

Metal

2

1/2022

USD

140,124

(5,882)

LME

Aluminum

Base

Metal

2

1/2022

USD

140,125

(13,491)

LME

Aluminum

Base

Metal

3

1/2022

USD

210,360

(20,536)

LME

Aluminum

Base

Metal

6

1/2022

USD

424,238

(11,707)

LME

Aluminum

Base

Metal

7

1/2022

USD

491,050

(19,280)

LME

Aluminum

Base

Metal

13

1/2022

USD

910,842

(16,097)

LME

Aluminum

Base

Metal

14

1/2022

USD

982,100

(30,361)

LME

Aluminum

Base

Metal

24

1/2022

USD

1,681,200

(74,439)

LME

Aluminum

Base

Metal

28

1/2022

USD

1,964,200

(84,823)

LME

Aluminum

Base

Metal

37

1/2022

USD

2,593,885

(320,599)

LME

Aluminum

Base

Metal

37

1/2022

USD

2,593,330

(360,304)

LME

Aluminum

Base

Metal

37

1/2022

USD

2,592,609

78,512

LME

Aluminum

Base

Metal

77

1/2022

USD

5,400,395

(465,307)

LME

Copper

Base

Metal

1

1/2022

USD

243,538

(7,462)

LME

Copper

Base

Metal

2

1/2022

USD

487,017

2,911

LME

Copper

Base

Metal

2

1/2022

USD

487,338

13,479

LME

Copper

Base

Metal

3

1/2022

USD

731,031

13,774

LME

Copper

Base

Metal

3

1/2022

USD

730,532

(2,226)

LME

Copper

Base

Metal

4

1/2022

USD

974,725

(27,873)

LME

Copper

Base

Metal

6

1/2022

USD

1,462,125

(77,490)

LME

Copper

Base

Metal

9

1/2022

USD

2,191,763

(28,922)

LME

Copper

Base

Metal

12

1/2022

USD

2,922,075

27,558

LME

Copper

Base

Metal

17

1/2022

USD

4,140,563

233,238

LME

Copper

Base

Metal

29

1/2022

USD

7,066,517

184,066

LME

Lead

Base

Metal

1

1/2022

USD

58,244

1,361

211

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

2

1/2022

USD

$

116,117

$

(3,485)

LME

Lead

Base

Metal

3

1/2022

USD

174,163

(6,534)

LME

Lead

Base

Metal

7

1/2022

USD

406,438

(18,470)

LME

Lead

Base

Metal

9

1/2022

USD

522,563

(21,961)

LME

Lead

Base

Metal

15

1/2022

USD

875,374

35,526

LME

Lead

Base

Metal

24

1/2022

USD

1,401,900

100,086

LME

Lead

Base

Metal

28

1/2022

USD

1,628,725

120,493

LME

Nickel

Base

Metal

1

1/2022

USD

125,259

10,368

LME

Nickel

Base

Metal

1

1/2022

USD

125,107

4,019

LME

Nickel

Base

Metal

1

1/2022

USD

125,283

18,519

LME

Nickel

Base

Metal

2

1/2022

USD

250,302

7,949

LME

Nickel

Base

Metal

3

1/2022

USD

375,741

13,511

LME

Nickel

Base

Metal

4

1/2022

USD

500,398

11,765

LME

Nickel

Base

Metal

5

1/2022

USD

625,426

35,119

LME

Nickel

Base

Metal

8

1/2022

USD

1,002,264

132,480

LME

Nickel

Base

Metal

11

1/2022

USD

1,377,981

100,189

LME

Nickel

Base

Metal

14

1/2022

USD

1,753,542

127,336

LME

Nickel

Base

Metal

15

1/2022

USD

1,878,615

47,804

LME

Nickel

Base

Metal

18

1/2022

USD

2,235,384

280,540

LME

Zinc

Base

Metal

1

1/2022

USD

89,258

4,923

LME

Zinc

Base

Metal

1

1/2022

USD

89,725

10,591

LME

Zinc

Base

Metal

1

1/2022

USD

89,500

14,272

LME

Zinc

Base

Metal

1

1/2022

USD

89,348

3,068

LME

Zinc

Base

Metal

1

1/2022

USD

89,303

4,023

LME

Zinc

Base

Metal

2

1/2022

USD

179,500

28,457

LME

Zinc

Base

Metal

2

1/2022

USD

178,875

6,169

LME

Zinc

Base

Metal

3

1/2022

USD

268,406

422

LME

Zinc

Base

Metal

3

1/2022

USD

269,100

25,277

LME

Zinc

Base

Metal

7

1/2022

USD

628,163

98,742

LME

Zinc

Base

Metal

8

1/2022

USD

716,400

(30,724)

LME

Zinc

Base

Metal

14

1/2022

USD

1,256,413

189,396

LME

Zinc

Base

Metal

19

1/2022

USD

1,695,038

96,347

LME

Zinc

Base

Metal

22

1/2022

USD

1,969,000

(61,665)

LME

Zinc

Base

Metal

26

1/2022

USD

2,329,600

42,407

Natural

Gas

12

1/2022

USD

447,600

(122,989)

NY

Harbor

ULSD

9

1/2022

USD

878,963

38,549

100

oz

Gold

372

2/2022

USD

68,023,920

(566,707)

Brent

Crude

Oil

463

2/2022

USD

35,813,050

2,146,946

Lean

Hogs

173

2/2022

USD

5,638,070

167,953

Live

Cattle

115

2/2022

USD

6,426,200

140,792

LME

Aluminum

Base

Metal

1

2/2022

USD

70,106

3,306

LME

Aluminum

Base

Metal

2

2/2022

USD

140,211

10,206

LME

Aluminum

Base

Metal

3

2/2022

USD

210,333

8,691

LME

Aluminum

Base

Metal

3

2/2022

USD

210,338

8,579

LME

Aluminum

Base

Metal

3

2/2022

USD

210,247

6,163

LME

Aluminum

Base

Metal

4

2/2022

USD

280,411

25,899

LME

Aluminum

Base

Metal

6

2/2022

USD

420,530

10,412

LME

Aluminum

Base

Metal

7

2/2022

USD

490,875

31,204

LME

Aluminum

Base

Metal

9

2/2022

USD

630,900

23,373

LME

Aluminum

Base

Metal

12

2/2022

USD

841,467

41,317

LME

Aluminum

Base

Metal

18

2/2022

USD

1,262,138

90,089

LME

Aluminum

Base

Metal

22

2/2022

USD

1,542,008

78,393

LME

Aluminum

Base

Metal

41

2/2022

USD

2,875,638

171,409

LME

Aluminum

Base

Metal

70

2/2022

USD

4,907,875

256,290

LME

Copper

Base

Metal

1

2/2022

USD

243,495

6,373

LME

Copper

Base

Metal

1

2/2022

USD

243,288

2,499

212

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

2/2022

USD

$

243,502

$

7,199

LME

Copper

Base

Metal

1

2/2022

USD

243,288

2,722

LME

Copper

Base

Metal

2

2/2022

USD

486,978

12,923

LME

Copper

Base

Metal

9

2/2022

USD

2,191,500

51,052

LME

Copper

Base

Metal

49

2/2022

USD

11,921,088

179,184

LME

Lead

Base

Metal

1

2/2022

USD

57,988

(103)

LME

Lead

Base

Metal

2

2/2022

USD

116,092

(3,064)

LME

Lead

Base

Metal

5

2/2022

USD

289,454

10,816

LME

Lead

Base

Metal

6

2/2022

USD

348,200

(7,707)

LME

Lead

Base

Metal

7

2/2022

USD

405,606

7,288

LME

Lead

Base

Metal

8

2/2022

USD

463,950

(4,071)

LME

Lead

Base

Metal

22

2/2022

USD

1,274,422

6,289

LME

Lead

Base

Metal

22

2/2022

USD

1,276,919

(26,639)

LME

Lead

Base

Metal

24

2/2022

USD

1,392,150

(21,877)

LME

Lead

Base

Metal

30

2/2022

USD

1,737,000

64,671

LME

Nickel

Base

Metal

1

2/2022

USD

124,745

932

LME

Nickel

Base

Metal

1

2/2022

USD

124,893

8,100

LME

Nickel

Base

Metal

2

2/2022

USD

249,486

8,280

LME

Nickel

Base

Metal

2

2/2022

USD

250,002

15,812

LME

Nickel

Base

Metal

6

2/2022

USD

750,383

50,885

LME

Nickel

Base

Metal

18

2/2022

USD

2,250,234

115,669

LME

Nickel

Base

Metal

28

2/2022

USD

3,493,980

173,047

LME

Nickel

Base

Metal

53

2/2022

USD

6,611,932

207,845

LME

Zinc

Base

Metal

2

2/2022

USD

178,125

18,557

LME

Zinc

Base

Metal

3

2/2022

USD

267,461

18,977

LME

Zinc

Base

Metal

5

2/2022

USD

444,500

48,938

LME

Zinc

Base

Metal

6

2/2022

USD

534,443

47,375

LME

Zinc

Base

Metal

22

2/2022

USD

1,953,760

186,507

Low

Sulphur

Gasoil

10

2/2022

USD

666,250

51,071

Natural

Gas

95

2/2022

USD

3,379,150

(147,309)

NY

Harbor

ULSD

49

2/2022

USD

4,750,687

51,468

RBOB

Gasoline

122

2/2022

USD

11,419,346

(164,817)

Sugar

No.

11

760

2/2022

USD

16,070,656

(775,533)

Cocoa

85

3/2022

USD

2,142,000

25,046

Coffee

'C'

134

3/2022

USD

11,361,525

491,768

Corn

1,622

3/2022

USD

48,112,575

1,309,962

Cotton

No.

2

117

3/2022

USD

6,587,100

379,747

Feeder

Cattle

25

3/2022

USD

2,124,375

26,884

LME

Aluminum

Base

Metal

1

3/2022

USD

70,200

4,410

LME

Aluminum

Base

Metal

2

3/2022

USD

140,375

9,169

LME

Aluminum

Base

Metal

24

3/2022

USD

1,684,650

115,579

LME

Aluminum

Base

Metal

31

3/2022

USD

2,175,138

(25,066)

LME

Aluminum

Base

Metal

37

3/2022

USD

2,596,938

(6,035)

LME

Aluminum

Base

Metal

47

3/2022

USD

3,297,050

194,935

LME

Aluminum

Base

Metal

50

3/2022

USD

3,507,888

(30,091)

LME

Aluminum

Base

Metal

55

3/2022

USD

3,862,375

218,825

LME

Aluminum

Base

Metal

60

3/2022

USD

4,212,750

(13,227)

LME

Aluminum

Base

Metal

64

3/2022

USD

4,493,600

354,211

LME

Aluminum

Base

Metal

88

3/2022

USD

6,172,650

359,159

LME

Aluminum

Base

Metal

108

3/2022

USD

7,579,575

562,294

LME

Aluminum

Base

Metal

654

3/2022

USD

45,910,800

423,441

LME

Copper

Base

Metal

2

3/2022

USD

486,325

9,670

LME

Copper

Base

Metal

2

3/2022

USD

486,575

6,570

LME

Copper

Base

Metal

4

3/2022

USD

972,475

35,464

LME

Copper

Base

Metal

10

3/2022

USD

2,430,125

(651)

LME

Copper

Base

Metal

11

3/2022

USD

2,673,275

15,949

213

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

12

3/2022

USD

$

2,917,164

$

49,132

LME

Copper

Base

Metal

13

3/2022

USD

3,162,738

80,399

LME

Copper

Base

Metal

14

3/2022

USD

3,403,050

30,413

LME

Copper

Base

Metal

18

3/2022

USD

4,379,175

219,317

LME

Copper

Base

Metal

21

3/2022

USD

5,109,038

163,482

LME

Copper

Base

Metal

29

3/2022

USD

7,055,338

112,886

LME

Copper

Base

Metal

33

3/2022

USD

8,028,488

187,072

LME

Copper

Base

Metal

304

3/2022

USD

73,959,401

2,069,084

LME

Lead

Base

Metal

3

3/2022

USD

172,733

(208)

LME

Lead

Base

Metal

6

3/2022

USD

346,125

(3,391)

LME

Lead

Base

Metal

10

3/2022

USD

576,000

2,974

LME

Lead

Base

Metal

10

3/2022

USD

579,375

25,317

LME

Lead

Base

Metal

11

3/2022

USD

637,313

8,764

LME

Lead

Base

Metal

14

3/2022

USD

810,922

14,153

LME

Lead

Base

Metal

18

3/2022

USD

1,036,710

8,413

LME

Lead

Base

Metal

19

3/2022

USD

1,099,706

9,049

LME

Lead

Base

Metal

237

3/2022

USD

13,710,450

340,704

LME

Nickel

Base

Metal

1

3/2022

USD

124,773

3,210

LME

Nickel

Base

Metal

1

3/2022

USD

124,775

9,602

LME

Nickel

Base

Metal

7

3/2022

USD

873,516

42,765

LME

Nickel

Base

Metal

8

3/2022

USD

998,067

39,963

LME

Nickel

Base

Metal

19

3/2022

USD

2,366,298

61,162

LME

Nickel

Base

Metal

23

3/2022

USD

2,867,019

133,171

LME

Nickel

Base

Metal

196

3/2022

USD

24,453,156

1,453,496

LME

Zinc

Base

Metal

1

3/2022

USD

88,375

153

LME

Zinc

Base

Metal

1

3/2022

USD

88,350

74

LME

Zinc

Base

Metal

4

3/2022

USD

354,800

20,863

LME

Zinc

Base

Metal

5

3/2022

USD

443,983

42,405

LME

Zinc

Base

Metal

7

3/2022

USD

620,900

56,417

LME

Zinc

Base

Metal

11

3/2022

USD

976,643

100,186

LME

Zinc

Base

Metal

12

3/2022

USD

1,061,850

3,168

LME

Zinc

Base

Metal

20

3/2022

USD

1,770,835

93,254

LME

Zinc

Base

Metal

32

3/2022

USD

2,835,200

105,318

LME

Zinc

Base

Metal

33

3/2022

USD

2,917,200

29,095

LME

Zinc

Base

Metal

351

3/2022

USD

31,133,700

2,168,721

Low

Sulphur

Gasoil

87

3/2022

USD

5,768,100

115,931

Silver

61

3/2022

USD

7,122,360

(405,524)

Soybean

231

3/2022

USD

15,468,338

1,223,266

Soybean

Meal

460

3/2022

USD

18,358,600

3,019,629

Soybean

Oil

234

3/2022

USD

7,936,812

369,261

100

oz

Gold

93

4/2022

USD

17,028,300

35,062

Lean

Hogs

41

4/2022

USD

1,422,290

(10,239)

Live

Cattle

23

4/2022

USD

1,332,390

355

Platinum

7

10/2022

JPY

108,441

307

Platinum

13

12/2022

JPY

201,165

(114)

19,674,645

Short

Contracts

LME

Aluminum

Base

Metal

(1)

1/2022

USD

(70,075)

9,558

LME

Aluminum

Base

Metal

(2)

1/2022

USD

(140,124)

5,696

LME

Aluminum

Base

Metal

(2)

1/2022

USD

(140,125)

14,169

LME

Aluminum

Base

Metal

(3)

1/2022

USD

(210,360)

21,510

LME

Aluminum

Base

Metal

(6)

1/2022

USD

(424,238)

7,107

LME

Aluminum

Base

Metal

(7)

1/2022

USD

(491,050)

19,404

LME

Aluminum

Base

Metal

(13)

1/2022

USD

(910,842)

17,168

LME

Aluminum

Base

Metal

(14)

1/2022

USD

(982,100)

36,366

LME

Aluminum

Base

Metal

(24)

1/2022

USD

(1,681,200)

63,029

214

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(28)

1/2022

USD

$

(1,964,200)

$

79,596

LME

Aluminum

Base

Metal

(37)

1/2022

USD

(2,593,330)

362,024

LME

Aluminum

Base

Metal

(37)

1/2022

USD

(2,593,885)

326,857

LME

Aluminum

Base

Metal

(37)

1/2022

USD

(2,592,609)

(87,786)

LME

Aluminum

Base

Metal

(77)

1/2022

USD

(5,400,395)

523,270

LME

Copper

Base

Metal

(1)

1/2022

USD

(243,538)

7,710

LME

Copper

Base

Metal

(2)

1/2022

USD

(487,017)

(6,259)

LME

Copper

Base

Metal

(2)

1/2022

USD

(487,338)

(13,843)

LME

Copper

Base

Metal

(3)

1/2022

USD

(731,031)

(16,964)

LME

Copper

Base

Metal

(3)

1/2022

USD

(730,532)

4,681

LME

Copper

Base

Metal

(4)

1/2022

USD

(974,725)

20,864

LME

Copper

Base

Metal

(6)

1/2022

USD

(1,462,125)

88,859

LME

Copper

Base

Metal

(9)

1/2022

USD

(2,191,763)

36,213

LME

Copper

Base

Metal

(12)

1/2022

USD

(2,922,075)

(24,107)

LME

Copper

Base

Metal

(17)

1/2022

USD

(4,140,563)

(247,526)

LME

Copper

Base

Metal

(29)

1/2022

USD

(7,066,517)

(215,343)

LME

Lead

Base

Metal

(1)

1/2022

USD

(58,244)

(1,446)

LME

Lead

Base

Metal

(2)

1/2022

USD

(116,117)

3,728

LME

Lead

Base

Metal

(3)

1/2022

USD

(174,163)

6,579

LME

Lead

Base

Metal

(7)

1/2022

USD

(406,438)

17,394

LME

Lead

Base

Metal

(9)

1/2022

USD

(522,563)

17,242

LME

Lead

Base

Metal

(15)

1/2022

USD

(875,374)

(37,288)

LME

Lead

Base

Metal

(24)

1/2022

USD

(1,401,900)

(106,863)

LME

Lead

Base

Metal

(28)

1/2022

USD

(1,628,725)

(136,042)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,259)

(10,852)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,283)

(18,396)

LME

Nickel

Base

Metal

(1)

1/2022

USD

(125,107)

(5,260)

LME

Nickel

Base

Metal

(2)

1/2022

USD

(250,302)

(9,528)

LME

Nickel

Base

Metal

(3)

1/2022

USD

(375,741)

(12,960)

LME

Nickel

Base

Metal

(4)

1/2022

USD

(500,398)

(13,810)

LME

Nickel

Base

Metal

(5)

1/2022

USD

(625,426)

(32,821)

LME

Nickel

Base

Metal

(8)

1/2022

USD

(1,002,264)

(128,638)

LME

Nickel

Base

Metal

(11)

1/2022

USD

(1,377,981)

(100,772)

LME

Nickel

Base

Metal

(14)

1/2022

USD

(1,753,542)

(133,277)

LME

Nickel

Base

Metal

(15)

1/2022

USD

(1,878,615)

(46,259)

LME

Nickel

Base

Metal

(18)

1/2022

USD

(2,235,384)

(288,510)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,500)

(13,795)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,303)

(3,980)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,258)

(5,160)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,725)

(10,103)

LME

Zinc

Base

Metal

(1)

1/2022

USD

(89,348)

(3,150)

LME

Zinc

Base

Metal

(2)

1/2022

USD

(179,500)

(28,374)

LME

Zinc

Base

Metal

(2)

1/2022

USD

(178,875)

(6,518)

LME

Zinc

Base

Metal

(3)

1/2022

USD

(268,406)

(1,460)

LME

Zinc

Base

Metal

(3)

1/2022

USD

(269,100)

(27,121)

LME

Zinc

Base

Metal

(7)

1/2022

USD

(628,163)

(100,558)

LME

Zinc

Base

Metal

(8)

1/2022

USD

(716,400)

32,499

LME

Zinc

Base

Metal

(14)

1/2022

USD

(1,256,413)

(197,273)

LME

Zinc

Base

Metal

(19)

1/2022

USD

(1,695,038)

(91,969)

LME

Zinc

Base

Metal

(22)

1/2022

USD

(1,969,000)

26,428

LME

Zinc

Base

Metal

(26)

1/2022

USD

(2,329,600)

(24,777)

WTI

Crude

Oil

(100)

1/2022

USD

(7,521,000)

(812,697)

LME

Aluminum

Base

Metal

(1)

2/2022

USD

(70,106)

(3,109)

LME

Aluminum

Base

Metal

(2)

2/2022

USD

(140,211)

(10,244)

LME

Aluminum

Base

Metal

(3)

2/2022

USD

(210,333)

(10,692)

LME

Aluminum

Base

Metal

(3)

2/2022

USD

(210,247)

(5,731)

215

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(3)

2/2022

USD

$

(210,338)

$

(7,830)

LME

Aluminum

Base

Metal

(4)

2/2022

USD

(280,411)

(24,097)

LME

Aluminum

Base

Metal

(6)

2/2022

USD

(420,530)

(11,363)

LME

Aluminum

Base

Metal

(7)

2/2022

USD

(490,875)

(31,258)

LME

Aluminum

Base

Metal

(9)

2/2022

USD

(630,900)

(26,167)

LME

Aluminum

Base

Metal

(12)

2/2022

USD

(841,467)

(39,002)

LME

Aluminum

Base

Metal

(18)

2/2022

USD

(1,262,138)

(103,441)

LME

Aluminum

Base

Metal

(22)

2/2022

USD

(1,542,008)

(104,485)

LME

Aluminum

Base

Metal

(41)

2/2022

USD

(2,875,638)

(176,208)

LME

Aluminum

Base

Metal

(70)

2/2022

USD

(4,907,875)

(239,994)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,502)

(7,368)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,288)

(3,508)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,288)

(1,490)

LME

Copper

Base

Metal

(1)

2/2022

USD

(243,495)

(5,698)

LME

Copper

Base

Metal

(2)

2/2022

USD

(486,978)

(9,903)

LME

Copper

Base

Metal

(9)

2/2022

USD

(2,191,500)

(63,024)

LME

Copper

Base

Metal

(49)

2/2022

USD

(11,921,088)

(200,644)

LME

Lead

Base

Metal

(1)

2/2022

USD

(57,988)

85

LME

Lead

Base

Metal

(2)

2/2022

USD

(116,092)

3,217

LME

Lead

Base

Metal

(5)

2/2022

USD

(289,454)

(9,826)

LME

Lead

Base

Metal

(6)

2/2022

USD

(348,200)

9,535

LME

Lead

Base

Metal

(7)

2/2022

USD

(405,606)

(7,447)

LME

Lead

Base

Metal

(8)

2/2022

USD

(463,950)

4,243

LME

Lead

Base

Metal

(22)

2/2022

USD

(1,274,422)

(1,842)

LME

Lead

Base

Metal

(22)

2/2022

USD

(1,276,919)

25,831

LME

Lead

Base

Metal

(24)

2/2022

USD

(1,392,150)

23,987

LME

Lead

Base

Metal

(30)

2/2022

USD

(1,737,000)

(67,686)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(124,893)

(8,376)

LME

Nickel

Base

Metal

(1)

2/2022

USD

(124,745)

(965)

LME

Nickel

Base

Metal

(2)

2/2022

USD

(250,002)

(14,688)

LME

Nickel

Base

Metal

(2)

2/2022

USD

(249,486)

(7,594)

LME

Nickel

Base

Metal

(6)

2/2022

USD

(750,383)

(44,392)

LME

Nickel

Base

Metal

(18)

2/2022

USD

(2,250,234)

(122,687)

LME

Nickel

Base

Metal

(28)

2/2022

USD

(3,493,980)

(166,217)

LME

Nickel

Base

Metal

(53)

2/2022

USD

(6,611,932)

(215,480)

LME

Zinc

Base

Metal

(2)

2/2022

USD

(178,125)

(18,806)

LME

Zinc

Base

Metal

(3)

2/2022

USD

(267,461)

(18,357)

LME

Zinc

Base

Metal

(5)

2/2022

USD

(444,500)

(49,665)

LME

Zinc

Base

Metal

(6)

2/2022

USD

(534,443)

(48,610)

LME

Zinc

Base

Metal

(22)

2/2022

USD

(1,953,760)

(175,939)

WTI

Crude

Oil

(100)

2/2022

USD

(7,488,000)

97,451

LME

Aluminum

Base

Metal

(1)

3/2022

USD

(70,200)

(4,380)

LME

Aluminum

Base

Metal

(2)

3/2022

USD

(140,375)

(9,170)

LME

Aluminum

Base

Metal

(24)

3/2022

USD

(1,684,650)

(106,970)

LME

Aluminum

Base

Metal

(31)

3/2022

USD

(2,175,138)

22,670

LME

Aluminum

Base

Metal

(37)

3/2022

USD

(2,596,938)

6,828

LME

Aluminum

Base

Metal

(47)

3/2022

USD

(3,297,050)

(204,747)

LME

Aluminum

Base

Metal

(50)

3/2022

USD

(3,507,888)

4,490

LME

Aluminum

Base

Metal

(55)

3/2022

USD

(3,862,375)

(239,704)

LME

Aluminum

Base

Metal

(60)

3/2022

USD

(4,212,750)

5,088

LME

Aluminum

Base

Metal

(64)

3/2022

USD

(4,493,600)

(344,707)

LME

Aluminum

Base

Metal

(88)

3/2022

USD

(6,172,650)

(347,991)

LME

Aluminum

Base

Metal

(108)

3/2022

USD

(7,579,575)

(558,389)

LME

Aluminum

Base

Metal

(504)

3/2022

USD

(35,380,800)

(365,945)

LME

Copper

Base

Metal

(2)

3/2022

USD

(486,575)

(8,511)

LME

Copper

Base

Metal

(2)

3/2022

USD

(486,325)

(10,531)

216

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

(Continued)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(4)

3/2022

USD

$

(972,475)

$

(34,171)

LME

Copper

Base

Metal

(10)

3/2022

USD

(2,430,125)

(2,217)

LME

Copper

Base

Metal

(11)

3/2022

USD

(2,673,275)

(20,775)

LME

Copper

Base

Metal

(12)

3/2022

USD

(2,917,164)

(34,895)

LME

Copper

Base

Metal

(13)

3/2022

USD

(3,162,738)

(80,672)

LME

Copper

Base

Metal

(14)

3/2022

USD

(3,403,050)

(43,472)

LME

Copper

Base

Metal

(18)

3/2022

USD

(4,379,175)

(215,147)

LME

Copper

Base

Metal

(21)

3/2022

USD

(5,109,038)

(160,873)

LME

Copper

Base

Metal

(29)

3/2022

USD

(7,055,338)

(157,379)

LME

Copper

Base

Metal

(33)

3/2022

USD

(8,028,488)

(208,074)

LME

Copper

Base

Metal

(164)

3/2022

USD

(39,899,150)

(644,667)

LME

Lead

Base

Metal

(3)

3/2022

USD

(172,733)

(390)

LME

Lead

Base

Metal

(6)

3/2022

USD

(346,125)

1,540

LME

Lead

Base

Metal

(10)

3/2022

USD

(576,000)

(3,101)

LME

Lead

Base

Metal

(10)

3/2022

USD

(579,375)

(22,526)

LME

Lead

Base

Metal

(11)

3/2022

USD

(637,313)

(8,691)

LME

Lead

Base

Metal

(14)

3/2022

USD

(810,922)

(14,709)

LME

Lead

Base

Metal

(18)

3/2022

USD

(1,036,710)

(13,464)

LME

Lead

Base

Metal

(19)

3/2022

USD

(1,099,706)

(9,106)

LME

Lead

Base

Metal

(117)

3/2022

USD

(6,768,450)

(43,980)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,773)

(3,306)

LME

Nickel

Base

Metal

(1)

3/2022

USD

(124,775)

(9,337)

LME

Nickel

Base

Metal

(7)

3/2022

USD

(873,516)

(43,724)

LME

Nickel

Base

Metal

(8)

3/2022

USD

(998,067)

(40,551)

LME

Nickel

Base

Metal

(19)

3/2022

USD

(2,366,298)

(62,865)

LME

Nickel

Base

Metal

(23)

3/2022

USD

(2,867,019)

(143,958)

LME

Nickel

Base

Metal

(123)

3/2022

USD

(15,345,603)

(844,863)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,350)

(190)

LME

Zinc

Base

Metal

(1)

3/2022

USD

(88,375)

(503)

LME

Zinc

Base

Metal

(4)

3/2022

USD

(354,800)

(22,062)

LME

Zinc

Base

Metal

(5)

3/2022

USD

(443,983)

(42,169)

LME

Zinc

Base

Metal

(7)

3/2022

USD

(620,900)

(52,673)

LME

Zinc

Base

Metal

(11)

3/2022

USD

(976,643)

(100,639)

LME

Zinc

Base

Metal

(12)

3/2022

USD

(1,061,850)

2,665

LME

Zinc

Base

Metal

(20)

3/2022

USD

(1,770,835)

(94,373)

LME

Zinc

Base

Metal

(32)

3/2022

USD

(2,835,200)

(96,414)

LME

Zinc

Base

Metal

(33)

3/2022

USD

(2,917,200)

(22,989)

LME

Zinc

Base

Metal

(84)

3/2022

USD

(7,450,800)

(316,927)

Wheat

(373)

3/2022

USD

(14,374,488)

106,759

(8,839,875)

$

10,834,770

217

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Investment

Companies

$

84,677

$

–

$

84,677

GSCO

Cash

–

802,414

802,414

GSIN

Cash

15,786

–

15,786

JPPC

Cash

–

585,993

585,993

MACQ

Cash

(180,001)

–

(180,001)

U.S.

Treasury

Bills

231,932

–

231,932

MSCL

Cash

–

10,872,076

10,872,076

SOCG

Cash

100,026

–

100,026

218

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

92.0%

COMMON

STOCKS

-

4.4%

Italy

-

3.7%

A2A

SpA

(a)

902,946

1,759,503

Assicurazioni

Generali

SpA

(a)

78,667

1,662,607

Azimut

Holding

SpA

(a)

26,877

751,380

Banco

BPM

SpA

(a)

219,146

656,146

Buzzi

Unicem

SpA

(a)

140,527

3,027,781

DiaSorin

SpA

(a)

2,299

437,376

Eni

SpA

(a)

127,701

1,774,762

Hera

SpA

(a)

445,434

1,851,387

Intesa

Sanpaolo

SpA

(a)

208,496

538,529

Italgas

SpA

(a)

146,898

1,009,758

Leonardo

SpA

*(a)

719,080

5,139,974

Mediobanca

Banca

di

Credito

Finanziario

SpA

(a)

30,889

354,621

Pirelli

&

C

SpA

(a)(b)

24,160

167,562

Prysmian

SpA

(a)

25,074

943,188

Saipem

SpA

*(a)

288,150

604,163

Unipol

Gruppo

SpA

(a)

624,101

3,379,737

24,058,474

—

United

Kingdom

-

0.1%

CNH

Industrial

NV

(a)

37,811

731,046

United

States

-

0.6%

Stellantis

NV

(a)

211,361

3,990,199

Tenaris

SA

(a)

12,194

127,269

4,117,468

—

TOTAL

COMMON

STOCKS

(Cost

$24,837,909)

28,906,988

SHORT-TERM

INVESTMENTS

-

87.6%

INVESTMENT

COMPANIES

-

41.3%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(c)(d)

16,081,547

16,081,547

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(c)(e)

255,677,769

255,575,499

TOTAL

INVESTMENT

COMPANIES

(Cost

$271,657,033)

271,657,046

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

46.3%

U.S.

Treasury

Bills

0.05%,

2/24/2022

(f)(g)

$

5,224,000

5,223,793

0.05%,

3/3/2022

(f)

1,412,000

1,411,890

0.05%,

3/10/2022

(f)(h)

38,588,000

38,584,993

0.05%,

3/17/2022

(f)(i)

53,482,000

53,476,008

0.05%,

3/24/2022

(f)(g)

24,659,000

24,655,931

0.05%,

3/31/2022

(f)(h)

2,604,000

2,603,669

0.06%,

4/7/2022

(f)(g)

42,682,000

42,673,864

0.06%,

4/14/2022

(f)(g)

39,298,000

39,289,731

0.06%,

4/28/2022

(f)(g)

36,476,000

36,467,115

0.07%,

5/12/2022

(f)(g)

20,916,000

20,909,255

0.07%,

5/19/2022

(f)(g)

5,674,000

5,671,905

0.11%,

6/9/2022

(f)(g)

27,072,000

27,059,013

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

46.3%

(continued)

0.13%,

6/16/2022

(f)(g)

$

6,797,000

6,792,936

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$304,829,417)

304,820,103

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$576,486,450)

576,477,149

TOTAL

LONG

POSITIONS

(Cost

$601,324,359)

605,384,137

SHARES

SHORT

POSITIONS

-

(4.7)%

COMMON

STOCKS

-

(4.7)%

Canada

-

(0.4)%

SNC-Lavalin

Group,

Inc.

(1)

(102,997)

(2,516,809)

Italy

-

(4.3)%

Amplifon

SpA

(56,270)

(3,027,788)

Atlantia

SpA

*

(121,758)

(2,415,897)

Banca

Generali

SpA

(6,015)

(263,859)

Brembo

SpA

(59,864)

(851,582)

Davide

Campari-Milano

NV

(328,249)

(4,789,899)

Enel

SpA

(65,129)

(520,777)

Ferrari

NV

(10,075)

(2,593,367)

Infrastrutture

Wireless

Italiane

SpA

(b)

(244,892)

(2,969,573)

Interpump

Group

SpA

(3,705)

(271,394)

Moncler

SpA

(27,842)

(2,012,095)

Nexi

SpA

*(b)

(158,321)

(2,508,818)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(26,712)

(1,715,288)

Salvatore

Ferragamo

SpA

*

(24,732)

(634,115)

Snam

SpA

(376,014)

(2,264,799)

Terna

-

Rete

Elettrica

Nazionale

(59,781)

(483,607)

UniCredit

SpA

(58,326)

(896,550)

(28,219,408)

—

Portugal

-

0.0%

(j)

Banco

Espirito

Santo

SA

(Registered)

(3)*(k)

(216,618)

(2)

TOTAL

COMMON

STOCKS

(Proceeds

$(27,686,054))

(30,736,219)

TOTAL

SHORT

POSITIONS

(Proceeds

$(27,686,054))

(30,736,219)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

87.3%

(Cost

$573,638,305)

574,647,918

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

12.7%

(l)

83,557,000

NET

ASSETS

-

100.0%

658,204,918

219

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$28,781,601.

In

addition,

$4,937,752

of

cash

collateral

was

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2021

amounted

to

$(5,310,829),

which

represents

approximately

(0.81)%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

For

the

period

ended

December

31,

2021,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(j)

Represents

less

than

0.05%

of

net

assets.

(k)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

as

of

December

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

December

31,

2021

amounted

to

$(2),

which

represents

approximately

(0.00)%

of

net

assets

of

the

fund.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(2,969,573)

(0.4)

%

Consumer

Discretionary

(1,933,398)

(0.3)

Consumer

Staples

(4,789,899)

(0.7)

Energy

2,506,194

0.4

Financials

6,182,610

0.9

Health

Care

(4,305,701)

(0.7)

Industrials

1,610,109

0.2

Information

Technology

(2,508,818)

(0.4)

Materials

3,027,781

0.5

Utilities

1,351,464

0.2

Short-Term

Investments

576,477,149

87.6

Total

Investments

In

Securities

At

Value

574,647,918

87.3

Other

Assets

in

Excess

of

Liabilities

(l)

83,557,000

12.7

Net

Assets

$

658,204,918

100.0%

Affiliate

Value

At

12/31/2020

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2021

Shares

Held

At

12/31/2021

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

38.8%

INVESTMENT

COMPANIES

-

38.8%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

(Cost

$255,575,486)

$182,233,410

$1,440,341,186

$(1,367,000,807)

$(10,306)

$12,016

$255,575,499

255,677,769

$26,323

$–

(1)

Level

1

security

(See

Note

5).

(a)

Represents

7-day

effective

yield

as

of

December

31,

2021.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

220

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

December

31,

2021:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

3M

BBR

Qtrly

1.50%

Qtrly

3/07/2024

AUD

75,900,000

$

461,534

$

29,050

$

490,584

Pay

3M

BBR

Qtrly

1.50%

Qtrly

6/13/2024

AUD

199,900,000

366,873

201,542

568,415

Receive

1D

SONIA

Annual

0.25%

Annual

3/18/2024

GBP

9,800,000

227,950

(5,260)

222,690

Receive

1D

SONIA

Annual

0.75%

Annual

6/15/2032

GBP

63,200,000

759,870

1,018,078

1,777,948

Receive

3M

BA

Qtrly

1.00%

Semi

3/14/2024

CAD

66,100,000

726,921

16,359

743,280

Receive

3M

BA

Qtrly

1.75%

Semi

6/14/2032

CAD

11,700,000

321,664

(71,603)

250,061

Receive

6M

BBR

Semi

2.00%

Semi

3/11/2032

AUD

62,500,000

(660,322)

804,961

144,639

Receive

6M

BBR

Semi

2.00%

Semi

6/10/2032

AUD

35,000,000

89,646

129,158

218,804

Receive

6M

EURIBOR

Semi

0.25%

Annual

3/16/2032

EUR

69,700,000

(377,097)

992,184

615,087

Receive

6M

EURIBOR

Semi

0.00%

Annual

6/15/2032

EUR

18,700,000

420,144

354,405

774,549

2,337,183

3,468,874

5,806,057

Pay

1D

SONIA

Annual

0.50%

Annual

6/17/2024

GBP

308,600,000

(4,814,710)

(785,053)

(5,599,763)

Pay

1D

SONIA

Annual

0.75%

Annual

3/16/2032

GBP

2,000,000

(70,677)

16,263

(54,414)

Pay

1D

TONAR

Annual

0.00%

Annual

3/16/2032

JPY

29,620,800,000

(2,611,233)

507,803

(2,103,430)

Pay

1D

TONAR

Annual

0.00%

Annual

6/15/2032

JPY

4,400,300,000

(254,009)

(91,718)

(345,727)

Pay

3M

BA

Qtrly

1.25%

Semi

6/13/2024

CAD

53,900,000

(508,222)

(26,789)

(535,011)

Pay

3M

BA

Qtrly

2.00%

Semi

3/15/2032

CAD

14,100,000

(69,003)

65,441

(3,562)

Pay

3M

BBR

Qtrly

0.50%

Qtrly

3/07/2024

AUD

208,700,000

(1,067,329)

(588,841)

(1,656,170)

Pay

3M

LIBOR

Qtrly

0.50%

Semi

3/18/2024

USD

124,500,000

(861,397)

(563,605)

(1,425,002)

Pay

3M

LIBOR

Qtrly

0.50%

Semi

6/17/2024

USD

200,000

(3,023)

103

(2,920)

Pay

3M

LIBOR

Qtrly

1.50%

Semi

6/15/2032

USD

1,000,000

(10,155)

(4,125)

(14,280)

Pay

6M

EURIBOR

Semi

0.50%

Annual

3/18/2024

EUR

346,500,000

(2,333,457)

221,908

(2,111,549)

Pay

6M

EURIBOR

Semi

0.50%

Annual

6/17/2024

EUR

93,600,000

(529,690)

(224,709)

(754,399)

Receive

1D

TONAR

Annual

0.00%

Annual

3/18/2024

JPY

146,116,900,000

(568,123)

(301,017)

(869,140)

Receive

1D

TONAR

Annual

0.00%

Annual

6/17/2024

JPY

22,125,600,000

(133,315)

9,904

(123,411)

Receive

3M

LIBOR

Qtrly

1.75%

Semi

3/16/2032

USD

27,200,000

(943,633)

591,576

(352,057)

Receive

6M

BBR

Semi

2.50%

Semi

6/10/2032

AUD

6,500,000

(117,342)

(59,604)

(176,946)

(14,895,318)

(1,232,463)

(16,127,781)

$

(12,558,135)

$

2,236,411

$

(10,321,724)

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

December

31,

2021

were

as

follows:

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

0.19%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.02%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.07%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.52%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.21%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.21%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

-0.55%

221

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Total

return

swap

contracts

outstanding

as

of

December

31,

2021

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

DTOP

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/17/2022

ZAR

251,900

$

69

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/10/2022

KRW

8,082,125,000

83,331

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/18/2022

CHF

118,381,500

3,508,146

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/19/2022

TWD

58,268,800

58,557

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/19/2022

TWD

356,896,400

397,741

WIG20

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/18/2022

PLN

1,823,200

10,425

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.20%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/16/2022

CAD

15,126,496

101,318

MSCI

Emerging

Markets

Taiwan

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

OBFR

plus

or

minus

a

specified

spread

(0.60%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/16/2022

USD

2,185,683

61,170

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/16/2022

EUR

2,631,296

70,553

MSCI

Mexico

Net

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TIIE

plus

or

minus

a

specified

spread

(0.70%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/16/2022

MXN

70,665,387

155,038

222

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Poland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

WIBOR

plus

or

minus

a

specified

spread

(1.00%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/16/2022

PLN

1,364,268

$

7,181

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.10%)

Monthly

CITI

03/16/2022

SGD

(1,246,022)

23,768

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(0.45%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/16/2022

CHF

18,219,809

453,653

4,930,950

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2022

HKD

(138,058,900)

(229,649)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

01/28/2022

HKD

(57,455,650)

(93,519)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/28/2022

HKD

(2,066,750)

(2,954)

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/16/2022

BRL

20,104,850

(132,494)

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/27/2022

USD

(1,988,103)

(33,457)

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/27/2022

USD

(1,918,345)

(29,762)

Tel

Aviv

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/26/2022

ILS

(22,747,690)

(65,507)

MSCI

Israel

Daily

Net

Total

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.70%)

Monthly

JPMC

03/16/2022

USD

(289,685)

(3,504)

223

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Spain

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

ESTR

plus

or

minus

a

specified

spread

(0.05%)

Monthly

CITI

03/16/2022

EUR

(45,933,143)

$

(1,577,090)

(2,167,936)

$

2,763,014

Futures

contracts

outstanding

as

of

December

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

443

1/2022

USD

$

34,456,540

$

2,033,190

CAC

40

10

Euro

Index

262

1/2022

EUR

21,306,640

582,625

FTSE

Bursa

Malaysia

KLCI

Index

13

1/2022

MYR

243,165

2,546

LME

Copper

Base

Metal

3

1/2022

USD

731,019

19,104

LME

Copper

Base

Metal

5

1/2022

USD

1,217,813

54,539

LME

Copper

Base

Metal

7

1/2022

USD

1,704,763

(55,231)

LME

Copper

Base

Metal

11

1/2022

USD

2,680,563

(143,951)

LME

Copper

Base

Metal

14

1/2022

USD

3,409,410

(66,376)

LME

Copper

Base

Metal

37

1/2022

USD

9,016,206

(194,296)

SGX

FTSE

Taiwan

Index

107

1/2022

USD

6,862,980

38,963

WTI

Crude

Oil

372

1/2022

USD

27,978,120

1,796,716

LME

Copper

Base

Metal

5

2/2022

USD

1,217,485

13,651

LME

Copper

Base

Metal

7

2/2022

USD

1,704,500

39,900

LME

Copper

Base

Metal

10

2/2022

USD

2,433,875

78,099

LME

Copper

Base

Metal

10

2/2022

USD

2,435,000

29,046

LME

Copper

Base

Metal

13

2/2022

USD

3,162,738

50,670

3

Month

Canadian

Bankers

Acceptance

50

3/2022

CAD

9,799,794

(15,915)

3

Month

Euro

Euribor

202

3/2022

EUR

57,807,594

19,594

ASX

90

Day

Bank

Accepted

Bill

114

3/2022

AUD

82,912,078

(12,706)

ASX

90

Day

Bank

Accepted

Bill

243

3/2022

AUD

176,733,640

(6,657)

Australia

10

Year

Bond

1,653

3/2022

AUD

167,368,219

(199,533)

Canada

10

Year

Bond

1,039

3/2022

CAD

117,070,770

3,269,702

Corn

244

3/2022

USD

7,237,650

(40,329)

DAX

Index

2

3/2022

EUR

902,603

(1,670)

EURO

STOXX

50

Index

59

3/2022

EUR

2,879,978

107,198

FTSE

100

Index

213

3/2022

GBP

21,115,542

322,480

FTSE/JSE

Top

40

Index

218

3/2022

ZAR

9,164,892

173,360

FTSE/MIB

Index

386

3/2022

EUR

59,872,167

1,370,070

Japan

10

Year

Bond

517

3/2022

JPY

681,497,957

(1,513,891)

KOSPI

200

Index

337

3/2022

KRW

27,941,588

308,003

LME

Copper

Base

Metal

13

3/2022

USD

3,162,738

84,001

LME

Copper

Base

Metal

13

3/2022

USD

3,162,738

81,323

LME

Copper

Base

Metal

27

3/2022

USD

6,568,763

145,590

LME

Copper

Base

Metal

34

3/2022

USD

8,271,775

258,835

LME

Copper

Base

Metal

100

3/2022

USD

24,328,750

589,850

MEX

BOLSA

Index

23

3/2022

MXN

603,905

26,354

MEX

BOLSA

Index

24

3/2022

MXN

630,162

28,589

224

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

S&P/TSX

60

Index

79

3/2022

CAD

$

15,999,225

$

267,065

SPI

200

Index

37

3/2022

AUD

4,944,412

54,644

U.S.

Treasury

10

Year

Note

1,706

3/2022

USD

222,339,781

(659,181)

3

Month

Canadian

Bankers

Acceptance

167

6/2022

CAD

32,595,992

44,106

3

Month

Euro

Euribor

1,098

6/2022

EUR

314,096,467

96,807

ASX

90

Day

Bank

Accepted

Bill

95

6/2022

AUD

69,049,147

(47,387)

ASX

90

Day

Bank

Accepted

Bill

1,581

6/2022

AUD

1,149,123,168

(97,361)

3

Month

Canadian

Bankers

Acceptance

189

9/2022

CAD

36,768,677

41,722

3

Month

Euro

Euribor

1,049

9/2022

EUR

299,795,769

(23,876)

ASX

90

Day

Bank

Accepted

Bill

57

9/2022

AUD

41,397,875

(52,629)

ASX

90

Day

Bank

Accepted

Bill

1,588

9/2022

AUD

1,153,330,278

(134,218)

3

Month

Canadian

Bankers

Acceptance

139

12/2022

CAD

26,987,944

29,569

3

Month

Euro

Euribor

847

12/2022

EUR

241,824,715

(46,731)

ASX

90

Day

Bank

Accepted

Bill

1,364

12/2022

AUD

989,937,257

124,447

8,870,420

Short

Contracts

Amsterdam

Exchange

Index

(72)

1/2022

EUR

(13,077,649)

(160,786)

Hang

Seng

Index

(413)

1/2022

HKD

(62,104,526)

(751,667)

HSCEI

(78)

1/2022

HKD

(4,134,799)

(50,796)

HSCEI

(92)

1/2022

HKD

(4,876,942)

(57,297)

LME

Copper

Base

Metal

(3)

1/2022

USD

(731,019)

(24,677)

LME

Copper

Base

Metal

(5)

1/2022

USD

(1,217,813)

(53,244)

LME

Copper

Base

Metal

(7)

1/2022

USD

(1,704,763)

48,632

LME

Copper

Base

Metal

(11)

1/2022

USD

(2,680,563)

154,109

LME

Copper

Base

Metal

(14)

1/2022

USD

(3,409,410)

72,754

LME

Copper

Base

Metal

(37)

1/2022

USD

(9,016,206)

145,746

MSCI

Singapore

Index

(357)

1/2022

SGD

(9,011,098)

(58,008)

Natural

Gas

(136)

1/2022

USD

(5,072,800)

151,272

OMXS30

Index

(154)

1/2022

SEK

(4,123,022)

(191,492)

SGX

NIFTY

50

Index

(190)

1/2022

USD

(6,627,010)

(82,441)

100

oz

Gold

(612)

2/2022

USD

(111,910,320)

290,193

LME

Copper

Base

Metal

(5)

2/2022

USD

(1,217,485)

(9,248)

LME

Copper

Base

Metal

(7)

2/2022

USD

(1,704,500)

(49,018)

LME

Copper

Base

Metal

(10)

2/2022

USD

(2,433,875)

(68,070)

LME

Copper

Base

Metal

(10)

2/2022

USD

(2,435,000)

(32,526)

LME

Copper

Base

Metal

(13)

2/2022

USD

(3,162,738)

(54,815)

3

Month

Eurodollar

(57)

3/2022

USD

(14,200,125)

27,721

Euro-Bund

(214)

3/2022

EUR

(41,774,343)

402,911

LME

Copper

Base

Metal

(13)

3/2022

USD

(3,162,738)

(64,222)

LME

Copper

Base

Metal

(13)

3/2022

USD

(3,162,738)

(86,322)

LME

Copper

Base

Metal

(27)

3/2022

USD

(6,568,763)

(102,334)

LME

Copper

Base

Metal

(34)

3/2022

USD

(8,271,775)

(269,064)

LME

Copper

Base

Metal

(45)

3/2022

USD

(10,947,938)

(182,893)

Long

Gilt

(2,087)

3/2022

GBP

(352,909,616)

553,465

S&P

500

E-Mini

Index

(290)

3/2022

USD

(68,998,250)

(969,124)

SET50

Index

(803)

3/2022

THB

(4,744,202)

(79,994)

Silver

(87)

3/2022

USD

(10,158,120)

87,441

Soybean

(542)

3/2022

USD

(36,293,675)

(1,918,278)

TOPIX

Index

(231)

3/2022

JPY

(40,002,782)

(395,465)

3

Month

Eurodollar

(64)

6/2022

USD

(15,904,000)

17,007

3

Month

SONIA

(240)

6/2022

GBP

(80,721,661)

119,255

3

Month

Eurodollar

(29)

9/2022

USD

(7,190,913)

769

3

Month

SONIA

(341)

9/2022

GBP

(114,357,396)

101,286

3

Month

SONIA

(1,068)

9/2022

GBP

(358,163,339)

529,295

3

Month

Eurodollar

(78)

12/2022

USD

(19,293,300)

2,647

3

Month

SONIA

(381)

12/2022

GBP

(127,520,348)

136,306

225

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

SONIA

(1,047)

12/2022

GBP

$

(350,429,933)

$

588,622

3

Month

SONIA

(625)

3/2023

GBP

(209,007,154)

237,548

3

Month

SONIA

(628)

3/2023

GBP

(210,010,389)

363,528

(1,681,274)

$

7,189,146

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

64,432,497

USD

46,157,560

CITI

3/16/2022

$

728,733

AUD

64,432,495

USD

46,157,616

JPMC

3/16/2022

728,672

BRL

156,039,484

USD

27,220,767

CITI

**

3/16/2022

311,017

BRL

156,039,482

USD

27,220,801

JPMC

**

3/16/2022

310,983

CAD

21,262,679

USD

16,692,045

CITI

3/16/2022

114,637

CAD

21,262,671

USD

16,694,624

JPMC

3/16/2022

112,054

CHF

647,000

USD

705,022

CITI

3/16/2022

6,339

CHF

647,000

USD

705,023

JPMC

3/16/2022

6,339

CNY

115,166,751

USD

17,902,139

CITI

**

3/16/2022

130,101

CNY

115,166,749

USD

17,902,357

JPMC

**

3/16/2022

129,884

EUR

68,836,146

USD

77,826,704

CITI

3/16/2022

657,197

EUR

68,836,141

USD

77,826,795

JPMC

3/16/2022

657,100

HUF

340,500,000

USD

1,027,440

CITI

3/16/2022

14,507

HUF

340,500,000

USD

1,027,441

JPMC

3/16/2022

14,507

ILS

13,150,000

USD

4,181,331

CITI

3/16/2022

50,885

ILS

13,150,000

USD

4,181,337

JPMC

3/16/2022

50,879

INR

559,124,346

USD

7,393,418

CITI

**

3/16/2022

48,481

INR

559,124,344

USD

7,393,427

JPMC

**

3/16/2022

48,472

JPY

4,005,733,590

USD

34,836,520

CITI

3/16/2022

7,482

JPY

4,005,733,588

USD

34,836,563

JPMC

3/16/2022

7,439

KRW

1,399,110,000

USD

1,172,132

CITI

**

3/16/2022

2,436

KRW

1,399,110,000

USD

1,172,133

JPMC

**

3/16/2022

2,436

MXN

500,866,179

USD

23,171,295

CITI

3/16/2022

986,940

MXN

500,866,162

USD

23,171,323

JPMC

3/16/2022

986,912

NOK

156,302,302

USD

17,373,622

CITI

3/16/2022

351,469

NOK

156,302,300

USD

17,373,644

JPMC

3/16/2022

351,447

NZD

12,610,000

USD

8,540,196

CITI

3/16/2022

86,624

NZD

12,610,000

USD

8,540,207

JPMC

3/16/2022

86,613

SGD

2,001,500

USD

1,468,143

CITI

3/16/2022

16,535

SGD

2,001,500

USD

1,468,144

JPMC

3/16/2022

16,534

TWD

48,565,580

USD

1,758,758

CITI

**

3/16/2022

2,485

TWD

53,276,087

USD

1,929,623

JPMC

**

3/16/2022

2,445

USD

894,017

CLP

745,047,007

CITI

**

3/16/2022

28,998

USD

894,016

CLP

745,046,993

JPMC

**

3/16/2022

28,997

USD

123,975

HUF

40,000,000

CITI

3/16/2022

1,573

USD

123,975

HUF

40,000,000

JPMC

3/16/2022

1,572

USD

16,670,356

ILS

51,479,546

CITI

3/16/2022

102,100

USD

16,670,334

ILS

51,479,545

JPMC

3/16/2022

102,079

USD

44,261,892

KRW

52,464,506,483

CITI

**

3/16/2022

217,362

USD

44,261,837

KRW

52,464,506,477

JPMC

**

3/16/2022

217,307

USD

5,808,329

SEK

52,129,602

CITI

3/16/2022

35,994

USD

5,808,321

SEK

52,129,597

JPMC

3/16/2022

35,987

226

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,220,540

TWD

33,588,754

CITI

**

3/16/2022

$

2,436

USD

1,220,539

TWD

33,588,751

JPMC

**

3/16/2022

2,434

USD

4,146,698

ZAR

66,254,249

CITI

3/16/2022

30,359

USD

4,146,693

ZAR

66,254,249

JPMC

3/16/2022

30,353

ZAR

192,764,364

USD

11,883,758

CITI

3/16/2022

92,581

ZAR

192,764,362

USD

11,883,773

JPMC

3/16/2022

92,567

Total

unrealized

appreciation

8,051,283

AUD

21,477,499

USD

15,631,090

CITI

3/16/2022

(2,326)

AUD

21,477,498

USD

15,631,109

JPMC

3/16/2022

(2,346)

CAD

193,000

USD

152,652

CITI

3/16/2022

(98)

CAD

193,000

USD

152,652

JPMC

3/16/2022

(98)

CLP

70,019,000

USD

84,117

CITI

**

3/16/2022

(2,823)

CLP

70,019,000

USD

84,117

JPMC

**

3/16/2022

(2,823)

CNY

304,500

USD

47,684

CITI

**

3/16/2022

(7)

CNY

304,500

USD

47,684

JPMC

**

3/16/2022

(7)

ILS

485,502

USD

157,039

CITI

3/16/2022

(785)

ILS

485,498

USD

157,038

JPMC

3/16/2022

(785)

JPY

4,005,733,590

USD

35,153,770

CITI

3/16/2022

(309,767)

JPY

4,005,733,588

USD

35,153,814

JPMC

3/16/2022

(309,813)

KRW

3,499,871,000

USD

2,948,825

CITI

**

3/16/2022

(10,644)

KRW

3,499,871,000

USD

2,948,829

JPMC

**

3/16/2022

(10,648)

NZD

7,876,929

USD

5,495,154

CITI

3/16/2022

(106,348)

NZD

7,876,928

USD

5,495,161

JPMC

3/16/2022

(106,356)

TWD

37,860,580

USD

1,376,115

CITI

**

3/16/2022

(3,091)

TWD

33,150,069

USD

1,205,239

JPMC

**

3/16/2022

(3,044)

USD

9,956,472

BRL

57,374,004

CITI

**

3/16/2022

(166,663)

USD

9,956,458

BRL

57,373,996

JPMC

**

3/16/2022

(166,675)

USD

100,046

CAD

127,500

CITI

3/16/2022

(734)

USD

100,046

CAD

127,500

JPMC

3/16/2022

(734)

USD

92,328,281

CHF

85,093,174

CITI

3/16/2022

(1,229,716)

USD

92,328,147

CHF

85,093,157

JPMC

3/16/2022

(1,229,831)

USD

1,285,998

CNY

8,252,500

CITI

**

3/16/2022

(6,137)

USD

1,285,997

CNY

8,252,500

JPMC

**

3/16/2022

(6,139)

USD

819,084

DKK

5,386,212

CITI

3/16/2022

(6,724)

USD

819,083

DKK

5,386,211

JPMC

3/16/2022

(6,725)

USD

49,722,203

EUR

43,897,831

CITI

3/16/2022

(328,145)

USD

49,722,137

EUR

43,897,828

JPMC

3/16/2022

(328,207)

USD

69,331,568

GBP

51,937,376

CITI

3/16/2022

(946,303)

USD

69,333,930

GBP

51,937,375

JPMC

3/16/2022

(943,940)

USD

1,480,026

ILS

4,676,000

CITI

3/16/2022

(24,906)

USD

1,480,024

ILS

4,676,000

JPMC

3/16/2022

(24,907)

USD

671,533

KRW

800,000,000

CITI

**

3/16/2022

(76)

USD

671,532

KRW

800,000,000

JPMC

**

3/16/2022

(77)

USD

7,280,397

MXN

159,709,000

CITI

3/16/2022

(422,833)

USD

7,280,388

MXN

159,709,000

JPMC

3/16/2022

(422,842)

USD

11,367,057

PLN

47,250,000

CITI

3/16/2022

(297,937)

USD

11,367,042

PLN

47,249,996

JPMC

3/16/2022

(297,951)

USD

1,908,982

SEK

17,376,535

CITI

3/16/2022

(15,130)

USD

1,908,980

SEK

17,376,534

JPMC

3/16/2022

(15,132)

USD

2,730,206

SGD

3,722,251

CITI

3/16/2022

(30,896)

USD

2,730,200

SGD

3,722,248

JPMC

3/16/2022

(30,899)

USD

1,420,751

TWD

39,228,751

CITI

**

3/16/2022

(1,888)

USD

1,420,749

TWD

39,228,744

JPMC

**

3/16/2022

(1,889)

USD

449,617

ZAR

7,323,254

CITI

3/16/2022

(5,372)

USD

449,616

ZAR

7,323,248

JPMC

3/16/2022

(5,372)

ZAR

112,076,638

USD

6,986,126

CITI

3/16/2022

(22,869)

227

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ZAR

112,076,636

USD

6,986,135

JPMC

3/16/2022

$

(22,877)

Total

unrealized

depreciation

(7,882,335)

Net

unrealized

appreciation

$

168,948

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.50%

to

0.50%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-61

months

maturity

ranging

from

04/17/2026

-

12/18/2026

$5,232,833

$74,801

$2,565

$77,366

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.80%),

which

is

denominated

in

ZAR

based

on

the

local

currencies

of

the

positions

within

the

swap.

60

months

maturity

11/09/2026

$123,277

$(2,873)

$116

$(2,757)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-7.48%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

09/26/2022

-

01/25/2023

$482,817,322

$2,252,896

$19,465,581

$21,718,477

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

228

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Activision

Blizzard,

Inc.

38,881

2,586,753

41,991

0.2

Acuity

Brands,

Inc.

11,773

2,492,580

(37,320)

(0.2)

Alphabet,

Inc.

1,444

4,183,326

(88,214)

(0.4)

Amdocs

Ltd.

41,492

3,105,261

(7,883)

(0.0)

Anthem,

Inc.

5,302

2,457,689

21,314

0.1

AutoNation,

Inc.

25,787

3,013,211

89,997

0.4

Builders

FirstSource,

Inc.

34,495

2,956,566

48,293

0.2

Cerner

Corp.

35,680

3,313,602

22,122

0.1

ConocoPhillips

40,103

2,894,635

(41,306)

(0.2)

Emerson

Electric

Co.

29,389

2,732,295

23,511

0.1

EOG

Resources,

Inc.

36,413

3,234,567

(71,005)

(0.3)

Genuine

Parts

Co.

22,179

3,109,496

55,226

0.3

Huntington

Ingalls

Industries,

Inc.

14,054

2,624,444

35,978

0.2

Intel

Corp.

51,163

2,634,894

(22,512)

(0.1)

Kohl's

Corp.

84,641

4,180,419

(119,344)

(0.5)

LKQ

Corp.

77,456

4,649,684

108,438

0.5

Meta

Platforms,

Inc.

10,032

3,374,263

(98,615)

(0.5)

Micron

Technology,

Inc.

37,272

3,471,887

(47,708)

(0.2)

Molina

Healthcare,

Inc.

9,343

2,971,821

(39,708)

(0.2)

Owens

Corning

44,599

4,036,210

34,787

0.2

Penske

Automotive

Group,

Inc.

24,265

2,601,693

49,258

0.2

Regal

Rexnord

Corp.

16,698

2,841,666

19,704

0.1

Synopsys,

Inc.

6,600

2,432,100

(46,794)

(0.2)

Textron,

Inc.

33,444

2,581,877

7,023

0.0

Yelp,

Inc.

74,535

2,701,148

(72,299)

(0.3)

Ziff

Davis,

Inc.

32,708

3,626,009

(47,754)

(0.2)

Short

Positions

Common

Stocks

Argentina

MercadoLibre,

Inc.

(2,302)

(3,104,017)

(113,466)

(0.5)

Taiwan

Sea

Ltd.

(14,637)

(3,274,443)

(60,158)

(0.3)

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.

(20,574)

(2,475,258)

49,172

0.2

United

States

AZEK

Co.,

Inc.

(The)

(61,520)

(2,844,685)

(51,677)

(0.2)

Baker

Hughes

Co.

(103,832)

(2,498,198)

58,146

0.3

Boeing

Co.

(The)

(20,234)

(4,073,509)

37,433

0.2

Carvana

Co.

(11,028)

(2,556,180)

4,301

0.0

Cheniere

Energy,

Inc.

(38,659)

(3,920,796)

77,705

0.4

EQT

Corp.

(145,223)

(3,167,314)

146,675

0.7

Fluor

Corp.

(106,695)

(2,642,835)

(18,138)

(0.1)

Guardant

Health,

Inc.

(36,085)

(3,609,222)

(157,331)

(0.7)

Hess

Corp.

(56,584)

(4,188,914)

89,403

0.4

Insulet

Corp.

(9,389)

(2,498,131)

62,812

0.3

New

Fortress

Energy,

Inc.

(146,389)

(3,533,830)

172,739

0.8

NOV,

Inc.

(189,644)

(2,569,676)

11,379

0.1

Plug

Power,

Inc.

(94,216)

(2,659,718)

129,076

0.6

Progyny,

Inc.

(58,170)

(2,928,860)

102,961

0.5

R1

RCM,

Inc.

(124,479)

(3,172,970)

(75,932)

(0.3)

Snap,

Inc.

(60,208)

(2,831,582)

96,935

0.4

Spirit

AeroSystems

Holdings,

Inc.

(73,540)

(3,168,839)

62,509

0.3

Sunrun,

Inc.

(69,839)

(2,395,478)

(10,476)

(0.0)

Trex

Co.,

Inc.

(19,180)

(2,589,875)

33,181

0.2

229

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Virgin

Galactic

Holdings,

Inc.

(184,353)

(2,466,643)

127,204

0.6

Wolfspeed,

Inc.

(22,150)

(2,475,706)

29,681

0.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.13%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

01/13/2025

-

12/02/2026

$71,409,903

$(284,192)

$(154,541)

$(438,733)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

953,637

4,260,631

205,290

(46.8)

Ansell

Ltd.

78,215

1,788,727

(46,585)

10.6

Aurizon

Holdings

Ltd.

868,655

2,206,929

63,531

(14.5)

BlueScope

Steel

Ltd.

101,698

1,552,558

(36,548)

8.3

Brambles

Ltd.

164,838

1,275,240

6,186

(1.4)

carsales.com

Ltd.

34,580

631,834

(32,794)

7.5

Cleanaway

Waste

Management

Ltd.

477,812

1,087,681

71,899

(16.4)

Computershare

Ltd.

31,418

457,356

6,255

(1.4)

Crown

Resorts

Ltd.

106,054

923,187

40,289

(9.2)

Domino's

Pizza

Enterprises

Ltd.

6,694

574,556

(13,969)

3.2

Fortescue

Metals

Group

Ltd.

156,170

2,195,245

118,400

(27.0)

Harvey

Norman

Holdings

Ltd.

581,817

2,091,250

(83,679)

19.1

Incitec

Pivot

Ltd.

360,908

853,076

34,073

(7.8)

JB

Hi-Fi

Ltd.

69,859

2,456,552

33,004

(7.5)

Mineral

Resources

Ltd.

11,970

488,924

76,972

(17.5)

Qube

Holdings

Ltd.

524,661

1,211,125

(43,836)

10.0

Santos

Ltd.

176,923

814,991

(36,375)

8.3

Seven

Group

Holdings

Ltd.

23,240

365,656

4,196

(1.0)

South32

Ltd.

222,019

649,313

34,975

(8.0)

Tabcorp

Holdings

Ltd.

534,607

1,953,086

(34,312)

7.8

Treasury

Wine

Estates

Ltd.

139,366

1,256,572

38,436

(8.8)

Worley

Ltd.

216,485

1,677,151

30,050

(6.8)

230

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(910,974)

(1,239,215)

(25,933)

5.9

APA

Group

(661,116)

(4,836,585)

(209,440)

47.7

Boral

Ltd.

(315,662)

(1,401,314)

(177)

0.0

Cochlear

Ltd.

(2,546)

(399,596)

4,072

(0.9)

CSL

Ltd.

(3,307)

(699,432)

33,274

(7.6)

Evolution

Mining

Ltd.

(282,337)

(837,634)

(25,782)

5.9

IDP

Education

Ltd.

(106,397)

(2,680,383)

80,035

(18.2)

IGO

Ltd.

(176,916)

(1,481,675)

(146,697)

33.4

Insurance

Australia

Group

Ltd.

(414,360)

(1,284,112)

71,403

(16.3)

Macquarie

Group

Ltd.

(2,559)

(382,533)

(6,544)

1.5

Medibank

Pvt

Ltd.

(919,412)

(2,239,322)

2,552

(0.6)

NEXTDC

Ltd.

(42,777)

(397,212)

(18,733)

4.3

Northern

Star

Resources

Ltd.

(65,892)

(453,162)

(10,414)

2.4

OZ

Minerals

Ltd.

(41,074)

(846,792)

(37,800)

8.6

Pilbara

Minerals

Ltd.

(1,329,388)

(3,101,010)

(668,785)

152.4

Qantas

Airways

Ltd.

(154,179)

(562,424)

6,033

(1.4)

QBE

Insurance

Group

Ltd.

(204,338)

(1,687,370)

108,325

(24.7)

Ramsay

Health

Care

Ltd.

(11,668)

(606,387)

(11,726)

2.7

REA

Group

Ltd.

(7,596)

(926,269)

611

(0.1)

Reece

Ltd.

(61,385)

(1,207,211)

(114,448)

26.1

SEEK

Ltd.

(65,972)

(1,572,752)

111,160

(25.3)

Sydney

Airport

(371,003)

(2,342,321)

(23,441)

5.3

Transurban

Group

(98,966)

(994,044)

(7,464)

1.7

Wesfarmers

Ltd.

(20,960)

(904,349)

3,335

(0.8)

WiseTech

Global

Ltd.

(12,171)

(516,190)

(58,254)

13.3

Woolworths

Group

Ltd.

(32,414)

(896,038)

60,252

(13.7)

New

Zealand

Xero

Ltd.

(6,733)

(689,185)

1,526

(0.3)

United

States

James

Hardie

Industries

plc

(46,690)

(1,879,374)

51,633

(11.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-2.80%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

01/13/2025

-

12/21/2026

$221,869,001

$4,725,561

$220,280

$4,945,841

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

231

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Anhui

Conch

Cement

Co.

Ltd.

398,500

1,993,203

(20,413)

(0.4)

Bank

of

China

Ltd.

5,692,000

2,047,790

33,064

0.7

Bank

of

Communications

Co.

Ltd.

2,467,000

1,491,332

7,530

0.2

Beijing

Enterprises

Holdings

Ltd.

454,500

1,568,090

43,806

0.9

China

Cinda

Asset

Management

Co.

Ltd.

10,871,000

1,980,057

125,847

2.5

China

CITIC

Bank

Corp.

Ltd.

6,329,000

2,745,335

(71,087)

(1.4)

China

Hongqiao

Group

Ltd.

3,522,000

3,722,588

172,278

3.5

China

Medical

System

Holdings

Ltd.

1,243,000

2,077,811

(39,149)

(0.8)

China

Merchants

Port

Holdings

Co.

Ltd.

1,014,000

1,850,624

(8,944)

(0.2)

China

Minsheng

Banking

Corp.

Ltd.

4,492,500

1,717,798

(68,053)

(1.4)

China

National

Building

Material

Co.

Ltd.

1,280,000

1,571,507

39,893

0.8

China

Resources

Pharmaceutical

Group

Ltd.

3,420,000

1,557,768

49,040

1.0

China

Taiping

Insurance

Holdings

Co.

Ltd.

1,395,000

1,915,577

(66,327)

(1.3)

CITIC

Ltd.

1,680,000

1,662,087

28,958

0.6

COSCO

SHIPPING

Holdings

Co.

Ltd.

840,000

1,628,725

27,936

0.6

CSPC

Pharmaceutical

Group

Ltd.

1,998,000

2,175,599

(43,299)

(0.9)

Hengan

International

Group

Co.

Ltd.

358,500

1,846,959

17,071

0.3

Kingboard

Holdings

Ltd.

352,000

1,714,967

(61,313)

(1.2)

Kunlun

Energy

Co.

Ltd.

2,356,000

2,210,702

(67,430)

(1.4)

New

China

Life

Insurance

Co.

Ltd.

1,130,200

3,023,979

(110,488)

(2.2)

People's

Insurance

Co.

Group

of

China

Ltd.

(The)

6,514,000

1,972,585

1,072

0.0

PetroChina

Co.

Ltd.

3,624,000

1,605,055

(46,208)

(0.9)

PICC

Property

&

Casualty

Co.

Ltd.

2,368,000

1,935,702

(150,495)

(3.0)

Sinopharm

Group

Co.

Ltd.

955,200

2,078,947

(13,110)

(0.3)

Topsports

International

Holdings

Ltd.

1,698,000

1,719,794

(222,519)

(4.5)

Hong

Kong

CK

Asset

Holdings

Ltd.

273,872

1,727,575

91,938

1.9

WH

Group

Ltd.

6,395,500

4,014,796

(83,929)

(1.7)

Xinyi

Glass

Holdings

Ltd.

639,000

1,600,581

(67,944)

(1.4)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

822,500

5,295,605

(19,674)

(0.4)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(786,200)

(2,066,886)

5,129

0.1

BYD

Co.

Ltd.

(45,000)

(1,522,097)

160,644

3.2

China

Conch

Venture

Holdings

Ltd.

(436,000)

(2,132,581)

(2,222)

(0.0)

China

International

Capital

Corp.

Ltd.

(667,600)

(1,842,396)

71,083

1.4

China

Mengniu

Dairy

Co.

Ltd.

(289,000)

(1,638,304)

35,070

0.7

China

Merchants

Bank

Co.

Ltd.

(574,000)

(4,465,478)

417,064

8.4

CITIC

Securities

Co.

Ltd.

(1,015,000)

(2,651,044)

108,507

2.2

ENN

Energy

Holdings

Ltd.

(110,800)

(2,088,770)

(97,927)

(2.0)

ESR

Cayman

Ltd.

(636,400)

(2,152,693)

(30,642)

(0.6)

Ganfeng

Lithium

Co.

Ltd.

(169,200)

(2,664,313)

342,123

6.9

Meituan

(101,800)

(2,943,801)

280,744

5.7

Microport

Scientific

Corp.

(434,637)

(1,584,252)

295,804

6.0

Postal

Savings

Bank

of

China

Co.

Ltd.

(3,083,000)

(2,165,029)

92,594

1.9

Sunny

Optical

Technology

Group

Co.

Ltd.

(63,900)

(2,024,005)

(6,451)

(0.1)

Yihai

International

Holding

Ltd.

(496,000)

(2,293,585)

654,620

13.2

ZhongAn

Online

P&C

Insurance

Co.

Ltd.

(946,800)

(3,298,546)

101,265

2.0

232

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

AIA

Group

Ltd.

(370,600)

(3,740,409)

199,546

4.0

Hong

Kong

&

China

Gas

Co.

Ltd.

(3,682,716)

(5,744,171)

(180,523)

(3.6)

Man

Wah

Holdings

Ltd.

(1,390,400)

(2,156,145)

158,305

3.2

Techtronic

Industries

Co.

Ltd.

(78,500)

(1,564,890)

149,565

3.0

Wharf

Real

Estate

Investment

Co.

Ltd.

(542,000)

(2,754,033)

123,183

2.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.10%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

01/14/2025

-

12/14/2026

$460,916,629

$6,326,149

$175,306

$6,501,455

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

89,100

4,256,583

(121,442)

(1.9)

ENEOS

Holdings,

Inc.

927,400

3,464,591

(43,182)

(0.7)

Iida

Group

Holdings

Co.

Ltd.

138,200

3,214,182

94,658

1.5

Kajima

Corp.

295,000

3,390,293

(5,201)

(0.1)

Marubeni

Corp.

305,200

2,973,563

177,862

2.7

Mitsubishi

Electric

Corp.

237,600

3,015,866

(22,298)

(0.3)

Mitsubishi

HC

Capital,

Inc.

597,900

2,958,133

79,312

1.2

Mitsui

Chemicals,

Inc.

108,100

2,905,753

(88,584)

(1.4)

MS&AD

Insurance

Group

Holdings,

Inc.

81,300

2,503,414

102,301

1.6

Nippon

Express

Co.

Ltd.

55,700

3,333,356

99,309

1.5

Nippon

Telegraph

&

Telephone

Corp.

114,900

3,142,316

34,981

0.5

Nippon

Yusen

KK

34,200

2,607,851

177,448

2.7

Obayashi

Corp.

367,000

2,840,340

29,769

0.5

Osaka

Gas

Co.

Ltd.

292,400

4,836,081

89,019

1.4

Shimamura

Co.

Ltd.

33,800

2,836,515

(178,075)

(2.7)

Sojitz

Corp.

171,600

2,578,426

110,024

1.7

Sumitomo

Heavy

Industries

Ltd.

112,000

2,718,556

105,283

1.6

Suntory

Beverage

&

Food

Ltd.

91,800

3,324,352

(22,917)

(0.4)

Taiheiyo

Cement

Corp.

139,800

2,760,707

(39,677)

(0.6)

Taisei

Corp.

98,900

3,007,557

(6,113)

(0.1)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

1,443,100

3,730,719

(109,777)

(1.7)

Tokyo

Gas

Co.

Ltd.

172,000

3,087,464

104,424

1.6

TOPPAN,

Inc.

203,600

3,820,701

595,251

9.2

Tosoh

Corp.

184,000

2,733,600

20,601

0.3

233

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

ANA

Holdings,

Inc.

(162,900)

(3,405,406)

(9,400)

(0.1)

Asics

Corp.

(122,100)

(2,706,895)

306,093

4.7

Daiichi

Sankyo

Co.

Ltd.

(101,400)

(2,580,775)

(88,316)

(1.4)

Daikin

Industries

Ltd.

(15,200)

(3,443,094)

36,066

0.6

Japan

Airport

Terminal

Co.

Ltd.

(88,300)

(3,682,752)

251,145

3.9

Kakaku.com,

Inc.

(93,500)

(2,499,562)

232,831

3.6

Keihan

Holdings

Co.

Ltd.

(114,900)

(2,643,678)

19,057

0.3

Keyence

Corp.

(4,200)

(2,640,784)

(1,479)

(0.0)

Kobe

Bussan

Co.

Ltd.

(89,000)

(3,445,857)

(246,670)

(3.8)

Lasertec

Corp.

(13,100)

(4,012,551)

(472,399)

(7.3)

M3,

Inc.

(88,900)

(4,482,461)

145,298

2.2

Marui

Group

Co.

Ltd.

(190,600)

(3,589,208)

107,163

1.6

Mercari,

Inc.

(62,900)

(3,200,192)

435,295

6.7

Mitsubishi

Motors

Corp.

(1,071,000)

(2,984,341)

240,209

3.7

Nidec

Corp.

(22,100)

(2,614,306)

(52,601)

(0.8)

Odakyu

Electric

Railway

Co.

Ltd.

(139,800)

(2,599,089)

51,302

0.8

Oriental

Land

Co.

Ltd.

(23,200)

(3,912,150)

(110,033)

(1.7)

Park24

Co.

Ltd.

(210,900)

(2,890,969)

305,009

4.7

Pigeon

Corp.

(149,000)

(2,851,483)

(6,672)

(0.1)

SoftBank

Corp.

(204,600)

(2,584,216)

104,724

1.6

SoftBank

Group

Corp.

(55,400)

(2,655,885)

18,838

0.3

Sony

Group

Corp.

(24,800)

(3,131,701)

(99,642)

(1.5)

TOTO

Ltd.

(54,400)

(2,509,881)

116,245

1.8

Unicharm

Corp.

(80,800)

(3,515,381)

(145,711)

(2.2)

West

Japan

Railway

Co.

(79,500)

(3,324,922)

213,562

3.3

Z

Holdings

Corp.

(455,600)

(2,628,809)

257,404

4.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.48%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

01/13/2025

-

12/14/2026

$748,680,232

$2,022,352

$309,301

$2,331,653

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Alaska

Air

Group,

Inc.

60,066

3,129,439

39,078

1.7

Allstate

Corp.

(The)

23,975

2,820,659

239,271

10.3

AMERCO

3,906

2,836,654

46,442

2.0

234

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Arrow

Electronics,

Inc.

34,440

4,624,259

296,528

12.7

Bio-Rad

Laboratories,

Inc.

6,331

4,783,514

11,269

0.5

Boyd

Gaming

Corp.

43,943

2,881,343

104,736

4.5

Brunswick

Corp.

30,447

3,066,926

129,704

5.6

HP,

Inc.

80,232

3,022,339

121,953

5.2

International

Paper

Co.

93,861

4,409,590

76,027

3.3

Jabil,

Inc.

52,621

3,701,887

454,118

19.5

ManpowerGroup,

Inc.

33,105

3,222,110

120,989

5.2

MDU

Resources

Group,

Inc.

116,375

3,589,005

257,189

11.0

Molson

Coors

Beverage

Co.

60,152

2,788,045

46,919

2.0

NRG

Energy,

Inc.

69,220

2,981,998

318,972

13.7

Nu

Skin

Enterprises,

Inc.

67,030

3,401,772

319,062

13.7

Packaging

Corp.

of

America

22,843

3,110,074

158,302

6.8

PerkinElmer,

Inc.

18,022

3,623,503

245,640

10.5

Regeneron

Pharmaceuticals,

Inc.

4,461

2,817,211

(152,566)

(6.5)

TD

SYNNEX

Corp.

(Non-Voting)

25,352

2,899,255

173,661

7.4

Texas

Roadhouse,

Inc.

36,012

3,215,151

50,777

2.2

Thermo

Fisher

Scientific,

Inc.

5,932

3,958,068

178,968

7.7

UGI

Corp.

71,550

3,284,860

97,279

4.2

United

Therapeutics

Corp.

17,829

3,852,490

517,753

22.2

Unum

Group

126,801

3,115,501

56,197

2.4

Waters

Corp.

7,740

2,883,924

223,531

9.6

Werner

Enterprises,

Inc.

84,293

4,017,404

150,884

6.5

Westrock

Co.

86,219

3,824,675

28,716

1.2

Short

Positions

Common

Stocks

United

States

10X

Genomics,

Inc.

(25,418)

(3,786,265)

(137,905)

(5.9)

Adaptive

Biotechnologies

Corp.

(120,419)

(3,378,957)

(78,272)

(3.4)

American

Airlines

Group,

Inc.

(164,386)

(2,952,373)

29,589

1.3

American

Water

Works

Co.,

Inc.

(20,007)

(3,778,522)

(260,891)

(11.2)

Atmos

Energy

Corp.

(30,931)

(3,240,641)

(295,082)

(12.7)

Ball

Corp.

(52,211)

(5,026,353)

(190,570)

(8.2)

Beyond

Meat,

Inc.

(50,064)

(3,262,170)

240,948

10.3

Bright

Horizons

Family

Solutions,

Inc.

(22,796)

(2,869,560)

(54,254)

(2.3)

CenterPoint

Energy,

Inc.

(164,830)

(4,600,405)

(60,987)

(2.6)

Delta

Air

Lines,

Inc.

(75,427)

(2,947,687)

(44,618)

(1.9)

Dominion

Energy,

Inc.

(52,643)

(4,135,634)

(124,764)

(5.4)

Iridium

Communications,

Inc.

(79,609)

(3,287,056)

(74,036)

(3.2)

LendingTree,

Inc.

(32,507)

(3,985,358)

(291,263)

(12.5)

Liberty

Broadband

Corp.

(23,199)

(3,737,359)

(248,925)

(10.7)

Lyft,

Inc.

(83,843)

(3,582,611)

(165,171)

(7.1)

Madison

Square

Garden

Sports

Corp.

(19,452)

(3,379,396)

(64,581)

(2.8)

NiSource,

Inc.

(118,096)

(3,260,631)

(207,849)

(8.9)

ONE

Gas,

Inc.

(39,464)

(3,062,012)

(270,065)

(11.6)

Pure

Storage,

Inc.

(88,004)

(2,864,530)

(9,680)

(0.4)

Royal

Caribbean

Cruises

Ltd.

(41,132)

(3,163,051)

(90,490)

(3.9)

Tesla,

Inc.

(4,196)

(4,434,249)

(219,969)

(9.4)

T-Mobile

US,

Inc.

(25,053)

(2,905,647)

(49,341)

(2.1)

Uber

Technologies,

Inc.

(102,277)

(4,288,475)

(449,780)

(19.3)

235

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Rand

Overnight

Deposit

Rate

plus

or

minus

a

specified

spread

(-0.10%

to

0.06%),

which

is

denominated

in

ZAR

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-60

months

maturity

ranging

from

04/20/2026

-

11/26/2026

$28,777,654

$(257,219)

$4,147

$(253,072)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Luxembourg

Reinet

Investments

SCA

42,683

766,151

20,419

(8.1)

South

Africa

Absa

Group

Ltd.

54,816

524,620

3,728

(1.5)

African

Rainbow

Minerals

Ltd.

51,077

741,137

36,237

(14.3)

Anglo

American

Platinum

Ltd.

2,054

234,273

(4,112)

1.6

Aspen

Pharmacare

Holdings

Ltd.

61,688

868,858

33,456

(13.2)

Exxaro

Resources

Ltd.

83,252

798,665

(3,820)

1.5

Impala

Platinum

Holdings

Ltd.

138,853

1,958,762

89,525

(35.4)

Kumba

Iron

Ore

Ltd.

27,938

805,708

10,311

(4.1)

Mr

Price

Group

Ltd.

4,700

58,946

(3,096)

1.2

MTN

Group

Ltd.

104,764

1,122,960

79,561

(31.4)

MultiChoice

Group

223,546

1,713,616

(65,312)

25.8

Nedbank

Group

Ltd.

31,510

346,086

6,026

(2.4)

Sasol

Ltd.

30,838

504,897

(43,395)

17.1

Shoprite

Holdings

Ltd.

92,324

1,210,206

22,650

(8.9)

Sibanye

Stillwater

Ltd.

733,090

2,279,413

19,560

(7.7)

SPAR

Group

Ltd.

(The)

21,076

221,037

4,646

(1.8)

Standard

Bank

Group

Ltd.

26,278

230,862

8,190

(3.2)

Woolworths

Holdings

Ltd.

30,890

100,531

(2,544)

1.0

Short

Positions

Common

Stocks

South

Africa

Bidvest

Group

Ltd.

(The)

(66,973)

(796,237)

(4,191)

1.7

Capitec

Bank

Holdings

Ltd.

(31,717)

(4,060,015)

(258,750)

102.2

Clicks

Group

Ltd.

(74,068)

(1,466,625)

(62,033)

24.5

Discovery

Ltd.

(236,319)

(2,129,170)

(66,446)

26.3

FirstRand

Ltd.

(344,125)

(1,312,884)

(43,941)

17.4

Naspers

Ltd.

(8,082)

(1,254,417)

12,567

(5.0)

Northam

Platinum

Holdings

Ltd.

(87,033)

(1,144,237)

(37,106)

14.7

Old

Mutual

Ltd.

(290,464)

(238,787)

(16,998)

6.7

Rand

Merchant

Investment

Holdings

Ltd.

(50,338)

(142,923)

4,126

(1.6)

Sanlam

Ltd.

(309,054)

(1,151,267)

9,997

(4.0)

Tiger

Brands

Ltd.

(4,283)

(48,649)

(520)

0.2

Vodacom

Group

Ltd.

(64,651)

(545,715)

(5,954)

2.4

236

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-1.33%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

39-61

months

maturity

ranging

from

02/25/2025

-

12/11/2026

$117,117,749

$1,233,157

$26,352

$1,259,509

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

ARC

Resources

Ltd.

112,846

1,025,913

71,612

5.7

Atco

Ltd.

37,733

1,273,726

8,256

0.7

Bank

of

Nova

Scotia

(The)

17,921

1,268,687

31,294

2.5

Canadian

Imperial

Bank

of

Commerce

12,037

1,403,103

22,898

1.8

Canadian

Natural

Resources

Ltd.

61,418

2,595,195

169,676

13.5

Canadian

Tire

Corp.

Ltd.

22,384

3,210,683

54,566

4.3

CI

Financial

Corp.

65,329

1,365,508

(9,403)

(0.7)

Empire

Co.

Ltd.

52,756

1,607,349

(54,257)

(4.3)

Fairfax

Financial

Holdings

Ltd.

5,188

2,552,023

156,798

12.4

Finning

International,

Inc.

53,371

1,345,087

37,359

3.0

iA

Financial

Corp.,

Inc.

22,524

1,288,815

22,391

1.8

Imperial

Oil

Ltd.

29,499

1,063,872

73,694

5.9

Kinross

Gold

Corp.

244,481

1,418,626

34,482

2.7

Magna

International,

Inc.

35,630

2,882,905

74,307

5.9

Manulife

Financial

Corp.

107,339

2,045,886

56,801

4.5

National

Bank

of

Canada

17,822

1,358,752

(5,006)

(0.4)

Nutrien

Ltd.

26,725

2,008,785

79,133

6.3

Onex

Corp.

21,145

1,659,572

67,255

5.3

Quebecor,

Inc.

52,227

1,178,767

18,941

1.5

Royal

Bank

of

Canada

10,851

1,151,624

27,638

2.2

Stantec,

Inc.

20,402

1,146,267

24,339

1.9

Suncor

Energy,

Inc.

64,640

1,617,341

87,928

7.0

TFI

International,

Inc.

21,775

2,442,167

91,861

7.3

Tourmaline

Oil

Corp.

112,696

3,638,487

118,794

9.4

West

Fraser

Timber

Co.

Ltd.

36,442

3,476,675

234,499

18.6

Chile

Lundin

Mining

Corp.

171,086

1,336,282

(103,422)

(8.2)

United

States

BRP,

Inc.

19,998

1,751,673

111,895

8.9

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(28,062)

(1,204,162)

(25,719)

(2.0)

237

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

Air

Canada

(226,286)

(3,779,931)

(176,516)

(14.0)

Algonquin

Power

&

Utilities

Corp.

(157,506)

(2,274,900)

(38,801)

(3.1)

Ballard

Power

Systems,

Inc.

(202,481)

(2,543,518)

122,318

9.7

BCE,

Inc.

(39,902)

(2,075,932)

(3,654)

(0.3)

BlackBerry

Ltd.

(117,454)

(1,097,519)

(3,346)

(0.3)

Boralex,

Inc.

(41,959)

(1,150,352)

(360)

(0.0)

Brookfield

Asset

Management,

Inc.

(32,538)

(1,964,961)

(64,540)

(5.1)

CAE,

Inc.

(76,120)

(1,920,225)

(51,238)

(4.1)

Cameco

Corp.

(87,384)

(1,905,254)

(21,440)

(1.7)

Canada

Goose

Holdings,

Inc.

(45,866)

(1,699,829)

4,199

0.3

Canadian

Utilities

Ltd.

(63,976)

(1,855,630)

(9,046)

(0.7)

Canopy

Growth

Corp.

(177,726)

(1,551,125)

186,276

14.8

Dollarama,

Inc.

(39,216)

(1,962,738)

(37,842)

(3.0)

Element

Fleet

Management

Corp.

(190,380)

(1,938,491)

(48,881)

(3.9)

Emera,

Inc.

(26,903)

(1,344,565)

(8,661)

(0.7)

Fortis,

Inc.

(22,145)

(1,068,429)

(8,903)

(0.7)

Franco-Nevada

Corp.

(9,507)

(1,314,799)

(20,437)

(1.6)

GFL

Environmental,

Inc.

(43,780)

(1,655,399)

(74,330)

(5.9)

Innergex

Renewable

Energy,

Inc.

(136,071)

(2,000,807)

(19,895)

(1.6)

Pembina

Pipeline

Corp.

(39,579)

(1,200,558)

(10,091)

(0.8)

Shopify,

Inc.

(1,595)

(2,196,131)

(43,966)

(3.5)

WSP

Global,

Inc.

(15,300)

(2,221,067)

(63,003)

(5.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-2.20%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-60

months

maturity

ranging

from

01/21/2025

-

12/02/2026

$146,211,944

$(465,239)

$414,477

$(50,762)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

BHP

Group

plc

41,181

1,225,329

10,339

(20.4)

Rio

Tinto

plc

34,347

2,265,057

(1,674)

3.3

Netherlands

Royal

Dutch

Shell

plc

99,955

2,190,455

34,331

(67.6)

Russia

Coca-Cola

HBC

AG

74,762

2,588,659

37,982

(74.8)

Evraz

plc

186,121

1,521,692

9,799

(19.3)

South

Africa

Anglo

American

plc

66,609

2,739,778

85,298

(168.0)

238

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

Ashtead

Group

plc

25,251

2,035,598

(25,746)

50.7

Aviva

plc

410,413

2,287,714

48,956

(96.4)

BAE

Systems

plc

227,975

1,700,055

55,826

(110.0)

Barratt

Developments

plc

128,730

1,307,187

51,103

(100.7)

BP

plc

529,882

2,374,202

(19,319)

38.1

Britvic

plc

115,159

1,434,036

3,407

(6.7)

BT

Group

plc

1,132,750

2,605,894

38,810

(76.5)

Centrica

plc

2,918,052

2,829,731

200,727

(395.4)

DCC

plc

33,732

2,761,409

(13,053)

25.7

DS

Smith

plc

357,287

1,860,717

(4,431)

8.7

Imperial

Brands

plc

68,815

1,508,067

28,454

(56.1)

Inchcape

plc

98,241

1,209,400

68,245

(134.4)

Investec

plc

259,374

1,430,014

49,035

(96.6)

Kingfisher

plc

616,299

2,834,818

19,370

(38.2)

Marks

&

Spencer

Group

plc

634,682

1,996,585

65,942

(129.9)

Melrose

Industries

plc

631,180

1,372,681

116,605

(229.7)

Next

plc

12,014

1,328,785

64,235

(126.5)

Pennon

Group

plc

147,340

2,332,713

(22,548)

44.4

Persimmon

plc

50,448

1,955,317

78,717

(155.1)

Royal

Mail

plc

615,703

4,221,397

82,885

(163.3)

Tate

&

Lyle

plc

188,934

1,699,812

23,868

(47.0)

Travis

Perkins

plc

59,982

1,266,256

26,934

(53.1)

Short

Positions

Common

Stocks

United

Kingdom

AstraZeneca

plc

(17,285)

(2,018,360)

(26,038)

51.3

Croda

International

plc

(16,960)

(2,323,036)

(44,691)

88.0

Dechra

Pharmaceuticals

plc

(17,600)

(1,272,035)

(79,150)

155.9

Diageo

plc

(56,035)

(3,063,773)

(46,262)

91.1

Experian

plc

(33,200)

(1,635,296)

(55,873)

110.1

Halma

plc

(51,278)

(2,223,357)

(92,771)

182.8

Hargreaves

Lansdown

plc

(130,518)

(2,398,420)

(15,175)

29.9

HomeServe

plc

(101,585)

(1,202,441)

(25,624)

50.5

Informa

plc

(453,395)

(3,174,482)

(93,291)

183.8

InterContinental

Hotels

Group

plc

(21,756)

(1,406,505)

(87,508)

172.4

Legal

&

General

Group

plc

(359,555)

(1,451,989)

(53,145)

104.7

Ocado

Group

plc

(136,917)

(3,115,045)

73,325

(144.4)

Prudential

plc

(246,969)

(4,270,800)

(9,764)

19.2

Reckitt

Benckiser

Group

plc

(67,007)

(5,768,207)

(116,056)

228.6

RELX

plc

(48,187)

(1,573,158)

(46,350)

91.3

Rentokil

Initial

plc

(484,940)

(3,838,663)

(320,274)

630.9

Rolls-Royce

Holdings

plc

(1,878,612)

(3,135,662)

(227,264)

447.7

Spirax-Sarco

Engineering

plc

(5,750)

(1,251,375)

(53,689)

105.8

St

James's

Place

plc

(66,816)

(1,526,895)

(65,558)

129.1

Weir

Group

plc

(The)

(50,938)

(1,182,047)

(49,513)

97.5

Whitbread

plc

(45,341)

(1,844,364)

(142,635)

281.0

United

States

Ferguson

plc

(12,476)

(2,216,072)

(52,982)

104.4

239

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-1.35%

to

0.70%),

which

is

denominated

in

PLN

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-61

months

maturity

ranging

from

04/17/2026

-

12/18/2026

$9,569,222

$78,433

$(632)

$77,801

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Poland

Cyfrowy

Polsat

SA

29,080

250,588

(1,689)

(2.2)

KGHM

Polska

Miedz

SA

5,910

205,143

(3,358)

(4.3)

Orange

Polska

SA

29,841

62,583

4,933

6.3

PGE

Polska

Grupa

Energetyczna

SA

664,797

1,326,555

56,037

72.0

Polski

Koncern

Naftowy

ORLEN

SA

53,050

977,814

17,928

23.0

Polskie

Gornictwo

Naftowe

i

Gazownictwo

SA

955,074

1,493,630

105,413

135.5

Short

Positions

Common

Stocks

Poland

Allegro.eu

SA

(69,823)

(672,160)

(14,792)

(19.0)

CD

Projekt

SA

(5,014)

(238,478)

(3,253)

(4.2)

Dino

Polska

SA

(20,136)

(1,835,611)

(97,956)

(125.9)

LPP

SA

(230)

(981,845)

14,023

18.0

Powszechna

Kasa

Oszczednosci

Bank

Polski

SA

(16,487)

(182,869)

(11,062)

(14.2)

Powszechny

Zaklad

Ubezpieczen

SA

(144,705)

(1,263,629)

18,539

23.8

Santander

Bank

Polska

SA

(912)

(78,317)

(6,330)

(8.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-1.00%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

39-61

months

maturity

ranging

from

02/25/2025

-

12/14/2026

$17,277,841

$248,073

$(62,825)

$185,248

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

240

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

343,200

1,056,223

17,157

9.3

Yangzijiang

Shipbuilding

Holdings

Ltd.

4,935,500

4,903,850

178,020

96.1

Singapore

DBS

Group

Holdings

Ltd.

11,200

271,252

1,626

0.9

Genting

Singapore

Ltd.

3,080,600

1,771,990

11,926

6.4

Oversea-Chinese

Banking

Corp.

Ltd.

25,100

212,440

673

0.4

Singapore

Airlines

Ltd.

39,800

147,568

3,714

2.0

United

Overseas

Bank

Ltd.

9,800

195,723

(254)

(0.1)

Venture

Corp.

Ltd.

116,800

1,587,177

(11,731)

(6.3)

Short

Positions

Common

Stocks

Singapore

City

Developments

Ltd.

(435,900)

(2,205,387)

(12,605)

(6.8)

Keppel

Corp.

Ltd.

(212,600)

(808,519)

759

0.4

SATS

Ltd.

(126,400)

(364,715)

(5,438)

(2.9)

Singapore

Technologies

Engineering

Ltd.

(137,500)

(383,724)

(4,149)

(2.2)

Singapore

Telecommunications

Ltd.

(1,888,700)

(3,251,364)

69,589

37.6

UOL

Group

Ltd.

(22,400)

(117,909)

(1,214)

(0.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-5.25%

to

0.70%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-61

months

maturity

ranging

from

04/17/2026

-

12/18/2026

$12,645,380

$534,653

$(453,348)

$81,305

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Chile

Cencosud

SA

1,047,938

1,752,713

85,864

105.6

Colbun

SA

2,626,273

213,616

28,130

34.6

Empresas

CMPC

SA

38,608

64,709

(1,742)

(2.1)

Falabella

SA

95,593

311,799

5,316

6.5

Malaysia

Axiata

Group

Bhd.

177,600

177,344

23,733

29.2

CIMB

Group

Holdings

Bhd.

150,300

196,603

151,698

186.6

Genting

Bhd.

432,800

484,793

25,273

31.1

Hartalega

Holdings

Bhd.

455,600

626,641

52,215

64.2

241

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Malaysia

(continued)

IHH

Healthcare

Bhd.

19,600

34,533

4,158

5.1

Kossan

Rubber

Industries

Bhd.

2,268,200

1,045,354

99,263

122.1

MISC

Bhd.

177,700

300,427

10,262

12.6

RHB

Bank

Bhd.

228,900

294,828

7,313

9.0

Sime

Darby

Bhd.

514,600

286,786

23,357

28.7

Sime

Darby

Plantation

Bhd.

82,700

74,640

3,307

4.1

Supermax

Corp.

Bhd.

2,701,340

953,185

44,096

54.2

Tenaga

Nasional

Bhd.

126,800

284,233

(1,551)

(1.9)

Top

Glove

Corp.

Bhd.

2,361,400

1,468,081

259,259

318.9

Short

Positions

Common

Stocks

Malaysia

DiGi.Com

Bhd.

(801,700)

(839,033)

(107,538)

(132.3)

Genting

Malaysia

Bhd.

(167,400)

(115,640)

(4,172)

(5.1)

Malaysia

Airports

Holdings

Bhd.

(34,900)

(50,091)

(2,207)

(2.7)

Nestle

Malaysia

Bhd.

(2,400)

(77,296)

(2,509)

(3.1)

Press

Metal

Aluminium

Holdings

Bhd.

(1,266,400)

(1,757,031)

(130,325)

(160.3)

Public

Bank

Bhd.

(1,238,400)

(1,236,004)

(38,547)

(47.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-8.95%

to

0.45%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-24

months

maturity

ranging

from

01/21/2022

-

12/28/2023

$99,123,237

$(2,034,129)

$3,999,314

$1,965,185

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

South

Korea

Cheil

Worldwide,

Inc.

42,426

814,111

(34,874)

(1.8)

CJ

Corp.

11,738

822,532

(21,089)

(1.1)

CJ

ENM

Co.

Ltd.

13,560

1,580,824

(33,557)

(1.7)

Doosan

Bobcat,

Inc.

35,365

1,210,290

3,497

0.2

E-MART,

Inc.

19,418

2,461,649

(25,216)

(1.3)

Fila

Holdings

Corp.

46,822

1,411,033

22,370

1.1

GS

Holdings

Corp.

25,310

831,312

(39,829)

(2.0)

Hankook

Tire

&

Technology

Co.

Ltd.

47,101

1,573,516

(45,662)

(2.3)

HMM

Co.

Ltd.

104,743

2,369,345

30,642

1.6

Hyundai

Engineering

&

Construction

Co.

Ltd.

20,838

777,527

(10,800)

(0.5)

Hyundai

Glovis

Co.

Ltd.

10,098

1,423,988

(47,937)

(2.4)

Hyundai

Mobis

Co.

Ltd.

10,703

2,287,842

(70,362)

(3.6)

242

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Korea

(continued)

Industrial

Bank

of

Korea

95,198

823,534

(62,793)

(3.2)

Kia

Corp.

39,260

2,709,454

(95,658)

(4.9)

Kumho

Petrochemical

Co.

Ltd.

16,484

2,297,931

(285,398)

(14.5)

LG

Corp.

11,239

765,009

(17,180)

(0.9)

LG

Display

Co.

Ltd.

57,770

1,191,086

56,957

2.9

LG

Electronics,

Inc.

16,079

1,861,637

(7,935)

(0.4)

Lotte

Chemical

Corp.

12,732

2,322,578

(139,396)

(7.1)

Lotte

Shopping

Co.

Ltd.

17,863

1,308,858

(30,660)

(1.6)

Meritz

Securities

Co.

Ltd.

223,093

965,926

(28,439)

(1.4)

Mirae

Asset

Securities

Co.

Ltd.

125,902

914,645

(24,170)

(1.2)

NH

Investment

&

Securities

Co.

Ltd.

134,472

1,412,370

(105,872)

(5.4)

POSCO

9,167

2,125,707

(48,545)

(2.5)

Samsung

Life

Insurance

Co.

Ltd.

37,009

1,992,832

(124,463)

(6.3)

Samsung

SDS

Co.

Ltd.

5,619

738,092

(19,409)

(1.0)

SK

Telecom

Co.

Ltd.

26,384

1,282,167

(80,548)

(4.1)

Woori

Financial

Group,

Inc.

381,408

4,067,459

(158,446)

(8.1)

Short

Positions

Common

Stocks

South

Korea

Alteogen,

Inc.

(14,000)

(890,304)

(44,535)

(2.3)

Celltrion

Healthcare

Co.

Ltd.

(24,283)

(1,635,954)

73,071

3.7

Doosan

Heavy

Industries

&

Construction

Co.

Ltd.

(67,100)

(1,148,851)

(9,646)

(0.5)

Hanon

Systems

(83,771)

(947,295)

33,804

1.7

Hyundai

Motor

Co.

(15,220)

(2,671,558)

66,336

3.4

Hyundai

Steel

Co.

(23,529)

(810,294)

21,354

1.1

Iljin

Materials

Co.

Ltd.

(8,460)

(957,886)

(70,436)

(3.6)

Kakao

Corp.

(21,824)

(2,060,890)

16,973

0.9

KB

Financial

Group,

Inc.

(38,950)

(1,801,216)

59,563

3.0

L&F

Co.

Ltd.

(9,929)

(1,847,588)

(116,695)

(5.9)

LG

Chem

Ltd.

(3,485)

(1,801,613)

39,475

2.0

LG

Household

&

Health

Care

Ltd.

(1,304)

(1,203,548)

40,188

2.0

NAVER

Corp.

(4,042)

(1,283,017)

12,834

0.7

Pearl

Abyss

Corp.

(11,613)

(1,349,594)

(66,817)

(3.4)

POSCO

Chemical

Co.

Ltd.

(34,330)

(4,148,407)

(41,013)

(2.1)

Samsung

Biologics

Co.

Ltd.

(3,157)

(2,397,131)

(40,387)

(2.1)

Samsung

C&T

Corp.

(7,396)

(739,010)

(9,910)

(0.5)

Samsung

Heavy

Industries

Co.

Ltd.

(328,513)

(1,566,160)

(41,025)

(2.1)

Samsung

SDI

Co.

Ltd.

(5,902)

(3,245,935)

(43,435)

(2.2)

SK

Innovation

Co.

Ltd.

(19,268)

(3,858,057)

(221,513)

(11.3)

SK,

Inc.

(10,555)

(2,225,198)

51,484

2.6

SKC

Co.

Ltd.

(12,833)

(1,875,638)

(69,925)

(3.6)

243

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

6-52

months

maturity

05/18/2022

$54,765,688

$(440,861)

$(10,711)

$(451,572)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

AG

6,112

110,600

72

(0.0)

Switzerland

Adecco

Group

AG

(Registered)

56,378

2,872,875

116,029

(25.7)

Alcon,

Inc.

2,294

202,343

5,773

(1.3)

Baloise

Holding

AG

(Registered)

4,131

674,233

21,628

(4.8)

BKW

AG

10,066

1,307,018

12,117

(2.7)

Bucher

Industries

AG

(Registered)

944

465,174

24,405

(5.4)

Cie

Financiere

Richemont

SA

922

137,779

4,869

(1.1)

Credit

Suisse

Group

AG

(Registered)

57,403

556,558

8,821

(2.0)

DKSH

Holding

AG

8,708

717,759

20,872

(4.6)

dormakaba

Holding

AG

1,010

667,060

11,274

(2.5)

Flughafen

Zurich

AG

(Registered)

2,494

447,882

15,521

(3.4)

Georg

Fischer

AG

(Registered)

368

556,790

13,804

(3.1)

Helvetia

Holding

AG

(Registered)

4,661

547,552

6,299

(1.4)

Holcim

Ltd.

22,131

1,125,562

32,532

(7.2)

Kuehne

+

Nagel

International

AG

(Registered)

7,629

2,456,976

130,633

(28.9)

Novartis

AG

(Registered)

10,430

916,505

3,021

(0.7)

OC

Oerlikon

Corp.

AG

(Registered)

4,511

46,134

1,120

(0.2)

Roche

Holding

AG

3,947

1,637,457

(3,926)

0.9

SGS

SA

(Registered)

53

176,686

4,016

(0.9)

Sonova

Holding

AG

(Registered)

1,759

687,412

31,709

(7.0)

Sulzer

AG

(Registered)

5,709

560,834

17,111

(3.8)

Swatch

Group

AG

(The)

10,653

3,244,222

80,047

(17.7)

Swiss

Life

Holding

AG

(Registered)

200

122,195

413

(0.1)

Swisscom

AG

(Registered)

3,300

1,861,610

(14,363)

3.2

Tecan

Group

AG

(Registered)

2,452

1,489,262

22,530

(5.0)

UBS

Group

AG

(Registered)

87,049

1,562,468

19,756

(4.4)

Vifor

Pharma

AG

1,656

294,185

3,889

(0.9)

244

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Switzerland

Bachem

Holding

AG

(Registered)

(1,477)

(1,156,561)

(134,448)

29.8

Banque

Cantonale

Vaudoise

(Registered)

(9,037)

(700,954)

(21,379)

4.7

Barry

Callebaut

AG

(Registered)

(280)

(679,742)

(11,040)

2.4

Belimo

Holding

AG

(Registered)

(1,858)

(1,179,805)

(92,222)

20.4

Chocoladefabriken

Lindt

&

Spruengli

AG

(179)

(2,481,091)

(128,763)

28.5

Clariant

AG

(Registered)

(12,798)

(265,850)

(1,359)

0.3

Dufry

AG

(Registered)

(58,506)

(2,884,027)

(234,418)

51.9

EMS-Chemie

Holding

AG

(Registered)

(1,556)

(1,738,956)

(15,790)

3.5

Geberit

AG

(Registered)

(791)

(644,771)

(22,142)

4.9

Givaudan

SA

(Registered)

(450)

(2,360,973)

(5,317)

1.2

Idorsia

Ltd.

(111,181)

(2,265,733)

(134,325)

29.7

Logitech

International

SA

(Registered)

(19,519)

(1,637,404)

3,755

(0.8)

Lonza

Group

AG

(Registered)

(1,487)

(1,238,059)

(17,263)

3.8

Nestle

SA

(Registered)

(13,038)

(1,820,331)

1,773

(0.4)

Partners

Group

Holding

AG

(770)

(1,271,123)

(31,968)

7.1

Schindler

Holding

AG

(2,009)

(539,276)

(6,975)

1.5

SIG

Combibloc

Group

AG

(117,858)

(3,282,840)

(105,392)

23.3

Sika

AG

(Registered)

(2,967)

(1,233,137)

(29,715)

6.6

Straumann

Holding

AG

(Registered)

(97)

(205,115)

(11,109)

2.5

Temenos

AG

(Registered)

(4,358)

(600,713)

11,052

(2.4)

VAT

Group

AG

(2,006)

(994,021)

(43,351)

9.6

United

States

Swiss

Re

AG

(1,419)

(140,075)

(437)

0.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-49

months

maturity

02/17/2022

$36,003,711

$238,700

$(4,619)

$234,081

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

1,889

6,742,433

409,543

175.0

Carlsberg

A/S

11,071

1,911,383

65,298

27.9

Coloplast

A/S

809

142,445

6,489

2.8

Demant

A/S

5,980

306,213

20,488

8.8

GN

Store

Nord

A/S

7,017

440,287

10,425

4.5

H

Lundbeck

A/S

40,618

1,045,814

54,834

23.4

245

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Denmark

(continued)

ISS

A/S

43,183

818,783

53,505

22.9

Jyske

Bank

A/S

(Registered)

6,931

356,524

9,000

3.8

Novo

Nordisk

A/S

17,594

1,976,261

(82,755)

(35.4)

Pandora

A/S

19,937

2,479,982

133,366

57.0

ROCKWOOL

International

A/S

914

399,124

10,813

4.6

Royal

Unibrew

A/S

4,595

516,859

2,961

1.3

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(45,872)

(1,210,737)

(69,103)

(29.5)

Chr

Hansen

Holding

A/S

(26,036)

(2,052,949)

(26,545)

(11.3)

Danske

Bank

A/S

(50,564)

(872,937)

(34,428)

(14.7)

DSV

A/S

(6,356)

(1,481,128)

(90,085)

(38.5)

Genmab

A/S

(2,041)

(814,671)

(42,508)

(18.2)

Novozymes

A/S

(23,077)

(1,894,848)

(47,669)

(20.4)

Orsted

A/S

(34,602)

(4,431,378)

(34,354)

(14.7)

SimCorp

A/S

(4,401)

(479,673)

(20,746)

(8.9)

Tryg

A/S

(106,494)

(2,628,019)

(18,603)

(7.9)

Vestas

Wind

Systems

A/S

(98,547)

(3,001,263)

(71,226)

(30.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.50%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-61

months

maturity

11/11/2022

$291,362,203

$(1,431,218)

$34,364

$(1,396,854)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

47,302

2,449,643

79,761

(5.7)

Proximus

SADP

148,899

2,907,962

(94,611)

6.8

Finland

Nokia

OYJ

386,353

2,447,040

72,911

(5.2)

Valmet

OYJ

50,240

2,154,074

82,452

(5.9)

France

BNP

Paribas

SA

31,025

2,145,102

159,898

(11.4)

Carrefour

SA

128,760

2,360,621

74,822

(5.4)

Cie

de

Saint-Gobain

96,607

6,795,976

353,226

(25.3)

Electricite

de

France

SA

298,342

3,508,889

136,210

(9.8)

Orange

SA

262,320

2,802,151

22,926

(1.6)

246

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Rexel

SA

127,673

2,585,694

95,895

(6.9)

Rubis

SCA

74,514

2,228,210

33,451

(2.4)

Societe

Generale

SA

68,891

2,367,696

118,345

(8.5)

TotalEnergies

SE

56,704

2,886,247

66,975

(4.8)

Germany

Covestro

AG

37,350

2,298,820

88,911

(6.4)

Deutsche

Bank

AG

(Registered)

221,122

2,754,079

2,372

(0.2)

Deutsche

Post

AG

(Registered)

57,478

3,697,031

181,846

(13.0)

ProSiebenSat.1

Media

SE

195,098

3,099,317

110,018

(7.9)

Rheinmetall

AG

26,755

2,517,917

42,467

(3.0)

Luxembourg

ArcelorMittal

SA

87,408

2,803,933

(50,761)

3.6

Netherlands

ASR

Nederland

NV

87,345

4,022,525

95,146

(6.8)

Koninklijke

Ahold

Delhaize

NV

113,982

3,911,448

16,593

(1.2)

NN

Group

NV

40,280

2,178,354

62,942

(4.5)

Randstad

NV

40,276

2,747,518

132,141

(9.5)

Signify

NV

83,784

3,890,241

216,649

(15.5)

Spain

Acerinox

SA

193,847

2,494,552

88,481

(6.3)

Repsol

SA

405,107

4,797,735

210,481

(15.1)

Telefonica

SA

585,362

2,538,253

(31,150)

2.2

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(40,561)

(2,445,422)

9,459

(0.7)

China

Prosus

NV

(41,038)

(3,398,975)

(155,304)

11.1

Finland

Elisa

OYJ

(42,529)

(2,618,765)

(20,396)

1.5

France

Accor

SA

(80,387)

(2,605,618)

(186,303)

13.3

Aeroports

de

Paris

(22,647)

(2,921,547)

(134,946)

9.7

Alstom

SA

(84,113)

(2,986,892)

(199,804)

14.3

Edenred

(45,963)

(2,122,497)

(50,119)

3.6

Getlink

SE

(148,449)

(2,458,657)

(163,296)

11.7

Orpea

SA

(23,330)

(2,339,725)

(38,316)

2.7

Pernod

Ricard

SA

(14,770)

(3,553,335)

(30,267)

2.2

Remy

Cointreau

SA

(11,978)

(2,911,484)

(52,886)

3.8

Safran

SA

(29,233)

(3,578,801)

(208,459)

14.9

Sartorius

Stedim

Biotech

(5,373)

(2,950,885)

(160,375)

11.5

Germany

Commerzbank

AG

(393,288)

(2,975,452)

(122,851)

8.8

Deutsche

Lufthansa

AG

(Registered)

(452,234)

(3,166,521)

(94,222)

6.7

MTU

Aero

Engines

AG

(17,020)

(3,455,810)

(172,176)

12.3

Netherlands

ABN

AMRO

Bank

NV

(161,090)

(2,367,976)

(88,282)

6.3

Argenx

SE

(9,234)

(3,283,685)

(371,463)

26.6

IMCD

NV

(12,821)

(2,833,483)

(84,906)

6.1

Saudi

Arabia

Delivery

Hero

SE

(20,732)

(2,294,837)

(132,050)

9.5

Spain

Amadeus

IT

Group

SA

(60,710)

(4,107,897)

(259,375)

18.6

Cellnex

Telecom

SA

(98,037)

(5,679,050)

(230,767)

16.5

Ferrovial

SA

(174,060)

(5,443,499)

(350,634)

25.1

247

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

3-49

months

maturity

02/17/2022

$14,743,967

$(3,153)

$2,427

$(726)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

54,407

2,743,103

(28,010)

3858.2

Norway

Equinor

ASA

56,679

1,500,821

(20,022)

2757.9

Leroy

Seafood

Group

ASA

31,925

249,490

11,060

(1523.5)

Norsk

Hydro

ASA

306,003

2,407,812

117,584

(16196.2)

Orkla

ASA

11,183

112,094

3,227

(444.5)

United

Kingdom

Subsea

7

SA

83,363

596,333

4,582

(631.1)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(12,488)

(825,388)

25,544

(3518.4)

France

Adevinta

ASA

(56,223)

(746,870)

(1,791)

246.7

Norway

Gjensidige

Forsikring

ASA

(36,897)

(895,155)

(7,092)

976.8

Mowi

ASA

(18,347)

(434,214)

(5,227)

720.0

Salmar

ASA

(7,473)

(515,412)

(13,177)

1814.9

Schibsted

ASA

(26,303)

(1,014,104)

2,727

(375.6)

Telenor

ASA

(33,924)

(533,254)

(3,983)

548.6

TOMRA

Systems

ASA

(30,345)

(2,169,917)

(88,575)

12200.4

248

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.50%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-49

months

maturity

02/17/2022

$52,068,343

$(581,494)

$(10,050)

$(591,544)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Axfood

AB

23,725

682,998

23,810

(4.0)

BillerudKorsnas

AB

56,777

1,068,522

(71,806)

12.1

Boliden

AB

47,157

1,818,362

24,344

(4.1)

Electrolux

AB

109,740

2,657,868

79,288

(13.4)

Elekta

AB

34,110

431,271

20,250

(3.4)

Essity

AB

62,012

2,023,129

33,021

(5.6)

Getinge

AB

71,885

3,132,904

154,132

(26.1)

H

&

M

Hennes

&

Mauritz

AB

52,160

1,023,489

52,107

(8.8)

Hexpol

AB

13,788

184,384

7,343

(1.2)

Husqvarna

AB

83,593

1,336,561

48,140

(8.1)

ICA

Gruppen

AB

22,561

1,334,255

1,016

(0.2)

Saab

AB

41,489

1,053,808

32,364

(5.5)

Sandvik

AB

5,491

153,054

9,521

(1.6)

Securitas

AB

234,592

3,227,157

91,934

(15.5)

Skanska

AB

17,811

460,257

22,146

(3.7)

SKF

AB

43,652

1,032,358

26,066

(4.4)

SSAB

AB

247,558

1,430,889

24,994

(4.2)

Svenska

Handelsbanken

AB

17,090

184,708

7,703

(1.3)

Swedbank

AB

6,715

134,944

3,382

(0.6)

Swedish

Orphan

Biovitrum

AB

31,732

648,905

6,700

(1.1)

Telefonaktiebolaget

LM

Ericsson

185,157

2,037,290

50,221

(8.5)

Telia

Co.

AB

91,846

359,207

2,722

(0.5)

Trelleborg

AB

38,304

1,004,998

70,236

(11.9)

Volvo

AB

28,809

666,252

34,116

(5.8)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(12,594)

(358,002)

(12,975)

2.2

Sweden

AAK

AB

(38,846)

(837,549)

(8,639)

1.5

Alfa

Laval

AB

(10,010)

(402,097)

(23,268)

3.9

Assa

Abloy

AB

(6,690)

(203,918)

(6,941)

1.2

Atlas

Copco

AB

(11,249)

(777,315)

(39,841)

6.7

Beijer

Ref

AB

(41,916)

(913,911)

(88,672)

15.0

Embracer

Group

AB

(50,878)

(539,765)

(55,192)

9.3

249

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Epiroc

AB

(28,293)

(715,411)

(29,831)

5.0

EQT

AB

(48,715)

(2,640,842)

64,904

(11.0)

Evolution

AB

(6,526)

(922,392)

(75,975)

12.8

Hexagon

AB

(74,182)

(1,175,084)

(74,049)

12.5

Holmen

AB

(32,028)

(1,533,843)

(61,205)

10.3

Indutrade

AB

(13,077)

(399,255)

(44,881)

7.6

Lifco

AB

(88,862)

(2,654,187)

(258,009)

43.6

Nibe

Industrier

AB

(166,074)

(2,509,368)

(223,690)

37.8

Sinch

AB

(89,846)

(1,133,707)

(114,844)

19.4

Svenska

Cellulosa

AB

SCA

(121,528)

(2,156,430)

(57,666)

9.7

Sweco

AB

(60,945)

(1,146,829)

(106,160)

17.9

Swedish

Match

AB

(288,022)

(2,286,515)

(86,532)

14.6

Tele2

AB

(47,271)

(674,353)

(31,778)

5.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-34.00%

to

0.40%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-24

months

maturity

ranging

from

04/19/2023

-

04/20/2023

$97,542,009

$398,270

$98,466

$496,736

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Banco

do

Brasil

SA

603,500

3,119,125

(102,479)

(20.6)

Braskem

SA

64,500

681,660

55,133

11.1

Cia

Siderurgica

Nacional

SA

326,300

1,461,444

(1,294)

(0.3)

Petroleo

Brasileiro

SA

364,400

1,851,206

(8,072)

(1.6)

Telefonica

Brasil

SA

119,000

1,033,046

1,530

0.3

Vibra

Energia

SA

342,200

1,312,082

(18,973)

(3.8)

Taiwan

AU

Optronics

Corp.

3,915,000

3,236,376

(17,380)

(3.5)

Catcher

Technology

Co.

Ltd.

500,000

2,826,594

56,394

11.4

Cathay

Financial

Holding

Co.

Ltd.

606,000

1,365,229

46,209

9.3

Cheng

Shin

Rubber

Industry

Co.

Ltd.

501,000

652,905

1,355

0.3

Evergreen

Marine

Corp.

Taiwan

Ltd.

128,000

655,734

8,733

1.8

Formosa

Chemicals

&

Fibre

Corp.

269,000

784,565

17,135

3.4

Foxconn

Technology

Co.

Ltd.

338,000

791,528

14,500

2.9

Hon

Hai

Precision

Industry

Co.

Ltd.

311,000

1,166,294

8,255

1.7

Innolux

Corp.

5,264,000

3,719,809

65,014

13.1

Lite-On

Technology

Corp.

297,000

683,916

22,526

4.5

Nanya

Technology

Corp.

1,168,000

3,289,810

108,879

21.9

Novatek

Microelectronics

Corp.

73,000

1,417,537

22,981

4.6

250

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Taiwan

(continued)

Pegatron

Corp.

744,000

1,856,353

30,875

6.2

Pou

Chen

Corp.

1,259,000

1,506,175

34,153

6.9

Powertech

Technology,

Inc.

455,000

1,603,437

28,728

5.8

Shin

Kong

Financial

Holding

Co.

Ltd.

1,813,200

722,583

31,210

6.3

Taiwan

Business

Bank

3,016,050

1,078,358

31,186

6.3

Winbond

Electronics

Corp.

722,000

884,062

90,511

18.2

Yang

Ming

Marine

Transport

Corp.

285,000

1,239,616

(26,668)

(5.4)

United

States

JBS

SA

453,200

3,092,205

137,704

27.7

Short

Positions

Common

Stocks

Brazil

B3

SA

-

Brasil

Bolsa

Balcao

(612,400)

(1,219,524)

107,302

21.6

Banco

BTG

Pactual

SA

(534,000)

(2,005,751)

131,477

26.5

Banco

Inter

SA

(143,398)

(729,138)

36,091

7.3

Cosan

SA

(527,300)

(2,071,712)

(16,982)

(3.4)

Localiza

Rent

a

Car

SA

(177,700)

(1,685,975)

89,248

18.0

Magazine

Luiza

SA

(1,160,000)

(1,495,221)

(135,469)

(27.3)

Rumo

SA

(332,700)

(1,058,965)

9,102

1.8

Suzano

SA

(107,200)

(1,157,877)

2,670

0.5

WEG

SA

(210,800)

(1,241,645)

51,339

10.3

China

Silergy

Corp.

(9,000)

(1,628,967)

(112,022)

(22.6)

Taiwan

Advantech

Co.

Ltd.

(186,000)

(2,658,925)

11,031

2.2

ASMedia

Technology,

Inc.

(14,000)

(918,060)

(3,899)

(0.8)

Chailease

Holding

Co.

Ltd.

(372,600)

(3,544,104)

(132,579)

(26.7)

China

Development

Financial

Holding

Corp.

(1,705,000)

(1,076,863)

(43,292)

(8.7)

Chunghwa

Telecom

Co.

Ltd.

(237,000)

(997,674)

(17,134)

(3.4)

Delta

Electronics,

Inc.

(152,000)

(1,508,172)

(37,162)

(7.5)

E.Sun

Financial

Holding

Co.

Ltd.

(2,184,318)

(2,213,929)

(13,666)

(2.8)

Formosa

Petrochemical

Corp.

(432,000)

(1,493,765)

(3,322)

(0.7)

Mega

Financial

Holding

Co.

Ltd.

(852,000)

(1,094,197)

6,246

1.3

Oneness

Biotech

Co.

Ltd.

(103,000)

(1,070,318)

9,853

2.0

Quanta

Computer,

Inc.

(307,000)

(1,048,475)

(66,596)

(13.4)

Unimicron

Technology

Corp.

(212,000)

(1,764,258)

(71,056)

(14.3)

Win

Semiconductors

Corp.

(117,000)

(1,578,721)

3,950

0.8

Wiwynn

Corp.

(73,000)

(2,936,244)

(139,257)

(28.0)

251

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2021

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Cash

$

(21,041,207)

$

–

$

(21,041,207)

BARC

Cash

–

24,698,028

24,698,028

CITG

Cash

–

20,136,012

20,136,012

CITI

Cash

(20,056)

–

(20,056)

Investment

Companies

16,081,482

–

16,081,482

GSCO

Cash

–

(2,909,649)

(2,909,649)

U.S.

Treasury

Bills

–

16,169,608

16,169,608

GSIN

Cash

(12,901,641)

–

(12,901,641)

U.S.

Treasury

Bills

87,889,855

–

87,889,855

JPMC

U.S.

Treasury

Bills

29,484,405

–

29,484,405

JPMS

Cash

–

5,111,024

5,111,024

MLIN

Cash

(150,272)

–

(150,272)

MSCL

Cash

–

6,209,739

6,209,739

MSIP

Cash

199,197

–

199,197

U.S.

Treasury

Bills

37,346,337

–

37,346,337

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

432,857

$

432,857

MSCL

Cash

–

8,808,072

8,808,072

252

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

71.7%

INVESTMENT

COMPANIES

-

28.2%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(a)

(Cost

$2,841,090)

2,842,227

2,841,090

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

43.5%

U.S.

Treasury

Bills

0.21%,

6/30/2022

(2)(b)

(Cost

$4,392,383)

4,397,000

4,392,978

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$7,233,473)

7,234,068

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

71.7%

(Cost

$7,233,473)

7,234,068

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

28.3%

(c)

2,854,364

NET

ASSETS

-

100.0%

10,088,432

(a)

Represents

7-day

effective

yield

as

of

December

31,

2021.

(b)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(c)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

67,000

USD

48,087

CITI

3/16/2022

$

668

AUD

67,000

USD

48,087

JPMC

3/16/2022

668

CAD

103,000

USD

80,688

CITI

3/16/2022

727

CAD

103,000

USD

80,688

JPMC

3/16/2022

727

CHF

66,500

USD

72,250

CITI

3/16/2022

865

CHF

66,500

USD

72,250

JPMC

3/16/2022

865

DKK

124,500

USD

18,973

CITI

3/16/2022

115

DKK

124,500

USD

18,973

JPMC

3/16/2022

115

EUR

202,500

USD

229,480

CITI

3/16/2022

1,402

EUR

202,500

USD

229,480

JPMC

3/16/2022

1,401

GBP

75,000

USD

99,588

CITI

3/16/2022

1,896

GBP

75,000

USD

99,588

JPMC

3/16/2022

1,896

HKD

153,500

USD

19,675

CITI

3/16/2022

13

HKD

153,500

USD

19,675

JPMC

3/16/2022

13

NOK

40,000

USD

4,440

CITI

3/16/2022

96

NOK

40,000

USD

4,440

JPMC

3/16/2022

96

NZD

2,000

USD

1,357

CITI

3/16/2022

11

NZD

2,000

USD

1,357

JPMC

3/16/2022

11

SEK

246,000

USD

27,173

CITI

3/16/2022

66

SEK

246,000

USD

27,173

JPMC

3/16/2022

66

SGD

40,000

USD

29,276

CITI

3/16/2022

395

SGD

40,000

USD

29,276

JPMC

3/16/2022

395

USD

947

JPY

107,500

CITI

3/16/2022

12

USD

947

JPY

107,500

JPMC

3/16/2022

12

USD

332

SEK

3,000

CITI

3/16/2022

–

USD

332

SEK

3,000

JPMC

3/16/2022

–

Total

unrealized

appreciation

12,531

ILS

15,500

USD

4,992

CITI

3/16/2022

(4)

ILS

15,500

USD

4,992

JPMC

3/16/2022

(4)

JPY

18,475,500

USD

162,098

CITI

3/16/2022

(1,388)

JPY

18,475,500

USD

162,098

JPMC

3/16/2022

(1,388)

253

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,077

AUD

1,500

CITI

3/16/2022

$

(15)

USD

1,077

AUD

1,500

JPMC

3/16/2022

(15)

USD

76

DKK

500

CITI

3/16/2022

–

USD

76

DKK

500

JPMC

3/16/2022

–

USD

2,272

EUR

2,000

CITI

3/16/2022

(9)

USD

2,272

EUR

2,000

JPMC

3/16/2022

(9)

USD

666

GBP

500

CITI

3/16/2022

(10)

USD

666

GBP

500

JPMC

3/16/2022

(10)

USD

320

HKD

2,500

CITI

3/16/2022

–

USD

320

HKD

2,500

JPMC

3/16/2022

–

Total

unrealized

depreciation

(2,852)

Net

unrealized

appreciation

$

9,679

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.10%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

12/18/2026

-

01/05/2027

$8,307,139

$32,404

$(1,894)

$30,510

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

DeNA

Co.

Ltd.

3,000

46,197

460

1

.5

Fujitsu

Ltd.

300

51,548

(1,237)

(4

.1)

Japan

Post

Holdings

Co.

Ltd.

8,300

64,659

103

0

.3

KDDI

Corp.

3,100

90,656

(1,275)

(4

.2)

Komatsu

Ltd.

2,300

53,788

449

1

.5

Kyocera

Corp.

900

56,273

(1,314)

(4

.3)

Mazda

Motor

Corp.

6,500

49,874

(1,617)

(5

.3)

Mitsubishi

Electric

Corp.

5,300

67,273

(1,915)

(6

.3)

Mizuho

Financial

Group,

Inc.

11,400

144,794

(1,292)

(4

.2)

MS&AD

Insurance

Group

Holdings,

Inc.

1,500

46,188

(52)

(0

.2)

Nikon

Corp.

4,400

47,398

711

2

.3

Nippon

Telegraph

&

Telephone

Corp.

3,200

87,514

(1,390)

(4

.6)

254

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Nitto

Denko

Corp.

600

46,352

205

0

.7

Panasonic

Corp.

5,900

64,857

2,071

6

.8

Resona

Holdings,

Inc.

26,800

104,150

(751)

(2

.5)

SCREEN

Holdings

Co.

Ltd.

500

53,727

1,440

4

.7

Secom

Co.

Ltd.

700

48,640

161

0

.5

Sekisui

House

Ltd.

3,500

75,305

3,692

12

.1

Shimamura

Co.

Ltd.

800

67,136

(1,229)

(4

.0)

Sompo

Holdings,

Inc.

1,100

46,391

(2,623)

(8

.6)

Sumitomo

Heavy

Industries

Ltd.

2,100

50,973

2,743

9

.0

Taisei

Corp.

2,300

69,943

(1,454)

(4

.8)

Takeda

Pharmaceutical

Co.

Ltd.

3,000

81,925

330

1

.1

Yamada

Holdings

Co.

Ltd.

17,100

58,460

1,854

6

.1

Short

Positions

Common

Stocks

Japan

Benefit

One,

Inc.

(1,100)

(47,261)

(353)

(1

.2)

Central

Japan

Railway

Co.

(400)

(53,229)

2,853

9

.4

Cosmos

Pharmaceutical

Corp.

(500)

(73,506)

3,228

10

.6

Daifuku

Co.

Ltd.

(600)

(49,065)

2,509

8

.2

Daiichi

Sankyo

Co.

Ltd.

(1,800)

(45,813)

(616)

(2

.0)

Denso

Corp.

(1,200)

(99,445)

(2,417)

(7

.9)

Japan

Airlines

Co.

Ltd.

(3,300)

(62,645)

(1,214)

(4

.0)

JSR

Corp.

(1,700)

(64,606)

1,159

3

.8

Keyence

Corp.

(100)

(62,876)

1,216

4

.0

Kikkoman

Corp.

(700)

(58,948)

(2,361)

(7

.7)

Kobe

Bussan

Co.

Ltd.

(2,000)

(77,435)

(7,411)

(24

.3)

Koei

Tecmo

Holdings

Co.

Ltd.

(1,600)

(62,823)

3,877

12

.7

Lasertec

Corp.

(300)

(91,890)

(8,725)

(28

.6)

M3,

Inc.

(1,500)

(75,632)

(1,062)

(3

.5)

MonotaRO

Co.

Ltd.

(2,900)

(52,159)

3,689

12

.1

Nexon

Co.

Ltd.

(2,400)

(46,407)

1,128

3

.7

Nidec

Corp.

(1,100)

(130,124)

1,046

3

.4

Nippon

Paint

Holdings

Co.

Ltd.

(7,000)

(76,446)

2,480

8

.1

Nitori

Holdings

Co.

Ltd.

(400)

(59,829)

4,818

15

.8

Oriental

Land

Co.

Ltd.

(600)

(101,176)

4,531

14

.9

Rakuten

Group,

Inc.

(6,700)

(67,223)

(959)

(3

.1)

Shiseido

Co.

Ltd.

(900)

(50,208)

1,570

5

.1

SMC

Corp.

(200)

(135,172)

(1,900)

(6

.2)

Suzuki

Motor

Corp.

(1,700)

(65,557)

1,861

6

.1

Toyota

Motor

Corp.

(2,800)

(51,751)

364

1

.2

Yaskawa

Electric

Corp.

(1,400)

(68,692)

2,769

9

.1

255

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.48%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

12/18/2026

-

01/04/2027

$24,789,438

$34,489

$2,501

$36,990

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Allegion

plc

484

64,101

438

1

.2

Allstate

Corp.

(The)

551

64,825

1,041

2

.8

Alphabet,

Inc.

41

118,779

(23)

(0

.1)

Alphabet,

Inc.

24

69,446

(169)

(0

.5)

Amazon.com,

Inc.

50

166,717

(3,531)

(9

.5)

Apple,

Inc.

1,082

192,131

3,166

8

.6

Archer-Daniels-Midland

Co.

1,119

75,633

1,533

4

.1

Bristol-Myers

Squibb

Co.

1,062

66,216

228

0

.6

Cigna

Corp.

293

67,282

3,003

8

.1

Cisco

Systems

Inc

/Delaware

1,351

85,613

3,972

10

.7

Citigroup,

Inc.

1,945

117,459

(1,769)

(4

.8)

Coca-Cola

Co.

(The)

3,103

183,729

2,036

5

.5

Crown

Castle

International

Corp.

338

70,554

2,873

7

.8

Dell

Technologies,

Inc.

1,157

64,989

920

2

.5

Emerson

Electric

Co.

711

66,102

(857)

(2

.3)

Gartner,

Inc.

191

63,855

1,347

3

.6

Global

Payments,

Inc.

509

68,807

3,996

10

.8

Hilton

Worldwide

Holdings,

Inc.

422

65,828

6,548

17

.7

Intel

Corp.

2,044

105,266

1,141

3

.1

International

Paper

Co.

1,592

74,792

163

0

.4

Johnson

&

Johnson

446

76,297

(889)

(2

.4)

JPMorgan

Chase

&

Co.

538

85,192

(1,221)

(3

.3)

Lowe's

Cos.,

Inc.

305

78,836

1,241

3

.4

ManpowerGroup

,

Inc.

715

69,591

1,798

4

.9

Mastercard

,

Inc.

181

65,037

1,370

3

.7

Merck

&

Co.,

Inc.

983

75,337

518

1

.4

Microsoft

Corp.

774

260,312

6,936

18

.8

Mosaic

Co.

(The)

1,729

67,932

3,994

10

.8

Owens

Corning

809

73,214

150

0

.4

salesforce.com,

Inc.

288

73,189

(22)

(0

.1)

256

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Tyson

Foods,

Inc.

949

82,715

645

1

.7

VMware,

Inc.

575

66,631

640

1

.7

Walmart,

Inc.

488

70,609

131

0

.4

Short

Positions

Common

Stocks

United

States

Amphenol

Corp.

(964)

(84,311)

(3,469)

(9

.4)

Aon

plc

(272)

(81,752)

(1,266)

(3

.4)

Beyond

Meat,

Inc.

(1,061)

(69,135)

1,625

4

.4

Charter

Communications,

Inc.

(180)

(117,355)

(3,237)

(8

.7)

Costco

Wholesale

Corp.

(114)

(64,718)

(1,479)

(4

.0)

DISH

Network

Corp.

(2,132)

(69,162)

227

0

.6

Dollar

General

Corp.

(346)

(81,597)

(3,740)

(10

.1)

First

Citizens

BancShares

,

Inc.

(84)

(69,707)

(2,644)

(7

.1)

First

Financial

Bankshares

,

Inc.

(1,572)

(79,920)

(1,029)

(2

.8)

Liberty

Broadband

Corp.

(647)

(104,232)

(4,921)

(13

.3)

Monster

Beverage

Corp.

(693)

(66,556)

(2,964)

(8

.0)

Progressive

Corp.

(The)

(771)

(79,143)

441

1

.2

RPM

International,

Inc.

(857)

(86,557)

(1,098)

(3

.0)

Signature

Bank

(225)

(72,781)

(2,994)

(8

.1)

Stryker

Corp.

(320)

(85,574)

(4,802)

(13

.0)

Waste

Management,

Inc.

(534)

(89,125)

(778)

(2

.1)

Wayfair,

Inc.

(406)

(77,128)

843

2

.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-2.00%

to

0.35%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

12/18/2023

-

12/29/2023

$1,150,667

$(1,311)

$3,156

$1,845

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

257

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

ALS

Ltd.

1,846

17,575

(100)

(5

.4)

AMP

Ltd.

14,723

10,822

217

11

.8

Ampol

Ltd.

967

20,880

203

11

.0

Aristocrat

Leisure

Ltd.

938

29,756

(844)

(45

.7)

Australia

&

New

Zealand

Banking

Group

Ltd.

2,193

43,929

(554)

(30

.0)

BlueScope

Steel

Ltd.

2,826

43,143

(178)

(9

.7)

Brambles

Ltd.

6,461

49,984

(501)

(27

.2)

Coles

Group

Ltd.

1,551

20,238

(18)

(1

.0)

Computershare

Ltd.

769

11,194

10

0

.5

Fortescue

Metals

Group

Ltd.

812

11,414

24

1

.3

Harvey

Norman

Holdings

Ltd.

3,706

13,321

(457)

(24

.8)

Incitec

Pivot

Ltd.

12,280

29,026

(100)

(5

.4)

JB

Hi-Fi

Ltd.

922

32,422

(334)

(18

.1)

Mineral

Resources

Ltd.

196

8,006

(9)

(0

.5)

National

Australia

Bank

Ltd.

416

8,735

(118)

(6

.4)

Newcrest

Mining

Ltd.

1,187

21,259

196

10

.6

QBE

Insurance

Group

Ltd.

2,779

22,948

(363)

(19

.7)

Ramsay

Health

Care

Ltd.

488

25,361

75

4

.1

Sonic

Healthcare

Ltd.

1,305

44,261

(79)

(4

.3)

Suncorp

Group

Ltd.

3,849

30,989

(264)

(14

.3)

Tabcorp

Holdings

Ltd.

2,929

10,701

(274)

(14

.8)

Telstra

Corp.

Ltd.

18,818

57,192

(174)

(9

.4)

Treasury

Wine

Estates

Ltd.

1,316

11,866

(103)

(5

.6)

Westpac

Banking

Corp.

1,290

20,012

(129)

(7

.0)

Worley

Ltd.

1,180

9,142

(199)

(10

.8)

Short

Positions

Common

Stocks

Australia

APA

Group

(1,194)

(8,735)

325

17

.6

Cleanaway

Waste

Management

Ltd.

(12,499)

(28,452)

10

0

.6

Commonwealth

Bank

of

Australia

(242)

(17,790)

152

8

.2

Crown

Resorts

Ltd.

(3,992)

(34,750)

102

5

.5

CSL

Ltd.

(82)

(17,343)

141

7

.6

Domino's

Pizza

Enterprises

Ltd.

(159)

(13,647)

403

21

.9

Evolution

Mining

Ltd.

(4,976)

(14,763)

7

0

.4

IDP

Education

Ltd.

(851)

(21,439)

611

33

.1

IGO

Ltd.

(1,361)

(11,398)

(80)

(4

.3)

Insurance

Australia

Group

Ltd.

(6,805)

(21,089)

349

18

.9

Lendlease

Corp.

Ltd.

(3,317)

(25,828)

(102)

(5

.5)

Lynas

Rare

Earths

Ltd.

(1,306)

(9,691)

64

3

.5

Magellan

Financial

Group

Ltd.

(1,480)

(22,870)

(309)

(16

.7)

Northern

Star

Resources

Ltd.

(3,550)

(24,415)

(137)

(7

.4)

OZ

Minerals

Ltd.

(459)

(9,463)

55

3

.0

258

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Pilbara

Minerals

Ltd.

(7,674)

(17,901)

(201)

(10

.9)

Pro

Medicus

Ltd.

(725)

(32,904)

432

23

.4

Qantas

Airways

Ltd.

(7,070)

(25,790)

31

1

.7

REA

Group

Ltd.

(290)

(35,363)

(18)

(1

.0)

Reece

Ltd.

(1,490)

(29,303)

(98)

(5

.3)

SEEK

Ltd.

(903)

(21,527)

501

27

.2

Sydney

Airport

(2,335)

(14,742)

21

1

.1

Transurban

Group

(1,124)

(11,290)

118

6

.4

Woolworths

Group

Ltd.

(519)

(14,347)

194

10

.5

United

States

James

Hardie

Industries

plc

(267)

(10,747)

181

9

.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

14

months

maturity

ranging

from

01/25/2023

-

02/27/2023

$1,642,832

$(3,810)

$5,990

$2,180

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Atco

Ltd.

586

19,781

10

0

.5

Bank

of

Montreal

475

51,141

(281)

(12

.9)

Bank

of

Nova

Scotia

(The)

1,126

79,713

(1,487)

(68

.2)

Canadian

Imperial

Bank

of

Commerce

391

45,577

(138)

(6

.3)

Canadian

National

Railway

Co.

184

22,602

(120)

(5

.5)

Canadian

Tire

Corp.

Ltd.

224

32,130

(242)

(11

.1)

CGI,

Inc.

430

38,022

(454)

(20

.8)

Cogeco

Communications,

Inc.

210

16,723

167

7

.7

Descartes

Systems

Group,

Inc.

(The)

186

15,383

(126)

(5

.8)

Enbridge,

Inc.

652

25,468

149

6

.8

Finning

International,

Inc.

1,689

42,567

120

5

.5

George

Weston

Ltd.

173

20,058

(131)

(6

.0)

Gildan

Activewear

,

Inc.

503

21,326

(198)

(9

.1)

Kinross

Gold

Corp.

7,693

44,639

846

38

.8

Loblaw

Cos.

Ltd.

318

26,054

(193)

(8

.8)

259

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Magna

International,

Inc.

387

31,313

30

1

.4

National

Bank

of

Canada

271

20,661

(125)

(5

.7)

Nutrien

Ltd.

295

22,174

(514)

(23

.6)

Onex

Corp.

224

17,581

(136)

(6

.2)

Open

Text

Corp.

344

16,328

(250)

(11

.5)

Parkland

Corp.

778

21,385

79

3

.6

SNC-Lavalin

Group,

Inc.

903

22,065

(306)

(14

.0)

Stantec

,

Inc.

330

18,541

(186)

(8

.5)

Toromont

Industries

Ltd.

335

30,286

147

6

.7

Toronto-Dominion

Bank

(The)

377

28,903

(161)

(7

.4)

West

Fraser

Timber

Co.

Ltd.

348

33,200

(338)

(15

.5)

Chile

Lundin

Mining

Corp.

2,543

19,862

26

1

.2

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(634)

(27,205)

6

0

.3

Canada

Air

Canada

(2,940)

(49,110)

488

22

.4

Alamos

Gold,

Inc.

(2,602)

(20,015)

(307)

(14

.1)

Algonquin

Power

&

Utilities

Corp.

(2,940)

(42,463)

509

23

.4

Ballard

Power

Systems,

Inc.

(3,693)

(46,391)

(1,675)

(76

.8)

BCE,

Inc.

(1,875)

(97,548)

163

7

.5

Boralex

,

Inc.

(1,057)

(28,979)

(466)

(21

.4)

CAE,

Inc.

(899)

(22,678)

40

1

.9

Canadian

Pacific

Railway

Ltd.

(558)

(40,133)

544

24

.9

Canopy

Growth

Corp.

(2,429)

(21,199)

272

12

.5

Constellation

Software,

Inc.

(9)

(16,698)

183

8

.4

Dollarama

,

Inc.

(386)

(19,319)

91

4

.2

Element

Fleet

Management

Corp.

(2,413)

(24,570)

58

2

.6

Emera

,

Inc.

(341)

(17,043)

(35)

(1

.6)

Innergex

Renewable

Energy,

Inc.

(1,065)

(15,660)

(101)

(4

.6)

Kinaxis

,

Inc.

(106)

(14,860)

105

4

.8

Pan

American

Silver

Corp.

(996)

(24,850)

(92)

(4

.2)

Restaurant

Brands

International,

Inc.

(879)

(53,298)

402

18

.4

Saputo,

Inc.

(529)

(11,919)

79

3

.6

Shopify,

Inc.

(9)

(12,392)

283

13

.0

WSP

Global,

Inc.

(98)

(14,226)

(80)

(3

.6)

United

States

Brookfield

Renewable

Corp.

(967)

(35,585)

(785)

(36

.0)

Zambia

First

Quantum

Minerals

Ltd.

(609)

(14,573)

61

2

.8

260

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.23%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

12/27/2023

-

01/25/2024

$1,227,512

$(913)

$(1,549)

$(2,462)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

331

12,615

(81)

3

.3

Adecco

Group

AG

(Registered)

1,292

65,837

397

(16

.1)

Baloise

Holding

AG

(Registered)

82

13,383

100

(4

.1)

Barry

Callebaut

AG

(Registered)

12

29,132

289

(11

.7)

Belimo

Holding

AG

(Registered)

12

7,620

204

(8

.3)

BKW

AG

27

3,506

33

(1

.3)

Bucher

Industries

AG

(Registered)

38

18,725

124

(5

.0)

Clariant

AG

(Registered)

161

3,344

(10)

0

.4

Credit

Suisse

Group

AG

(Registered)

1,186

11,499

(24)

1

.0

DKSH

Holding

AG

216

17,804

36

(1

.5)

dormakaba

Holding

AG

22

14,530

(17)

0

.7

Galenica

AG

294

22,079

298

(12

.1)

Geberit

AG

(Registered)

50

40,757

(59)

2

.4

Georg

Fischer

AG

(Registered)

11

16,643

(281)

11

.4

Helvetia

Holding

AG

(Registered)

40

4,699

28

(1

.1)

Julius

Baer

Group

Ltd.

95

6,353

(26)

1

.0

Kuehne

+

Nagel

International

AG

(Registered)

178

57,326

243

(9

.9)

Novartis

AG

(Registered)

1,164

102,283

(169)

6

.9

OC

Oerlikon

Corp.

AG

(Registered)

1,580

16,159

(63)

2

.5

Roche

Holding

AG

41

17,009

(89)

3

.6

SGS

SA

(Registered)

4

13,335

59

(2

.4)

Swiss

Life

Holding

AG

(Registered)

24

14,663

(76)

3

.1

Swisscom

AG

(Registered)

45

25,386

(48)

2

.0

Tecan

Group

AG

(Registered)

20

12,147

(67)

2

.7

Temenos

AG

(Registered)

269

37,079

808

(32

.8)

UBS

Group

AG

(Registered)

3,066

55,033

(553)

22

.5

United

States

Swiss

Re

AG

359

35,438

(30)

1

.2

261

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Austria

ams

AG

(960)

(17,372)

437

(17

.8)

Switzerland

Alcon,

Inc.

(88)

(7,762)

9

(0

.3)

Bachem

Holding

AG

(Registered)

(26)

(20,359)

(980)

39

.8

Chocoladefabriken

Lindt

&

Spruengli

AG

(4)

(55,443)

(657)

26

.7

Cie

Financiere

Richemont

SA

(55)

(8,219)

35

(1

.4)

EMS-

Chemie

Holding

AG

(Registered)

(21)

(23,469)

(167)

6

.8

Flughafen

Zurich

AG

(Registered)

(178)

(31,966)

246

(10

.0)

Givaudan

SA

(Registered)

(8)

(41,973)

(275)

11

.2

Holcim

Ltd.

(178)

(9,053)

15

(0

.6)

Idorsia

Ltd.

(1,807)

(36,824)

(116)

4

.7

Logitech

International

SA

(Registered)

(27)

(2,265)

43

(1

.8)

Lonza

Group

AG

(Registered)

(28)

(23,312)

139

(5

.7)

Nestle

SA

(Registered)

(227)

(31,693)

26

(1

.1)

Partners

Group

Holding

AG

(15)

(24,762)

(27)

1

.1

Schindler

Holding

AG

(60)

(16,106)

250

(10

.2)

SIG

Combibloc

Group

AG

(2,020)

(56,265)

(663)

26

.9

Sika

AG

(Registered)

(239)

(99,333)

(730)

29

.7

Sonova

Holding

AG

(Registered)

(7)

(2,736)

(10)

0

.4

Straumann

Holding

AG

(Registered)

(9)

(19,031)

150

(6

.1)

Sulzer

AG

(Registered)

(100)

(9,824)

54

(2

.2)

VAT

Group

AG

(31)

(15,361)

282

(11

.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

12/27/2023

-

01/25/2024

$519,099

$(789)

$8,948

$8,159

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

262

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

27

96,371

(102)

(1

.2)

Carlsberg

A/S

309

53,348

318

3

.9

Demant

A/S

112

5,735

–

(0

.0)

Genmab

A/S

57

22,752

89

1

.1

GN

Store

Nord

A/S

799

50,134

(209)

(2

.6)

H

Lundbeck

A/S

750

19,311

(266)

(3

.3)

ISS

A/S

452

8,570

(121)

(1

.5)

Novo

Nordisk

A/S

486

54,590

408

5

.0

Pandora

A/S

62

7,712

22

0

.3

Short

Positions

Common

Stocks

Denmark

Chr

Hansen

Holding

A/S

(117)

(9,226)

(30)

(0

.4)

Coloplast

A/S

(50)

(8,804)

83

1

.0

DSV

A/S

(96)

(22,371)

(149)

(1

.8)

Novozymes

A/S

(365)

(29,970)

(508)

(6

.2)

Orsted

A/S

(131)

(16,777)

(170)

(2

.1)

ROCKWOOL

International

A/S

(57)

(24,891)

213

2

.6

SimCorp

A/S

(36)

(3,924)

11

0

.1

Tryg

A/S

(921)

(22,728)

(105)

(1

.3)

Vestas

Wind

Systems

A/S

(2,032)

(61,885)

(273)

(3

.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-6.00%

to

0.30%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

12/27/2023

-

01/25/2024

$5,484,178

$(4,829)

$(1,706)

$(6,535)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

263

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Atos

SE

982

41,599

(91)

1

.4

Cie

de

Saint-Gobain

774

54,448

263

(4

.0)

Kering

SA

63

50,548

410

(6

.3)

Orange

SA

3,824

40,849

45

(0

.7)

Publicis

Groupe

SA

975

65,690

392

(6

.0)

Thales

SA

498

42,363

(195)

3

.0

Vivendi

SE

4,089

55,312

(87)

1

.3

Germany

Allianz

SE

(Registered)

320

75,475

(139)

2

.1

Brenntag

SE

432

39,011

596

(9

.1)

Deutsche

Bank

AG

(Registered)

5,049

62,885

(1,627)

24

.9

Deutsche

Post

AG

(Registered)

1,289

82,910

927

(14

.2)

E.ON

SE

2,793

38,816

477

(7

.3)

Merck

KGaA

175

45,020

(404)

6

.2

ProSiebenSat.1

Media

SE

2,471

39,254

(200)

3

.1

Italy

Banco

BPM

SpA

14,310

42,846

775

(11

.9)

UniCredit

SpA

2,768

42,548

(84)

1

.3

Netherlands

ASML

Holding

NV

120

96,122

(1,299)

19

.9

ASR

Nederland

NV

1,197

55,126

(54)

0

.8

Koninklijke

Ahold

Delhaize

NV

1,615

55,421

256

(3

.9)

Koninklijke

DSM

NV

225

50,671

346

(5

.3)

Koninklijke

KPN

NV

15,837

49,223

268

(4

.1)

NN

Group

NV

726

39,262

(330)

5

.0

Wolters

Kluwer

NV

361

42,490

678

(10

.4)

Singapore

STMicroelectronics

NV

1,380

67,861

(1,171)

17

.9

Spain

CaixaBank

SA

15,729

42,966

522

(8

.0)

Iberdrola

SA

4,711

55,778

1,970

(30

.1)

Industria

de

Diseno

Textil

SA

1,927

62,146

232

(3

.5)

Red

Electrica

Corp.

SA

1,827

39,508

783

(12

.0)

Telefonica

SA

9,181

39,811

(967)

14

.8

Short

Positions

Common

Stocks

China

Prosus

NV

(747)

(61,870)

674

(10

.3)

France

Aeroports

de

Paris

(389)

(50,182)

(867)

13

.3

L'Oreal

SA

(92)

(43,867)

(68)

1

.0

Pernod

Ricard

SA

(209)

(50,281)

(169)

2

.6

Safran

SA

(545)

(66,721)

(526)

8

.1

SOITEC

(204)

(49,982)

(281)

4

.3

264

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

Deutsche

Telekom

AG

(Registered)

(4,763)

(88,008)

104

(1

.6)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(923)

(59,836)

(462)

7

.1

Hannover

Rueck

SE

(270)

(51,191)

(24)

0

.4

Siemens

Healthineers

AG

(1,125)

(83,879)

167

(2

.5)

Italy

Ferrari

NV

(209)

(53,798)

75

(1

.1)

FinecoBank

Banca

Fineco

SpA

(3,886)

(68,054)

(163)

2

.5

Nexi

SpA

(2,867)

(45,432)

477

(7

.3)

Netherlands

Argenx

SE

(137)

(48,718)

(226)

3

.5

IMCD

NV

(378)

(83,539)

(131)

2

.0

Saudi

Arabia

Delivery

Hero

SE

(760)

(84,125)

1,015

(15

.5)

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

(1,958)

(52,202)

(682)

10

.4

Aena

SME

SA

(257)

(40,473)

(429)

6

.6

Amadeus

IT

Group

SA

(837)

(56,635)

120

(1

.8)

Cellnex

Telecom

SA

(986)

(57,117)

(667)

10

.2

Ferrovial

SA

(2,344)

(73,306)

(527)

8

.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.23%

to

0.30%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

12/27/2023

-

01/25/2024

$2,013,918

$(9,136)

$10,645

$1,509

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Rio

Tinto

plc

1,529

100,832

539

35

.7

United

Kingdom

Ashmore

Group

plc

4,266

16,854

(18)

(1

.2)

Aviva

plc

3,277

18,267

(83)

(5

.5)

BAE

Systems

plc

5,360

39,971

155

10

.3

Barclays

plc

20,279

51,656

(84)

(5

.6)

Barratt

Developments

plc

2,316

23,518

32

2

.1

Bellway

plc

497

22,589

(34)

(2

.3)

265

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Berkeley

Group

Holdings

plc

429

27,780

(666)

(44

.1)

DCC

plc

646

52,884

(540)

(35

.8)

Diageo

plc

1,195

65,338

(888)

(58

.8)

Entain

plc

918

20,982

355

23

.5

GlaxoSmithKline

plc

3,209

69,869

(383)

(25

.4)

Howden

Joinery

Group

plc

3,352

41,058

(945)

(62

.7)

Inchcape

plc

2,372

29,201

(176)

(11

.7)

Intertek

Group

plc

388

29,600

(94)

(6

.2)

J

Sainsbury

plc

8,240

30,801

(305)

(20

.2)

Kingfisher

plc

12,082

55,574

(1,924)

(127

.5)

Lloyds

Banking

Group

plc

80,731

52,426

(25)

(1

.7)

Man

Group

plc

6,231

19,179

(58)

(3

.9)

Marks

&

Spencer

Group

plc

5,757

18,110

(186)

(12

.3)

Persimmon

plc

589

22,829

(123)

(8

.1)

Royal

Mail

plc

9,295

63,729

(1,867)

(123

.7)

Sage

Group

plc

(The)

5,056

58,503

318

21

.1

Schroders

plc

359

17,328

(19)

(1

.3)

Spectris

plc

742

36,933

(266)

(17

.6)

Unilever

plc

1,102

59,118

(113)

(7

.5)

Vodafone

Group

plc

10,446

15,734

(192)

(12

.7)

WPP

plc

1,329

20,238

(71)

(4

.7)

Short

Positions

Common

Stocks

United

Kingdom

Abcam

plc

(927)

(21,745)

(237)

(15

.7)

Admiral

Group

plc

(750)

(32,103)

(126)

(8

.4)

AstraZeneca

plc

(706)

(82,439)

278

18

.4

B&M

European

Value

Retail

SA

(7,022)

(60,485)

(55)

(3

.6)

BT

Group

plc

(13,042)

(30,003)

23

1

.5

Compass

Group

plc

(2,091)

(47,076)

(730)

(48

.4)

Croda

International

plc

(138)

(18,902)

141

9

.3

easyJet

plc

(2,431)

(18,466)

(361)

(23

.9)

Experian

plc

(397)

(19,555)

150

9

.9

Halma

plc

(660)

(28,617)

113

7

.5

Hargreaves

Lansdown

plc

(1,013)

(18,615)

121

8

.0

HSBC

Holdings

plc

(3,287)

(19,851)

143

9

.5

Legal

&

General

Group

plc

(5,118)

(20,668)

3

0

.2

NatWest

Group

plc

(7,309)

(22,382)

143

9

.5

Prudential

plc

(2,612)

(45,169)

84

5

.6

Reckitt

Benckiser

Group

plc

(241)

(20,746)

33

2

.2

Rentokil

Initial

plc

(1,971)

(15,602)

(123)

(8

.2)

Rightmove

plc

(1,402)

(15,129)

34

2

.2

Rolls-Royce

Holdings

plc

(27,162)

(45,337)

(527)

(34

.9)

Severn

Trent

plc

(500)

(19,966)

228

15

.1

Taylor

Wimpey

plc

(13,377)

(31,893)

110

7

.3

266

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Whitbread

plc

(542)

(22,047)

(273)

(18

.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

12/18/2023

$413,941

$1,168

$3,880

$5,048

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

10,500

34,435

(38)

(0

.7)

Hong

Kong

AIA

Group

Ltd.

2,400

24,223

(216)

(4

.3)

ASM

Pacific

Technology

Ltd.

1,900

20,533

126

2

.5

Bank

of

East

Asia

Ltd.

(The)

4,600

6,610

27

0

.5

CK

Asset

Holdings

Ltd.

2,000

12,616

9

0

.2

Hang

Seng

Bank

Ltd.

400

7,325

(93)

(1

.8)

Hong

Kong

Exchanges

&

Clearing

Ltd.

100

5,848

8

0

.2

Kerry

Properties

Ltd.

4,000

10,417

(47)

(0

.9)

Man

Wah

Holdings

Ltd.

7,200

11,165

177

3

.5

MTR

Corp.

Ltd.

500

2,684

1

0

.0

New

World

Development

Co.

Ltd.

2,000

7,919

134

2

.7

Sino

Land

Co.

Ltd.

4,000

4,981

(21)

(0

.4)

Sun

Hung

Kai

Properties

Ltd.

2,500

30,336

(59)

(1

.2)

Swire

Properties

Ltd.

1,400

3,510

41

0

.8

WH

Group

Ltd.

31,000

19,460

(656)

(13

.0)

Macau

SJM

Holdings

Ltd.

4,000

2,695

63

1

.3

267

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(14,100)

(37,068)

1,267

25

.1

Chow

Tai

Fook

Jewellery

Group

Ltd.

(9,800)

(17,658)

(189)

(3

.7)

ESR

Cayman

Ltd.

(5,200)

(17,590)

16

0

.3

SITC

International

Holdings

Co.

Ltd.

(1,000)

(3,617)

160

3

.2

Hong

Kong

Hang

Lung

Properties

Ltd.

(3,000)

(6,171)

115

2

.3

Power

Assets

Holdings

Ltd.

(1,000)

(6,233)

76

1

.5

Techtronic

Industries

Co.

Ltd.

(1,500)

(29,902)

(643)

(12

.7)

Wharf

Real

Estate

Investment

Co.

Ltd.

(9,000)

(45,731)

1,476

29

.2

Macau

Galaxy

Entertainment

Group

Ltd.

(8,000)

(41,501)

(513)

(10

.2)

Sands

China

Ltd.

(1,600)

(3,713)

(53)

(1

.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.30%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

12/27/2023

$328,827

$627

$2,313

$2,940

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

705

35,545

(327)

(11

.1)

Norway

Leroy

Seafood

Group

ASA

1,188

9,284

11

0

.4

Mowi

ASA

297

7,029

(26)

(0

.9)

Norsk

Hydro

ASA

6,643

52,271

(805)

(27

.4)

Orkla

ASA

4,547

45,577

431

14

.7

Telenor

ASA

2,951

46,387

161

5

.5

268

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Adevinta

ASA

(2,401)

(31,895)

934

31

.8

Norway

Gjensidige

Forsikring

ASA

(598)

(14,508)

(174)

(5

.9)

Salmar

ASA

(608)

(41,934)

389

13

.2

Schibsted

ASA

(489)

(18,853)

376

12

.8

TOMRA

Systems

ASA

(315)

(22,525)

(335)

(11

.4)

United

Kingdom

Subsea

7

SA

(422)

(3,019)

(8)

(0

.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.75%

to

0.30%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

12/27/2023

-

01/25/2024

$1,259,905

$(1,149)

$(8,738)

$(9,887)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

1,894

23,104

47

(0

.5)

Sweden

Assa

Abloy

AB

174

5,304

(1)

0

.0

Axfood

AB

216

6,218

58

(0

.6)

BillerudKorsnas

AB

676

12,722

289

(2

.9)

Boliden

AB

848

32,699

(239)

2

.4

Electrolux

AB

1,256

30,420

22

(0

.2)

Getinge

AB

951

41,447

(318)

3

.2

H

&

M

Hennes

&

Mauritz

AB

2,953

57,944

(538)

5

.4

Husqvarna

AB

1,383

22,113

219

(2

.2)

ICA

Gruppen

AB

584

34,538

26

(0

.3)

Indutrade

AB

113

3,450

116

(1

.2)

Nibe

Industrier

AB

128

1,934

49

(0

.5)

Saab

AB

1,250

31,750

70

(0

.7)

Sandvik

AB

177

4,934

1

(0

.0)

Securitas

AB

1,748

24,046

156

(1

.6)

269

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Skanska

AB

1,669

43,129

481

(4

.9)

SKF

AB

2,114

49,996

515

(5

.2)

SSAB

AB

4,992

28,854

(522)

5

.3

Svenska

Handelsbanken

AB

7,601

82,151

506

(5

.1)

Swedbank

AB

335

6,732

7

(0

.1)

Swedish

Orphan

Biovitrum

AB

156

3,190

(17)

0

.2

Telefonaktiebolaget

LM

Ericsson

7,668

84,371

57

(0

.6)

Telia

Co.

AB

15,962

62,427

9

(0

.1)

Volvo

AB

1,573

36,378

31

(0

.3)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(1,293)

(36,755)

(124)

1

.3

Sweden

AAK

AB

(806)

(17,378)

167

(1

.7)

Atlas

Copco

AB

(91)

(6,288)

(14)

0

.1

Beijer

Ref

AB

(1,276)

(27,821)

(582)

5

.9

Elekta

AB

(367)

(4,640)

(28)

0

.3

Embracer

Group

AB

(8,642)

(91,683)

(788)

8

.0

Epiroc

AB

(1,065)

(26,929)

(11)

0

.1

EQT

AB

(760)

(41,200)

1,089

(11

.0)

Essity

AB

(855)

(27,894)

(237)

2

.4

Evolution

AB

(147)

(20,777)

14

(0

.1)

Hexagon

AB

(1,059)

(16,775)

48

(0

.5)

Hexpol

AB

(1,535)

(20,527)

(321)

3

.2

Holmen

AB

(297)

(14,224)

(51)

0

.5

Lifco

AB

(1,774)

(52,987)

(922)

9

.3

Sinch

AB

(3,387)

(42,738)

424

(4

.3)

Skandinaviska

Enskilda

Banken

AB

(1,140)

(15,827)

(82)

0

.8

Svenska

Cellulosa

AB

SCA

(491)

(8,712)

(103)

1

.0

Sweco

AB

(1,022)

(19,231)

(310)

3

.1

Tele2

AB

(656)

(9,358)

(200)

2

.0

Trelleborg

AB

(1,079)

(28,310)

(142)

1

.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-1.00%

to

0.23%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

12/18/2023

$239,786

$1,575

$(277)

$1,298

270

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2021

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Yangzijiang

Shipbuilding

Holdings

Ltd.

65,000

64,583

910

70

.1

Singapore

Genting

Singapore

Ltd.

17,200

9,894

65

5

.0

Oversea-Chinese

Banking

Corp.

Ltd.

5,900

49,936

374

28

.8

Singapore

Technologies

Engineering

Ltd.

7,900

22,047

238

18

.3

Singapore

Telecommunications

Ltd.

7,200

12,395

(1)

(0

.1)

United

Overseas

Bank

Ltd.

2,600

51,926

352

27

.2

Short

Positions

Common

Stocks

China

Wilmar

International

Ltd.

(3,400)

(10,464)

(194)

(15

.0)

Singapore

City

Developments

Ltd.

(300)

(1,518)

(22)

(1

.7)

Singapore

Airlines

Ltd.

(900)

(3,337)

(44)

(3

.4)

UOL

Group

Ltd.

(2,600)

(13,686)

(103)

(7

.9)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSIN

Cash

$

2,130,000

$

–

$

2,130,000

MLIN

Cash

630,000

–

630,000

271

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

Abbreviations

ADR

-

American

Depositary

Receipt

CVR

-

Contingent

Value

Rights

FDR

-

Fiduciary

Depositary

Receipt

OYJ

-

Public

Traded

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference.  Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

SDR

-

Swedish

Depositary

Receipt

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

CNY

-

Chinese

Renminbi

COP

-

Colombian

Peso

CZK

-

Czech

Republic

Koruna

DKK

-

Danish

Krone

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

MYR

-

Malaysian

Ringgit

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

RUB

-

Russian

Ruble

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

THB

-

Thai

Baht

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BANA

-

Bank

of

America,

NA

BARC

-

Barclays

Capital,

Inc.

BNPP

-

BNP

Paribas

SA

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

CRSU

-

Credit

Suisse

Securities

(USA)

LLC

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

JPPC

-

J.P.

Morgan

Securities

plc

MACQ

-

Macquarie

Bank

Ltd.

MLIN

-

Merrill

Lynch

International

MPFS

-

Merrill

Lynch,

Pierce,

Fenner

&

Smith,

Inc.

MSCL

-

Morgan

Stanley

&

Co.

LLC

MSCS

-

Morgan

Stanley

Capital

Services

LLC

MSIP

-

Morgan

Stanley

&

Co.

International

plc

SOCG

-

Societe

Generale

272

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

1

Month

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

-0.08%

3

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

USD:

0.21%

Australian

Bank-Bill

Reference

Rate

(“BBR”):

0.02%

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”):

0.04%

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate

(“MUTSC”)

:

-0.02%

Brazilian

Interbank

Certificate

of

Deposit

(“CDI”):

9.15%

Canadian

Bankers’

Acceptance

Rate

("BA"):

0.45%

Canadian

Dollar

Offered

Rate

(“CDOR”):

0.45%

Canadian

Overnight

Repo

Rate

Average

("CORRA"):

0.10%

Copenhagen

Interbank

Offered

Rate(“CIBOR”):

-0.34%

Denmark

Tomorrow/Next

:

-0.46%

Euro

Short-Term

Rate

("ESTR"):

-0.59%

Federal

Funds

Floating

Rate:

0.07%

Hong

Kong

Interbank

Offered

Rate

(“HIBOR”):

0.16%

Hong

Kong

Overnight

Index

Average

(“HONIX”):

0.03%

Johannesburg

Interbank

Agreed

Rate

(“JIBAR”):

3.73%

Mexico

Equilibrium

Interbank

Interest

Rate

("TIIE"):

5.72%

Norway

Interbank

Offered

Rate

("NIBOR"):

0.80%

Norwegian

Overnight

Weighted

Average

("NOWA"):

0.50%

Overnight

Bank

Funding

Rate

("OBFR"):

0.07%

Rand

Overnight

Deposit

Rate:

3.58%

Reserve

Bank

of

Australia

Cash

Rate (“RBACR”): 0.04%

Singapore

Overnight

Rate

Average

(“SORA”):

0.31%

Sterling

Overnight

Index

Average

(“SONIA”):

0.19%

Swiss

Average

Rate

Overnight

(“SARON”):

-0.68%

Tokyo

Overnight

Average

Rate

(“TONAR”): -0.02%

Warsaw

Interbank

Offered

Rate(“WIBOR”):

2.13%

Statements

of

Assets

and

Liabilities

273

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

ALTERNATIVE

RISK

PREMIA

FUND

**

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

188,231,441

$

918,088,735

$

658,523

$

41,084,715

Investments

in

securities

of

affiliated

issuers,

at

cost

.............

—

382,197,483

31,720,138

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

223,340,788

$

937,293,264

$

658,393

$

41,716,562

Investments

in

securities

of

affiliated

issuers,

at

value

............

—

382,197,517

32,840,821

—

Cash

.................................................

3,081,264

1,429,672

—

—

Cash

denominated

in

foreign

currencies

‡

......................

428,798

1,657,969

—

1,584,376

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

..............................................

1,639,976

84,325

—

1,072

Unrealized

appreciation

on

OTC

swaps

.......................

519,181

27,951,388

—

754,153

Deposits

for

securities

sold

short

............................

6,294,688

28,653,991

—

2,225,940

Due

from

broker

........................................

91,217

53,077,283

—

10,814,808

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

premium

(received)

$(1,631,309),

$(4,305,950),

$—

and

$—,

respectively)

...........................................

1,157,425

2,451,950

—

—

Deposits

with

brokers

for

futures

contracts

.....................

9,840,436

4,008,339

—

195,279

Variation

margin

on

centrally

cleared

swaps

....................

5,906

—

—

—

Variation

margin

on

futures

contracts

.........................

12,389

131,511

—

—

Receivables:

Securities

sold

.......................................

—

2,661,436

442,684

—

Foreign

tax

reclaims

...................................

192,386

16,502

—

422,944

Dividends

and

interest

..................................

121,511

563,148

5

226

Capital

shares

sold

....................................

22,742

3,210,218

177,507

441,233

Due

from

Investment

Adviser

.............................

—

—

17,243

—

Prepaid

expenses

.......................................

29,237

69,225

19,013

24,607

Total

Assets

246,777,944

1,445,457,738

34,155,666

58,181,200

LIABILITIES:

Securities

sold

short,

at

value

(proceeds 

$127,881,259,

$87,440,558,

$–

and

$2,462,520,

respectively)

............................

107,019,572

89,159,216

—

2,505,363

Due

to

broker

..........................................

136,407

22,467,490

—

100,013

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

..............................................

1,684,726

197,421

—

1,616

Unrealized

depreciation

on

OTC

swaps

.......................

211,353

1,594,904

—

223,111

Variation

margin

on

centrally

cleared

swaps

....................

—

41,007

—

—

Variation

margin

on

futures

contracts

.........................

636,210

1,658,223

—

10,780

Payables:

–

–

–

–

Securities

purchased

...................................

486

2,770,588

514,471

9,462

Accrued

investment

advisory

fees

.........................

91,294

1,004,931

—

33,965

Accrued

distribution

fees—Class

N

........................

1,460

9,372

358

3,301

Capital

shares

redeemed

...............................

25,260

396,206

44,556

523,650

Dividends

and

interest

payable

on

securities

sold

short

.........

126,890

119,859

—

990

Other

accrued

expenses

and

liabilities

........................

92,146

487,146

31,082

81,465

Total

Liabilities

110,025,804

119,906,363

590,467

3,493,716

Commitments

and

contingent

liabilities

*

Net

Assets

$

136,752,140

$

1,325,551,375

$

33,565,199

$

54,687,484

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

...............................................

$

202,372,165

$

1,464,192,282

$

32,523,381

$

49,180,055

Total

distributable

earnings

(loss)

...........................

(65,620,025)

(138,640,907)

1,041,818

5,507,429

Net

Assets

$

136,752,140

$

1,325,551,375

$

33,565,199

$

54,687,484

NET

ASSETS:

Class

I

...............................................

$

46,807,875

$

922,765,401

$

27,047,916

$

32,802,071

Class

N

...............................................

7,421,637

44,675,746

1,791,982

15,968,634

Class

R6

..............................................

82,522,628

358,110,228

4,725,301

5,916,779

SHARES

OUTSTANDING:

–

–

–

–

Class

I

...............................................

6,189,769

76,251,849

2,500,544

4,481,423

Class

N

...............................................

985,910

3,685,631

165,948

2,215,198

Class

R6

..............................................

10,881,765

29,636,579

436,452

805,243

NET

ASSET

VALUE:

–

–

–

–

Class

I

...............................................

$

7.56

$

12.10

$

10.82

$

7.32

Class

N

...............................................

$

7.53

$

12.12

$

10.80

$

7.21

Class

R6

..............................................

$

7.58

$

12.08

$

10.83

$

7.35

‡

Cash

denominated

in

foreign

currencies,

at

cost

...............

$

426,261

$

1,763,511

$

—

$

1,580,671

*

AQR

Diversified

Arbitrage

Fund,

see

Note

4

in

the

Notes

to

Financial

Statements

for

additional

information.

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

274

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

**

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

266,475,150

$

22,937,690

$

966,602,477

$

55,343,489

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

266,473,387

$

22,937,377

$

966,602,549

$

55,343,480

Cash

.................................................

—

81,708

—

—

Cash

denominated

in

foreign

currencies

‡

......................

8,034,693

88,245

2,596,654

226,502

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

..............................................

354,254

779,049

26,060,152

2,912,809

Unrealized

appreciation

on

OTC

swaps

.......................

7,580,292

175,089

9,662,798

498,139

Due

from

broker

........................................

20,490,001

9,976

15,936,447

145,807

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

premium

(received)

$—,

$(1,329),

$—

and

$—,

respectively)

.......

—

726,978

—

—

Deposits

with

brokers

for

futures

contracts

.....................

7,522,566

3,560,553

45,923,700

4,811,086

Variation

margin

on

centrally

cleared

swaps

....................

—

2,284

—

—

Variation

margin

on

futures

contracts

.........................

—

27,838

2,563,141

125,584

Receivables:

Securities

sold

.......................................

4

—

381,295

8,372

Foreign

tax

reclaims

...................................

155,541

—

—

—

Dividends

and

interest

..................................

814

119

1,752

145

Capital

shares

sold

....................................

605,548

183,293

1,179,831

161,244

Due

from

Investment

Adviser

.............................

—

37,638

—

—

Prepaid

expenses

.......................................

30,393

17,742

73,850

24,476

Total

Assets

311,247,493

28,627,889

1,070,982,169

64,257,644

LIABILITIES:

Due

to

custodian

........................................

270,008

—

530,003

—

Due

to

broker

..........................................

3,353,454

102,847

4,604,681

315,248

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

..............................................

52,235

1,080,759

31,333,094

3,511,181

Unrealized

depreciation

on

OTC

swaps

.......................

1,651,010

38,192

971,403

185,259

Deposits

from

brokers

for

futures

contracts

....................

—

—

1,034,143

—

Variation

margin

on

futures

contracts

.........................

390,267

95,225

1,478,159

186,763

Payables:

–

–

–

–

Securities

purchased

...................................

16,578

30

472,461

13,938

Accrued

investment

advisory

fees

.........................

264,375

—

990,222

71,355

Accrued

distribution

fees—Class

N

........................

2,308

137

10,867

534

Capital

shares

redeemed

...............................

155,046

6,000

9,268,121

320,597

Other

accrued

expenses

and

liabilities

........................

154,237

87,287

485,811

93,724

Total

Liabilities

6,309,518

1,410,477

51,178,965

4,698,599

Net

Assets

$

304,937,975

$

27,217,412

$

1,019,803,204

$

59,559,045

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

...............................................

$

247,578,751

$

28,191,328

$

2,142,907,403

$

166,271,481

Total

distributable

earnings

(loss)

...........................

57,359,224

(973,916)

(1,123,104,199)

(106,712,436)

Net

Assets

$

304,937,975

$

27,217,412

$

1,019,803,204

$

59,559,045

NET

ASSETS:

Class

I

...............................................

$

278,938,531

$

7,190,148

$

870,336,826

$

37,100,086

Class

N

...............................................

11,048,745

638,211

48,893,816

2,325,431

Class

R6

..............................................

14,950,699

19,389,053

100,572,562

20,133,528

SHARES

OUTSTANDING:

–

–

–

–

Class

I

...............................................

22,660,129

798,180

119,912,936

6,090,044

Class

N

...............................................

913,522

72,073

6,791,239

380,076

Class

R6

..............................................

1,207,353

2,147,926

13,840,246

3,296,965

NET

ASSET

VALUE:

–

–

–

–

Class

I

...............................................

$

12.31

$

9.01

$

7.26

$

6.09

Class

N

...............................................

$

12.09

$

8.86

$

7.20

$

6.12

Class

R6

..............................................

$

12.38

$

9.03

$

7.27

$

6.11

‡

Cash

denominated

in

foreign

currencies,

at

cost

...............

$

8,022,897

$

88,554

$

2,595,736

$

226,382

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

275

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

MULTI-

ASSET

FUND

**

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

150,151,777

$

224,057,155

$

345,748,873

$

7,233,473

Investments

in

securities

of

affiliated

issuers,

at

cost

.............

—

—

255,575,486

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

165,743,088

$

224,056,603

$

349,808,638

$

7,234,068

Investments

in

securities

of

affiliated

issuers,

at

value

............

—

—

255,575,499

—

Cash

.................................................

—

—

246,396

—

Cash

denominated

in

foreign

currencies

‡

......................

571,136

—

13,444,525

—

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

..............................................

977,247

—

8,051,283

12,531

Unrealized

appreciation

on

OTC

swaps

.......................

154,195

393,619

44,805,607

90,479

Deposits

for

securities

sold

short

............................

—

—

4,937,752

—

Due

from

broker

........................................

494,000

872,121

634,445

2,760,000

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

premium

(received)

$—,

$—,

$(12,558,135)

and

$—,

respectively)

..

—

—

9,718,376

—

Deposits

with

brokers

for

futures

contracts

.....................

5,269,905

23,398,953

54,530,033

—

Variation

margin

on

centrally

cleared

swaps

....................

—

—

95,911

—

Variation

margin

on

futures

contracts

.........................

147,398

667,810

1,069,590

—

Receivables:

Securities

sold

.......................................

24,851

—

3,606

—

Foreign

tax

reclaims

...................................

66,253

—

481,418

—

Dividends

and

interest

..................................

108,483

1,034

2,060

16

Capital

shares

sold

....................................

59,533

1,175,373

653,782

—

Due

from

Investment

Adviser

.............................

—

—

—

58,657

Prepaid

expenses

.......................................

30,826

51,261

65,401

—

Total

Assets

173,646,915

250,616,774

744,124,322

10,155,751

LIABILITIES:

Securities

sold

short,

at

value

(proceeds $19,066,045,

$–,

$27,686,054

and

$–,

respectively)

.....................................

16,731,093

—

30,736,219

—

Reverse

repurchase

agreements,

at

value

(proceeds $27,420,294,

$–,

$–

and

$–,

respectively)

..................................

27,423,458

—

—

—

Due

to

custodian

........................................

347

177,999

—

—

Due

to

broker

..........................................

147,698

570,861

33,964,728

—

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

..............................................

1,307,151

—

7,882,335

2,852

Unrealized

depreciation

on

OTC

swaps

.......................

2,825

127,231

5,353,956

18,884

Deposits

from

brokers

for

futures

contracts

....................

—

—

1,240,697

—

Variation

margin

on

futures

contracts

.........................

253,950

971,510

4,819,708

—

Payables:

–

–

–

–

Securities

purchased

...................................

—

—

19,642

—

Accrued

investment

advisory

fees

.........................

41,704

146,867

739,633

—

Accrued

distribution

fees—Class

N

........................

1,250

6,762

4,188

51

Capital

shares

redeemed

...............................

186,681

408,517

1,063,629

—

Dividends

and

interest

payable

on

securities

sold

short

.........

7,881

—

16,874

—

Other

accrued

expenses

and

liabilities

........................

96,167

107,777

77,795

45,532

Total

Liabilities

46,200,205

2,517,524

85,919,404

67,319

Net

Assets

$

127,446,710

$

248,099,250

$

658,204,918

$

10,088,432

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

...............................................

$

109,391,196

$

224,642,042

$

1,066,516,592

$

10,011,021

Total

distributable

earnings

(loss)

...........................

18,055,514

23,457,208

(408,311,674)

77,411

Net

Assets

$

127,446,710

$

248,099,250

$

658,204,918

$

10,088,432

NET

ASSETS:

Class

I

...............................................

$

104,649,050

$

214,957,062

$

242,712,296

$

503,818

Class

N

...............................................

5,854,349

29,648,561

19,067,518

503,766

Class

R6

..............................................

16,943,311

3,493,627

396,425,104

9,080,848

SHARES

OUTSTANDING:

–

–

–

–

Class

I

...............................................

9,928,770

26,596,501

34,514,139

50,000

Class

N

...............................................

556,832

3,735,120

2,732,084

50,000

Class

R6

..............................................

1,609,210

430,409

56,170,219

901,150

NET

ASSET

VALUE:

–

–

–

–

Class

I

...............................................

$

10.54

$

8.08

$

7.03

$

10.08

Class

N

...............................................

$

10.51

$

7.94

$

6.98

$

10.08

Class

R6

..............................................

$

10.53

$

8.12

$

7.06

$

10.08

‡

Cash

denominated

in

foreign

currencies,

at

cost

...............

$

577,954

$

—

$

13,357,550

$

—

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

276

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

ALTERNATIVE

RISK

PREMIA

FUND

**

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

...................................

$

2,485,359

$

1,194,102

$

58

$

136,835

Affiliated

issuers

......................................

—

34,540

1,311,263

—

Interest

income

.........................................

13,727

4,144,934

—

13,128

Total

Income

2,499,086

5,373,576

1,311,321

149,963

EXPENSES:

Investment

advisory

fees

..................................

1,347,744

10,959,240

—

608,621

Custody

fees

...........................................

13,676

78,214

12,373

3,423

Administration

&

accounting

fees

............................

55,945

535,393

19,993

27,800

Legal

fees

.............................................

74,463

97,692

—

989

Audit

&

tax

fees

.........................................

141,331

453,098

40,960

109,443

Shareholder

reporting

fees

................................

38,551

76,438

20,955

19,643

Transfer

agent

fees

......................................

69,816

838,398

37,498

68,038

Trustee

fees

...........................................

11,697

59,294

2,212

8,690

Offering

costs

..........................................

—

—

46,505

—

Distribution

fees—Class

N

.................................

16,997

104,703

2,682

36,265

Dividends

and

interest

on

securities

sold

short

.................

1,554,580

2,903,427

—

97,562

Interest

expense

........................................

5,877

72,488

—

3,642

Registration

fees

........................................

77,971

77,316

69,413

55,181

Other

expenses

........................................

26,757

136,272

513

28,150

Total

Expenses

3,435,405

16,391,973

253,104

1,067,447

Less

expense

reimbursements

.............................

(345,662)

(441,145)

(205,402)

(215,383)

Net

Expenses

3,089,743

15,950,828

47,702

852,064

Net

Investment

Income

(Loss)

(590,657)

(10,577,252)

1,263,619

(702,101)

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

13,805,307

226,463,416

(14)

730,272

Transactions

in

investment

securities

of

affiliated

issuers

........

—

(13,311)

(110,333)

—

Distributions

of

capital

gains

received

from

affiliated

issuers

......

—

—

172,094

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(212,607)

22,852

—

21,712

Settlement

of

forward

foreign

currency

contracts

..............

(2,902,227)

930,828

—

(1,848)

Expiration

or

closing

of

futures

contracts

....................

2,628,668

(6,968,198)

—

726,977

Closed

short

positions

in

securities

........................

(12,375,868)

(102,400,411)

—

(448,141)

Expiration

or

closing

of

swap

contracts

.....................

1,250,034

25,067,767

—

7,415,277

Net

realized

gain

(loss)

2,193,307

143,102,943

61,747

8,444,249

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

..................

3,299,156

(155,320,680)

3

45,127

Investment

securities

of

affiliated

issuers

...................

—

34,591

1,006,375

—

Foreign

currency

and

foreign

currency

transactions

............

26

14,193

—

(77,554)

Forward

foreign

currency

exchange

contracts

................

(110,244)

13,171

—

19,892

Futures

contracts

.....................................

1,384,695

334,223

—

107,319

Short

positions

in

securities

..............................

9,338,776

78,667,261

—

63,854

Swap

contracts

.......................................

(590,734)

(1,507,751)

—

975,734

Net

change

in

unrealized

appreciation

(depreciation)

13,321,675

(77,764,992)

1,006,378

1,134,372

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

15,514,982

65,337,951

1,068,125

9,578,621

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

14,924,325

$

54,760,699

$

2,331,744

$

8,876,520

________________

†

Net

of

foreign

taxes

withheld

of

............................

$

222,576

$

83,973

$

—

$

30,792

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

277

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

**

AQR

MANAGED

FUTURES

STRATEGY

FUND**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

...................................

$

25,572

$

1,544

$

1,926

$

2,372

Affiliated

issuers

......................................

—

—

31,071

—

Interest

income

.........................................

111,417

7,211

889,176

48,318

Interfund

lending

income

..................................

—

—

3,472

—

Total

Income

136,989

8,755

925,645

50,690

EXPENSES:

Investment

advisory

fees

..................................

3,264,421

294,013

16,924,335

1,486,878

Custody

fees

...........................................

49,911

24,498

105,438

33,000

Administration

&

accounting

fees

............................

147,000

14,388

807,836

51,379

Legal

fees

.............................................

10,295

63,323

73,032

11,069

Audit

&

tax

fees

.........................................

113,159

133,890

120,231

135,074

Shareholder

reporting

fees

................................

18,206

22,526

106,515

14,656

Transfer

agent

fees

......................................

285,654

28,580

1,146,647

98,838

Trustee

fees

...........................................

21,602

7,462

86,205

11,039

Distribution

fees—Class

N

.................................

26,262

1,609

194,891

7,448

Interest

expense

........................................

18,538

1,609

99,024

6,664

Recoupment

of

waiver

and/or

reimbursement

..................

3,990

—

—

—

Registration

fees

........................................

60,090

52,225

114,113

65,187

Tax

expense

(Note

3)

....................................

—

15,943

—

45,005

Other

expenses

........................................

39,279

8,369

65,828

4,135

Total

Expenses

4,058,407

668,435

19,844,095

1,970,372

Less

expense

reimbursements

.............................

(170,986)

(315,922)

—

(242,629)

Net

Expenses

3,887,421

352,513

19,844,095

1,727,743

Net

Investment

Income

(Loss)

(3,750,432)

(343,758)

(18,918,450)

(1,677,053)

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

33,734

(469)

(15,095)

(4,166)

Transactions

in

investment

securities

of

affiliated

issuers

........

—

—

(79)

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(93,152)

(78,481)

(654,534)

6,735

Settlement

of

forward

foreign

currency

contracts

..............

(1,636,298)

(1,145,639)

(87,340,371)

(9,091,185)

Expiration

or

closing

of

futures

contracts

....................

33,192,250

1,419,868

125,965,723

9,522,668

Expiration

or

closing

of

swap

contracts

.....................

41,159,989

(838,967)

42,567,684

3,945,415

Net

realized

gain

(loss)

72,656,523

(643,688)

80,523,328

4,379,467

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

..................

(8,213)

659

(136,337)

(5,875)

Investment

securities

of

affiliated

issuers

...................

—

—

14,086

—

Foreign

currency

and

foreign

currency

transactions

............

(71,492)

(14,373)

(193,288)

(16,040)

Forward

foreign

currency

exchange

contracts

................

(1,159,026)

(99,873)

(27,202,000)

(2,340,036)

Futures

contracts

.....................................

(1,112,045)

(495,409)

(14,384,921)

(1,158,739)

Swap

contracts

.......................................

11,524,316

213,652

(16,246,267)

(1,696,633)

Net

change

in

unrealized

appreciation

(depreciation)

9,173,540

(395,344)

(58,148,727)

(5,217,323)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

81,830,063

(1,039,032)

22,374,601

(837,856)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

78,079,631

$

(1,382,790)

$

3,456,151

$

(2,514,909)

________________

†

Net

of

foreign

taxes

withheld

of

............................

$

4,722

$

—

$

4

$

—

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

278

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

MULTI-

ASSET

FUND

**

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

PERIOD

12/16/21

*

-12/31/21

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

...................................

$

1,600,206

$

9,331

$

1,350,833

$

17

Affiliated

issuers

......................................

—

—

26,323

—

Interest

income

.........................................

1,514,763

40,326

192,934

52

Total

Income

3,114,969

49,657

1,570,090

69

EXPENSES:

Investment

advisory

fees

..................................

805,856

1,395,318

9,636,203

4,503

Custody

fees

...........................................

28,118

15,229

27,235

2,000

Administration

&

accounting

fees

............................

65,852

84,617

352,218

195

Legal

fees

.............................................

14,648

12,917

33,913

500

Audit

&

tax

fees

.........................................

145,695

111,476

135,913

51,500

Shareholder

reporting

fees

................................

19,214

34,164

11,989

900

Transfer

agent

fees

......................................

140,475

192,144

312,830

1,508

Trustee

fees

...........................................

12,628

14,383

41,115

—

Offering

costs

..........................................

—

—

—

4,021

Distribution

fees—Class

N

.................................

12,220

65,425

49,555

51

Dividends

and

interest

on

securities

sold

short

and/or

reverse

repurchase

agreements

................................

218,948

—

667,492

—

Interest

expense

........................................

6,480

8,049

52,051

—

Registration

fees

........................................

58,763

69,060

103,660

2,986

Other

expenses

........................................

12,504

3,032

75,404

—

Total

Expenses

1,541,401

2,005,814

11,499,578

68,164

Less

expense

reimbursements

.............................

(243,158)

(190,676)

(451,798)

(63,159)

Net

Expenses

1,298,243

1,815,138

11,047,780

5,005

Net

Investment

Income

(Loss)

1,816,726

(1,765,481)

(9,477,690)

(4,936)

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

8,948,883

9,471

5,500,974

—

Transactions

in

investment

securities

of

affiliated

issuers

........

—

—

(10,306)

—

Maturity

of

reverse

repurchase

agreements

..................

844,252

—

—

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(207,738)

(931)

(1,077,451)

184

Settlement

of

forward

foreign

currency

contracts

..............

(307,750)

—

(12,316,035)

—

Expiration

or

closing

of

futures

contracts

....................

4,281,028

42,793,937

8,722,502

—

Closed

short

positions

in

securities

........................

(3,608,799)

—

(5,294,817)

—

Expiration

or

closing

of

swap

contracts

.....................

1,270,833

2,821,644

130,846,899

(299)

Net

realized

gain

(loss)

11,220,709

45,624,121

126,371,766

(115)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

..................

3,253,035

(903)

(1,199,708)

595

Investment

securities

of

affiliated

issuers

...................

—

—

12,016

—

Reverse

repurchase

agreements

..........................

(3,164)

—

—

—

Foreign

currency

and

foreign

currency

transactions

............

109,596

4

114,647

114

Forward

foreign

currency

exchange

contracts

................

(356,523)

—

(1,393,805)

9,679

Futures

contracts

.....................................

(1,723,275)

5,332,720

4,643,587

—

Short

positions

in

securities

..............................

3,907,666

—

(2,137,367)

—

Swap

contracts

.......................................

(459,468)

(1,366,172)

33,511,086

71,595

Net

change

in

unrealized

appreciation

(depreciation)

4,727,867

3,965,649

33,550,456

81,983

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

15,948,576

49,589,770

159,922,222

81,868

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

17,765,302

$

47,824,289

$

150,444,532

$

76,932

________________

†

Net

of

foreign

taxes

withheld

of

............................

$

90,734

$

—

$

321,718

$

—

*

Commencement

of

operations.

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

280

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

ALTERNATIVE

RISK

PREMIA

FUND

**

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

OPERATIONS:

Net

investment

income

(loss)

........................

$

(

590,657

)

$

(

614,941

)

$

(

10,577,252

)

$

(

1,616,719

)

Net

realized

gain

(loss)

.............................

2,193,307

(

33,406,827

)

143,102,943

3,306,491

Net

change

in

unrealized

appreciation

(depreciation)

.......

13,321,675

(

19,822,413

)

(

77,764,992

)

148,206,711

Net increase

(decrease)

in

net

assets

resulting

from

operations

14,924,325

(

53,844,181

)

54,760,699

149,896,483

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

.........................................

(

1,866,399

)

(

1,180,390

)

(

5,849,858

)

(

7,998,929

)

Class

N

.........................................

(

257,017

)

(

88,493

)

(

173,385

)

(

351,021

)

Class

R6

........................................

(

2,367,059

)

(

1,041,432

)

(

2,583,028

)

(

3,565,413

)

Total

(

4,490,475

)

(

2,310,315

)

(

8,606,271

)

(

11,915,363

)

Return

of

capital:

—

—

—

—

Class

I

.......................................

—

—

—

(

1,578,244

)

Class

N

.......................................

—

—

—

(

122,189

)

Class

R6

......................................

—

—

—

(

420,560

)

Total

—

—

—

(

2,120,993

)

Total

distributions

(

4,490,475

)

(

2,310,315

)

(

8,606,271

)

(

14,036,356

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

..........................

16,967,266

80,250,202

495,692,139

344,642,088

Reinvestment

of

distributions

.........................

1,832,945

1,177,365

4,577,191

7,361,430

Cost

of

shares

redeemed

...........................

(

37,098,888

)

(

135,266,918

)

(

221,272,814

)

(

302,938,272

)

Net

increase

(decrease)

from

capital

transactions

(

18,298,677

)

(

53,839,351

)

278,996,516

49,065,246

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

..........................

720,520

10,572,489

24,408,599

16,637,108

Reinvestment

of

distributions

.........................

252,376

86,306

166,515

460,924

Cost

of

shares

redeemed

...........................

(

680,743

)

(

10,629,536

)

(

16,357,046

)

(

42,164,230

)

Net

increase

(decrease)

from

capital

transactions

292,153

29,259

8,218,068

(

25,066,198

)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

..........................

45,932,684

168,241,002

181,737,377

213,497,011

Reinvestment

of

distributions

.........................

2,351,570

1,035,190

1,591,943

2,218,700

Cost

of

shares

redeemed

...........................

(

26,401,664

)

(

172,402,946

)

(

69,687,969

)

(

35,990,379

)

Net

increase

(decrease)

from

capital

transactions

21,882,590

(

3,126,754

)

113,641,351

179,725,332

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

3,876,066

(

56,936,846

)

400,855,935

203,724,380

Total

increase

(decrease)

in

net

assets

14,309,916

(

113,091,342

)

447,010,363

339,584,507

NET

ASSETS:

Beginning

of

period

................................

122,442,224

235,533,566

878,541,012

538,956,505

End

of

period

...................................

$

136,752,140

$

122,442,224

$

1,325,551,375

$

878,541,012

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

281

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

ALTERNATIVE

RISK

PREMIA

FUND

**

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

................

8,863,505

16,218,999

53,386,837

49,900,354

Shares

sold

.....................................

2,275,795

9,812,442

40,690,127

35,329,807

Shares

issued

on

reinvestment

of

distributions

...........

245,046

172,888

378,907

646,306

Shares

redeemed

.................................

(

5,194,577

)

(

17,340,824

)

(

18,204,022

)

(

32,489,630

)

Shares

outstanding,

end

of

period

6,189,769

8,863,505

76,251,849

53,386,837

CLASS

N

Shares

outstanding,

beginning

of

period

................

947,658

1,012,625

3,014,424

5,978,981

Shares

sold

.....................................

97,055

1,329,277

1,999,493

1,730,036

Shares

issued

on

reinvestment

of

distributions

...........

33,921

12,729

13,762

40,397

Shares

redeemed

.................................

(

92,724

)

(

1,406,973

)

(

1,342,048

)

(

4,734,990

)

Shares

outstanding,

end

of

period

985,910

947,658

3,685,631

3,014,424

CLASS

R6

Shares

outstanding,

beginning

of

period

................

7,938,571

9,236,940

20,297,549

2,054,739

Shares

sold

.....................................

6,187,254

21,034,287

14,876,727

21,617,773

Shares

issued

on

reinvestment

of

distributions

...........

313,543

151,565

131,893

195,136

Shares

redeemed

.................................

(

3,557,603

)

(

22,484,221

)

(

5,669,590

)

(

3,570,099

)

Shares

outstanding,

end

of

period

10,881,765

7,938,571

29,636,579

20,297,549

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

282

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31

2021

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

PERIOD

6/08/20

*

-

12/31/20

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

OPERATIONS:

Net

investment

income

(loss)

........................

$

1,263,619

$

322,960

$

(

702,101

)

$

(

263,091

)

Net

realized

gain

(loss)

.............................

61,747

427,064

8,444,249

(

40,400,650

)

Net

change

in

unrealized

appreciation

(depreciation)

.......

1,006,378

114,175

1,134,372

4,345,767

Net increase

(decrease)

in

net

assets

resulting

from

operations

2,331,744

864,199

8,876,520

(

36,317,974

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

.........................................

(

1,379,468

)

(

297,507

)

(

460,474

)

(

4,926,477

)

Class

N

.........................................

(

104,319

)

(

9,760

)

(

219,447

)

(

936,496

)

Class

R6

........................................

(

290,208

)

(

86,349

)

(

74,096

)

(

685,012

)

Total

distributions

(

1,773,995

)

(

393,616

)

(

754,017

)

(

6,547,985

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

..........................

12,789,016

16,149,204

12,013,276

51,387,735

Reinvestment

of

distributions

.........................

1,338,578

266,243

435,194

4,301,824

Cost

of

shares

redeemed

...........................

(

3,110,804

)

(

1,074,490

)

(

23,764,184

)

(

193,109,515

)

Net

increase

(decrease)

from

capital

transactions

11,016,790

15,340,957

(

11,315,714

)

(

137,419,956

)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

..........................

1,264,460

534,751

14,168,246

7,194,403

Reinvestment

of

distributions

.........................

71,979

275

214,006

926,621

Cost

of

shares

redeemed

...........................

(

53,236

)

(

20,178

)

(

10,238,462

)

(

9,338,006

)

Net

increase

(decrease)

from

capital

transactions

1,283,203

514,848

4,143,790

(

1,216,982

)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

..........................

35,260

4,338,990

2,422,643

10,524,209

Reinvestment

of

distributions

.........................

24,120

4,685

73,570

621,105

Cost

of

shares

redeemed

...........................

(

21,986

)

—

(

2,055,050

)

(

37,266,492

)

Net

increase

(decrease)

from

capital

transactions

37,394

4,343,675

441,163

(

26,121,178

)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

12,337,387

20,199,480

(

6,730,761

)

(

164,758,116

)

Total

increase

(decrease)

in

net

assets

12,895,136

20,670,063

1,391,742

(

207,624,075

)

NET

ASSETS:

Beginning

of

period

................................

20,670,063

—

53,295,742

260,919,817

End

of

period

...................................

$

33,565,199

$

20,670,063

$

54,687,484

$

53,295,742

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

283

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31

2021

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

PERIOD

6/08/20

*

-

12/31/20

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

................

1,509,380

—

6,103,292

22,686,831

Shares

sold

.....................................

1,146,092

1,588,528

1,737,094

6,441,325

Shares

issued

on

reinvestment

of

distributions

...........

123,485

25,799

60,193

678,521

Shares

redeemed

.................................

(

278,413

)

(

104,947

)

(

3,419,156

)

(

23,703,385

)

Shares

outstanding,

end

of

period

2,500,544

1,509,380

4,481,423

6,103,292

CLASS

N

Shares

outstanding,

beginning

of

period

................

51,473

—

1,612,139

1,549,427

Shares

sold

.....................................

112,719

53,424

2,016,912

1,040,819

Shares

issued

on

reinvestment

of

distributions

...........

6,652

27

30,057

148,023

Shares

redeemed

.................................

(

4,896

)

(

1,978

)

(

1,443,910

)

(

1,126,130

)

Shares

outstanding,

end

of

period

165,948

51,473

2,215,198

1,612,139

CLASS

R6

Shares

outstanding,

beginning

of

period

................

433,047

—

752,319

4,135,843

Shares

sold

.....................................

3,212

432,593

337,969

1,289,420

Shares

issued

on

reinvestment

of

distributions

...........

2,223

454

10,134

97,658

Shares

redeemed

.................................

(

2,030

)

—

(

295,179

)

(

4,770,602

)

Shares

outstanding,

end

of

period

436,452

433,047

805,243

752,319

*

Commencement

of

operations.

Statements

of

Changes

in

Net

Assets

(Continued)

284

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

LONG-SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

OPERATIONS:

Net

investment

income

(loss)

........................

$

(

3,750,432

)

$

(

2,491,579

)

$

(

343,758

)

$

(

192,822

)

Net

realized

gain

(loss)

.............................

72,656,523

(

245,926,287

)

(

643,688

)

308,084

Net

change

in

unrealized

appreciation

(depreciation)

.......

9,173,540

107,983,798

(

395,344

)

235,384

Net increase

(decrease)

in

net

assets

resulting

from

operations

78,079,631

(

140,434,068

)

(

1,382,790

)

350,646

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

.........................................

—

(

5,602,744

)

(

110,636

)

(

82,833

)

Class

N

.........................................

—

(

113,472

)

(

8,267

)

(

5,234

)

Class

R6

........................................

—

(

250,737

)

(

300,419

)

(

133,188

)

Total

distributions

—

(

5,966,953

)

(

419,322

)

(

221,255

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

..........................

98,668,089

181,721,553

4,917,986

3,577,485

Reinvestment

of

distributions

.........................

—

2,959,313

109,839

82,289

Cost

of

shares

redeemed

...........................

(

241,227,711

)

(

604,106,694

)

(

5,780,955

)

(

10,073,953

)

Net

increase

(decrease)

from

capital

transactions

(

142,559,622

)

(

419,425,828

)

(

753,130

)

(

6,414,179

)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

..........................

8,735,206

3,124,429

261,432

416,094

Reinvestment

of

distributions

.........................

—

104,305

7,580

4,684

Cost

of

shares

redeemed

...........................

(

7,208,924

)

(

21,190,180

)

(

122,035

)

(

1,049,878

)

Net

increase

(decrease)

from

capital

transactions

1,526,282

(

17,961,446

)

146,977

(

629,100

)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

..........................

2,956,081

27,941,905

1,768,718

7,727,110

Reinvestment

of

distributions

.........................

—

238,105

82,806

44,123

Cost

of

shares

redeemed

...........................

(

8,393,296

)

(

77,306,268

)

(

343,303

)

(

739,112

)

Net

increase

(decrease)

from

capital

transactions

(

5,437,215

)

(

49,126,258

)

1,508,221

7,032,121

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

146,470,555

)

(

486,513,532

)

902,068

(

11,158

)

Total

increase

(decrease)

in

net

assets

(

68,390,924

)

(

632,914,553

)

(

900,044

)

118,233

NET

ASSETS:

Beginning

of

period

................................

373,328,899

1,006,243,452

28,117,456

27,999,223

End

of

period

...................................

$

304,937,975

$

373,328,899

$

27,217,412

$

28,117,456

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

285

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

LONG-SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

................

37,323,213

81,348,092

888,298

1,573,992

Shares

sold

.....................................

8,955,898

18,476,749

510,946

380,603

Shares

issued

on

reinvestment

of

distributions

...........

—

317,183

12,286

8,763

Shares

redeemed

.................................

(

23,618,982

)

(

62,818,811

)

(

613,350

)

(

1,075,060

)

Shares

outstanding,

end

of

period

22,660,129

37,323,213

798,180

888,298

CLASS

N

Shares

outstanding,

beginning

of

period

................

749,475

2,621,145

57,047

124,939

Shares

sold

.....................................

822,939

323,321

27,192

44,936

Shares

issued

on

reinvestment

of

distributions

...........

—

11,350

862

507

Shares

redeemed

.................................

(

658,892

)

(

2,206,341

)

(

13,028

)

(

113,335

)

Shares

outstanding,

end

of

period

913,522

749,475

72,073

57,047

CLASS

R6

Shares

outstanding,

beginning

of

period

................

1,686,829

6,862,414

1,985,904

1,242,121

Shares

sold

.....................................

261,108

2,918,269

188,379

817,860

Shares

issued

on

reinvestment

of

distributions

...........

—

25,411

9,242

4,689

Shares

redeemed

.................................

(

740,584

)

(

8,119,265

)

(

35,599

)

(

78,766

)

Shares

outstanding,

end

of

period

1,207,353

1,686,829

2,147,926

1,985,904

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

286

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

OPERATIONS:

Net

investment

income

(loss)

........................

$

(

18,918,450

)

$

(

19,769,616

)

$

(

1,677,053

)

$

(

1,883,400

)

Net

realized

gain

(loss)

.............................

80,523,328

(

29,578,340

)

4,379,467

(

3,154,120

)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(

58,148,727

)

22,300,128

(

5,217,323

)

1,117,561

Net increase

(decrease)

in

net

assets

resulting

from

operations

3,456,151

(

27,047,828

)

(

2,514,909

)

(

3,919,959

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

.........................................

(

60,400,347

)

(

75,428,200

)

(

4,180,219

)

(

8,082,992

)

Class

N

.........................................

(

3,113,556

)

(

14,770,173

)

(

237,747

)

(

296,485

)

Class

R6

........................................

(

7,636,294

)

(

22,754,216

)

(

2,001,524

)

(

2,313,901

)

Total

distributions

(

71,150,197

)

(

112,952,589

)

(

6,419,490

)

(

10,693,378

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

..........................

328,131,780

531,599,733

23,862,052

77,762,774

Reinvestment

of

distributions

.........................

47,020,849

56,396,814

4,127,343

7,920,992

Cost

of

shares

redeemed

...........................

(

886,099,012

)

(

1,374,462,278

)

(

74,693,533

)

(

144,969,798

)

Net

increase

(decrease)

from

capital

transactions

(

510,946,383

)

(

786,465,731

)

(

46,704,138

)

(

59,286,032

)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

..........................

13,334,036

401,193,523

1,421,435

10,598,118

Reinvestment

of

distributions

.........................

3,036,104

14,726,218

237,522

296,282

Cost

of

shares

redeemed

...........................

(

336,195,400

)

(

1,517,895,148

)

(

2,157,096

)

(

39,202,419

)

Net

increase

(decrease)

from

capital

transactions

(

319,825,260

)

(

1,101,975,407

)

(

498,139

)

(

28,308,019

)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

..........................

90,464,467

148,126,627

7,802,731

23,000,382

Reinvestment

of

distributions

.........................

5,667,632

21,368,132

1,999,161

2,310,717

Cost

of

shares

redeemed

...........................

(

427,501,150

)

(

293,840,514

)

(

12,676,074

)

(

91,147,642

)

Net

increase

(decrease)

from

capital

transactions

(

331,369,051

)

(

124,345,755

)

(

2,874,182

)

(

65,836,543

)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

1,162,140,694

)

(

2,012,786,893

)

(

50,076,459

)

(

153,430,594

)

Total

increase

(decrease)

in

net

assets

(

1,229,834,740

)

(

2,152,787,310

)

(

59,010,858

)

(

168,043,931

)

NET

ASSETS:

Beginning

of

period

................................

2,249,637,944

4,402,425,254

118,569,903

286,613,834

End

of

period

...................................

$

1,019,803,204

$

2,249,637,944

$

59,559,045

$

118,569,903

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

287

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

................

184,061,144

278,773,489

13,033,808

20,878,442

Shares

sold

.....................................

41,746,669

63,829,668

3,409,999

10,292,051

Shares

issued

on

reinvestment

of

distributions

...........

6,521,616

7,343,335

684,468

1,185,777

Shares

redeemed

.................................

(

112,416,493

)

(

165,885,348

)

(

11,038,231

)

(

19,322,462

)

Shares

outstanding,

end

of

period

119,912,936

184,061,144

6,090,044

13,033,808

CLASS

N

Shares

outstanding,

beginning

of

period

................

47,202,273

184,612,537

452,751

4,203,751

Shares

sold

.....................................

1,701,088

48,737,807

198,971

1,393,169

Shares

issued

on

reinvestment

of

distributions

...........

424,629

1,935,114

39,195

44,155

Shares

redeemed

.................................

(

42,536,751

)

(

188,083,185

)

(

310,841

)

(

5,188,324

)

Shares

outstanding,

end

of

period

6,791,239

47,202,273

380,076

452,751

CLASS

R6

Shares

outstanding,

beginning

of

period

................

55,630,961

69,815,972

3,657,794

12,444,742

Shares

sold

.....................................

11,425,370

17,970,866

1,142,740

2,996,716

Shares

issued

on

reinvestment

of

distributions

...........

784,991

2,778,691

330,440

344,883

Shares

redeemed

.................................

(

54,001,076

)

(

34,934,568

)

(

1,834,009

)

(

12,128,547

)

Shares

outstanding,

end

of

period

13,840,246

55,630,961

3,296,965

3,657,794

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

288

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

MULTI-ASSET

FUND

**

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

OPERATIONS:

Net

investment

income

(loss)

........................

$

1,816,726

$

131,728

$

(

1,765,481

)

$

(

271,740

)

Net

realized

gain

(loss)

.............................

11,220,709

89,312

45,624,121

(

9,388,035

)

Net

change

in

unrealized

appreciation

(depreciation)

.......

4,727,867

5,388,333

3,965,649

(

8,331,032

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

17,765,302

5,609,373

47,824,289

(

17,990,807

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

.........................................

(

6,565,161

)

(

1,324,791

)

(

34,748,130

)

(

35,448

)

Class

N

.........................................

(

343,784

)

(

38,969

)

(

5,277,938

)

(

15,381

)

Class

R6

........................................

(

959,104

)

(

145,677

)

(

487,714

)

(

723

)

Total

distributions

(

7,868,049

)

(

1,509,437

)

(

40,513,782

)

(

51,552

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

..........................

15,594,074

78,874,445

232,827,893

23,309,629

Reinvestment

of

distributions

.........................

4,670,202

974,564

34,473,488

35,272

Cost

of

shares

redeemed

...........................

(

44,606,195

)

(

82,903,061

)

(

95,519,548

)

(

80,118,919

)

Net

increase

(decrease)

from

capital

transactions

(

24,341,919

)

(

3,054,052

)

171,781,833

(

56,774,018

)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

..........................

1,976,625

941,523

22,008,305

8,440,998

Reinvestment

of

distributions

.........................

296,427

38,551

5,277,938

15,360

Cost

of

shares

redeemed

...........................

(

2,282,264

)

(

6,408,685

)

(

16,240,342

)

(

8,356,475

)

Net

increase

(decrease)

from

capital

transactions

(

9,212

)

(

5,428,611

)

11,045,901

99,883

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

..........................

5,306,569

8,044,424

3,333,019

14,229,740

Reinvestment

of

distributions

.........................

955,684

145,097

476,176

723

Cost

of

shares

redeemed

...........................

(

2,435,755

)

(

1,278,026

)

(

1,383,589

)

(

151,391,611

)

Net

increase

(decrease)

from

capital

transactions

3,826,498

6,911,495

2,425,606

(

137,161,148

)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

20,524,633

)

(

1,571,168

)

185,253,340

(

193,835,283

)

Total

increase

(decrease)

in

net

assets

(

10,627,380

)

2,528,768

192,563,847

(

211,877,642

)

NET

ASSETS:

Beginning

of

period

................................

138,074,090

135,545,322

55,535,403

267,413,045

End

of

period

...................................

$

127,446,710

$

138,074,090

$

248,099,250

$

55,535,403

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

289

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

MULTI-ASSET

FUND

**

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

................

12,265,365

12,373,196

5,631,966

16,598,224

Shares

sold

.....................................

1,477,644

8,865,761

27,913,051

4,173,382

Shares

issued

on

reinvestment

of

distributions

...........

445,205

101,201

4,293,087

5,393

Shares

redeemed

.................................

(

4,259,444

)

(

9,074,793

)

(

11,241,603

)

(

15,145,033

)

Shares

outstanding,

end

of

period

9,928,770

12,265,365

26,596,501

5,631,966

CLASS

N

Shares

outstanding,

beginning

of

period

................

570,487

1,180,290

2,399,584

2,172,479

Shares

sold

.....................................

180,312

102,856

2,637,058

1,707,446

Shares

issued

on

reinvestment

of

distributions

...........

28,339

4,012

669,789

2,385

Shares

redeemed

.................................

(

222,306

)

(

716,671

)

(

1,971,311

)

(

1,482,726

)

Shares

outstanding,

end

of

period

556,832

570,487

3,735,120

2,399,584

CLASS

R6

Shares

outstanding,

beginning

of

period

................

1,245,435

486,163

114,907

23,405,902

Shares

sold

.....................................

500,818

880,125

414,638

2,759,499

Shares

issued

on

reinvestment

of

distributions

...........

91,191

15,083

59,079

110

Shares

redeemed

.................................

(

228,234

)

(

135,936

)

(

158,215

)

(

26,050,604

)

Shares

outstanding,

end

of

period

1,609,210

1,245,435

430,409

114,907

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

290

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

PERIOD

12/16/21

*

-

12/31/21

OPERATIONS:

Net

investment

income

(loss)

.........................................

$

(

9,477,690)

$

(9,383,464)

$

(4,936)

Net

realized

gain

(loss)

..............................................

126,371,766

(318,218,290)

(115)

Net

change

in

unrealized

appreciation

(depreciation)

........................

33,550,456

(32,588,998)

81,983

Net increase

(decrease)

in

net

assets

resulting

from

operations

150,444,532

(360,190,752)

76,932

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

Class

I

..........................................................

(27,925,373)

—

—

Class

N

..........................................................

(2,257,265)

—

—

Class

R6

.........................................................

(46,587,791)

—

—

Total

(76,770,429)

—

—

Total

distributions

(76,770,429)

—

—

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

Proceeds

from

shares

sold

...........................................

158,057,194

229,785,451

500,000

Reinvestment

of

distributions

..........................................

25,637,051

—

—

Cost

of

shares

redeemed

............................................

(203,683,304)

(708,116,773)

—

Net

increase

(decrease)

from

capital

transactions

(19,989,059)

(478,331,322)

500,000

CLASS

N

—

—

—

Proceeds

from

shares

sold

...........................................

9,682,806

5,954,543

500,000

Reinvestment

of

distributions

..........................................

2,069,523

—

—

Cost

of

shares

redeemed

............................................

(9,305,147)

(25,463,704)

—

Net

increase

(decrease)

from

capital

transactions

2,447,182

(

19,509,161)

500,000

CLASS

R6

—

—

—

Proceeds

from

shares

sold

...........................................

85,955,708

407,761,354

9,011,500

Reinvestment

of

distributions

..........................................

44,723,437

—

—

Cost

of

shares

redeemed

............................................

(170,969,347)

(978,688,647)

—

Net

increase

(decrease)

from

capital

transactions

(40,290,202)

(570,927,293)

9,011,500

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(57,832,079)

(1,068,767,776)

10,011,500

Total

increase

(decrease)

in

net

assets

15,842,024

(1,428,958,528)

10,088,432

NET

ASSETS:

Beginning

of

period

.................................................

642,362,894

2,071,321,422

—

End

of

period

....................................................

$

658,204,918

$

642,362,894

$

10,088,432

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

291

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

PERIOD

12/16/21

*

-

12/31/21

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

.................................

37,337,857

106,373,674

—

Shares

sold

......................................................

21,549,285

31,652,156

50,000

Shares

issued

on

reinvestment

of

distributions

............................

3,688,784

—

—

Shares

redeemed

..................................................

(28,061,787)

(100,687,973)

—

Shares

outstanding,

end

of

period

34,514,139

37,337,857

50,000

CLASS

N

Shares

outstanding,

beginning

of

period

.................................

2,352,158

5,010,960

—

Shares

sold

......................................................

1,341,245

857,846

50,000

Shares

issued

on

reinvestment

of

distributions

............................

299,931

—

—

Shares

redeemed

..................................................

(1,261,250)

(3,516,648)

—

Shares

outstanding,

end

of

period

2,732,084

2,352,158

50,000

CLASS

R6

Shares

outstanding,

beginning

of

period

.................................

61,159,132

142,483,592

—

Shares

sold

......................................................

11,791,726

57,019,218

901,150

Shares

issued

on

reinvestment

of

distributions

............................

6,407,369

—

—

Shares

redeemed

..................................................

(23,188,008)

(138,343,678)

—

Shares

outstanding,

end

of

period

56,170,219

61,159,132

901,150

*

Commencement

of

operations.

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

292

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

AQR

ALTERNATIVE

RISK

PREMIA

FUND

***

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

MULTI-

ASSET

FUND

***

CASH

FLOWS

FROM

(USED

IN)

OPERATING

ACTIVITIES:

Net

increase

(decrease)

in

net

assets

resulting

from

operations

...............

$

14,924,325

$

54,760,699

$

17,765,302

Adjustments

to

reconcile

net

increase

(decrease)

in

net

assets

resulting

from

operations

to

net

cash

provided

by

(used

in)

operating

activities:

—

—

—

Payments

to

purchase

securities

....................................

(55,703,747)

(2,545,012,409

)

(127,249,047)

Payments

to

cover

short

positions

in

securities

..........................

(146,273,915)

(1,059,339,254

)

(24,019,615)

Proceeds

from

sale

of

securities

.....................................

72,013,892

2,781,604

,

865

103,988,989

Proceeds

from

short

positions

in

securities

.............................

151,070,709

870,344,838

32,148,768

(Purchases)

sales

of

short-term

investments,

net

........................

(10,462,573)

(414,499,580)

22,052,522

Realized

(gain)

loss

on

investments

in

securities

........................

(13,805,307)

(2

26,450,105)

(8,948,883)

Realized

(gain)

loss

on

reverse

repurchase

agreements

...................

—

—

(844,252)

Realized

(gain)

loss

on

short

positions

in

securities

.......................

12,375,868

102,400,411

3,608,799

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

...

(3,299,156)

155,286,089

(3,253,035)

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

.

(9,338,776)

(78,667,261)

(3,907,666)

Amortization

(accretion)

of

bond

premium

(discount)

......................

(16,473)

(351,437)

(1,196,733)

(Increases)

decreases

in

operating

assets:

–

–

–

Due

from

brokers

................................................

1,427,988

(36,807,724)

(396,046)

Deposits

with

brokers

for

futures

contracts

.............................

(2,847,738)

(494,084)

767,041

Repurchase

Agreements

..........................................

—

—

(1,126,378)

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

......

3,512,588

(23,980)

829,929

Unrealized

appreciation

on

OTC

swaps

...............................

560,979

3,529,245

586,079

Deposits

for

securities

sold

short

....................................

(6,294,688)

5,233,622

—

Deposits

with

brokers

for

centrally

cleared

swaps

.......................

(1,157,425)

(1,397,106)

—

Variation

margin

on

centrally

cleared

swaps

............................

(5,906)

—

—

Variation

margin

on

futures

contracts

.................................

3,439

(131,511)

332,313

Foreign

tax

reclaim

..............................................

38,541

(14,510)

31,565

Dividends

and

Interest

............................................

12,003

809,253

(10,909)

Prepaid

expenses

...............................................

14,064

(37,260)

(5,721)

Increases

(decreases)

in

operating

liabilities

–

–

–

Due

to

broker

...................................................

136,407

(1,049,637)

71,378

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

......

(3,402,344)

10,809

(473,406)

Unrealized

depreciation

on

OTC

swaps

...............................

207,406

(1,110,518)

(126,611)

Deposits

from

brokers

for

futures

contracts

.............................

—

—

(102,259)

Variation

margin

on

centrally

cleared

swaps

............................

—

21,721

—

Variation

margin

on

futures

contracts

.................................

532,420

1,383,033

226,098

Accrued

investment

advisory

fees

...................................

(13,884)

297,955

(9,112)

Accrued

distribution

fees—Class

N

...................................

432

2,163

111

Dividends

and

Interest

payable

on

securities

sold

short

...................

(49,740)

(434,794)

1,245

Other

accrued

expenses

and

liabilities

................................

17,884

202,758

(114,857)

Net

cash

provided

by

(used

in)

operating

activities

$

4,177,273

$

(389,933,708)

$

10,625,609

—

—

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

—

—

Proceeds

from

shares

sold

.........................................

63,696,063

699,723,645

22,863,461

Net

change

in

reverse

repurchase

agreements

..........................

—

—

18,000,101

Payments

on

shares

redeemed

.....................................

(65,834,700)

(307,837,991)

(49,426,640)

Cash

distributions

paid

............................................

(53,584)

(2,270,622)

(1,945,736)

Due

to

custodian

................................................

—

—

126

Net

cash

provided

by

(used

in)

financing

activities

.......................

$

(2,192,221)

$

389,615,032

$

(10,508,688)

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

..............

1,985,052

(318,676)

116,921

Cash,

beginning

of

period

.........................................

1,525,010

3,406,317

454,215

Cash,

end

of

period**

.............................................

$

3,510,062

$

3,087,641

$

571,136

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$545,221,

$1,946,671

and

$104,543.

Non-cash

activities

relating

to

reinvestment

of

distributions

and

corporate

actions

are

in

the

amounts

of

$4,436,891,

$(56,177,004)

and

$5,922,313.

***

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

293

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

**

The

following

is

a

reconciliation

of

cash

and

cash

held

in

foreign

currencies

reported

within

the

Statements

of

Assets

and

Liabilities

that

sum

to

the

total

of

the

same

such

amounts

disclosed

in

the

Statement

of

Cash

Flows:

FUND

CASH

CASH

DENOMINATED

IN

FOREIGN

CURRENCIES

TOTAL

CASH

AND

CASH

DENOMINATED

IN

FOREIGN

CURRENCIES

AQR

Alternative

Risk

Premia

Fund

..........................................

$

3,081,264

$

428,798

$

3,510,062

AQR

Diversified

Arbitrage

Fund

.............................................

1,429,672

1,657,969

3,087,641

AQR

Multi-Asset

Fund

...................................................

—

571,136

571,136

294

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.89

(0.05)

1.03

0.98

(0.31)

—

—

(0.31)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.89

(0.02)

(1.84)

(1.86)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.25

0.05

6

(0.33)

(0.28)

(0.08)

—

—

(0.08)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.01

(0.00)

7

(0.75)

(0.75)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.02

10

0.01

—

—

—

—

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.86

(0.06)

1.02

0.96

(0.29)

—

—

(0.29)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.88

(0.04)

(1.84)

(1.88)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.23

0.03

6

(0.33)

(0.30)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.01

(0.03)

(0.74)

(0.77)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.02

10

0.01

—

—

—

—

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.91

(0.03)

1.02

0.99

(0.32)

—

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.91

(0.02)

(1.84)

(1.86)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.27

0.05

6

(0.32)

(0.27)

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.02

0.01

(0.75)

(0.74)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.03

10

0.02

—

—

—

—

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

11.46

(0.12)

0.84

0.72

(0.08)

—

—

(0.08)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.30

(0.03)

2.37

2.34

(0.15)

—

(0.03)

(0.18)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.75

0.08

0.67

0.75

(0.20)

—

—

(0.20)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.12

0.06

0.14

0.20

(0.57)

—

—

(0.57)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.23

0.02

0.52

0.54

(0.65)

—

—

(0.65)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

11.48

(0.15)

0.84

0.69

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.31

(0.06)

2.38

2.32

(0.12)

—

(0.03)

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.76

0.05

0.67

0.72

(0.17)

—

—

(0.17)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.12

0.04

0.14

0.18

(0.54)

—

—

(0.54)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.23

0.00

7

0.51

0.51

(0.62)

—

—

(0.62)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

11.44

(0.11)

0.84

0.73

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.28

(0.01)

2.36

2.35

(0.15)

—

(0.04)

(0.19)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.73

0.12

0.63

0.75

(0.20)

—

—

(0.20)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.10

0.08

0.13

0.21

(0.58)

—

—

(0.58)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.21

0.03

0.52

0.55

(0.66)

—

—

(0.66)

295

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

7.56

14.25%

$

46,808

3.09%

2.79%

1.40%

(0.62)%

179%

$

6.89

(20.95)%

$

61,080

3.31%

3.20%

1.41%

(0.31)%

232%

$

8.89

(3.08)%

$

144,245

3.60%

3.55%

1.40%

0.58%

6

192%

$

9.25

(7.51)%

$

260,990

3.40%

8

3.32%

1.40%

(0.00)%

253%

$

10.01

0.10%

$

26,852

3.06%

8

2.65%

1.40%

(0.25)%

293%

$

7.53

14.03%

$

7,422

3.35%

3.04%

1.65%

(0.78)%

179%

$

6.86

(21.20)%

$

6,503

3.57%

3.45%

1.66%

(0.51)%

232%

$

8.88

(3.24)%

$

8,989

3.85%

3.80%

1.65%

0.28%

6

192%

$

9.23

(7.72)%

$

11,467

3.64%

8

3.55%

1.63%

(0.27)%

253%

$

10.01

0.10%

$

1,538

3.70%

8

2.90%

1.65%

(0.44)%

293%

$

7.58

14.31%

$

82,522

3.00%

2.69%

1.30%

(0.43)%

179%

$

6.91

(20.90)%

$

54,859

3.22%

3.10%

1.31%

(0.24)%

232%

$

8.91

(2.93)%

$

82,300

3.51%

3.45%

1.30%

0.53%

6

192%

$

9.27

(7.41)%

$

98,967

3.31%

8

3.23%

1.30%

0.06%

253%

$

10.02

0.20%

$

49,818

3.14%

8

2.55%

1.30%

(0.22)%

293%

$

12.10

6.27%

$

922,765

1.51%

1.47%

1.20%

(0.98)%

518%

$

11.46

25.21%

$

611,741

2.10%

2.04%

1.20%

(0.29)%

598%

$

9.30

8.53%

$

464,186

2.06%

1.98%

1.20%

0.88%

361%

$

8.75

2.19%

$

319,152

1.96%

1.92%

1.20%

0.66%

390%

$

9.12

5.92%

$

386,972

2.08%

2.02%

1.19%

0.25%

205%

$

12.12

5.99%

$

44,676

1.76%

1.72%

1.45%

(1.22)%

518%

$

11.48

24.96%

$

34,599

2.35%

2.29%

1.45%

(0.60)%

598%

$

9.31

8.21%

$

55,694

2.30%

2.22%

1.44%

0.52%

361%

$

8.76

2.01%

$

66,251

2.21%

2.17%

1.45%

0.44%

390%

$

9.12

5.58%

$

76,774

2.34%

2.28%

1.44%

0.01%

205%

$

12.08

6.37%

$

358,110

1.42%

1.37%

1.10%

(0.88)%

518%

$

11.44

25.36%

$

232,201

2.00%

1.94%

1.10%

(0.10)%

598%

$

9.28

8.64%

$

19,077

1.96%

1.88%

1.10%

1.27%

361%

$

8.73

2.41%

$

13,654

1.87%

1.82%

1.10%

0.79%

390%

$

9.10

6.02%

$

8,416

1.98%

1.93%

1.10%

0.36%

205%

296

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

10.37

0.57

0.54

1.11

(0.51)

(0.15)

—

(0.66)

FOR

THE

PERIOD

6/08/20

9

-12/31/20

$

10.00

0.23

0.34

0.57

(0.20)

—

—

(0.20)

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

10.37

0.75

0.33

1.08

(0.50)

(0.15)

—

(0.65)

FOR

THE

PERIOD

6/08/20

9

-12/31/20

$

10.00

0.15

0.41

0.56

(0.19)

—

—

(0.19)

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

10.37

0.51

0.62

1.13

(0.52)

(0.15)

—

(0.67)

FOR

THE

PERIOD

6/08/20

9

-12/31/20

$

10.00

0.18

0.39

0.57

(0.20)

—

—

(0.20)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.31

(0.09)

1.20

1.11

—

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.20

(0.02)

(1.77)

(1.79)

—

(1.10)

—

(1.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.76

0.13

(1.34)

(1.21)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.25

0.04

(1.48)

(1.44)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

11.97

(0.08)

0.79

0.71

(0.43)

—

—

(0.43)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.23

(0.10)

1.18

1.08

—

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.12

(0.03)

(1.76)

(1.79)

—

(1.10)

—

(1.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.70

0.12

(1.35)

(1.23)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.21

0.00

7

(1.46)

(1.46)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

11.95

(0.11)

0.78

0.67

(0.41)

—

—

(0.41)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.32

(0.08)

1.21

1.13

—

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.22

(0.00)

7

(1.80)

(1.80)

—

(1.10)

—

(1.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.77

0.11

(1.31)

(1.20)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.25

0.05

(1.48)

(1.43)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

11.97

(0.08)

0.79

0.71

(0.43)

—

—

(0.43)

297

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

10.82

10.66%

$

27,048

1.03%

8

0.20%

0.20%

5.11%

14%

$

10.37

5.71%

$

15,645

1.31%

8

0.20%

0.20%

3.91%

14%

$

10.80

10.37%

$

1,792

1.15%

8

0.45%

0.45%

6.69%

14%

$

10.37

5.61%

$

533

1.87%

8

0.45%

0.45%

2.56%

14%

$

10.83

10.84%

$

4,725

0.93%

8

0.10%

0.10%

4.55%

14%

$

10.37

5.75%

$

4,492

1.62%

8

0.10%

0.10%

3.06%

14%

$

7.32

17.64%

$

32,802

1.87%

1.48%

1.30%

(1.22)%

282%

$

6.31

(19.52)%

$

38,498

1.73%

1.63%

1.30%

(0.20)%

312%

$

9.20

(11.27)%

$

208,679

2.23%

2.21%

1.27%

1.31%

263%

$

10.76

(11.73)%

$

708,592

1.99%

1.99%

1.24%

0.32%

175%

$

12.25

5.84%

$

1,552,269

2.07%

2.07%

1.27%

(0.66)%

237%

$

7.21

17.38%

$

15,968

2.13%

1.73%

1.55%

(1.45)%

282%

$

6.23

(19.70)%

$

10,040

2.03%

1.88%

1.55%

(0.33)%

312%

$

9.12

(11.52)%

$

14,129

2.50%

2.49%

1.55%

1.20%

263%

$

10.70

(11.94)%

$

209,290

2.27%

2.27%

1.53%

0.02%

175%

$

12.21

5.56%

$

357,839

2.35%

2.35%

1.55%

(0.92)%

237%

$

7.35

17.93%

$

5,917

1.79%

1.38%

1.20%

(1.13)%

282%

$

6.32

(19.61)%

$

4,758

1.67%

1.53%

1.20%

(0.01)%

312%

$

9.22

(11.17)%

$

38,112

2.15%

2.14%

1.20%

1.05%

263%

$

10.77

(11.65)%

$

206,044

1.93%

1.93%

1.18%

0.44%

175%

$

12.25

5.91%

$

326,927

2.00%

2.00%

1.20%

(0.61)%

237%

298

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

LONG-SHORT

EQUITY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.39

(0.14)

3.06

2.92

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

11.08

(0.04)

(1.50)

(1.54)

—

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.94

0.10

0.04

10

0.14

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.88

0.04

(2.32)

(2.28)

(0.04)

(0.62)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

13.07

(0.08)

2.15

2.07

(0.56)

(0.70)

—

(1.26)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.25

(0.17)

3.01

2.84

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

10.95

(0.08)

(1.47)

(1.55)

—

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.84

0.07

0.04

10

0.11

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.80

(0.01)

(2.29)

(2.30)

(0.04)

(0.62)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

13.00

(0.11)

2.13

2.02

(0.52)

(0.70)

—

(1.22)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.44

(0.13)

3.07

2.94

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

11.12

(0.02)

(1.51)

(1.53)

—

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.97

0.10

0.05

10

0.15

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.91

0.04

(2.32)

(2.28)

(0.04)

(0.62)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

13.08

(0.07)

2.17

2.10

(0.57)

(0.70)

—

(1.27)

AQR

MACRO

OPPORTUNITIES

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.58

(0.12)

(0.31)

(0.43)

(0.08)

(0.06)

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.52

(0.07)

0.22

0.15

—

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.08

0.06

0.38

0.44

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.75

0.03

0.65

0.68

(0.15)

(0.20)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.06

(0.06)

(0.25)

(0.31)

(0.00)

7

—

—

(0.00)

7

AQR

MACRO

OPPORTUNITIES

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.42

(0.14)

(0.30)

(0.44)

(0.06)

(0.06)

—

(0.12)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.39

(0.10)

0.22

0.12

—

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.97

0.03

0.39

0.42

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.66

(0.00)

7

0.66

0.66

(0.15)

(0.20)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.99

(0.08)

(0.25)

(0.33)

—

—

—

—

AQR

MACRO

OPPORTUNITIES

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.60

(0.11)

(0.31)

(0.42)

(0.09)

(0.06)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.53

(0.07)

0.23

0.16

—

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.08

0.06

0.39

0.45

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.75

0.04

0.65

0.69

(0.16)

(0.20)

—

(0.36)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.07

(0.03)

(0.28)

(0.31)

(0.01)

—

—

(0.01)

299

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

12.31

31.10%

$

278,938

1.36%

1.31%

1.30%

(1.26)%

0%

$

9.39

(13.91)%

$

350,475

1.32%

1.31%

1.30%

(0.42)%

269%

$

11.08

1.28%

$

901,269

2.06%

2.06%

1.26%

0.92%

292%

$

10.94

(16.40)%

$

1,697,554

1.73%

1.73%

1.24%

0.28%

462%

$

13.88

15.73%

$

4,144,436

2.01%

2.01%

1.27%

(0.60)%

249%

$

12.09

30.70%

$

11,049

1.62%

1.56%

1.55%

(1.52)%

0%

$

9.25

(14.17)%

$

6,934

1.57%

1.56%

1.55%

(0.79)%

269%

$

10.95

1.01%

$

28,689

2.33%

2.33%

1.53%

0.60%

292%

$

10.84

(16.64)%

$

117,289

2.01%

2.01%

1.51%

(0.04)%

462%

$

13.80

15.47%

$

385,302

2.27%

2.27%

1.53%

(0.80)%

249%

$

12.38

31.14%

$

14,951

1.27%

1.21%

1.20%

(1.16)%

0%

$

9.44

(13.77)%

$

15,920

1.23%

1.21%

1.20%

(0.25)%

269%

$

11.12

1.37%

$

76,285

1.99%

1.99%

1.19%

0.87%

292%

$

10.97

(16.36)%

$

206,247

1.66%

1.66%

1.16%

0.32%

462%

$

13.91

15.95%

$

965,972

1.92%

1.92%

1.17%

(0.46)%

249%

$

9.01

(4.54)%

$

7,190

2.32%

11

1.26%

1.25%

(1.23)%

0%

$

9.58

1.61%

$

8,510

2.22%

1.35%

1.34%

(0.77)%

0%

$

9.52

4.90%

$

14,985

2.15%

1.45%

1.45%

0.59%

0%

$

9.08

7.80%

$

20,230

1.93%

1.42%

1.42%

0.29%

0%

$

8.75

(3.38)%

$

9,199

2.30%

1.40%

1.40%

(0.65)%

0%

$

8.86

(4.72)%

$

638

2.60%

11

1.50%

1.50%

(1.47)%

0%

$

9.42

1.31%

$

537

2.47%

1.60%

1.59%

(1.04)%

0%

$

9.39

4.73%

$

1,173

2.23%

1.70%

1.70%

0.37%

0%

$

8.97

7.57%

$

17,074

2.11%

1.68%

1.68%

(0.04)%

0%

$

8.66

(3.67)%

$

2,892

2.63%

1.70%

1.70%

(0.89)%

0%

$

9.03

(4.41)%

$

19,389

2.24%

11

1.16%

1.15%

(1.13)%

0%

$

9.60

1.71%

$

19,070

2.12%

1.23%

1.22%

(0.71)%

0%

$

9.53

5.01%

$

11,841

2.08%

1.35%

1.35%

0.67%

0%

$

9.08

7.84%

$

12,073

1.91%

1.35%

1.35%

0.41%

0%

$

8.75

(3.41)%

$

13,970

2.32%

1.35%

1.35%

(0.34)%

0%

300

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

7.85

(0.09)

0.00

7

(0.09)

(0.50)

—

—

(0.50)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.30

(0.04)

0.01

10

(0.03)

(0.42)

—

—

(0.42)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.41

0.09

0.06

0.15

(0.26)

—

—

(0.26)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.23

0.06

(0.88)

(0.82)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.32

(0.03)

(0.06)

(0.09)

—

—

—

—

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

7.78

(0.11)

0.00

7

(0.11)

(0.47)

—

—

(0.47)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.16

(0.06)

0.00

7,10

(0.06)

(0.32)

—

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.27

0.06

0.07

0.13

(0.24)

—

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.10

0.03

(0.86)

(0.83)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.21

(0.06)

(0.05)

(0.11)

—

—

—

—

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

7.86

(0.09)

0.01

(0.08)

(0.51)

—

—

(0.51)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.32

(0.03)

0.00

7,10

(0.03)

(0.43)

—

—

(0.43)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.42

0.09

0.08

0.17

(0.27)

—

—

(0.27)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.24

0.06

(0.88)

(0.82)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.32

(0.02)

(0.06)

(0.08)

—

—

—

—

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.91

(0.12)

(0.03)

(0.15)

(0.67)

—

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.64

(0.06)

(0.01)

(0.07)

(0.66)

—

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.82

0.04

0.10

0.14

(0.32)

—

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.14

0.00

7

(1.32)

(1.32)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.29

(0.08)

(0.07)

(0.15)

—

—

—

—

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.94

(0.13)

(0.04)

(0.17)

(0.65)

—

—

(0.65)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.56

(0.07)

(0.01)

(0.08)

(0.54)

—

—

(0.54)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.73

0.02

0.10

0.12

(0.29)

—

—

(0.29)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.06

(0.02)

(1.31)

(1.33)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.23

(0.10)

(0.07)

(0.17)

—

—

—

—

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.93

(0.11)

(0.03)

(0.14)

(0.68)

—

—

(0.68)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.66

(0.05)

(0.01)

(0.06)

(0.67)

—

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.84

0.05

0.10

0.15

(0.33)

—

—

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.15

0.01

(1.32)

(1.31)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.30

(0.07)

(0.08)

(0.15)

—

—

—

—

301

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

7.26

(1.06)%

$

870,337

1.24%

1.24%

1.23%

(1.18)%

0%

$

7.85

(0.29)%

$

1,445,072

1.22%

1.22%

1.22%

(0.46)%

0%

$

8.30

1.80%

$

2,315,083

1.21%

1.21%

1.20%

1.00%

0%

$

8.41

(8.88)%

$

4,254,642

1.16%

1.16%

1.16%

0.62%

0%

$

9.23

(0.97)%

$

5,956,726

1.19%

1.19%

1.19%

(0.38)%

0%

$

7.20

(1.31)%

$

48,894

1.47%

1.47%

1.47%

(1.41)%

0%

$

7.78

(0.60)%

$

367,278

1.49%

1.49%

1.49%

(0.72)%

0%

$

8.16

1.56%

$

1,506,755

1.49%

1.49%

1.48%

0.71%

0%

$

8.27

(9.12)%

$

1,811,668

1.45%

1.45%

1.45%

0.30%

0%

$

9.10

(1.19)%

$

3,325,717

1.46%

1.46%

1.46%

(0.63)%

0%

$

7.27

(0.94)%

$

100,572

1.15%

1.15%

1.15%

(1.09)%

0%

$

7.86

(0.30)%

$

437,288

1.14%

1.14%

1.14%

(0.37)%

0%

$

8.32

2.03%

$

580,587

1.14%

1.14%

1.13%

1.07%

0%

$

8.42

(8.87)%

$

971,992

1.11%

1.11%

1.11%

0.66%

0%

$

9.24

(0.86)%

$

1,840,901

1.11%

1.11%

1.11%

(0.27)%

0%

$

6.09

(2.11)%

$

37,100

1.94%

1.71%

1.70%

(1.65)%

0%

$

6.91

(0.65)%

$

90,075

1.76%

1.66%

1.65%

(0.83)%

0%

$

7.64

1.81%

$

159,510

1.70%

1.64%

1.64%

0.50%

0%

$

7.82

(14.44)%

$

244,569

1.65%

1.64%

1.64%

0.00%

0%

$

9.14

(1.61)%

$

463,124

1.64%

1.64%

1.64%

(0.85)%

0%

$

6.12

(2.34)%

$

2,325

2.20%

1.96%

1.95%

(1.91)%

0%

$

6.94

(0.80)%

$

3,141

1.99%

1.91%

1.90%

(0.87)%

0%

$

7.56

1.55%

$

31,794

1.96%

1.90%

1.90%

0.26%

0%

$

7.73

(14.68)%

$

59,231

1.91%

1.90%

1.90%

(0.24)%

0%

$

9.06

(1.84)%

$

97,440

1.90%

1.90%

1.90%

(1.13)%

0%

$

6.11

(1.92)%

$

20,134

1.84%

1.60%

1.59%

(1.55)%

0%

$

6.93

(0.49)%

$

25,354

1.65%

1.56%

1.55%

(0.65)%

0%

$

7.66

1.93%

$

95,310

1.61%

1.55%

1.55%

0.59%

0%

$

7.84

(14.32)%

$

181,404

1.56%

1.55%

1.55%

0.12%

0%

$

9.15

(1.61)%

$

261,636

1.55%

1.55%

1.55%

(0.75)%

0%

302

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

MULTI-ASSET

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.81

0.14

1.27

1.41

(0.57)

(0.11)

—

(0.68)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.66

0.01

0.25

0.26

(0.11)

—

—

(0.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.51

0.12

1.67

1.79

(0.64)

—

—

(0.64)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.82

0.09

(0.78)

(0.69)

(0.28)

(0.34)

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.34

0.02

1.49

1.51

(0.19)

(0.84)

—

(1.03)

AQR

MULTI-ASSET

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.79

0.11

1.27

1.38

(0.55)

(0.11)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.63

(0.01)

0.24

0.23

(0.07)

—

—

(0.07)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.49

0.11

1.65

1.76

(0.62)

—

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.80

0.06

(0.77)

(0.71)

(0.26)

(0.34)

—

(0.60)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.32

(0.01)

1.50

1.49

(0.17)

(0.84)

—

(1.01)

AQR

MULTI-ASSET

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.80

0.16

1.26

1.42

(0.58)

(0.11)

—

(0.69)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.65

0.02

0.25

0.27

(0.12)

—

—

(0.12)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.51

0.04

1.75

1.79

(0.65)

—

—

(0.65)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.83

0.09

(0.78)

(0.69)

(0.29)

(0.34)

—

(0.63)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.34

0.02

1.51

1.53

(0.20)

(0.84)

—

(1.04)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.85

(0.08)

2.78

2.70

(1.47)

—

—

(1.47)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.33

(0.01)

0.54

10

0.53

—

(0.01)

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.65

0.06

0.95

1.01

(0.33)

—

(0.00)

7

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.90

0.05

(1.26)

(1.21)

(0.04)

—

—

(0.04)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

6.25

(0.02)

0.67

0.65

(0.00)

7

—

—

(0.00)

7

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.75

(0.10)

2.74

2.64

(1.45)

—

—

(1.45)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.25

(0.03)

0.54

10

0.51

—

(0.01)

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.58

0.05

0.93

0.98

(0.31)

—

(0.00)

7

(0.31)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.81

0.03

(1.24)

(1.21)

(0.02)

—

—

(0.02)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

6.18

(0.03)

0.66

0.63

(0.00)

7

—

—

(0.00)

7

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.87

(0.08)

2.81

2.73

(1.48)

—

—

(1.48)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.35

(0.01)

0.54

10

0.53

—

(0.01)

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.66

0.07

0.95

1.02

(0.33)

—

(0.00)

7

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.92

0.05

(1.27)

(1.22)

(0.04)

—

—

(0.04)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

6.26

(0.01)

0.67

0.66

(0.00)

7

—

—

(0.00)

7

303

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

10.54

14.34%

$

104,649

1.15%

0.97%

0.80%

1.35%

125%

$

9.81

2.68%

$

120,287

1.20%

1.04%

0.87%

0.10%

187%

$

9.66

21.05%

$

119,488

1.47%

1.34%

0.93%

1.31%

233%

$

8.51

(6.96)%

$

217,406

0.93%

0.92%

0.92%

0.96%

21%

$

9.82

16.36%

$

415,799

0.94%

0.93%

0.93%

0.19%

48%

$

10.51

14.06%

$

5,855

1.40%

1.22%

1.05%

1.03%

125%

$

9.79

2.41%

$

5,585

1.46%

1.31%

1.14%

(0.08)%

187%

$

9.63

20.67%

$

11,366

1.74%

1.61%

1.20%

1.13%

233%

$

8.49

(7.23)%

$

12,303

1.20%

1.18%

1.18%

0.68%

21%

$

9.80

16.13%

$

16,673

1.21%

1.20%

1.20%

(0.06)%

48%

$

10.53

14.48%

$

16,943

1.05%

0.87%

0.70%

1.51%

125%

$

9.80

2.78%

$

12,202

1.08%

0.92%

0.75%

0.20%

187%

$

9.65

21.07%

$

4,691

1.38%

1.26%

0.85%

0.48%

233%

$

8.51

(6.94)%

$

24,925

0.86%

0.85%

0.85%

0.98%

21%

$

9.83

16.56%

$

40,256

0.87%

0.85%

0.85%

0.24%

48%

$

8.08

39.60%

$

214,957

1.11%

1.01%

1.00%

(0.98)%

0%

$

6.85

8.32%

$

38,558

1.10%

1.00%

1.00%

(0.13)%

0%

$

6.33

17.96%

$

105,145

1.06%

0.99%

0.99%

1.05%

0%

$

5.65

(17.58)%

$

96,393

0.99%

0.97%

0.97%

0.71%

0%

$

6.90

10.41%

$

87,863

1.05%

0.99%

0.99%

(0.27)%

0%

$

7.94

39.33%

$

29,648

1.37%

1.26%

1.25%

(1.23)%

0%

$

6.75

8.11%

$

16,188

1.39%

1.25%

1.25%

(0.63)%

0%

$

6.25

17.67%

$

13,586

1.32%

1.25%

1.25%

0.79%

0%

$

5.58

(17.82)%

$

17,457

1.27%

1.25%

1.25%

0.45%

0%

$

6.81

10.20%

$

7,559

1.31%

1.25%

1.25%

(0.50)%

0%

$

8.12

39.89%

$

3,494

1.02%

0.91%

0.90%

(0.88)%

0%

$

6.87

8.29%

$

789

1.02%

0.90%

0.90%

(0.14)%

0%

$

6.35

18.20%

$

148,682

0.97%

0.90%

0.90%

1.12%

0%

$

5.66

(17.60)%

$

156,433

0.93%

0.90%

0.90%

0.80%

0%

$

6.92

10.55%

$

110,467

0.96%

0.90%

0.90%

(0.16)%

0%

304

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.36

(0.10)

1.67

1.57

(0.90)

—

—

(0.90)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.15

(0.06)

(1.73)

(1.79)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.02

0.02

6

(0.76)

(0.74)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.38

0.01

(1.28)

(1.27)

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.92

(0.07)

1.27

1.20

(0.74)

—

—

(0.74)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.32

(0.12)

1.66

1.54

(0.88)

—

—

(0.88)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.12

(0.08)

(1.72)

(1.80)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.00

0.00

6,7

(0.75)

(0.75)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.35

(0.02)

(1.28)

(1.30)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.89

(0.13)

1.30

1.17

(0.71)

—

—

(0.71)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.38

(0.10)

1.69

1.59

(0.91)

—

—

(0.91)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.17

(0.05)

(1.74)

(1.79)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.03

0.03

6

(0.76)

(0.73)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.41

0.02

(1.30)

(1.28)

(0.10)

—

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.94

(0.07)

1.28

1.21

(0.74)

—

—

(0.74)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

CLASS

I

FOR

THE

PERIOD

12/16/21

9

-12/31/21

$

10.00

(0.01)

0.09

0.08

—

—

—

—

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

CLASS

N

FOR

THE

PERIOD

12/16/21

9

-12/31/21

$

10.00

(0.01)

0.09

0.08

—

—

—

—

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

CLASS

R6

FOR

THE

PERIOD

12/16/21

9

-12/31/21

$

10.00

(0.00)

7

0.08

0.08

—

—

—

—

305

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

2021

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

7.03

24.83%

$

242,712

1.67%

1.60%

1.50%

(1.38)%

194%

$

6.36

(21.96)%

$

237,379

1.84%

1.78%

1.50%

(0.80)%

544%

$

8.15

(8.20)%

$

866,804

2.51%

2.48%

1.49%

0.28%

6

170%

$

9.02

(12.26)%

$

1,759,075

2.25%

2.24%

1.47%

0.09%

345%

$

10.38

11.94%

$

2,956,926

2.22%

2.21%

1.49%

(0.70)%

140%

$

6.98

24.53%

$

19,068

1.92%

1.85%

1.75%

(1.63)%

194%

$

6.32

(22.17)%

$

14,857

2.08%

2.03%

1.75%

(1.06)%

544%

$

8.12

(8.33)%

$

40,665

2.77%

2.74%

1.75%

0.02%

6

170%

$

9.00

(12.60)%

$

82,850

2.51%

2.50%

1.74%

(0.22)%

345%

$

10.35

11.67%

$

177,319

2.49%

2.47%

1.75%

(1.23)%

140%

$

7.06

25.04%

$

396,425

1.57%

1.50%

1.40%

(1.28)%

194%

$

6.38

(21.91)%

$

390,127

1.74%

1.68%

1.40%

(0.68)%

544%

$

8.17

(8.08)%

$

1,163,852

2.42%

2.39%

1.40%

0.33%

6

170%

$

9.03

(12.32)%

$

1,459,422

2.18%

2.17%

1.40%

0.21%

345%

$

10.41

12.10%

$

1,613,182

2.14%

2.12%

1.40%

(0.65)%

140%

$

10.08

0.80%

$

504

3.45%

8

1.30%

1.30%

(1.29)%

0%

$

10.08

0.80%

$

503

3.70%

8

1.55%

1.55%

(1.54)%

0%

$

10.08

0.80%

$

9,081

3.43%

8

1.20%

1.20%

(1.19)%

0%

306

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2021

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Alternative

Risk

Premia

Fund

–

Class

I

......................................

$

0.04

0.47%

AQR

Alternative

Risk

Premia

Fund

–

Class

N

.....................................

0.02

0.17

AQR

Alternative

Risk

Premia

Fund

–

Class

R6

....................................

0.04

0.42

AQR

Style

Premia

Alternative

Fund

–

Class

I

......................................

0.01

0.16

AQR

Style

Premia

Alternative

Fund

–

Class

N

.....................................

(0.01)

(0.10)

AQR

Style

Premia

Alternative

Fund

–

Class

R6

....................................

0.02

0.21

FUND

TOTAL

EXPENSES

AQR

Macro

Opportunities

Fund

–

Class

I

........................................

2.10%

AQR

Macro

Opportunities

Fund

–

Class

N

........................................

2.38

AQR

Macro

Opportunities

Fund

–

Class

R6

.......................................

2.02

*

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

December

31,

2019

certain

Funds

received

special

dividends

which

materially

impacted

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio.

These

dividends

are

not

expected

to

continue

in

the

future.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

7

Amount

is

less

than

$.005

per

share.

8

Certain

expenses

incurred

by

the

Fund

were

not

annualized

for

the

period.

9

Commencement

of

operations.

10

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.

11

Includes

certain

non-recurring

professional

service

expenses.

Without

these

costs

the

"Expenses,

Before

Reimbursements

and/or

Waivers"

would

have

been:

307

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

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

December

31,

2021,

the

Trust

consists

of

twenty-

four

active

series, twelve

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund,

AQR

Diversifying

Strategies

Fund,

AQR

Equity

Market

Neutral

Fund,

AQR

Macro Opportunities Fund

(formerly

known

as

AQR

Global

Macro

Fund),

AQR

Long-Short

Equity

Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund,

AQR

Multi-Asset

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Style

Premia

Alternative

Fund

and

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund.

The

remaining

active

series

have

a

different

fiscal

year

end

and

are

reported

in

a separate

book.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

Adviser

has

retained

CNH

Partners,

LLC

(the

“Sub-Adviser”),

an

affiliate

of

the

Adviser,

to

serve

as

an

investment

sub-adviser

to

the

AQR

Diversified

Arbitrage

Fund.

Effective

January

1,

2022,

CNH

Partners,

LLC

changed

its

legal

name

to

AQR

Arbitrage,

LLC.

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

commenced

operations

on

December

16,

2021.

The

investment

objective

of

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund, AQR

Equity

Market

Neutral

Fund,

AQR

Macro

Opportunities Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund

and

AQR

Style

Premia

Alternative

Fund

is

to

seek

positive

absolute

returns.

The

investment

objective

of

the

AQR

Multi-Asset

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund

is

to

seek

total

return.

The

investment

objective

of

AQR

Diversifying

Strategies

Fund,

AQR

Long-Short

Equity

Fund

and

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

is

to

seek

capital

appreciation.

The

AQR

Diversifying

Strategies

Fund

pursues

its

investment

objective

by

investing

in

a

portfolio

of

mutual

funds

that

are

each

managed

by

the

Adviser.

Each

fund

offers

Class

I,

Class

N

and

Class

R6

shares.

2.

Consolidation

of

Subsidiaries

The

Consolidated

Schedules

of

Investments,

Statements

of

Assets

and

Liabilities,

of

Operations,

of

Changes

in

Net

Assets,

of

Cash

Flows

(as

applicable)

and

the

Financial

Highlights

of

AQR

Alternative

Risk

Premia

Fund,

AQR

Macro

Opportunities Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund,

AQR

Multi-Asset

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund

and

AQR

Style

Premia

Alternative

Fund

(“Consolidated

Funds”)

include

the

accounts

of

AQR

Alternative

Risk

Premia

Offshore

Fund

Ltd.,

AQR

Macro

Opportunities

Offshore

Fund

Ltd.

(formerly

known

as

AQR

Global

Macro

Offshore

Fund

Ltd.),

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.,

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.,

AQR

Multi-Asset

Offshore

Fund

Ltd.,

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

and

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.,

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(the

“Subsidiaries”).

All

intercompany

accounts

and

transactions

have

been

eliminated

in

consolidation.

Subsequent

references

to

the

Funds

within

the

Notes

to

Financial

Statements

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

Each

Consolidated

Fund

may

invest

up

to

25%

of

its

total

assets

(on

a

tax

basis)

in

its

respective

Subsidiary,

which

acts

as

an

investment

vehicle

in

order

to

affect

certain

investment

strategies

consistent

with

the

Funds’

investment

objectives

and

policies.

The

Funds

expect

that

they

will

achieve

a

significant

portion

of

their

exposure

to

commodities

and

commodities-related

investments

through

investment

in

the

Subsidiaries.

Unlike

the

Funds,

the

Subsidiaries

may

invest

without

limitation

in

commodities

and

commodities-related

investments.

3.

Significant

Accounting

Policies

Basis

of

Preparation:

The

Funds

are

investment

companies

and

apply

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

5.

Cash:

Cash

comprises

U.S.

Dollar

and

foreign

currency

deposits

held

at

a

custodian

bank(s)

which

may

exceed

insured

limits.

The

Funds

are

subject

to

risk

to

the

extent

that

the

institutions

may

be

unable

to

fulfill

their

obligations.

SUBSIDIARY

NET

ASSETS

AT

DECEMBER

31,

2021

%

OF

TOTAL

ASSETS

AT

DECEMBER

31,

2021

AQR

Alternative

Risk

Premia

Offshore

Fund

Ltd.

...............................................

$

30,947,801

8.6%

AQR

Macro

Opportunities

Offshore

Fund

Ltd.

.................................................

6,152,972

19.1%

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.

............................................

235,462,426

20.5%

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.

.........................................

13,765,805

19.1%

AQR

Multi-Asset

Offshore

Fund

Ltd.

........................................................

12,524,011

5.7%

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

....................................

57,048,618

22.8%

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

..............................................

150,102,855

16.6%

308

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

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.

Upon

notification

from

issuers,

some

of

the

dividend

income

received

from

a

real

estate

investment

trust

may

be

redesignated

as

a

reduction

of

cost

of

the

related

investment

and/or

realized

gain.

Certain

fixed-income

investments

may

pay

interest

in-kind,

which

represents

contractual

interest

accrued

and

increases

the

principal

balance.

For

inflation-linked

bonds,

interest

income

(expense)

is

earned

on

the

principal

amount

and

adjusted

for

the

changes

in

the

relevant

consumer

price

index.

The

Funds

may

be

subject

to

foreign

taxes

on

income,

capital

gains

on

investments

or

currency

repatriation,

a

portion

of

which

may

be

recoverable.

Dividend

income

(expense)

net

of

foreign

taxes

withheld,

if

any,

is

recorded

on

the

ex-dividend

date

or

when

the

Fund

first

learns

of

the

ex-date

dividend

notification.

The

Funds

may

file

withholding

tax

reclaims

in

certain

jurisdictions

to

recover

a

portion

of

amounts

withheld,

including

amounts

withheld

in

prior

years

which

may

be

reclaimable

based

upon

certain

provisions

in

the

Treaty

on

the

Functioning

of

the

European

Union

(“EU”)

and

subsequent

rulings

by

the

European

Court

of

Justice

(“ECJ”).

Income

recognized,

if

any,

for

reclaims

is

reflected

as

dividend

income

in

the

Statements

of

Operations.

Income

recognized

related

to

EU

reclaims

pursuant

to

the

ECJ

rulings

are

reflected

as

European

Union

tax

reclaims

on

the

Statements

of

Operations.

These

reclaims

are

recorded

when

the

amount

is

known

and

there

are

no

significant

uncertainties

on

collectability.

The

Funds

record

distributions

received

in

excess

of

income

from

underlying

investments

as

a

reduction

of

cost

of

investments

and/or

realized

gain.

Such

amounts

are

based

on

estimates

(if

actual

amounts

are

not

available)

and

actual

amounts

of

income,

realized

gain

and

return

of

capital

may

differ

from

the

estimated

amounts.

The

Funds

adjust

the

estimated

amounts

of

components

of

distributions

(and

consequently

net

investment

income)

as

necessary

once

the

issuers

provide

information

about

the

actual

composition

of

the

distributions.

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

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

of

shares

based

upon

the

proportion

of

relative

net

assets

at

the

beginning

of

each

day.

The

Funds

are

charged

for

those

expenses

that

are

directly

attributable

to

each

Fund.

Trust

level

expenses

are

allocated

among

the

Funds

based

on

the

ratio

of

average

net

assets

or

other

reasonable

methodology.

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.

Offering

Costs:

Offering

costs,

including

professional

fees,

printing

fees

and

initial

registration,

are

amortized

over

a

period

not

longer

than

twelve

months

from

the

date

the

Funds

commenced

operations. 

Federal

Income

Taxes:

Each

Fund

is

treated

as

a

separate

taxable

entity

for

federal

income

tax

purposes.

Each

Fund

intends

to

qualify

as

a

“regulated

investment

company” 

("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.

309

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

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

December

31,

2021,

the

Funds

had

no

examinations

in

progress.

For

Federal

tax

purposes,

taxable

income

for

each

Consolidated

Fund

and

its

Subsidiary

are

calculated

separately.

The

Subsidiaries

are

classified

as

controlled

foreign

corporations

(“CFCs”)

under

the

Code

and

each

CFCs

taxable

income

is

included

in

the

calculation

of

the

relevant

Consolidated

Fund’s

taxable

income.

Net

losses

of

the

Subsidiaries

are

not

deductible

by

the

Consolidated

Funds

either

in

the

current

period

or

future

periods.

Each

of

the

CFCs

has

a

fiscal

year

end

of

December

31st

for

financial

statement

consolidation

purposes

and

a

nonconforming

tax

year

end

of

November

30th. 

In

2021, AQR

Macro

Opportunities Fund

and

AQR

Managed

Futures

Strategy

HV

Fund incurred

an

excise

tax

liability

of $15,943

and

$45,005,

respectively,

relating

to

the

tax

year

2020. 

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

The

Funds

intend

to

declare

and

distribute

substantially

all

of

their

net

investment

income

and

net

realized

capital

gains,

if

any,

at

least

annually.

Income

and

capital

gain

distributions

will

be

determined

in

accordance

with

federal

income

tax

regulations

which

may

differ

from

GAAP.

Differences

may

be

permanent

or

temporary.

Permanent

differences

are

reclassified

among

capital

accounts

in

the

financial

statements

to

reflect

their

tax

character.

Temporary

differences

arise

when

certain

items

of

income,

expense,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

and

tax

purposes.

These

differences

will

reverse

at

some

time

in

the

future.

Differences

in

classification

may

also

result

from

the

treatment

of

short-term

gains

as

ordinary

income

for

tax

purposes.

As

a

result,

income,

dividends

and

capital

gain

distributions

declared

during

a

fiscal

period

may

differ

significantly

from

the

net

investment

income

(loss)

and

realized

gain

(loss)

reported

on

the

Funds’

financial

statements

presented

under

GAAP.

Distributions

classified

as

a

tax

basis

return

of

capital,

if

any,

are

reflected

on

the

Statements

of

Changes

in

Net

Assets

and

have

been

recorded

to

paid

in

capital.

Indemnification:

In

the

normal

course

of

business,

the

Funds

may

enter

into

various

agreements

that

provide

for

general

indemnifications.

The

Funds’

maximum

exposure

under

these

arrangements

is

unknown

as

any

potential

exposure

involves

future

claims

that

may

be

made

against

the

Funds.

However,

based

on

experience,

the

Funds

expect

the

risk

of

loss

to

be

remote.

4.

Securities

and

Other

Investments 

Affiliate

Investments:

 Certain

investments

may

be

classified

as

an

affiliate

or

a

controlled

affiliate

of

the

Funds

on

the

Schedule

of

Investments.

Section

2a-3

of

the

1940

Act

defines

an

affiliate

as,

among

other

things,

a

company

in

which

a

Fund

owns

at

least

5%

of

the

outstanding

voting

securities

as

well

as

an

issuer

which

is

under

common

control

with

another

fund

or

Trust.

Further,

pursuant

to

the

1940

Act,

control

is

presumed

to

exist

when,

among

other

things,

a

Fund

owns

more

than

25%

of

the

outstanding

voting

securities

of

a

portfolio

company.

Additionally,

certain

Funds

may

invest

in

the

Limited

Purpose

Cash

Investment

Fund

(the

“LPCI

Fund”),

which

is

managed

by

UBS

Asset

Management

(Americas)

Inc.

The

LPCI

Fund

is

a

registered

investment

company

under

the

1940

Act

and

is

subject

to

the

money

market

regulations

as

prescribed

in

Rule

2a-7

of

the

1940

Act.

Pursuant

to

the

LPCI

Fund’s

eligibility

requirements,

shares

of

the

LPCI

Fund

are

only

available

for

sale

to

the

Adviser

and

funds

advised

by

the

Adviser.

The

LPCI

Fund

may

be

considered

an

affiliated

issuer

of

some

of

the

Funds

in

the

Trust.

However,

the

Funds

do

not

invest

in

the

LPCI

Fund

for

the

purpose

of

exercising

significant

influence

over

its

management,

board

or

policies.

The

AQR

Diversifying

Strategies

Fund

invests

in

funds

which

are

managed

by

the

Adviser,

and

as

such

assumes

the

AQR

Funds

in

which

it

invests

to

be

affiliated

issuers.

A

summary

of

transactions

with

each

affiliated

issuer

is

included

in

the

Schedules

of

Investments,

if

applicable.

Convertible

Securities:

Certain

Funds

invest

in

preferred

stocks

and

fixed-income

securities

which

are

convertible

into

common

stock.

Convertible

securities

may

be

converted

either

at

a

stated

price

or

rate

within

a

specified

period

of

time

into

a

specified

number

of

shares

of

common

stock.

By

investing

in

a

convertible

security,

the

Funds

may

participate

in

any

capital

appreciation

or

depreciation

of

a

company’s

stock,

but

to

a

lesser

degree

than

if

they

had

invested

in

that

company’s

common

stock.

Convertible

securities

rank

senior

to

common

stock

in

a

corporation’s

capital

structure

and,

therefore,

entail

less

risk

than

the

corporation’s

common

stock.

The

Funds

may

attempt

to

hedge

some

of

their

investments

in

convertible

debt

securities

by

selling

short

the

issuer’s

common

stock.

The

premiums

attributable

to

the

conversion

feature

are

not

amortized. 

High

Yield

Securities:

Certain

Funds

invest

in

lower-quality

debt

securities.

Investments

in

lower-rated

securities

or

unrated

securities

of

comparable

quality

tend

to

be

more

sensitive

to

economic

conditions

than

higher

rated

securities

causing

greater

price

volatility.

These

instruments

involve

a

greater

risk

of

loss

due

to

default

by

the

issuer

because

such

securities

are

generally

unsecured

and

are

often

subordinated

to

other

creditors’

claims. 

310

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

Inflation-Indexed

Bonds:

Certain

Funds

may

invest

in

inflation-indexed

bonds

which

are

adjusted

for

inflation

through

periodic

increases

or

decreases

in

the

security’s

interest

accruals,

face

amount,

or

principal

redemption

value,

by

amounts

corresponding

to

the

rate

of

inflation

as

measured

by

an

index.

Inflation-indexed

bonds

typically

pay

a

fixed

rate

of

interest

but

that

fixed

rate

is

applied

to

an

inflation

adjusted

principal

amount.

If

the

index

measuring

inflation

rises

or

falls,

the

principal

value

of

inflation-indexed

bonds

will

be

adjusted

upward

or

downward,

and

consequently

the

interest

payable

on

these

securities

(calculated

with

respect

to

a

larger

or

smaller

principal

amount)

will

be

increased

or

reduced,

respectively.

Any

upward

or

downward

adjustment

in

the

principal

amount

of

an

inflation-indexed

bond

will

be

included

as

interest

income

in

the

Statement

of

Operations,

even

though

investors

do

not

receive

their

principal

until

maturity.

Repayment

of

the

original

bond

principal

upon

maturity

(as

adjusted

for

inflation)

is

guaranteed

in

the

case

of

U.S.

Treasury

inflation-indexed

bonds.

For

bonds

that

do

not

provide

a

similar

guarantee,

the

adjusted

principal

value

of

the

bond

repaid

at

maturity

may

be

less

than

the

original

principal.

Loan

Participations,

Assignments

and

Unfunded

Commitments:

Certain

Funds

invest

in

loan

participations

and

assignments.

When

a

Fund

purchases

a

loan

participation,

the

Fund

enters

into

a

contractual

relationship

with

the

lender

or

a

third

party

selling

such

participations

(“Selling

Participant”),

but

not

the

borrower.

In

this

case,

the

Fund

assumes

the

credit

risk

of

the

borrower

and

the

Selling

Participant

and

any

other

persons

inter-positioned

between

the

Fund

and

the

borrower

(“Intermediate

Participants”).

In

contrast,

when

one

of

the

Funds

purchases

an

assignment,

the

contractual

relationship

is

with

the

borrower

and

the

credit

risk

assumed

by

the

Fund

is

only

with

the

borrower.

Although

certain

loan

participations

or

assignments

are

secured

by

collateral,

the

Fund

could

experience

delays

or

limitations

in

realizing

such

collateral

or

have

its

interest

subordinated

to

other

indebtedness

of

the

obligor.

The

Funds

may

also

enter

into

unfunded

commitments,

which

are

contractual

obligations

for

future

funding.

These

unfunded

commitments

represent

a

future

obligation

in

full,

even

though

a

percentage

of

the

commitment

may

not

be

utilized

by

the

borrower.

These

types

of

investments

may

include

standby

financing

commitments,

such

as

revolving

credit

facilities,

which

obligate

the

Fund

to

supply

additional

cash

to

the

borrower

on

demand.

The

value

of

the

unfunded

portion

of

the

investment

is

determined

using

a

pro-rata

allocation,

based

on

its

par

value

relative

to

the

par

value

of

the

entire

investment.

In

addition,

loan

participations

and

assignments

are

vulnerable

to

market

conditions

such

that

economic

conditions

or

other

events

may

reduce

the

demand

for

loan

participations

and

assignments

and

certain

loan

participations

and

assignments

which

were

liquid,

when

purchased,

may

become

illiquid.

As

of

December

31,

2021,

AQR

Diversified

Arbitrage

Fund’s

unfunded

commitments

were

as

follows:

The

Fund

has

no

unrealized

gain

or

loss

on

the

unfunded

commitment.

Defaulted

Securities

and

Distressed

Investments:

Certain

Funds

held

defaulted

securities

or

other

securities

which

were

placed

in

non-accrual

status

as

the

collection

of

a

portion

or

all

of

the

interest

has

been

deemed

to

be

uncollectible.

The

securities

have

been

identified

on

the

Schedules

of

Investments.

Debt

obligations

may

be

placed

on

non-accrual

status

and

related

interest

income

may

be

reduced

by

ceasing

current

accruals

and

writing

off

interest

receivable

when

the

collection

of

a

portion

of

interest

has

become

doubtful

based

on

consistently

applied

procedures.

A

debt

obligation

is

removed

from

non-accrual

status

when

the

issuer

resumes

interest

payments

or

when

collectability

of

interest

is

probable.

The

Funds

may

invest

in

distressed

investments,

which

are

issued

by

companies

that

are,

or

might

be,

involved

in

reorganizations

or

financial

restructurings,

either

out

of

court

or

in

bankruptcy. 

Special

Purpose

Acquisition

Companies

(“SPACs”):

 Certain

Funds may

invest

in

common

stock,

rights,

units,

warrants,

and

other

securities

of

SPACs

or

similar

special

purpose

entities

that

pool

funds

to

seek

potential

acquisition

opportunities.

The

securities

of

a

SPAC

are

often

issued

in

“units”

that

include

one

share

of

common

stock

and

one

right

or

warrant

(or

partial

right

or

warrant)

conveying

the

right

to

purchase

additional

shares

or

partial

shares.

Unless

and

until

a

transaction

is

completed,

a

SPAC

generally

invests

its

assets

(less

a

portion

retained

to

cover

expenses)

in

U.S.

Government

securities,

money

market

fund

securities

and

cash.

If

an

acquisition

that

meets

the

requirements

for

the

SPAC

is

not

completed

within

a

pre-established

period

of

time

the

invested

funds

are

returned

to

the

entity’s

shareholders,

less

certain

permitted

expenses,

and

any

rights

or

warrants

issued

by

the

SPAC

may

expire

worthless.

Because

SPACs

and

similar

entities

have

no

operating

history

or

ongoing

business

other

than

seeking

acquisitions,

the

value

of

their

securities

is

particularly

dependent

on

the

ability

of

the

entity’s

management

to

identify

and

complete

a

suitable

acquisition.

Some

SPACs

may

pursue

acquisitions

only

within

certain

industries

or

regions,

which

may

increase

the

volatility

of

their

securities’

prices.

Securities

Sold

Short:

Certain

Funds

may

engage

in

short

sales,

which

is

when

a

Fund

sells

securities

it

does

not

own

as

a

hedge

against

some

of

its

long

positions

and/or

in

anticipation

of

a

decline

in

the

market

value

of

that

security.

When

one

of

the

Funds

makes

a

short

sale,

it

must

borrow

the

security

sold

short

and

deliver

it

to

the

broker

through

which

it

made

the

short

sale.

The

Fund

may

have

to

pay

a

fee

to

borrow

the

particular

security

and

may

be

obligated

to

remit

any

interest

or

dividends

received

on

such

borrowed

securities.

Dividends

declared

on

short

positions

are

recorded

on

the

ex-date

as

an

expense.

A

gain,

limited

to

the

price

at

which

the

Fund

sold

the

security

short,

or

a

loss,

which

could

be

unlimited

in

magnitude,

will

be

recognized

upon

the

termination

of

a

short

sale

if

the

market

price

at

termination

is

less

than

or

greater

than,

respectively,

the

proceeds

originally

received.

The

Fund

is

also

subject

to

the

risk

that

it

may

be

unable

to

reacquire

a

security

to

terminate

a

short

position

except

at

a

price

substantially

in

excess

of

the

last

quoted

price.

The

Fund

is

also

subject

to

risk

of

loss

if

the

broker

were

to

fail

to

perform

its

obligations

under

the

contractual

terms.

Liabilities

for

securities

sold

short

are

reported

at

market

value

on

the

Statements

of

Assets

and

Liabilities

and

the

change

in

market

value

is

recorded

as

unrealized

gain

or

loss

on

the

Statements

of

Operations.

BORROWER

COMMITMENT

AMOUNT

DEMC

Ltd.,

Class

A-2

...........................................................................

$

195,608

311

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

The

Funds

are

required

to

pledge

cash

or

liquid

securities

to

the

broker

as

collateral

for

securities

sold

short.

Collateral

requirements

are

calculated

daily

based

on

the

current

market

value

of

the

short

positions.

Daily

market

fluctuations

and

trading

activity

could

cause

the

value

of

securities

sold

short

to

be

more

or

less

than

the

value

of

the

collateral

segregated.

Cash

deposited

with

the

broker

for

collateral

for

securities

sold

short

is

recorded

as

an

asset

on

the

Statements

of

Assets

and

Liabilities

and

securities

segregated

as

collateral

are

denoted

in

the

Schedules

of

Investments.

The

Funds

may

receive

or

pay

the

net

of

the

following

amounts:

(i)

a

portion

of

the

income

from

the

investment

of

cash

collateral;

(ii)

the

broker’s

fee

on

the

borrowed

securities;

and

(iii)

a

financing

charge

for

the

difference

in

the

market

value

of

the

short

position

and

cash

collateral

deposited

with

the

broker.

This

income

or

fee

is

calculated

daily

based

upon

the

market

value

of

each

borrowed

security

and

a

variable

rate

that

is

dependent

on

the

availability

of

the

security.

Pursuant

to

a

Master

Securities

Loan

Agreement

("MSLA"),

State

Street

Bank

and

Trust

Company

(“SSB”)

is

permitted,

subject

to

certain

conditions,

to

rehypothecate

up

to

30%

of

portfolio

securities

pledged

by certain

Funds

as

collateral

for

securities

sold

short.

The

Funds

continue

to

receive

dividends

and

interest

on

rehypothecated

securities.

The

Funds

also

have

the

right

under

the

MSLA

to

recall

the

rehypothecated

securities

from

SSB

on

demand.

If

SSB

fails

to

deliver

the

recalled

security

in

a

timely

manner,

the

Funds

will

be

compensated

by

SSB

for

any

fees

or

losses

related

to

the

failed

delivery

or,

in

the

event

a

recalled

security

will

not

be

returned

by

SSB,

the

Fund

may

reduce

the

loan

balance

outstanding

by

the

amount

of

the

recalled

security. 

The

net

amount

of

fees

incurred

are

included

in

the

dividend

and

interest

on

securities

sold

short

in

the

Statements

of

Operations

and

are

as

follows:

Futures

Contracts:

Certain

Funds

invest

in

futures

contracts

as

part

of

their

primary

investment

strategy

and

to

equitize

its

cash

flows.

Investments

in

futures

may

increase

or

decrease

exposure

to

a

particular

market.

In

the

event

of

a

bankruptcy

or

insolvency

of

a

futures

commission

merchant

that

holds

margin

on

behalf

of

the

Funds,

the

Funds

may

not

receive

the

return

of

the

entire

margin

owed

to

the

Funds,

potentially

resulting

in

a

loss.

A

change

in

market

value

of

an

open

futures

contract

is

recorded

in

the

Statements

of

Operations

as

net

change

in

unrealized

appreciation

(depreciation)

on

futures

contracts.

A

realized

gain

(loss)

represents

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed

or

expired,

and

is

reported

in

the

Statements

of

Operations.

The

use

of

long

futures

contracts

subjects

the

Funds

to

risk

of

loss

in

excess

of

the

variation

margin

on

the

Statements

of

Assets

and

Liabilities.

The

use

of

short

futures

contracts

subjects

the

Funds

to

unlimited

risk

of

loss.

Futures

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Forward

Foreign

Currency

Exchange

Contracts:

Certain

Funds

buy

and

sell

forward

foreign

currency

exchange

contracts,

which

are

agreements

between

two

parties

to

buy

and

sell

currencies

at

a

set

price

on

a

future

date.

These

contracts

are

used

to

protect

against

a

decline

in

value

relative

to

the

U.S.

Dollar

of

the

currencies

in

which

portfolio

securities

are

denominated

or

quoted

(or

an

increase

in

the

value

of

a

currency

in

which

securities

that

a

Fund

intends

to

buy

are

denominated,

when

a

Fund

holds

cash

reserves

and

short

term

investments),

or

for

other

investment

purposes.

The

market

value

of

the

contract

will

fluctuate

with

changes

in

currency

exchange

rates.

The

contract

is

marked

to

market

daily

and

the

change

in

market

value

is

recorded

as

unrealized

appreciation

or

depreciation.

When

the

contract

is

closed,

the

Funds

record

a

realized

gain

or

loss

equal

to

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

The

Funds

could

be

exposed

to

risk

if

the

value

of

the

currency

changes

unfavorably,

if

the

counterparties

to

the

contracts

are

unable

to

meet

the

terms

of

their

contracts

or

if

the

Funds

are

unable

to

enter

into

a

closing

position.

Risks

may

exceed

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

Non-deliverable

forward

foreign

currency

exchange

contracts

are

settled

with

the

counterparty

in

U.S.

Dollars

without

the

delivery

of

foreign

currency.

Forward

foreign

currency

exchange

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Swap

Contracts:

Certain

Funds

engage

in

various

swap

transactions

to

manage

risks

within

their

portfolios

or

as

alternatives

to

direct

investments.

Swap

transactions

may

be

privately

negotiated

in

the

over-the-counter

(“OTC”)

market

where

payments

are

settled

through

direct

payments

between

a

Fund

and

the

counterparty.

By

contrast,

certain

swap

transactions

are

subject

to

mandatory

central

clearing

(“centrally

cleared

swaps”).

These

swaps

are

executed

through

a

derivatives

clearing

member

(“DCM”),

acting

in

an

agency

capacity,

and

submitted

to

a

central

counterparty

(“CCP”),

in

which

case

all

payments

are

settled

with

the

CCP

through

the

DCM.

For

centrally

cleared

swaps,

the

Schedules

of

Investments

include

the

cumulative

appreciation

(depreciation),

while

only

the

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities.

For

credit

default

and

interest

rate

contracts,

an

upfront

payment

received

by

a

Fund

is

recorded

as

a

liability

and

an

upfront

payment

made

by

a

Fund

is

recorded

as

an

asset

on

the

Fund’s

Statement

of

Assets

and

Liabilities.

Upfront

payments

are

amortized

over

the

term

of

the

contract.

If

there

is

no

upfront

payment

or

receipt,

market

value

will

equal

unrealized

appreciation

(depreciation).

Payments

received

(paid)

by

a

Fund

are

recorded

as

realized

gains

(losses)

from

the

expiration

at

a

periodic

reset

date

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

The

Funds’

use

of

swap

contracts

creates

additional

risks

beyond

those

that

would

exist

if

the

Funds

invested

in

the

underlying

positions

directly.

Fund

Fees

AQR

Alternative

Risk

Premia

Fund

........................................................................

$

545,221

AQR

Diversified

Arbitrage

Fund

...........................................................................

1,946,671

AQR

Equity

Market

Neutral

Fund

.........................................................................

20,168

AQR

Multi-Asset

Fund

.................................................................................

104,543

AQR

Style

Premia

Alternative

Fund

........................................................................

216,925

312

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

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. 

Total

Return

Basket

Swaps:

Certain

Funds

may

enter

into

a

total

return

basket

swap

agreement

to

obtain

exposure

to

a

portfolio

of

long

and/or

short

securities.

Under

the

terms

of

the

agreement,

the

swap

is

designed

to

function

as

a

portfolio

of

direct

investments

in

long

and

short

equity

or

fixed

income

positions.

The

absolute

notional

value

of

the

total

return

basket

swap

represents

the

accumulated

notional

value

of

the

underlying

long

components

and

absolute

notional

value

of

the

short

components

held

within

the

total

return

basket

swap

at

period

end.

The

notional

value

of

each

component

represents

the

market

value

at

period

end.

The

Funds

have

the

ability

to

trade

in

and

out

of

long

and

short

positions

within

the

swap

and

will

receive

all

of

the

economic

benefits

and

risks

equivalent

to

direct

investments

in

these

positions

such

as:

capital

appreciation

(depreciation),

corporate

actions,

and

dividends

and

interest

received

and

paid,

all

of

which

are

reflected

in

the

swap

value.

The

swap

value

also

includes

financing

charges

and

credits

related

to

the

notional

values

of

the

long

and

short

positions

and

cash

balances

within

the

swap.

Finance

charges

and

credits

are

based

on

defined

market

rates

plus

or

minus

a

specified

spread.

Positions

within

the

swap

are

reset

periodically,

and

financing

costs

are

reset

generally

monthly.

During

a

reset,

any

realized

gains

(losses)

from

positions,

income,

proceeds

from

corporate

actions

and

accrued

financing

costs

may

become

available

for

cash

settlement

between

the

Funds

and

the

swap

counterparty.

Prior

to

the

reset,

these

amounts

are

included

as

a

component

of

the

swap

value

in

Net

cash

and

other

receivables

(payables).

Cash

settlement

in

and

out

of

the

swap

may

occur

at

a

reset

date

or

any

other

date,

at

the

discretion

of

the

Funds

and

the

counterparty,

over

the

life

of

the

agreement,

and

is

generally

determined

based

on

limits

and

thresholds

established

as

part

of

the

Master

Agreement

between

the

Funds

and

the

counterparty.

The

maturity

dates

are

measured

from

the

commencement

of

investment

in

each

underlying

portfolio

swap

positions.

A

change

in

the

market

value

of

a

total

return

basket

swap

contract

is

recognized

as

net

change

in

unrealized

appreciation

(depreciation)

on

swap

contracts

in

the

Statements

of

Operations.

Cash

settlements

between

a

Fund

and

the

counterparty

are

recognized

as

net

realized

gain

(loss)

from

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Total

return

basket

swap

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments. 

Credit

Default

Swap

Contracts:

Certain

Funds

enter

into

credit

default

swap

contracts

to

provide

a

measure

of

protection

against

risk

of

loss

following

a

default,

or

other

credit

event

in

respect

of

issuers

within

an

underlying

index

or

a

single

issuer,

or

to

gain

credit

exposure

to

an

underlying

index

or

issuer.

In

a

credit

default

contract,

the

protection

buyer

typically

makes

an

upfront

payment

and

a

periodic

stream

of

payments

to

a

counterparty,

the

protection

seller,

in

exchange

for

the

right

to

receive

a

contingent

payment

upon

the

occurrence

of

a

credit

event

on

the

reference

obligation

or

all

other

equally

ranked

obligations

of

the

reference

entity.

Credit

events

are

contract

specific

but

may

include

bankruptcy,

failure

to

pay,

restructuring

and

obligation

acceleration.

The

credit

default

contracts

are

marked

to

market

daily

and

the

change,

if

any,

is

recorded

as

an

unrealized

gain

or

loss.

Variation

margin

is

accounted

for

as

unrealized

appreciation

or

depreciation

until

the

contract

is

closed,

at

which

time

the

gains

or

losses

are

realized.

Upon

the

occurrence

of

a

credit

event,

the

difference

between

the

par

value

and

market

value

of

the

reference

obligation,

net

of

any

proportional

amount

of

the

upfront

payment,

is

recorded

as

a

realized

gain

or

loss

on

swap

contracts

in

the

Statements

of

Operations.

Implied

credit

spreads

are

used

to

determine

the

value

of

credit

default

swap

contracts

and

reflect

the

cost

of

buying/selling

protection,

which

may

include

upfront

payments

made

to

enter

into

the

contract.

Therefore,

higher

spreads

indicate

a

greater

likelihood

that

a

seller

will

be

obligated

to

perform

(i.e.,

make

payment)

under

the

swap

contract.

Implied

credit

spreads

for

credit

default

swaps

on

credit

indexes

are

linked

to

the

weighted

average

spread

across

the

underlying

reference

obligations

included

in

a

particular

index.

Risks

of

loss

may

exceed

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

A

Fund’s

maximum

risk

of

loss

from

counterparty

risk,

either

as

the

protection

seller

or

as

the

protection

buyer,

is

the

fair

value

of

the

contract.

This

risk

may

be

mitigated

by

having

a

master

netting

arrangement

between

the

specific

Fund

and

the

counterparty.

The

central

clearing

house

acts

as

the

counterparty

to

each

centrally

cleared

swap

transaction,

therefore

credit

risk

is

limited

to

the

failure

of

the

clearing

house.

Where

a

Fund

is

a

seller

of

protection,

the

maximum

potential

amount

of

future

payments

the

Fund

may

be

required

to

make

is

equal

to

the

notional

amount

of

the

relevant

credit

default

contract.

The

Fund’s

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Statements

of

Assets

and

Liabilities.

Credit

default

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Interest

Rate

Swaps:

Certain

Funds

enter

into

interest

rate

swaps

as

part

of

their

investment

strategy.

Interest

rate

swaps

generally

involve

agreements

to

exchange

fixed

and

floating

payment

obligations,

without

the

exchange

of

the

underlying

notional

amounts.

Interest

rate

swap

agreements

are

privately

negotiated

in

the

OTC

market

or

may

be

executed

in

a

multilateral

or

other

trade

facility

platform,

such

as

a

registered

exchange

(centrally

cleared

swaps).

Periodic

payments

received

(paid)

by

the

Funds

are

recorded

as

realized

gains

(losses)

on

derivatives

in

the

Statements

of

Operations.

Interest

rate

swaps

are

marked

to

market

daily

and

the

change

is

recorded

as

unrealized

gain

(loss)

on

swap

contracts

in

the

Statements

of

Operations.

The

Funds’

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Schedule

of

Investments.

Non-deliverable

interest

rate

swap

contracts

are

settled

with

the

counterparty

in

U.S.

Dollars

without

the

delivery

of

foreign

currency.

Centrally

cleared

interest

rate

swaps

may

have

forward

effective

dates.

The

amortization

of

the

upfront

premiums

(if

applicable)

and

payments

related

to

these

swap

contracts

begin

on

the

effective

date

of

the

contract.

Interest

rate

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

313

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

Repurchase

Agreements:

Certain

Funds

may

enter

into

repurchase

agreements.

In

a

repurchase

agreement,

a

Fund

takes

possession

of

an

underlying

debt

obligation

(collateral)

subject

to

an

obligation

of

the

seller

to

repurchase,

and

a

Fund

to

resell,

the

obligation

at

an

agreed-upon

price

and

time.

Under

the

terms

of

a

master

repurchase

agreement,

the

underlying

securities

for

all

repurchase

agreements

are

held

in

safekeeping

at

the

Fund’s

custodian

or

designated

sub-custodians

under

tri-party

repurchase

agreements.

Investments

in

repurchase

agreements

are

reflected

as

assets

on

the

Statements

of

Assets

and

Liabilities.

Interest

earned

is

recorded

as

a

component

of

interest

income

on

the

Statements

of

Operations.

In

periods

of

increased

demand

for

collateral,

a

Fund

may

pay

a

fee

for

receipt

of

collateral,

which

may

result

in

interest

expense

to

the

Fund.

Generally,

in

the

event

of

counterparty

default,

a

Fund

has

the

right

to

use

the

collateral

to

offset

losses

incurred.

If

the

counterparty

should

default,

a

Fund

may

seek

to

sell

the

securities

which

it

holds

as

collateral.

This

could

involve

procedural

costs

or

delays

in

addition

to

a

loss

on

the

securities

if

their

value

should

fall

below

their

repurchase

price.

Repurchase

agreements

outstanding

at

period

end

are

included

within

each

Fund’s

Schedule

of

Investments. 

Reverse

Repurchase

Agreements:

Certain

Funds

may

enter

into

reverse

repurchase

agreements

under

the

terms

of

a

master

repurchase

agreement.

A

Fund

sells

a

security

that

it

holds

to

a

counterparty

with

a

contemporaneous

agreement

to

repurchase

the

same

security

at

an

agreed-upon

price

and

date.

Reverse

repurchase

agreements

are

accounted

for

as

secured

borrowings

and

are

reflected

as

a

liability

on

the

Statements

of

Assets

and

Liabilities.

Interest

payments

made

on

reverse

repurchase

agreements

are

recorded

as

a

component

of

interest

expense

on

the

Statements

of

Operations.

In

periods

of

increased

demand

for

the

security,

a

Fund

may

receive

a

fee

for

use

of

the

security

by

the

counterparty,

which

may

result

in

interest

income

to

the

Fund.

A

Fund

monitors

collateral

market

value

for

the

reverse

repurchase

agreement,

including

accrued

interest,

throughout

the

lives

of

the

agreements,

and

when

necessary,

delivers

or

receives

cash

or

securities

in

order

to

manage

credit

exposure

and

liquidity.

If

the

counterparty

defaults

or

enters

insolvency

proceeding,

realization

or

return

of

the

collateral

to

the

Fund

may

be

delayed

or

limited.

Reverse

repurchase

agreements

outstanding

at

period

end,

if

any,

including

the

underlying

debt

obligation

(collateral)

assigned

to

each

agreement,

are

listed

after

each

Fund’s

Schedule

of

Investments.

The

collateral

held

in

relation

to

the

repurchase

agreements

and

reverse

repurchase

agreements

was

in

U.S.

Treasury

Inflation

Protected

Securities

and

Foreign

Government

Securities

with

a

maturity

greater

than

90

days

in

the

amount

of

$26,506,561

for

AQR

Multi-Asset

Fund.

Master

Agreements:

Certain

Funds

are

parties

to

master

netting

arrangements

with

counterparties

(“Master

Agreements”).

Master

Agreements

govern

the

terms

of

certain

like

transactions,

and

reduce

the

counterparty

risk

associated

with

relevant

transactions

by

specifying

payment

netting

mechanisms

across

multiple

transactions

and

providing

standardization

that

improves

legal

certainty.

Since

different

types

of

transactions

have

different

mechanics

and

are

sometimes

traded

by

different

legal

entities

of

a

particular

counterparty

organization,

each

type

of

transaction

may

be

covered

by

a

different

Master

Agreement,

resulting

in

the

need

for

multiple

Master

Agreements

with

a

counterparty

and

its

affiliates.

As

the

Master

Agreements

are

specific

to

unique

operations

of

different

asset

types,

they

allow

the

Funds

to

i)

close

out

and

net

their

total

exposure

to

a

counterparty

in

the

event

of

a

default

with

respect

to

all

the

transactions

governed

under

a

single

Master

Agreement

with

a

counterparty,

ii)

exit

transactions

through

means

other

than

sale,

such

as

through

a

negotiated

agreement

with

the

Funds’

counterparty,

a

transfer

to

another

party,

or

close

out

of

the

position

through

execution

of

an

offsetting

transaction.

Master

Repurchase

Agreements

govern

repurchase,

or

reverse

repurchase

transactions,

relating

to

government

bonds

between

certain

Funds

and

select

counterparties.

Master

Repurchase

Agreements

maintain

provisions

for

initiation,

income

payments,

events

of

default,

and

maintenance

of

collateral.

Prime

Broker

Arrangements

may

be

entered

into

to

facilitate

execution

and/or

clearing

of

equities,

bonds,

equity

options

or

short

sales

of

securities

between

certain

Funds

and

selected

counterparties.

These

arrangements

provide

financing

terms

for

such

transactions

and

include

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).

314

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

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.

5.

Investment

Valuation

and

Fair

Value

Measurements 

Investment

Valuation

Policies:

The

Net

Asset

Value

(“NAV”)

of

the

Funds’

shares

are

valued

as

of

the

close

of

regular

trading

on

the

New

York

Stock

Exchange

(“NYSE”)

(normally

4:00

p.m.

Eastern

time)

on

each

day

that

the

NYSE

is

open

(each

a

“Business

Day”).

The

NAV

per

share

of

each

class

within

each

Fund

is

computed

by

dividing

the

total

current

value

of

the

assets

of

such

Fund

attributable

to

a

class,

less

class

liabilities,

by

the

total

number

of

shares

of

that

class

of

the

Fund

outstanding

at

the

time

the

computation

is

made.

GAAP

defines

fair

value

as

the

price

the

Funds

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

For

purposes

of

calculating

the

NAV,

portfolio

securities

and

other

financial

derivative

instruments

are

valued

on

each

Business

Day

using

valuation

methods

as

adopted

by

the

Funds’

Board

of

Trustees

(the

“Board”).

The

Adviser

has

established

a

Valuation

Committee

(the

“VC”)

to

assist

the

Board

with

oversight

and

monitoring

of

the

valuation

of

the

Funds’

investments.

This

includes

administering,

implementing

and

overseeing

the

continual

appropriateness

of

valuation

approaches

applied

and

the

determination

of

adjustments

to

the

fair

valuation

of

portfolio

securities

and

other

financial

derivative

instruments

in

good

faith

after

consideration

of

market

factor

changes

and

events

affecting

issuers.

The

Adviser

performs

a

series

of

activities

to

provide

reasonable

assurance

of

the

accuracy

of

prices

including:

(i)

periodic

vendor

due

diligence

meetings,

review

of

approaches

and

techniques,

new

developments

and

processes

at

vendors,

(ii)

review

of

daily

comparison

of

security

valuation

versus

prior

day

for

all

securities

that

exceeded

established

thresholds,

(iii)

review

of

third

party

model

prices

against

internal

model

prices,

and

(iv)

review

of

the

results

of

back

testing

and

reports

for

the

Board

on

the

results

of

fair

value

determinations.

Where

market

quotes

are

readily

available,

fair

market

value

is

generally

determined

on

the

basis

of

official

closing

prices

or

the

last

reported

sales

prices,

or

if

no

sales

are

reported,

based

on

quotes

obtained

from

pricing

services

or

established

market

makers.

Where

market

quotations

are

not

readily

available,

or

if

an

available

market

quotation

is

determined

not

to

reflect

fair

value,

securities

or

financial

derivatives

are

valued

at

fair

value,

as

determined

in

good

faith

by

the

VC

in

accordance

with

the

valuation

procedures

approved

by

the

Funds’

Board.

Using

fair

value

to

price

a

security

may

require

subjective

determinations

about

the

value

of

a

security

that

could

result

in

a

value

that

is

different

from

a

security’s

most

recent

closing

price

and

from

the

prices

used

by

other

mutual

funds

to

calculate

their

net

assets.

It

is

possible

the

estimated

values

may

differ

significantly

from

the

values

which

would

have

been

used

had

an

active

ready

market

for

the

investments

existed.

These

differences

could

be

material.

Fair

Value

Hierarchy:

Various

inputs

are

utilized

in

determining

the

value

of

each

Fund’s

investments.

GAAP

establishes

a

hierarchy

for

inputs

used

in

measuring

fair

value

that

maximizes

the

use

of

observable

inputs

and

minimizes

the

use

of

unobservable

inputs

by

requiring

the

most

observable

inputs

be

used

when

available.

These

inputs

are

summarized

into

three

broad

levels

as

follows:

Level

1

—

Inputs

using

unadjusted

quoted

prices

in

active

markets

or

exchanges

for

identical

assets

and

liabilities.

Level

2

—

Other

significant

observable

inputs,

which

may

include,

but

are

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

credit

risks

and

default

rates)

or

other

market

corroborated

inputs.

Level

3

—

Significant

unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available,

which

may

include

assumptions

made

by

the

Board

or

persons

acting

at

their

direction

that

are

used

in

determining

the

fair

value

of

investments.

An

investment

asset’s

or

liability’s

level

within

the

fair

value

hierarchy

is

based

on

the

lowest

level

input,

individually

or

in

aggregate,

that

is

significant

to

fair

value

measurement.

The

objective

of

fair

value

measurement

remains

the

same

even

when

there

is

a

significant

decrease

in

the

volume

and

level

of

activity

for

an

asset

or

liability

and

regardless

of

the

valuation

technique

used.

The

valuation

techniques

used

by

the

Funds

to

measure

fair

value

maximize

the

use

of

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

Changes

in

valuation

techniques

may

result

in

transfers

into

or

out

of

an

assigned

level

within

the

hierarchy.

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

315

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

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

4:00pm

Eastern

time

where

the

market

is

closed

due

to

a

holiday,

are

classified

Level

2

because

they

are

fair

valued

daily

based

on

the

application

of

a

fair

value

factor

(unless

the

Adviser

determines

that

use

of

another

valuation

methodology

is

appropriate).

The

Funds

apply

daily

fair

value

factors,

furnished

by

an

independent

pricing

service,

to

account

for

the

market

movement

between

the

close

of

the

foreign

market

and

the

close

of

the

NYSE.

The

pricing

service

uses

statistical

analysis

and

quantitative

models

to

adjust

local

market

prices

using

factors

such

as

subsequent

movement

and

changes

in

the

prices

of

indices,

American

Depositary

Receipts,

futures

contracts

and

exchange

rates

in

other

markets

in

determining

fair

value

as

of

the

time

a

Fund

calculates

its

net

asset

value.

Fixed

income

securities

(other

than

certain

short-term

investments

maturing

in

60

days

or

less)

and

other

investments

that

trade

in

markets

that

are

not

considered

to

be

active,

are

valued

based

on

quoted

market

prices,

dealer

quotations

or

alternative

pricing

sources

supported

by

observable

inputs

and

are

also

classified

within

Level

2.

These

include

certain

U.S.

government

and

sovereign

obligations,

most

government

agency

securities,

investment-

grade

corporate

bonds,

and

less

liquid

listed

equities.

Corporate

and

sovereign

bonds

and

other

fixed-income

instruments

are

valued

at

estimated

fair

value

using

the

latest

bid

prices

or

evaluated

quotes

furnished

by

independent

pricing

services,

as

well

as

quotations

from

counterparties

and

other

market

participants.

Evaluated

quotes

are

generally

based

on

a

matrix

system,

which

may

consider

such

factors

as

quoted

prices

for

identical

or

similar

assets,

yields,

maturities

and

ratings

and

are

not

necessarily

reliant

on

quoted

prices.

Short-term

debt

investments

of

sufficient

credit

quality

maturing

in

60

days

or

less

are

generally

valued

at

amortized

cost,

which

approximates

fair

value.

These

investments

are

categorized

as

Level

2

within

the

fair

value

hierarchy. 

Investments

classified

within

Level

3

have

significant

unobservable

inputs,

as

they

trade

infrequently

or

not

at

all.

Level

3

instruments

include

illiquid

securities.

When

observable

prices

are

not

available

for

these

securities,

the

Funds

may

use

one

or

more

valuation

approaches

(e.g.,

the

market

approach,

the

income

approach,

or

the

cost

approach),

including

proprietary

models

for

which

sufficient

and

reliable

data

is

available.

Within

Level

3,

the

market

approach

generally

is

based

on

the

technique

of

using

comparable

market

transactions,

while

the

use

of

the

income

approach

includes

the

estimation

of

future

cash

flows

discounted

to

calculate

fair

value.

Discounts

may

also

be

applied

due

to

the

nature

or

durations

of

any

restrictions

on

the

disposition

of

the

investment

or

adjusted

as

appropriate

for

credit,

market

and/or

other

risk

factors.

The

inputs

used

by

the

Funds

in

estimating

the

value

of

Level

3

investments

include

the

original

transaction

price,

recent

transactions

in

the

same

or

similar

instruments,

completed

or

pending

third-party

transactions

in

the

underlying

investment

or

comparable

issuers,

subsequent

rounds

of

financing,

recapitalizations

and

other

transactions

across

the

capital

structure,

offerings

in

the

equity

or

debt

capital

markets,

changes

in

financial

ratios

or

cash

flows,

benchmark

yield

curves,

credit

spreads,

estimated

default

rates,

underlying

collateral,

and

other

unique

security

features.

Level

3

investments

may

also

be

adjusted

to

reflect

illiquidity

and/or

non-transferability,

with

the

amount

of

such

discount

estimated

by

the

Adviser

in

the

absence

of

market

information.

Assumptions

used

by

the

Funds

due

to

the

lack

of

observable

inputs

may

significantly

impact

the

fair

value

of

the

investment.

Exchange-traded

derivatives,

such

as

futures

contracts

and

exchange-traded

option

contracts,

are

typically

classified

within

Level

1

or

Level

2

of

the

fair

value

hierarchy

depending

on

whether

or

not

they

are

deemed

to

be

actively

traded.

Futures

and

option

contracts

that

are

listed

on

national

exchanges

and

are

freely

transferable

are

valued

at

fair

value

based

on

their

last

sales

price

on

the

date

of

determination

on

the

exchange

that

constitutes

the

principal

market.

For

option

contracts,

if

no

sales

occurred

on

such

date,

the

contracts

will

be

valued

at

the

mid

price

on

such

exchange

at

the

close

of

business

on

such

date.

Centrally

cleared

swaps

listed

or

traded

on

a

multilateral

trade

facility

platform,

such

as

a

registered

exchange,

are

valued

on

a daily

basis

using

quotations

provided

by

an

independent

pricing

service. 

OTC

derivatives,

including

forward

contracts

and

swap

contracts,

are

valued

by

the

Funds

on

a

daily

basis

using

observable

inputs,

such

as

quotations

provided

by

an

independent

pricing

service,

the

counterparty,

dealers

or

brokers,

whenever

available

and

considered

reliable.

The

value

of

each

total

return

swap

contract

and

total

return

basket

swap

contract

is

derived

from

a

combination

of

(i)

the

net

value

of

the

underlying

positions,

which

are

valued

daily

using

the

last

sale

or

closing

price

on

the

principal

exchange

on

which

the

securities

are

traded;

(ii)

financing

costs;

(iii)

the

value

of

dividends

or

accrued

interest;

(iv)

cash

balances

within

the

swap;

and

(v)

other

factors,

as

applicable. 

The

U.S.

Dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Credit

default

swap

contracts

and

interest

rate

swap

contracts

are

marked

to

market

daily

based

on

quotations

as

provided

by

an

independent

pricing

service.

The

independent

pricing

services

aggregate

valuation

information

from

various

market

participants

to

create

a

single

reference

value

for

each

credit

default

swap

contract

and

interest

rate

swap

contract. 

316

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

Generally,

a

valuation

model

is

used

consistently

for

similar

derivative

types.

In

instances

where

models

are

used,

the

value

of

an

OTC

derivative

depends

upon

the

contractual

terms

of,

and

specific

risks

inherent

in,

the

instrument

as

well

as

the

availability

and

reliability

of

observable

inputs.

Such

inputs

typically

may

include

market

prices

for

reference

securities,

yield

curves,

credit

spreads,

measures

of

volatility,

prepayment

rates

and

implied

correlations

of

such

inputs

which

are

obtained

from

outside

brokers

and/or

pricing

services

when

available.

Certain

OTC

derivatives,

such

as

generic

forwards,

swaps

and

options,

have

inputs

which

can

generally

be

corroborated

by

market

data

and

are

therefore

classified

within

Level

2.

Those

OTC

derivatives

that

have

less

liquidity

or

for

which

inputs

are

unobservable

are

classified

within

Level

3.

While

the

valuations

of

less

liquid

OTC

derivatives

may

utilize

some

Level

1

and/or

Level

2

inputs,

they

also

may

include

other

unobservable

inputs

which

may

be

considered

significant

to

the

fair

value

determination. 

The

Funds

value

the

repurchase

agreements

and

reverse

repurchase

agreements

they

have

entered

based

on

the

respective

contract

amounts,

which

approximate

fair

value.

As

such,

repurchase

agreements

are

carried

at

the

amount

of

cash

paid

plus

accrued

interest

receivable

(or

interest

payable

in

periods

of

increased

demand

for

collateral),

and

reverse

repurchase

agreements

are

carried

at

the

amount

of

cash

received

plus

accrued

interest

payable

(or

interest

receivable

in

periods

of

increased

demand

for

collateral).These

investments

are

categorized

as

Level

2

within

the

fair

value

hierarchy. 

Quantitative

Information

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

................................

$

65,764,052

$

48,453,519

$

–

$

114,217,571

Preferred

Stocks

†

................................

178,364

–

–

178,364

Short-Term

Investments

...........................

93,511,400

15,433,453

–

108,944,853

Futures

Contracts*

...............................

2,326,080

–

–

2,326,080

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,639,976

–

1,639,976

Interest

Rate

Swap

Contracts*

......................

–

581,001

–

581,001

Total

Return

Swaps

Contracts*

......................

–

519,181

–

519,181

Total

Assets

$

161,779,896

$

66,627,130

$

–

$

228,407,026

LIABILITIES

Common

Stocks

(Sold

Short)

†

......................

$

(60,182,949)

$

(46,831,556)

$

–

$

(107,014,505)

Warrants

(Sold

Short)

†

............................

(5,067)

–

–

(5,067)

Futures

Contracts*

...............................

(1,495,428)

–

–

(1,495,428)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,684,726)

–

(1,684,726)

Interest

Rate

Swap

Contracts*

......................

–

(2,034,659)

–

(2,034,659)

Total

Return

Swaps

Contracts*

......................

–

(211,353)

–

(211,353)

Total

Liabilities

$

(61,683,444)

$

(50,762,294)

$

–

$

(112,445,738)

AQR

DIVERSIFIED

ARBITRAGE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

................................

$

189,487,031

$

54,740,003

$

2,999,707

$

247,226,741

Corporate

Bonds

................................

–

–

499,856

499,856

Convertible

Bonds

...............................

–

167,968,344

–

167,968,344

Rights

........................................

116,679

92,741

260,089

469,509

Securities

in

Litigation

............................

–

–

301,309

301,309

Warrants

......................................

19,836,212

1,339,292

135,711

21,311,215

Units

.........................................

92,256,480

19,678,474

–

111,934,954

Short-Term

Investments

...........................

397,906,763

371,872,090

–

769,778,853

Forward

Foreign

Currency

Exchange

Contracts*

........

–

84,325

–

84,325

Total

Return

Basket

Swaps

Contracts*

................

–

27,951,388

–

27,951,388

Total

Assets

$

699,603,165

$

643,726,657

$

4,196,672

$

1,347,526,494

LIABILITIES

Common

Stocks

(Sold

Short)

......................

$

(73,132,297)

$

–

$

–

(a)

$

(73,132,297)

Convertible

Bonds

(Sold

Short)

.....................

–

(16,026,919)

–

(16,026,919)

Futures

Contracts*

...............................

(982,093)

–

–

(982,093)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(197,421)

–

(197,421)

Credit

Default

Swap

Contracts*

.....................

–

(4,354,688)

–

(4,354,688)

Total

Return

Basket

Swaps

Contracts*

................

–

(1,594,904)

–

(1,594,904)

Total

Liabilities

$

(74,114,390)

$

(22,173,932)

$

–

(a)

$

(96,288,322)

317

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

DIVERSIFYING

STRATEGIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Investment

Companies

...........................

$

32,840,821

$

–

$

–

$

32,840,821

Short-Term

Investments

...........................

658,393

–

–

658,393

Total

Assets

$

33,499,214

$

–

$

–

$

33,499,214

AQR

EQUITY

MARKET

NEUTRAL

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

................................

$

–

$

2,560,704

$

–

$

2,560,704

Short-Term

Investments

...........................

24,996,363

14,159,495

–

39,155,858

Futures

Contracts*

...............................

107,319

–

–

107,319

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,072

–

1,072

Total

Return

Basket

Swaps

Contracts*

................

–

754,153

–

754,153

Total

Assets

$

25,103,682

$

17,475,424

$

–

$

42,579,106

LIABILITIES

Common

Stocks

(Sold

Short)

†

......................

$

–

$

(2,505,363)

$

–

$

(2,505,363)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,616)

–

(1,616)

Total

Return

Basket

Swaps

Contracts*

................

–

(223,111)

–

(223,111)

Total

Liabilities

$

–

$

(2,730,090)

$

–

$

(2,730,090)

AQR

LONG-SHORT

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

85,990,132

$

180,483,255

$

–

$

266,473,387

Futures

Contracts*

...............................

2,495,607

–

–

2,495,607

Forward

Foreign

Currency

Exchange

Contracts*

........

–

354,254

–

354,254

Total

Return

Basket

Swaps

Contracts*

................

–

7,389,318

–

7,389,318

Total

Return

Swaps

Contracts*

......................

–

190,974

–

190,974

Total

Assets

$

88,485,739

$

188,417,801

$

–

$

276,903,540

LIABILITIES

Forward

Foreign

Currency

Exchange

Contracts*

........

$

–

$

(52,235)

$

–

$

(52,235)

Total

Return

Basket

Swaps

Contracts*

................

–

(1,626,880)

–

(1,626,880)

Total

Return

Swaps

Contracts*

......................

–

(24,130)

–

(24,130)

Total

Liabilities

$

–

$

(1,703,245)

$

–

$

(1,703,245)

AQR

MACRO

OPPORTUNITIES

FUND

(FORMERLY

KNOWN

AS

AQR

GLOBAL

MACRO

FUND)

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

12,248,218

$

10,689,159

$

–

$

22,937,377

Futures

Contracts*

...............................

897,002

–

–

897,002

Forward

Foreign

Currency

Exchange

Contracts*

........

–

779,049

–

779,049

Interest

Rate

Swap

Contracts*

......................

–

1,417,521

–

1,417,521

Total

Return

Swaps

Contracts*

......................

–

175,089

–

175,089

Total

Assets

$

13,145,220

$

13,060,818

$

–

$

26,206,038

LIABILITIES

Futures

Contracts*

...............................

$

(983,253)

$

–

$

–

$

(983,253)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,080,759)

–

(1,080,759)

Interest

Rate

Swap

Contracts*

......................

–

(1,179,363)

–

(1,179,363)

Total

Return

Swaps

Contracts*

......................

–

(38,192)

–

(38,192)

Total

Liabilities

$

(983,253)

$

(2,298,314)

$

–

$

(3,281,567)

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

193,879,893

$

772,722,656

$

–

$

966,602,549

Futures

Contracts*

...............................

27,543,626

–

–

27,543,626

Forward

Foreign

Currency

Exchange

Contracts*

........

–

26,060,152

–

26,060,152

318

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

Total

Return

Basket

Swaps

Contracts*

................

$

–

$

8,305,254

$

–

$

8,305,254

Total

Return

Swaps

Contracts*

......................

–

1,357,544

–

1,357,544

Total

Assets

$

221,423,519

$

808,445,606

$

–

$

1,029,869,125

LIABILITIES

Futures

Contracts*

...............................

$

(16,935,598)

$

–

$

–

$

(16,935,598)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(31,333,094)

–

(31,333,094)

Total

Return

Basket

Swaps

Contracts*

................

–

(470,442)

–

(470,442)

Total

Return

Swaps

Contracts*

......................

–

(500,961)

–

(500,961)

Total

Liabilities

$

(16,935,598)

$

(32,304,497)

$

–

$

(49,240,095)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

17,179,923

$

38,163,557

$

–

$

55,343,480

Futures

Contracts*

...............................

2,437,060

–

–

2,437,060

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,912,809

–

2,912,809

Total

Return

Basket

Swaps

Contracts*

................

–

385,535

–

385,535

Total

Return

Swaps

Contracts*

......................

–

112,604

–

112,604

Total

Assets

$

19,616,983

$

41,574,505

$

–

$

61,191,488

LIABILITIES

Futures

Contracts*

...............................

$

(1,637,046)

$

–

$

–

$

(1,637,046)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(3,511,181)

–

(3,511,181)

Total

Return

Basket

Swaps

Contracts*

................

–

(137,314)

–

(137,314)

Total

Return

Swaps

Contracts*

......................

–

(47,945)

–

(47,945)

Total

Liabilities

$

(1,637,046)

$

(3,696,440)

$

–

$

(5,333,486)

AQR

MULTI-ASSET

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

................................

$

53,017,962

$

19,988,392

$

–

$

73,006,354

Preferred

Stocks

†

................................

31,172

–

–

31,172

Foreign

Government

Securities

.....................

–

16,647,765

–

16,647,765

U.S.

Treasury

Obligations

.........................

–

18,503,813

–

18,503,813

Short-Term

Investments

...........................

22,115,169

35,438,815

–

57,553,984

Futures

Contracts*

...............................

2,485,260

–

–

2,485,260

Forward

Foreign

Currency

Exchange

Contracts*

........

–

977,247

–

977,247

Total

Return

Swaps

Contracts*

......................

–

154,195

–

154,195

Total

Assets

$

77,649,563

$

91,710,227

$

–

$

169,359,790

LIABILITIES

Common

Stocks

(Sold

Short)

†

......................

$

(11,422,105)

$

(5,308,988)

$

–

$

(16,731,093)

Reverse

Repurchase

Agreements

...................

–

(27,423,458)

–

(27,423,458)

Futures

Contracts*

...............................

(1,396,603)

–

–

(1,396,603)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,307,151)

–

(1,307,151)

Total

Return

Swaps

Contracts*

......................

–

(2,825)

–

(2,825)

Total

Liabilities

$

(12,818,708)

$

(34,042,422)

$

–

$

(46,861,130)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

116,445,042

$

107,611,561

$

–

$

224,056,603

Futures

Contracts*

...............................

25,792,163

–

–

25,792,163

Total

Return

Swaps

Contracts*

......................

–

393,619

–

393,619

Total

Assets

$

142,237,205

$

108,005,180

$

–

$

250,242,385

LIABILITIES

Futures

Contracts*

...............................

$

(14,957,393)

$

–

$

–

$

(14,957,393)

Total

Return

Swaps

Contracts*

......................

–

(127,231)

–

(127,231)

Total

Liabilities

$

(14,957,393)

$

(127,231)

$

–

$

(15,084,624)

319

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

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.

The

significant

unobservable

inputs

used

in

the

fair

value

measurement

of

a

Fund’s

investments

in

common

stocks,

corporate

bonds,

convertible

bonds,

convertible

preferred

stocks

and

warrants

potentially

include

credit

spread,

liquidity

discount,

earnings

multiples

and

volatility.

Significant

increases

in

the

credit

spread

or

liquidity

discount

inputs

in

isolation

would

potentially

result

in

a

significantly

lower

fair

value

measurement,

whereas

an

increase

in

volatility

generally

results

in

a

higher

fair

value

measurement.

Generally,

a

change

in

the

assumption

used

for

the

credit

spread

would

be

accompanied

by

a

directionally-similar

change

in

the

assumptions

used

for

the

volatility

and

liquidity

discount.

Investments

in

common

stocks

potentially

include

liquidity

discounts,

theoretical

values,

book

to

value

analysis

and/or

broker

quotes.

Significant

changes

in

any

of

these

inputs

would

significantly

change

the

fair

value

measurement

of

the

position.

There

were

no

other

Level

3

securities

held

at

period

end,

except

those

securities

classified

as

Level

3

in

the

Schedules

of

Investments

of

AQR

Diversified

Arbitrage

Fund

and

AQR

Style

Premia

Alternative

Fund

which

are

considered

quantitatively

insignificant

for

additional

disclosure.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

................................

$

–

$

28,906,988

$

–

$

28,906,988

Short-Term

Investments

...........................

271,657,046

304,820,103

–

576,477,149

Futures

Contracts*

...............................

16,212,865

–

–

16,212,865

Forward

Foreign

Currency

Exchange

Contracts*

........

–

8,051,283

–

8,051,283

Interest

Rate

Swap

Contracts*

......................

–

5,806,057

–

5,806,057

Total

Return

Basket

Swaps

Contracts*

................

–

39,874,657

–

39,874,657

Total

Return

Swaps

Contracts*

......................

–

4,930,950

–

4,930,950

Total

Assets

$

287,869,911

$

392,390,038

$

–

$

680,259,949

LIABILITIES

Common

Stocks

(Sold

Short)

†

......................

$

(2,516,809)

$

(28,219,408)

$

(2)

$

(30,736,219)

Futures

Contracts*

...............................

(9,023,719)

–

–

(9,023,719)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(7,882,335)

–

(7,882,335)

Interest

Rate

Swap

Contracts*

......................

–

(16,127,781)

–

(16,127,781)

Total

Return

Basket

Swaps

Contracts*

................

–

(3,186,020)

–

(3,186,020)

Total

Return

Swaps

Contracts*

......................

–

(2,167,936)

–

(2,167,936)

Total

Liabilities

$

(11,540,528)

$

(57,583,480)

$

(2)

$

(69,124,010)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

2,841,090

$

4,392,978

$

–

$

7,234,068

Forward

Foreign

Currency

Exchange

Contracts*

........

–

12,531

–

12,531

Total

Return

Basket

Swaps

Contracts*

................

–

90,479

–

90,479

Total

Assets

$

2,841,090

$

4,495,988

$

–

$

7,337,078

LIABILITIES

Forward

Foreign

Currency

Exchange

Contracts*

........

$

–

$

(2,852)

$

–

$

(2,852)

Total

Return

Basket

Swaps

Contracts*

................

–

(18,884)

–

(18,884)

Total

Liabilities

$

–

$

(21,736)

$

–

$

(21,736)

*

Derivative

instruments,

including

futures,

total

return

swap,

total

return

basket

swap

and

forward

foreign

currency

exchange

contracts,

are

reported

at

the

cumulative

unrealized

appreciation/(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Credit

default

swaps,

interest

rate

swaps

and

purchased

options

and

written

options

are

reported

at

market

value.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

320

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

6.

Federal

Income

Tax

Matters

At

December

31,

2021,

the

cost

and

aggregate

gross

unrealized

appreciation

(depreciation)

of

long

security

positions,

short

security

positions

and

derivative

instruments

for

federal

income

tax

purposes

were

as

follows:

The

differences

between

book

basis

and

tax

basis

appreciation

(depreciation)

on

investments

is

primarily

attributable

to

wash

sale

loss

deferrals,

and

differences

in

the

tax

treatment

of

passive

foreign

investment

companies

(“PFIC”),

gain/(loss)

recognition

on

constructive

sales,

investments

in

partnerships,

convertible

securities,

contingent

payment

debt

instruments

(“CPDI”)

and

certain

forward

foreign

currency,

swap,

option, and

futures

contracts. 

As

of

December

31,

2021,

the

components

of

net

assets

(excluding

paid-in

capital)

on

a

tax

basis

were

as

follows:

The

differences

between

book

basis

and

tax

basis

components

of

net

assets

are

primarily

attributable

to

wash

sale

loss

deferrals

and

other

book

and

tax

differences

including,

mark

to

market

on

PFICs,

mark

to

market

on

forward

foreign

currency

exchange

contracts,

mark

to

market

on

regulated

futures

and

options

contracts,

mark

to

market

and

income

on

certain

swaps,

certain

late

year

loss

deferrals,

straddle

loss

deferrals,

loss

deferrals

on

unsettled

short

sales,

gain/(loss)

recognition

on

constructive

sales,

investments

in

partnerships,

investments

in

inflation

protected

securities,

deemed

dividends

from

convertible

securities,

Cayman

subsidiary

taxable

income,

CPDI

accrued

income,

capital

loss

carryforwards

and

finance

charges

on

equity

swaps. 

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Alternative

Risk

Premia

Fund

..........................

$

59,489,875

$

60,892,505

$

(4,421,092)

$

56,471,413

AQR

Diversified

Arbitrage

Fund

.............................

1,236,108,561

48,256,139

(33,126,528)

15,129,611

AQR

Diversifying

Strategies

Fund

...........................

32,527,467

1,627,926

(656,179)

971,747

AQR

Equity

Market

Neutral

Fund

...........................

39,406,617

817,347

(374,948)

442,399

AQR

Long-Short

Equity

Fund

..............................

274,734,436

2,173,048

(1,707,189)

465,859

AQR

Macro

Opportunities

Fund

.............................

22,466,450

2,387,235

(1,929,214)

458,021

AQR

Managed

Futures

Strategy

Fund

........................

969,581,123

44,271,507

(33,223,600)

11,047,907

AQR

Managed

Futures

Strategy

HV

Fund

.....................

52,364,377

4,690,047

(1,196,422)

3,493,625

AQR

Multi-Asset

Fund

...................................

103,828,322

22,251,889

(3,581,551)

18,670,338

AQR

Risk-Balanced

Commodities

Strategy

Fund

................

212,831,348

26,162,171

(3,835,758)

22,326,413

AQR

Style

Premia

Alternative

Fund

..........................

594,949,437

39,442,741

(23,256,239)

16,186

,

502

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

..........

7,314,125

22,953

(21,736)

1,217

FUND

CURRENT

DISTRIBUTABLE

ORDINARY

INCOME

CURRENT

DISTRIBUTABLE

LONG

TERM

CAPITAL

GAIN

OR

TAX

BASIS

CAPITAL

LOSS

CARRYFORWARDS

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

POST

OCTOBER

CAPITAL

OR

LATE

YEAR

ORDINARY

LOSS

DEFERRALS

OTHER

TEMPORARY

DIFFERENCES

TOTAL

ACCUMULATED

EARNINGS

AQR

Alternative

Risk

Premia

Fund

$

—

$

(119,553,215)

$

56,486,482

$

(2,540,194)

$

(13,098)

$

(65,620,025)

AQR

Diversified

Arbitrage

Fund

..

1,602,245

(154,168,522)

15,045,564

—

(1,120,194)

(138,640,907)

AQR

Diversifying

Strategies

Fund

7,731

62,340

971,747

—

—

1,041,818

AQR

Equity

Market

Neutral

Fund

5,060,033

—

447,945

—

(549)

5,507,429

AQR

Long-Short

Equity

Fund

...

47,722,630

9,150,937

485,657

—

—

57,359,224

AQR

Macro

Opportunities

Fund

..

—

(629,248)

448,989

(849,488)

55,831

(973,916)

AQR

Managed

Futures

Strategy

Fund

....................

20,213,883

(1,147,946,296)

11,039,465

—

(6,411,251)

(1,123,104,199)

AQR

Managed

Futures

Strategy

HV

Fund

.................

2,062,832

(111,595,522)

3,495,270

—

(675,016)

(106,712,436)

AQR

Multi-Asset

Fund

........

239,265

—

18,662,026

—

(845,777)

18,055,514

AQR

Risk-Balanced

Commodities

Strategy

Fund

.............

—

(68)

22,326,413

—

1,130,863

23,457,208

AQR

Style

Premia

Alternative

Fund

83,919,136

(497,689,887)

16,426,501

—

(1

0,967,424

)

(408,311,674)

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

...

70,900

5,180

1,331

—

—

77,411

321

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

As

of

December

31,

2021,

the

effect

of

permanent

book/tax

reclassifications

resulted

in

increase

(decrease)

to

the

components

of

net

assets

as

follows:

For

financial

reporting

purposes,

capital

accounts

are

adjusted

to

reflect

the

tax

character

of

permanent

book/tax

differences.

Reclassifications

are

primarily

due

to

the

difference

in

tax

treatment

of

certain

capital

losses

permanently

lost

due

to

limitation

and

redemptions

utilized

as

distributions.

The

result

of

operations

and

net

assets

were

not

affected

by

the

reclassifications.

The

tax

character

of

distributions

paid

during

the

fiscal

year-ends December

31,

2021

and

December

31,

2020 were

as

follows:

During

the

year

ended

December

31,

2021,

the

Funds

utilized

capital

loss

carryforwards

in

the

amounts

listed

below:

As

of

December

31,

2021,

for

federal

income

tax

purposes,

the

following

Funds

have

capital

loss

carryforwards,

with

no

expiration,

available

to

offset

future

capital

gains,

if

any,

to

the

extent

provided

by

the

U.S.

Treasury

regulations.

The

ability

to

utilize

capital

loss

carryforwards

in

the

future

may

be

limited

under

the

Internal

Revenue

Code

and

related

regulations

based

on

the

results

of

future

transactions.

FUND

TOTAL

DISTRIBUTABLE

EARNINGS

(LOSS)

PAID-IN

CAPITAL

AQR

Alternative

Risk

Premia

Fund

.................................................

$

1,129,026

$

(1,129,026)

AQR

Diversified

Arbitrage

Fund

....................................................

310,863

(310,863)

AQR

Diversifying

Strategies

Fund

..................................................

8,765

(8,765)

AQR

Equity

Market

Neutral

Fund

..................................................

(1,110,179)

1,110,179

AQR

Long-Short

Equity

Fund

.....................................................

(5,775,341)

5,775,341

AQR

Macro

Opportunities

Fund

....................................................

240,096

(240,096)

AQR

Managed

Futures

Strategy

Fund

...............................................

47,046,060

(47,046,060)

AQR

Managed

Futures

Strategy

HV

Fund

............................................

5,800,570

(5,800,570)

AQR

Multi-Asset

Fund

..........................................................

2,136,260

(2,136,260)

AQR

Risk-Balanced

Commodities

Strategy

Fund

.......................................

25,780,847

(25,780,847)

AQR

Style

Premia

Alternative

Fund

.................................................

—

—

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

.................................

479

(479)

DECEMBER

31,

2021

DECEMBER

31,

2020

FUND

ORDINARY

INCOME

LONG-TERM

CAPITAL

GAINS

ORDINARY

INCOME

LONG-TERM

CAPITAL

GAINS

RETURN

OF

CAPITAL

AQR

Alternative

Risk

Premia

Fund

......................

$

4,490,475

$

—

$

2,310,315

$

—

$

—

AQR

Diversified

Arbitrage

Fund

.........................

8,606,271

—

11,915,363

—

2,120,993

AQR

Diversifying

Strategies

Fund

.......................

1,409,950

364,045

349,277

44,339

—

AQR

Equity

Market

Neutral

Fund

.......................

—

754,017

—

6,547,985

—

AQR

Long-Short

Equity

Fund

..........................

—

—

—

5,966,953

—

AQR

Macro

Opportunities

Fund

.........................

419,322

—

221,255

—

—

AQR

Managed

Futures

Strategy

Fund

....................

71,150,197

—

112,952,589

—

—

AQR

Managed

Futures

Strategy

HV

Fund

.................

6,419,490

—

10,693,378

—

—

AQR

Multi-Asset

Fund

...............................

7,868,049

—

1,509,437

—

—

AQR

Risk-Balanced

Commodities

Strategy

Fund

............

40,513,782

—

—

51,552

—

AQR

Style

Premia

Alternative

Fund

......................

76,770,429

—

—

—

—

FUND

SHORT-TERM

LONG-TERM

AQR

Diversified

Arbitrage

Fund

............................................................

$

11,920,042

$

78,246,791

AQR

Long-Short

Equity

Fund

.............................................................

4,857,815

–

AQR

Multi-Asset

Fund

..................................................................

–

787,724

AQR

Style

Premia

Alternative

Fund

.........................................................

14,860,890

–

FUND

SHORT-TERM

LONG

TERM

AQR

Alternative

Risk

Premia

Fund

.................................................

$

119,553,215

$

—

AQR

Diversified

Arbitrage

Fund

....................................................

—

154,168,522

AQR

Macro

Opportunities

Fund

....................................................

—

629,248

AQR

Managed

Futures

Strategy

Fund

...............................................

532,117,042

615,829,254

AQR

Managed

Futures

Strategy

HV

Fund

............................................

54,125,189

57,470,333

AQR

Risk-Balanced

Commodities

Strategy

Fund

.......................................

68

—

AQR

Style

Premia

Alternative

Fund

.................................................

456,102,761

41,587,126

322

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

7.

Investment

Transactions

During

the year

ended

December

31,

2021,

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:

During

the year

ended

December

31,

2021,

the

Funds

had

purchases

and

sales

of

long-term

U.S.

Government

obligations,

which

are

included

in

the

table

above,

as

follows:

8.

Derivative

Instruments

and

Activities

The

Funds

use

derivative

instruments

as

part

of

their

principal

investment

strategy

to

achieve

their

investment

objectives.

The

Funds’

derivative

contracts

are

not

accounted

for

as

hedging

instruments

under

GAAP.

For

financial

reporting

purposes,

the

Funds

do

not

offset

financial

assets

and

financial

liabilities

that

are

subject

to

master

netting

arrangements

or

similar

agreements

on

the

Statements

of

Assets

and

Liabilities.

All

derivative

instruments

held

by

the

Funds

were

subject

to

a

master

netting

agreement

or

similar

arrangement.

The

following

table

lists

the

fair

value

of

derivative

instruments

held

by

the

Funds,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statements

of

Assets

and

Liabilities

at

December

31,

2021.

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Alternative

Risk

Premia

Fund

..........................

$

55,337,936

$

71,807,808

$

151,070,709

$

146,279,142

AQR

Diversified

Arbitrage

Fund

.............................

2,600,127,971

2,837,672,381

870,344,838

1,066,709,330

AQR

Diversifying

Strategies

Fund

...........................

15,099,522

3,325,632

—

—

AQR

Equity

Market

Neutral

Fund

...........................

4,225,522

5,754,921

5,506,400

6,226,087

AQR

Multi-Asset

Fund

...................................

126,177,716

103,254,583

32,148,768

24,008,353

AQR

Style

Premia

Alternative

Fund

..........................

34,249,464

38,078,474

25,786,233

34,323,962

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Diversified

Arbitrage

Fund

.............................

$

447,762,065

$

447,292,955

$

447,813,846

$

447,292,955

AQR

Multi-Asset

Fund

...................................

9,055,281

9,623,674

—

—

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

Equity

Risk

Exposure:

1,553,547

8,972,492

1,084,583

Unrealized

Appreciation

on

Futures

Contracts

*

..................................

$

397,772

$

–

$

107,319

Swaps

at

Value

(Assets)

**

.................................................

519,181

7,052,996

754,153

Unrealized

Depreciation

on

Futures

Contracts

*

.................................

(425,244)

(324,592)

–

Swaps

at

Value

(Liabilities)

**

...............................................

(211,353)

(1,594,904)

(223,111)

1,553,547

8,972,492

1,084,583

Foreign

Exchange

Rate

Risk

Exposure:

3,324,702

281,746

2,688

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

............

1,639,976

84,325

1,072

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

...........

(1,684,726)

(197,421)

(1,616)

3,324,702

281,746

2,688

Interest

Rate

Risk

Exposure:

3,890,917

21,555,893

–

Unrealized

Appreciation

on

Futures

Contracts

*

..................................

968,649

–

–

Swaps

at

Value

(Assets)

**

.................................................

581,001

20,898,392

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................................

(306,613)

(657,501)

–

Swaps

at

Value

(Liabilities)

**

...............................................

(2,034,659)

–

–

3,890,917

21,555,893

–

Credit

Risk

Exposure:

–

4,354,688

–

Swaps

at

Value

(Liabilities)

**

...............................................

–

(4,354,688)

–

–

4,354,688

–

Commodity

Risk

Exposure:

1,723,232

–

–

Unrealized

Appreciation

on

Futures

Contracts

*

..................................

959,659

–

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................................

(763,571)

–

–

323

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

1,723,232

–

–

Net

Fair

Value

of

Derivative

Contracts:

(1,550,506)

19,811,418

637,273

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......................

830,652

(982,093)

107,319

Swaps

at

Value

**

........................................................

(1,145,830)

22,001,796

531,042

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

(44,750)

(113,096)

(544)

1,550,506

19,811,418

637,273

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Equity

Risk

Exposure:

11,726,909

819,259

12,908,436

896,284

Unrealized

Appreciation

on

Futures

Contracts

*

..................

$

2,495,607

$

274,245

$

398,319

$

38,479

Swaps

at

Value

(Assets)

..................................

7,580,292

175,089

9,661,948

498,139

Unrealized

Depreciation

on

Futures

Contracts

*

.................

–

(331,738)

(2,070,827)

(189,267)

Swaps

at

Value

(Liabilities)

................................

(1,651,010)

(38,192)

(777,341)

(170,401)

11,726,909

819,259

12,908,436

896,284

Foreign

Exchange

Rate

Risk

Exposure:

406,489

1,859,809

57,393,246

6,423,990

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.............................................

354,254

779,049

26,060,152

2,912,809

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.............................................

(52,235)

(1,080,759)

(31,333,094)

(3,511,181)

406,489

1,859,809

57,393,246

6,423,990

Interest

Rate

Risk

Exposure:

–

3,029,745

19,046,569

1,515,391

Unrealized

Appreciation

on

Futures

Contracts

*

..................

–

229,262

14,751,017

1,165,616

Swaps

at

Value

(Assets)

..................................

–

1,417,521

–

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................

–

(203,593)

(4,295,553)

(349,775)

Swaps

at

Value

(Liabilities)

................................

–

(1,179,363)

–

–

–

3,029,745

19,046,569

1,515,391

Commodity

Risk

Exposure:

–

841,421

23,158,420

2,345,828

Unrealized

Appreciation

on

Futures

Contracts

*

..................

–

393,495

12,394,290

1,232,965

Swaps

at

Value

(Assets)

..................................

–

–

850

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................

–

(447,922)

(10,569,218)

(1,098,004)

Swaps

at

Value

(Liabilities)

................................

–

–

(194,062)

(14,858)

–

841,421

23,158,420

2,345,828

Net

Fair

Value

of

Derivative

Contracts:

8,726,908

(400,869)

8,753,537

(83,851)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

2,495,607

(86,251)

10,608,028

800,014

Swaps

at

Value

.........................................

5,929,282

375,055

8,691,395

312,880

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

.....................................

302,019

(301,710)

(5,272,942)

(598,372)

8,726,908

400,869

8,753,537

83,851

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Equity

Risk

Exposure:

501,889

–

56,240,201

109,363

Unrealized

Appreciation

on

Futures

Contracts

*

..................

$

178,805

$

–

$

3,281,897

$

–

Swaps

at

Value

(Assets)

**

.................................

48,954

–

44,805,607

90,479

Unrealized

Depreciation

on

Futures

Contracts

*

.................

(274,131)

–

(2,798,740)

–

Swaps

at

Value

(Liabilities)

**

...............................

–

–

(5,353,956)

(18,884)

501,889

–

56,240,201

109,363

Foreign

Exchange

Rate

Risk

Exposure:

2,284,398

–

15,933,618

15,383

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.............................................

977,247

–

8,051,283

12,531

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.............................................

(1,307,151)

–

(7,882,335)

(2,852)

Interest

Rate

Risk

Exposure:

1,399,968

–

31,450,231

–

Unrealized

Appreciation

on

Futures

Contracts

*

..................

943,987

–

6,706,307

–

Swaps

at

Value

(Assets)

**

.................................

–

–

5,806,057

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................

(455,982)

–

(2,810,085)

–

Swaps

at

Value

(Liabilities)

**

...............................

–

–

(16,127,781)

–

324

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Commodity

Risk

Exposure:

2,137,025

41,270,408

9,639,554

–

Unrealized

Appreciation

on

Futures

Contracts

*

..................

1,362,468

25,792,163

6,224,661

–

Swaps

at

Value

(Assets)

**

.................................

105,241

393,619

–

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................

(666,490)

(14,957,393)

(3,414,894)

–

Swaps

at

Value

(Liabilities)

**

...............................

(2,825)

(127,231)

–

–

2,137,025

41,270,408

9,639,554

–

Net

Fair

Value

of

Derivative

Contracts:

580,219

11,101,158

36,488,021

81,274

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

1,088,657

10,834,770

7,189,146

–

Swaps

at

Value

**

........................................

151,370

266,388

29,129,927

71,595

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

.....................................

(329,904)

–

168,948

9,679

580,219

11,101,158

36,488,021

81,274

*

Includes

cumulative

appreciation/(depreciation)

on

futures

contracts,

if

any,

as

reported

in

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities.

**

Includes

the

fair

value

of

centrally

cleared

swap

contracts

as

reported

in

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities

.

325

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

The

following

table

indicates

the

effect

of

derivative

instruments,

by

primary

underlying

risk

exposure

and

contract

type,

on

the

Statements

of

Operations

for

the year

ended

December

31,

2021:

*

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

1,672,875

(26,695,911)

8,142,252

Futures

Contracts

.......................................................

$

(1,455,368)

$

(10,196

,874)

$

726,977

Swap

Contracts

........................................................

3,128,241

(16,499,037)

7,415,277

1,672,875.14

(26,695,911.35)

8,142,252.34

Foreign

Exchange

Rate

Risk

Exposure:

(2,902,227)

930,828

(1,848)

Forward

Foreign

Currency

Exchange

Contracts

.................................

(2,902,227)

930,828

(1,848)

(2,902,227)

930,828

(1,848)

Interest

Rate

Risk

Exposure:

(406,628)

47,086,458

–

Futures

Contracts

.......................................................

1,454,102

3,228,676

–

Swap

Contracts

........................................................

(1,860,730)

43,857,782

–

(406,627.68)

47,086,458.25

–

Credit

Risk

Exposure:

–

(2,290,978)

–

Swap

Contracts

........................................................

–

(2,290,978)

–

–

(2,290,978.07)

–

Commodity

Risk

Exposure:

2,612,457

–

–

Futures

Contracts

.......................................................

2,629,934

–

–

Swap

Contracts

........................................................

(17,477)

–

–

2,612,457.02

–

–

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

(700,389)

38,182,761

1,083,053

Futures

and

Futures-Style

Options

Contracts

...................................

67,992

932,883

107,319

Swap

Contracts

........................................................

(768,385)

37,249,879

975,734

700,389

38,182,761

1,083,053

Foreign

Exchange

Rate

Risk

Exposure:

110,244

13,171

19,892

Forward

Foreign

Currency

Exchange

Contracts

.................................

(110,244)

13,171

19,892

110,244

13,171

19,892

Interest

Rate

Risk

Exposure:

1,298,266

40,267,265

–

Futures

Contracts

.......................................................

1,120,615

(598,660)

–

Swap

Contracts

........................................................

177,651

(39,668,605)

–

1,298,266

40,267,265

–

Credit

Risk

Exposure:

–

910,975

–

Swap

Contracts

........................................................

–

910,975

–

–

910,975

–

Commodity

Risk

Exposure:

196,084

–

–

Futures

Contracts

.......................................................

196,088

–

–

196,084

–

–

*

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

74,352,241

383,793

44,707,672

3,835,526

Futures

Contracts

.......................................

$

33,192,250

$

(72,164)

$

35,836,060

$

2,636,345

Swap

Contracts

........................................

41,159,989

455,957

8,871,612

1,199,180

74,352,240.5

383,793.38

44,707,671.78

3,835,525.56

Foreign

Exchange

Rate

Risk

Exposure:

(1,636,298)

(1,145,639)

(87,340,371)

(9,091,185)

Forward

Foreign

Currency

Exchange

Contracts

.................

(1,636,298)

(1,145,639)

(87,340,371)

(9,091,185)

(1,636,298)

(1,145,639)

(87,340,371)

(9,091,185)

Interest

Rate

Risk

Exposure:

–

(1,520,850)

15,665,718

388,275

Futures

Contracts

.......................................

–

127,171

15,665,718

388,275

Swap

Contracts

........................................

–

(1,648,021)

–

–

–

(1,520,850.01)

15,665,717.84

388,274.8

Commodity

Risk

Exposure:

–

1,717,958

108,160,017

9,244,283

Futures

Contracts

.......................................

–

1,364,861

74,463,945

6,498,048

Swap

Contracts

........................................

–

353,097

33,696,072

2,746,235

326

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

*

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

–

1,717,958.05

108,160,016.83

9,244,282.81

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

10,412,271

(360,610)

(5,688,672)

(821,294)

Futures

Contracts

.......................................

(1,112,045)

(357,600)

(11,315,691)

(891,828)

Swap

Contracts

........................................

11,524,316

(3,010)

5,627,019

70,528

10,412,271

360,610

5,688,672

821,294

Foreign

Exchange

Rate

Risk

Exposure:

1,159,026

99,874

27,202,000

2,340,036

Forward

Foreign

Currency

Exchange

Contracts

.................

(1,159,026)

(99,873)

(27,202,000)

(2,340,036)

1,159,026

99,874

27,202,000

2,340,036

Interest

Rate

Risk

Exposure:

–

332,456

6,648,946

537,974

Futures

Contracts

.......................................

–

23,741

6,648,945

537,972

Swap

Contracts

........................................

–

308,716

–

–

–

332,456

6,648,946

537,974

Commodity

Risk

Exposure:

–

253,603

31,591,462

2,572,052

Futures

Contracts

.......................................

–

(161,550)

(9,718,175)

(804,883)

Swap

Contracts

........................................

–

(92,054)

(21,873,286)

(1,767,161)

–

253,603

31,591,462

2,572,052

*

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

2,548,138

–

126,857,136

(299)

Futures

Contracts

.......................................

$

2,362,830

$

–

$

(12,262,774)

$

–

Swap

Contracts

........................................

185,308

–

139,119,910

(299)

2,548,138.16

–

126,857,136.31

Foreign

Exchange

Rate

Risk

Exposure:

(307,750)

–

(12,316,035)

–

Forward

Foreign

Currency

Exchange

Contracts

.................

(307,750)

–

(12,316,035)

–

(307,750)

–

(12,316,035)

–

Interest

Rate

Risk

Exposure:

(5,591,863)

–

(19,258,037)

–

Futures

Contracts

.......................................

(5,591,863)

–

(3,959,698)

–

Swap

Contracts

........................................

–

–

(15,298,339)

–

(5,591,862.97)

–

(19,258,036.87)

–

Commodity

Risk

Exposure:

8,595,586

45,615,581

31,970,302

–

Futures

Contracts

.......................................

7,510,061

42,793,937

24,944,974

–

Swap

Contracts

........................................

1,085,525

2,821,644

7,025,328

–

8,595,586.47

45,615,581.45

31,970,302.13

–

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

(968,149)

–

34,059,897

71,595

Futures

and

Futures-Style

Options

Contracts

...................

(920,259)

–

(287,851)

–

Swap

Contracts

........................................

(47,893)

–

34,347,750

71,595

968,149

–

34,059,897

71,595

Foreign

Exchange

Rate

Risk

Exposure:

356,523

–

1,393,805

9,679

Forward

Foreign

Currency

Exchange

Contracts

.................

(356,523)

–

(1,393,805)

9,679

356,523

–

1,393,805

9,679

Interest

Rate

Risk

Exposure:

268,857

–

8,196,107

–

Futures

Contracts

.......................................

268,857

–

4,711,251

–

Swap

Contracts

........................................

–

–

3,484,854

–

268,857

–

8,196,107

–

Commodity

Risk

Exposure:

1,483,448

3,966,548

4,101,333

–

Futures

Contracts

.......................................

(1,071,873)

5,332,720

220,187

–

Swap

Contracts

........................................

(411,575)

(1,366,172)

(4,321,518)

–

1,483,448

3,966,548

4,101,333

–

327

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

The

following

tables

present

the

Funds’

gross

OTC

derivative,

repurchase

agreements

and

reverse

repurchase

agreements

assets

and

liabilities

by

counterparty

and

contract

type

net

of

amounts

available

for

offset

under

netting

arrangements

and

any

related

collateral

received

or

posted

by

the

Funds

as

of

December

31,

2021:

AQR

Alternative

Risk

Premia

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$120,003

and

total

additional

collateral

pledged

was

$1,880,870.

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

BANA  

........

Total

Return

Swap

Contracts

$

78,865

$

(78,865)

$

–

$

–

$

–

$

–

CITI

..........

Forward

Foreign

Currency

Exchange

Contracts

820,285

(820,285)

–

–

–

–

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

819,691

(819,691)

–

–

–

–

MLIN

.........

Total

Return

Swap

Contracts

427,836

(39,784)

388,052

–

(40,037)

348,015

MSCS

.........

Total

Return

Swap

Contracts

12,480

(12,480)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,159,157

(1,771,105)

388,052

–

(40,037)

348,015

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

BANA  

.........

Total

Return

Swap

Contracts

$

150,209

$

(78,865)

$

71,344

$

–

$

–

$

71,344

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

842,818

(820,285)

22,533

–

(22,533)

–

GSIN

..........

Total

Return

Swap

Contracts

2,315

–

2,315

–

(2,315)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

841,908

(819,691)

22,217

–

(22,217)

–

MLIN

..........

Total

Return

Swap

Contracts

39,784

(39,784)

–

–

–

–

MSCS

..........

Total

Return

Swap

Contracts

19,045

(12,480)

6,565

(6,565)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,896,079

(1,771,105)

124,974

(6,565)

(47,065)

71,344

328

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Diversified

Arbitrage

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$20,005

and

total

additional

collateral

pledged

was

$188,696,260.

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

BNPP

.........

Total

Return

Basket

Swap

Contracts

$

7,623,110

$

(24,086)

$

7,599,024

$

–

$

–

$

7,599,024

CITI

..........

Forward

Foreign

Currency

Exchange

Contracts

48,838

(48,838)

–

–

–

–

GSIN

.........

Total

Return

Basket

Swap

Contracts

20,301,144

(1,546,964)

18,754,180

–

(17,750,676)

1,003,504

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

35,487

(35,487)

–

JPMC

.........

Total

Return

Basket

Swap

Contracts

27,134

–

27,134

Total

JPMC

62,621

(35,487)

27,134

–

–

27,134

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

28,035,713

(1,655,375)

26,380,338

–

(17,750,676)

8,629,662

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

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

23,854

$

–

$

23,854

$

–

$

(23,854)

$

–

BNPP

..........

Total

Return

Basket

Swap

Contracts

24,086

(24,086)

–

–

–

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

120,289

(48,838)

71,451

–

(71,451)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

1,546,964

(1,546,964)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

77,132

(35,487)

41,645

–

(41,645)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,792,325

(1,655,375)

136,950

–

(136,950)

–

329

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Equity

Market

Neutral

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

$13,946,939.

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

CITI

..........

Forward

Foreign

Currency

Exchange

Contracts

$

536

$

(536)

$

–

$

–

$

–

$

–

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

536

(536)

–

JPMC

.........

Total

Return

Basket

Swap

Contracts

35,005

(35,005)

–

Total

JPMC

35,541

(35,541)

–

–

–

–

MLIN

.........

Total

Return

Basket

Swap

Contracts

213,843

–

213,843

–

(100,010)

113,833

MSIP

.........

Total

Return

Basket

Swap

Contracts

505,305

(40,722)

464,583

–

–

464,583

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

755,225

(76,799)

678,426

–

(100,010)

578,416

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

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

808

$

(536)

$

272

$

–

$

(272)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

808

(536)

272

JPMC

..........

Total

Return

Basket

Swap

Contracts

182,389

(35,005)

147,384

Total

JPMC

183,197

(35,541)

147,656

–

(147,656)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

40,722

(40,722)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

224,727

(76,799)

147,928

–

(147,928)

–

330

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Long-Short

Equity

Fund

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

BANA  

........

Total

Return

Basket

Swap

Contracts

$

575,034

$

–

$

575,034

$

–

$

(490,013)

$

85,021

BNPP

.........

Total

Return

Basket

Swap

Contracts

1,284,971

(103,934)

1,181,037

–

–

1,181,037

CITI

..........

Forward

Foreign

Currency

Exchange

Contracts

177,632

(26,115)

151,517

–

–

151,517

GSIN

.........

Total

Return

Swap

Contracts

26,502

–

26,502

GSIN

.........

Total

Return

Basket

Swap

Contracts

3,385,700

(448,737)

2,936,963

Total

GSIN

3,412,202

(448,737)

2,963,465

–

(2,820,334)

143,131

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

176,622

(26,120)

150,502

JPMC

.........

Total

Return

Swap

Contracts

164,472

(24,130)

140,342

JPMC

.........

Total

Return

Basket

Swap

Contracts

1,968,698

–

1,968,698

Total

JPMC

2,309,792

(50,250)

2,259,542

–

–

2,259,542

MSIP

.........

Total

Return

Basket

Swap

Contracts

174,915

(174,915)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

7,934,546

(803,951)

7,130,595

–

(3,310,347)

3,820,248

331

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Long-Short

Equity

Fund

(continued)

(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

$71,880,457.

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

BNPP

..........

Total

Return

Basket

Swap

Contracts

$

103,934

$

(103,934)

$

–

$

–

$

–

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

26,115

(26,115)

–

–

–

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

448,737

(448,737)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

26,120

(26,120)

–

JPMC

..........

Total

Return

Swap

Contracts

24,130

(24,130)

–

Total

JPMC

50,250

(50,250)

–

–

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

1,074,209

(174,915)

899,294

(899,294)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,703,245

(803,951)

899,294

(899,294)

–

–

332

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Macro

Opportunities

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

$830,500.

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

CITI

..........

Forward

Foreign

Currency

Exchange

Contracts

$

390,037

$

(390,037)

$

–

$

–

$

–

$

–

GSIN

.........

Total

Return

Swap

Contracts

24,426

(23,567)

859

–

–

859

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

389,012

(389,012)

–

–

–

–

MLIN

.........

Total

Return

Swap

Contracts

150,663

(10,994)

139,669

–

(120,016)

19,653

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

954,138

(813,610)

140,528

–

(120,016)

20,512

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

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

540,308

$

(390,037)

$

150,271

$

–

$

(150,271)

$

–

GSIN

..........

Total

Return

Swap

Contracts

23,567

(23,567)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

540,451

(389,012)

151,439

JPMC

..........

Total

Return

Swap

Contracts

3,631

–

3,631

Total

JPMC

544,082

(389,012)

155,070

–

(155,070)

–

MLIN

..........

Total

Return

Swap

Contracts

10,994

(10,994)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,118,951

(813,610)

305,341

–

(305,341)

–

333

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Managed

Futures

Strategy

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$864,690

and

total

additional

collateral

pledged

was

$97,704,985.

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

CITI

..........

Forward

Foreign

Currency

Exchange

Contracts

$

13,042,359

$

(13,042,359)

$

–

$

–

$

–

$

–

GSIN

.........

Total

Return

Basket

Swap

Contracts

3,316,103

(470,442)

2,845,661

–

(2,580,024)

265,637

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

13,017,793

(13,017,793)

–

–

–

–

MLIN

.........

Total

Return

Swap

Contracts

151,871

(151,871)

–

MLIN

.........

Total

Return

Basket

Swap

Contracts

4,989,151

–

4,989,151

Total

MLIN

5,141,022

(151,871)

4,989,151

–

–

4,989,151

MSCS

.........

Total

Return

Swap

Contracts

1,204,823

(129,119)

1,075,704

–

(1,075,704)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

35,722,100

(26,811,584)

8,910,516

–

(3,655,728)

5,254,788

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

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

15,664,429

$

(13,042,359)

$

2,622,070

$

–

$

(2,622,070)

$

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

470,442

(470,442)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

15,668,665

(13,017,793)

2,650,872

(2,650,872)

–

–

MLIN

..........

Total

Return

Swap

Contracts

177,780

(151,871)

25,909

–

(25,909)

–

MSCS

..........

Total

Return

Swap

Contracts

129,119

(129,119)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

32,110,435

(26,811,584)

5,298,851

(2,650,872)

(2,647,979)

–

334

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.

(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

$536,814.

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

MACQ

........

Total

Return

Swap

Contracts

$

850

$

(850)

$

–

$

–

$

–

$

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

850

(850)

–

–

–

–

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

MACQ

.........

Total

Return

Swap

Contracts

$

194,062

$

(850)

$

193,212

$

(193,212)

$

–

$

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

194,062

(850)

193,212

(193,212)

–

–

335

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Managed

Futures

Strategy

HV

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$190,522

and

total

additional

collateral

pledged

was

$8,525,978.

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

CITI

..........

Forward

Foreign

Currency

Exchange

Contracts

$

1,457,712

$

(1,457,712)

$

–

$

–

$

–

$

–

GSIN

.........

Total

Return

Basket

Swap

Contracts

205,076

(108,100)

96,976

–

(60,031)

36,945

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

1,455,097

(1,455,097)

–

JPMC

.........

Total

Return

Basket

Swap

Contracts

180,459

(29,214)

151,245

Total

JPMC

1,635,556

(1,484,311)

151,245

–

–

151,245

MLIN

.........

Total

Return

Swap

Contracts

112,604

(33,087)

79,517

–

(79,517)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

3,410,948

(3,083,210)

327,738

–

(139,548)

188,190

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

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

1,755,506

$

(1,457,712)

$

297,794

$

–

$

(297,794)

$

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

108,100

(108,100)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,755,675

(1,455,097)

300,578

JPMC

..........

Total

Return

Basket

Swap

Contracts

29,214

(29,214)

–

Total

JPMC

1,784,889

(1,484,311)

300,578

–

(300,578)

–

MLIN

..........

Total

Return

Swap

Contracts

33,087

(33,087)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

3,681,582

(3,083,210)

598,372

–

(598,372)

–

336

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.

(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

$20,020.

AQR

Multi-Asset

Fund

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

MACQ

.........

Total

Return

Swap

Contracts

$

14,858

$

–

$

14,858

$

–

$

–

$

14,858

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

14,858

–

14,858

–

–

14,858

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

BNPP

.........

Repurchase

Agreements

$

1,013,507

$

(1,013,507)

$

–

$

–

$

–

$

–

CITI

..........

Forward

Foreign

Currency

Exchange

Contracts

489,048

(489,048)

–

–

–

–

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

488,199

(488,199)

–

–

–

–

JPMS

.........

Repurchase

Agreements

156,975

(156,975)

–

–

–

–

MLIN

.........

Total

Return

Swap

Contracts

48,954

–

48,954

–

–

48,954

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,196,683

(2,147,729)

48,954

–

–

48,954

337

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Multi-Asset

Fund

(continued)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$81,886

and

total

additional

collateral

pledged

was

$1,863,776.

AQR

Multi-Asset

Offshore

Fund

Ltd.

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

BNPP

..........

Reverse

Repurchase

Agreements

$

12,895,698

$

(1,013,507)

$

11,882,191

$

(11,882,191)

$

–

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

653,799

(489,048)

164,751

CITI

...........

Reverse

Repurchase

Agreements

4,509,125

–

4,509,125

Total

CITI

5,162,924

(489,048)

4,673,876

(4,639,227)

(34,649)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

653,352

(488,199)

165,153

–

(165,153)

–

JPMS

..........

Reverse

Repurchase

Agreements

3,839,250

(156,975)

3,682,275

(3,682,275)

–

–

MPFS

..........

Reverse

Repurchase

Agreements

6,179,385

–

6,179,385

(6,154,591)

–

24,794

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

28,730,609

(2,147,729)

26,582,880

(26,358,284)

(199,802)

24,794

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

GSIN

.........

Total

Return

Swap

Contracts

$

26,150

$

–

$

26,150

$

–

$

–

$

26,150

MACQ

........

Total

Return

Swap

Contracts

14,088

–

14,088

–

–

14,088

MLIN

.........

Total

Return

Swap

Contracts

18,480

–

18,480

–

–

18,480

SOCG

........

Total

Return

Swap

Contracts

46,523

(2,825)

43,698

–

–

43,698

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

105,241

(2,825)

102,416

–

–

102,416

338

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Multi-Asset

Offshore

Fund

Ltd.

(continued)

(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

$347,260.

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

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

SOCG

.........

Total

Return

Swap

Contracts

$

2,825

$

(2,825)

$

–

$

–

$

–

$

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,825

(2,825)

–

–

–

–

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

CITI

..........

Total

Return

Swap

Contracts

$

1,671

$

(1,200)

$

471

$

–

$

–

$

471

GSIN

.........

Total

Return

Swap

Contracts

5,085

–

5,085

–

–

5,085

MACQ

........

Total

Return

Swap

Contracts

371,870

(112,860)

259,010

–

(180,001)

79,009

SOCG

........

Total

Return

Swap

Contracts

14,993

(13,171)

1,822

–

–

1,822

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

393,619

(127,231)

266,388

–

(180,001)

86,387

339

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

(continued)

(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

$432,421.

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

CITI

...........

Total

Return

Swap

Contracts

$

1,200

$

(1,200)

$

–

$

–

$

–

$

–

MACQ

.........

Total

Return

Swap

Contracts

112,860

(112,860)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

13,171

(13,171)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

127,231

(127,231)

–

–

–

–

340

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Style

Premia

Alternative

Fund

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

BANA  

........

Total

Return

Basket

Swap

Contracts

$

21,718,477

$

–

$

21,718,477

$

–

$

(21,041,207)

$

677,270

CITI

..........

Forward

Foreign

Currency

Exchange

Contracts

4,027,271

(3,942,218)

85,053

CITI

..........

Total

Return

Swap

Contracts

811,511

(811,511)

–

Total

CITI

4,838,782

(4,753,729)

85,053

–

(20,056)

64,997

GSIN

.........

Total

Return

Swap

Contracts

408,166

(32,716)

375,450

GSIN

.........

Total

Return

Basket

Swap

Contracts

13,778,949

(691,805)

13,087,144

Total

GSIN

14,187,115

(724,521)

13,462,594

–

(12,901,641)

560,953

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

4,024,012

(3,940,117)

83,895

JPMC

.........

Total

Return

Swap

Contracts

61,170

(3,504)

57,666

JPMC

.........

Total

Return

Basket

Swap

Contracts

1,681,229

(53,519)

1,627,710

Total

JPMC

5,766,411

(3,997,140)

1,769,271

–

–

1,769,271

MLIN

.........

Total

Return

Swap

Contracts

3,650,103

(461,107)

3,188,996

MLIN

.........

Total

Return

Basket

Swap

Contracts

1,965,185

–

1,965,185

Total

MLIN

5,615,288

(461,107)

5,154,181

–

(150,272)

5,003,909

MSIP

.........

Total

Return

Basket

Swap

Contracts

730,817

(730,817)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

52,856,890

(10,667,314)

42,189,576

–

(34,113,176)

8,076,400

341

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Style

Premia

Alternative

Fund

(continued)

(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

$168,432,299.

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

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

3,942,218

$

(3,942,218)

$

–

CITI

...........

Total

Return

Swap

Contracts

1,670,609

(811,511)

859,098

Total

CITI

5,612,827

(4,753,729)

859,098

$

–

$

(859,098)

$

–

GSIN

..........

Total

Return

Swap

Contracts

32,716

(32,716)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

691,805

(691,805)

–

Total

GSIN

724,521

(724,521)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

3,940,117

(3,940,117)

–

JPMC

..........

Total

Return

Swap

Contracts

3,504

(3,504)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

53,519

(53,519)

–

Total

JPMC

3,997,140

(3,997,140)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

461,107

(461,107)

–

–

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

2,440,696

(730,817)

1,709,879

(1,709,879)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

13,236,291

(10,667,314)

2,568,977

(1,709,879)

(859,098)

–

342

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

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

$2,760,000.

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

CITI

..........

Forward

Foreign

Currency

Exchange

Contracts

$

6,266

$

(1,426)

$

4,840

$

–

$

–

$

4,840

GSIN

.........

Total

Return

Basket

Swap

Contracts

67,500

–

67,500

–

–

67,500

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

6,265

(1,426)

4,839

–

–

4,839

MLIN

.........

Total

Return

Basket

Swap

Contracts

22,979

(18,884)

4,095

–

–

4,095

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

103,010

(21,736)

81,274

–

–

81,274

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

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

1,426

$

(1,426)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,426

(1,426)

–

–

–

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

18,884

(18,884)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

21,736

(21,736)

–

–

–

–

343

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

For

the year

ended

December

31,

2021,

the

quarterly

average

notional

values

of

the

derivatives

held

by

the

Funds

were

as

follows:

Derivatives

Volume

Disclosure*

*

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

LONG-

SHORT

EQUITY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

456,279,642

$

316,529,288

$

3,293,969

$

135,871,194

Average

Notional

Balance

-

Short

472,599,958

174,818,844

–

1,114,743

Ending

Notional

Balance

-

Long

737,200,235

–

4,044,725

133,108,297

Ending

Notional

Balance

-

Short

496,771,114

196,629,063

–

865,861

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

175,787,176

9,437,426

441,574

55,205,947

Average

Settlement

Value

-

Sold

162,867,288

31,610,370

623,544

5,255,012

Ending

Value

-

Purchased

155,347,714

9,924,610

167,766

46,735,138

Ending

Value

-

Sold

162,238,422

26,209,819

245,867

130,636

Credit

Default

Swaps:

Average

Notional

Balance

-

Buy

Protection

–

26,865,000

–

–

Average

Notional

Balance

-

Sell

Protection

–

–

–

–

Ending

Notional

Balance

-

Buy

Protection

–

46,475,000

–

–

Ending

Notional

Balance

-

Sell

Protection

–

–

–

–

Total

Return

Swaps:

Average

Notional

Balance

-

Long

18,101,983

253,575,516

–

20,779,601

Average

Notional

Balance

-

Short

9,804,292

155,274,912

–

–

Ending

Notional

Balance

-

Long

23,815,164

–

–

19,785,274

Ending

Notional

Balance

-

Short

10,701,799

–

–

–

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

266,607,691

–

–

–

Average

Notional

Balance

-

Receives

Fixed

Rate

256,671,624

–

–

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

215,760,533

–

–

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

211,506,090

–

–

–

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

–

1,029,636,716

128,720,144

745,405,389

Average

Notional

of

Underlying

Positions

-

Short

–

390,578,558

136,310,614

784,490,414

Ending

Notional

Balance

-

Long

–

1,178,006,304

120,347,766

667,858,401

Ending

Notional

Balance

-

Short

–

375,248,649

122,753,748

685,626,407

344

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

*

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

42,076,135

$

4,055,905,457

$

361,693,436

$

232,889,904

$

455,812,678

Average

Notional

Balance

-

Short

94,172,131

7,144,841,350

670,010,599

31,041,135

235,388,615

Ending

Notional

Balance

-

Long

47,891,521

416,909,253

40,527,686

235,927,083

713,814,346

Ending

Notional

Balance

-

Short

92,281,517

7,355,321,684

642,421,321

45,886,903

360,286,867

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

71,756,385

3,443,131,101

318,264,565

95,755,505

–

Average

Settlement

Value

-

Sold

72,019,637

3,066,097,033

285,749,209

96,922,514

–

Ending

Value

-

Purchased

70,848,506

2,030,360,435

237,412,634

93,496,130

–

Ending

Value

-

Sold

76,778,080

2,745,247,834

298,131,785

101,498,953

–

Total

Return

Swaps:

Average

Notional

Balance

-

Long

5,677,133

161,757,641

14,188,386

7,746,069

15,314,073

Average

Notional

Balance

-

Short

3,638,701

67,228,423

5,976,761

1,285,792

11,138,703

Ending

Notional

Balance

-

Long

4,155,570

8,943,143

681,539

4,090,988

4,032,061

Ending

Notional

Balance

-

Short

3,879,269

58,383,887

5,174,759

259,388

1,285,401

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

299,163,481

–

–

–

–

Average

Notional

Balance

-

Receives

Fixed

Rate

171,410,730

–

–

–

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

177,228,600

–

–

–

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

86,577,602

–

–

–

–

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

–

630,024,875

55,258,735

–

–

Average

Notional

of

Underlying

Positions

-

Short

–

627,727,950

54,906,531

–

–

Ending

Notional

Balance

-

Long

–

551,302,953

50,816,577

–

–

Ending

Notional

Balance

-

Short

–

542,565,765

49,902,752

–

–

*

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

4,556,159,640

$

–

Average

Notional

Balance

-

Short

3,714,713,219

–

Ending

Notional

Balance

-

Long

6,187,784,827

–

Ending

Notional

Balance

-

Short

2,344,445,036

–

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

821,848,257

1,596,154

Average

Settlement

Value

-

Sold

680,150,406

11,380

Ending

Value

-

Purchased

734,690,031

1,596,154

Ending

Value

-

Sold

647,958,072

11,380

Total

Return

Swaps:

Average

Notional

Balance

-

Long

189,066,754

–

Average

Notional

Balance

-

Short

106,415,914

–

Ending

Notional

Balance

-

Long

196,725,479

–

Ending

Notional

Balance

-

Short

90,071,374

–

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

1,755,570,635

–

Average

Notional

Balance

-

Receives

Fixed

Rate

1,784,089,264

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

1,826,418,871

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

1,749,180,018

–

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

1,453,960,656

26,408,235

Average

Notional

of

Underlying

Positions

-

Short

1,475,654,447

20,969,007

Ending

Notional

Balance

-

Long

1,499,621,005

26,408,235

Ending

Notional

Balance

-

Short

1,468,637,125

20,969,007

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

345

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

9.

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

currently

pay

the

Investment

Advisory

fee

calculated

on

the

average

daily

net

assets

for

each

Fund,

in

the

annual

ratios

below:

The

Trust

and

the

Adviser

have

entered

into

an

agreement

(the

“Expense

Limitation

Agreement”)

whereby

the

Adviser

has

agreed

to

reimburse

operating

expenses

of

each

Fund

at

least

through

April

30,

2022

for

Class

I,

N,

and

R6

shares.

Pursuant

to

the

Expense

Limitation

Agreement,

the

Adviser

has

agreed

to

reimburse

each

Fund

in

an

amount

sufficient

to

limit

each

Fund's

operating

expenses

other

than

management

fees

and

12b-1

fees,

and

exclusive

of

interest,

taxes,

borrowing

costs,

acquired

fund

fees

and

expenses,

dividend

and

interest

expense

related

to

short

sales,

expenses

related

to

class

action

claims

and

extraordinary

expenses,

at

no

more

than

the

following

ratios:

The

Trust,

in

turn,

agreed

that

the

Funds

will

repay

the

expense

reimbursement

to

the

Adviser

only

to

the

extent

it

can

be

made

during

the

thirty-six

months

following

the

applicable

month

during

which

the

Adviser

waived

fees

or

reimbursed

the

applicable

Fund

for

its

operating

expenses

under

the

Expense

Limitation

Agreement.

Such

repayment

shall

be

made

only

out

of

the

class

of

the

Fund

for

which

the

applicable

fee

waiver

and/or

expense

reimbursement

was

made.

Repayments

with

respect

to

a

Fund

must

be

limited

to

amounts

that

do

not

cause

the

total

annual

operating

expenses

or

the

other

operating

expenses,

as

applicable,

attributable

to

a

share

class

of

the

Fund

during

a

year

in

which

such

repayment

is

made

to

exceed

either

of

(i)

the

applicable

limits

in

effect

at

the

time

of

the

waiver

and/or

reimbursement

and

(ii)

the

applicable

limits

in

effect

at

the

time

of

recapture.

FUND

RATIO

AQR

Alternative

Risk

Premia

Fund

........................................................................

1.20%

AQR

Diversified

Arbitrage

Fund

...........................................................................

1.00

AQR

Diversifying

Strategies

Fund

.........................................................................

0.00

AQR

Equity

Market

Neutral

Fund

.........................................................................

1.10

AQR

Long-Short

Equity

Fund

............................................................................

1.10

AQR

Macro

Opportunities

Fund

...........................................................................

1.00

AQR

Managed

Futures

Strategy

Fund

......................................................................

1.05

AQR

Managed

Futures

Strategy

HV

Fund

...................................................................

1.45

AQR

Multi-Asset

Fund

.................................................................................

0.60

AQR

Risk-Balanced

Commodities

Strategy

Fund

..............................................................

0.80

AQR

Style

Premia

Alternative

Fund

........................................................................

1.35

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

........................................................

1.

10

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Alternative

Risk

Premia

Fund

....................................................

0.20

%

0.20

%

0.10

%

AQR

Diversified

Arbitrage

Fund

.......................................................

0.20

0.20

0.10

AQR

Diversifying

Strategies

Fund

.....................................................

0.20

0.20

0.10

AQR

Equity

Market

Neutral

Fund

.....................................................

0.20

0.20

0.10

AQR

Long-Short

Equity

Fund

........................................................

0.20

0.20

0.10

AQR

Macro

Opportunities

Fund

.......................................................

0.20 

0.20 

0.10 

AQR

Managed

Futures

Strategy

Fund

..................................................

0.20

0.20

0.10

AQR

Managed

Futures

Strategy

HV

Fund

...............................................

0.20

0.20

0.10

AQR

Multi-Asset

Fund

.............................................................

0.20

0.20

0.10

AQR

Risk-Balanced

Commodities

Strategy

Fund

..........................................

0.20

0.20

0.10

AQR

Style

Premia

Alternative

Fund

....................................................

0.15

0.15

0.05

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

....................................

0.

20

0.

20

0.

1

0

346

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

For

the year

ended

December

31,

2021,

the

amounts reimbursed

by

the

Adviser,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at December

31,

2021

are

as

follows:

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

DECEMBER

31

,

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

DECEMBER

31

,

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

DECEMBER

31

,

2021

2021

20

22

20

23

20

24

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Class

I

...........

$

138,157

$

374,947

$

116,796

$

119,994

$

138,157

Class

N

...........

21,033

37,209

5,753

10,423

21,033

Class

R6

..........

186,472

367,499

63,427

117,600

186,472

Totals

$

345,662

$

779,655

$

185,976

$

248,017

$

345,662

AQR

DIVERSIFIED

ARBITRAGE

FUND

Class

I

...........

$

307,319

$

881,414

$

325,100

$

248,995

$

307,319

Class

N

...........

16,394

84,068

48,620

19,054

16,394

Class

R6

..........

117,432

192,315

13,565

61,318

117,432

Totals

$

441,145

$

1,157,797

$

387,285

$

329,367

$

441,145

AQR

DIVERSIFYING

STRATEGIES

FUND

Class

I

...........

$

156,974

$

250,167

$

–

$

93,193

$

156,974

Class

N

...........

7,540

13,160

–

5,620

7,540

Class

R6

..........

40,888

87,274

–

46,386

40,888

Totals

$

205,402

$

350,601

$

–

$

145,199

$

205,402

AQR

EQUITY

MARKET

NEUTRAL

FUND

Class

I

...........

$

139,748

$

326,369

$

64,292

$

122,329

$

139,748

Class

N

...........

56,655

76,450

7,800

11,995

56,655

Class

R6

..........

18,980

69,401

12,855

37,566

18,980

Totals

$

215,383

$

472,220

$

84,947

$

171,890

$

215,383

AQR

LONG-SHORT

EQUITY

FUND

Class

I

...........

$

154,566

$

225,742

$

–

$

71,176

$

154,566

Class

N

...........

6,518

8,197

–

1,679

6,518

Class

R6

..........

9,902

19,278

–

9,376

9,902

Totals

$

170,986

$

253,217

$

–

$

82,231

$

170,986

AQR

MACRO

OPPORTUNITIES

FUND

Class

I

...........

$

98,175

$

328,824

$

124,538

$

106,111

$

98,175

Class

N

...........

7,047

31,037

15,492

8,498

7,047

Class

R6

..........

210,700

408,923

84,311

113,912

210,700

Totals

$

315,922

$

768,784

$

224,341

$

228,521

$

315,922

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Class

I

...........

$

179,234

$

444,021

$

119,555

$

145,232

$

179,234

Class

N

...........

7,171

52,707

29,171

16,365

7,171

Class

R6

..........

56,224

199,764

72,099

71,441

56,224

Totals

$

242,629

$

696,492

$

220,825

$

233,038

$

242,629

AQR

MULTI-ASSET

FUND

Class

I

...........

$

208,551

$

625,091

$

231,142

$

185,398

$

208,551

Class

N

...........

8,933

35,891

16,312

10,646

8,933

Class

R6

..........

25,674

44,229

6,178

12,377

25,674

Totals

$

243,158

$

705,211

$

253,632

$

208,421

$

243,158

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Class

I

...........

$

157,495

$

266,689

$

74,269

$

34,925

$

157,495

Class

N

...........

30,330

60,709

10,360

20,019

30,330

Class

R6

..........

2,851

200,103

92,627

104,625

2,851

Totals

$

190,676

$

527,501

$

177,256

$

159,569

$

190,676

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Class

I

...........

$

167,507

$

918,977

$

463,180

$

288,290

$

167,507

Class

N

...........

12,424

44,607

20,742

11,441

12,424

Class

R6

..........

271,867

1,091,196

402,283

417,046

271,867

Totals

$

451,798

$

2,054,780

$

886,205

$

716,777

$

451,798

347

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

During

the

year

ended

December

31,

2021,

the

Funds

recouped amounts

as

follows: 

Pursuant

to

the

Sub-Advisory

Agreements

between

the

Sub-Adviser,

the

Adviser

and

the

Trust,

the

Adviser

will

pay

the

Sub-Adviser

an

annual

fee,

payable

monthly,

at

the

annual

rate

of

0.50%

of

the

average

daily

net

assets

for

the

AQR

Diversified

Arbitrage

Fund. 

10.

Distribution

Plan

The

Trust

has

adopted

a

Plan

of

Distribution

(the

“Plan”)

pursuant

to

Rule

12b-1

under

the

1940

Act

with

respect

to

the

Class

N

shares

of

the

Funds.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily

net

asset

value

of

the

Class

N

shares

of

the

Funds.

11.

Principal

Risks

and

Concentrations

With

the

exception

of

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund,

AQR

Diversifying

Strategies

Fund,

AQR

Equity

Market

Neutral

Fund,

AQR

Long-Short

Equity

Fund

and

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund,

the

Funds

are

non-diversified.

Because

the

non-

diversified

Funds

may

invest

in

securities

of

a

smaller

number

of

issuers,

such

non-diversified

Funds

may

be

more

exposed

to

the

risks

associated

with

and

developments

affecting

an

individual

issuer

than

a

fund

that

invests

more

widely,

which

may,

therefore,

have

a

greater

impact

on

the

non-diversified

Funds’

performance. 

The

investment

techniques

and

strategies

utilized

by

the

Funds,

including

investments

made

on

a

shorter-term

basis

or

in

derivative

instruments

or

instruments

with

a

maturity

of

one

year

or

less

at

the

time

of

acquisition,

may

result

in

frequent

portfolio

trading

and

high

portfolio

turnover.

High

portfolio

turnover

will

cause

the

Funds

to

incur

higher

levels

of

brokerage

fees

and

commissions,

which

may

reduce

performance,

and

may

cause

higher

levels

of

current

tax

liability

to

shareholders

in

the

Funds.

In

the

normal

course

of

business

the

Funds

trade

financial

instruments

and

enter

into

financial

transactions

where

risk

of

potential

loss

exists

due

to

changes

in

the

market

(market

risk).

A

Fund’s

investments

in

financial

derivatives

and

other

financial

instruments

may

expose

the

Fund

to

various

elements

of

market

risks

which

include

interest

rate,

foreign

currency,

equity

and

commodity

risks.

Exposure

to

the

commodities

markets

may

subject

a

Fund

to

greater

volatility

than

investments

in

traditional

securities.

The

value

of

commodity-linked

derivative

investments

and

exchange-traded

notes

may

be

affected

by

changes

in

overall

market

movements,

commodity

index

volatility,

changes

in

interest

rates,

or

factors

affecting

a

particular

industry

or

commodity. 

Fixed

income

securities

are

subject

to

the

risk

that

the

securities

could

lose

value

because

of

interest

rate

changes.

For

example,

bonds

tend

to

decrease

in

value

if

interest

rates

rise.

Fixed

income

securities

with

longer

maturities

sometimes

offer

higher

yields,

but

are

subject

to

greater

price

shifts

as

a

result

of

interest

rate

changes

than

fixed

income

securities

with

shorter

maturities.

Fixed

income

securities

are

generally

subject

to

the

risk

that

the

issuer

may

be

unable

to

make

principal

and

interest

payments

when

they

are

due. 

Interest

rate

risk

is

the

risk

that

fixed

income

securities

will

decline

in

value

because

of

changes

in

interest

rates.

The

Funds

may

lose

money

if

short-

term

or

long-term

interest

rates

rise

sharply

or

otherwise

change

in

a

manner

not

anticipated.

Convertible

securities

and

non-convertible

income

producing

securities

are

subject

to

certain

risks,

including

(i)

if

interest

rates

go

up,

the

value

of

convertible

securities

and

non-convertible

income

producing

securities

in

the

Funds

portfolio

generally

will

decline;

(ii)

during

periods

of

declining

interest

rates,

the

issuer

of

a

security

may

exercise

its

option

to

prepay

principal

earlier

than

scheduled,

forcing

the

Funds

to

reinvest

in

lower

yielding

securities

(call

or

prepayment

risk);

and

(iii)

during

periods

of

rising

interest

rates,

the

average

life

of

certain

types

of

securities

may

be

extended

because

of

slower

than

expected

principal

payments

(extension

risk).

Inflation-indexed

bonds

are

subject

to

certain

risks,

including

that

their

value

will

typically

fluctuate

in

response

to

changes

in

real

interest

rates,

which

are

in

turn

tied

to

the

relationship

between

nominal

interest

rates

and

the

rate

of

inflation.

Therefore,

if

nominal

interest

rates

increased

at

a

faster

rate

than

inflation,

real

interest

rates

might

rise,

leading

to

a

decrease

in

the

value

of

inflation-protected

securities.

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

DECEMBER

31,

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

DECEMBER

31,

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

DECEMBER

31,

2021

2021

2022

2023

2024

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Class

I

...........

$

3,140

$

3,140

$

–

$

–

$

3,140

Class

N

...........

3,140

3,140

–

–

3,140

Class

R6

..........

56,879

56,879

–

–

56,879

Totals

$

63,159

$

63,159

$

–

$

–

$

63,159

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Long-Short

Equity

Fund

..............................................

$

3,990

$

–

$

–

348

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

Many

financial

instruments

may

be

tied

to

the

London

Interbank

Offered

Rate,

or

“LIBOR,”

to

determine

payment

obligations,

financing

terms,

hedging

strategies,

or

investment

value.

LIBOR

is

the

offered

rate

for

short-term

deposits

between

major

international

banks

(LIBOR

rates

are

available

for

five

currencies

-

CHF,

EUR,

GBP,

JPY,

USD

-

across

a

range

of

tenors).

On

July

27,

2017,

the

head

of

the United

Kingdom

("UK")

Financial

Conduct

Authority

("FCA") announced

a

desire

to

phase

out

the

use

of

LIBOR.

The

FCA

has

confirmed

that

all

LIBOR

settings

will

either

cease

to

be

provided

by

any

administrator

or

no

longer

be

representative:

(1)

immediately

after

December

31,

2021,

in

the

case

of

all

British

Pound,

Euro,

Swiss

Franc

and

Japanese

Yen

settings,

and

the

1-week

and

2-month

USD

settings;

and

(2)

immediately

after

June

30,

2023,

in

the

case

of

the

remaining

USD

settings.

Regulators

and

industry

working

groups

have

suggested

alternative

reference

rates, and global

consensus

is

growing

around

the

process

for

amending

existing

contracts

or

instruments

to

transition

away

from

LIBOR.

There

does

remain

some

uncertainty

and

risk

regarding

the

willingness

and

ability

of

issuers

to

include

enhanced

provisions

in

new

and

existing

contracts

or

instruments.

As

such,

the

transition

away

from

LIBOR

may

lead

to

increased

volatility

and

illiquidity

in

markets

that

are

tied

to

LIBOR,

reduced

values

of

LIBOR-related

investments,

and

reduced

effectiveness

of

hedging

strategies,

adversely

affecting

the

Funds'

performance

or

NAV.

In

addition,

the

alternative

reference

rate

may

be

an

ineffective

substitute

resulting

in

prolonged

adverse

market

conditions

for

the

Funds. 

Sovereign

debt

investments

are

subject

to

the

risk

that

a

governmental

entity

may

delay

or

refuse

to

pay

interest

or

repay

principal

on

its

sovereign

debt,

due,

for

example,

to

cash

flow

problems,

insufficient

foreign

currency

reserves,

political

considerations,

the

relative

size

of

the

governmental

entity’s

debt

position

in

relation

to

the

economy

or

the

failure

to

put

in

place

economic

reforms

required

by

the

International

Monetary

Fund

or

other

multilateral

agencies.

If

a

governmental

entity

defaults,

it

may

ask

for

more

time

in

which

to

pay

or

for

further

loans.

There

is

no

legal

process

for

collecting

sovereign

debt

that

a

government

does

not

pay

nor

are

there

bankruptcy

proceedings

through

which

all

or

part

of

the

sovereign

debt

that

a

governmental

entity

has

not

repaid

may

be

collected.

Investment

in

securities

of

foreign

issuers

may

involve

certain

risks

that

are

greater

than

those

associated

with

investments

in

securities

of

U.S.

issuers.

These

include

risks

of

adverse

changes

in

foreign

economic,

political,

regulatory

and

other

conditions;

changes

in

currency

exchange

rates

or

exchange

control

regulations

(including

limitations

on

currency

movements

and

exchanges);

the

imposition

of

economic

sanctions

or

other

government

restrictions;

differing

accounting,

auditing,

financial

reporting

and

legal

standards

and

practices;

differing

securities

market

structures;

and

higher

transaction

costs.

To

the

extent

a

fund’s

investments

in

a

single

country

or

a

limited

number

of

countries

represent

a

higher

percentage

of

the

Fund’s

assets,

the

Fund

assumes

the

risk

that

economic,

political

and

social

conditions

in

those

countries

will

have

a

significant

impact

on

its

investment

performance

and

it

may

be

subject

to

increased

price

volatility. 

Investment

in

securities

of

foreign

issuers

may

involve

certain

risks

that

are

greater

than

those

associated

with

investments

in

securities

of

U.S.

issuers.

These

include

risks

of

adverse

changes

in

foreign

economic,

political,

regulatory

and

other

conditions;

changes

in

currency

exchange

rates

or

exchange

control

regulations

(including

limitations

on

currency

movements

and

exchanges);

the

imposition

of

economic

sanctions

or

other

government

restrictions;

differing

accounting,

auditing,

financial

reporting

and

legal

standards

and

practices;

differing

securities

market

structures;

and

higher

transaction

costs.

To

the

extent

a

fund’s

investments

in

a

single

country

or

a

limited

number

of

countries

represent

a

higher

percentage

of

the

Fund’s

assets,

the

Fund

assumes

the

risk

that

economic,

political

and

social

conditions

in

those

countries

will

have

a

significant

impact

on

its

investment

performance

and

it

may

be

subject

to

increased

price

volatility.

Emerging

markets

are

riskier

than

more

developed

markets

because

they

tend

to

develop

unevenly

and

may

never

fully

develop.

Investments

in

emerging

markets

may

be

considered

speculative.

Emerging

markets

are

more

likely

to

experience

hyperinflation

and

currency

devaluations,

which

adversely

affect

returns

to

U.S.

investors.

In

addition,

many

emerging

securities

markets

have

far

lower

trading

volumes

and

less

liquidity

than

developed

markets. 

Currency

risk

arises

from

the

possibility

that

fluctuations

in

foreign

exchange

rates

will

affect

the

value

of

cash

balances

held

in

foreign

currencies

and

non-U.S.

denominated

financial

instruments.

The

liquidity

and

trading

value

of

foreign

currencies

could

be

affected

by

global

economic

factors,

such

as

inflation,

interest

rate

levels,

and

trade

balances

among

countries,

as

well

as

the

actions

of

sovereign

governments

and

central

banks.

Currency

rates

in

foreign

countries

may

fluctuate

significantly

over

short

periods

of

time

for

a

number

of

reasons. 

The

market

values

of

equities,

such

as

common

stocks

and

preferred

securities

or

equity

related

investments

such

as

futures

and

options,

may

decline

due

to

general

market

conditions

which

are

not

specifically

related

to

a

particular

company.

They

may

also

decline

due

to

factors

which

affect

a

particular

industry

or

industries.

The

Funds

may

invest

in

illiquid

investments

and

may

experience

difficulty

in

selling

those

investments

in

a

timely

manner

at

the

price

that

it

believes

the

investments

are

worth.

Prices

may

fluctuate

widely

over

short

or

extended

periods

in

response

to

company,

market

or

economic

news.

Geopolitical

and

other

events,

including

war,

terrorism,

economic

uncertainty,

trade

disputes,

public

health

crises

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.

Such

events

include

the

pandemic

spread

of

the

novel

coronavirus

known

as

COVID-19,

the

duration

and

full

effects

of

which

are

still

uncertain.

Markets

also

tend

to

move

in

cycles,

with

periods

of

rising

and

falling

prices.

This

volatility

may

cause

the

Fund’s

net

asset

value

to

experience

significant

increases

or

decreases

over

short

periods

of

time.

If

there

is

a

general

decline

in

the

securities

and

other

markets,

the

net

asset

value

of

a

Fund

may

lose

value,

regardless

of

the

individual

results

of

the

securities

and

other

instruments

in

which

the

Fund

invests.

In

addition

to

market

risk,

the

Funds

may

be

exposed

to

the

risk

that

one

or

more

securities

in

the

Funds’

portfolios

will

decline

in

price,

or

fail

to

pay

interest

or

principal

when

due,

because

the

issuer

of

the

security

experiences

a

decline

in

its

financial

status

(credit

risk).

Credit

risk

is

measured

by

the

loss

a

Fund

would

record

if

the

major

financial

institution

or

other

counterparties

failed

to

perform

pursuant

to

terms

of

their

obligations.

Certain

Funds

may

primarily

maintain

cash

balances

at

one

or

several

major

financial

institutions

that

may

exceed

federally

insured

limits

and

as

such

each

of

the

Funds

have

credit

risk

associated

with

such

financial

institutions.

In

general,

lower

rated

securities

carry

a

greater

degree

of

risk

that

the

issuer

will

lose

its

ability

to

make

interest

and

principal

payments,

which

could

have

a

negative

impact

on

the

Funds’

net

asset

value

or

dividends.

The

Funds

minimize

credit

risk

by

monitoring

credit

exposure

and

collateral

values,

and

by

requiring

additional

collateral

to

be

deposited

with

or

returned

to

the

Funds

when

deemed

necessary.

349

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

Similar

to

credit

risk,

a

Fund

may

be

exposed

to

counterparty

risk,

or

the

risk

that

an

institution

or

other

entity

with

which

the

Fund

has

unsettled

or

open

transactions

will

default.

Financial

assets,

which

potentially

expose

a

Fund

to

counterparty

risk,

consist

principally

of

cash

due

from

counterparties

and

investments.

By

using

derivative

instruments,

the

Funds

may

be

exposed

to

the

risk

that

derivative

counterparties

may

not

perform

in

accordance

with

the

contractual

provisions

offset

by

the

value

of

any

collateral

received.

The

Funds’

exposure

to

credit

risk

associated

with

counterparty

non-performance

is

limited

to

the

unrealized

gains

inherent

in

such

transactions

that

are

recognized

in

the

Statements

of

Assets

and

Liabilities.

The

counterparties

to

the

Funds’

derivative

investments

may

include

affiliates

of

the

Funds’

clearing

brokers

and

other

major

financial

institutions.

While

the

Funds

use

multiple

clearing

brokers

and

counterparties,

a

concentration

of

credit

risk

may

exist

because

of

balances

held

and

transactions

with

a

limited

number

of

clearing

brokers

and

counterparties.

The

Funds

minimize

counterparty

credit

risk

through

credit

limits

and

approvals,

credit

monitoring

procedures,

executing

master

netting

arrangements

and

managing

margin

and

collateral

requirements,

as

appropriate.

The

Funds

may

invest

in

securities

with

positive

momentum. This

entails

investing

in

securities

that

have

had

above-average

recent

returns.

These

securities

may

be

more

volatile

than

a

broad

cross-section

of

securities.

In

addition,

there

may

be

periods

during

which

the

investment

performance

of

the

Fund

while

using

a

momentum

strategy

may

suffer.

Investing

in

or

having

exposure

to

"value"

securities

presents

the

risk

that

the

securities

may

never

reach

what

the

Adviser

believes

are

their

full

market

values,

either

because

the

market

fails

to

recognize

what

the

Adviser

considers

to

be

the

security's

true

value

or

because

the

Adviser

misjudged

that

value.

In

addition,

there

may

be

periods

during

which

the

investment

performance

of

the

Fund

while

using

a

value

strategy

may

suffer.

The

Funds

may

have

investments

that

appreciate

or

decrease

significantly

in

value

over

short

periods

of

time.

This

may

cause

the

Funds’

net

asset

value

per

share

to

experience

significant

increases

or

declines

in

value

over

short

periods

of

time,

however,

all

investments

long-term

or

short-term

are

subject

to

risk

of

loss. 

In

the

normal

course

of

business,

the

Funds

may

enter

into

agreements

with

certain

counterparties

for

derivative

transactions.

A

number

of

each

Fund’s

Master

Agreements

contain

provisions

that

require

each

Fund

to

maintain

a

predetermined

level

of

net

assets,

and/or

provide

limits

regarding

the

decline

of

a

Fund’s

net

asset

value

over

specified

time

periods.

If

a

Fund

was

to

violate

such

provisions,

the

counterparties

to

the

derivative

instruments

could

request

immediate

payment

or

demand

immediate

collateralization

on

derivative

instruments

in

net

liability

positions.

If

such

events

are

not

cured

by

the

Fund

or

waived

by

the

counterparties,

they

may

decide

to

curtail

or

limit

extension

of

credit,

and

the

Fund

may

be

forced

to

unwind

its

derivative

positions

which

may

result

in

material

losses.

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

reverse

repurchase

transactions

and

entering

into

other

forms

of

direct

and

indirect

borrowings.

There

is

no

guarantee

that

the

Funds’

borrowing

arrangement

or

other

arrangements

for

obtaining

leverage

will

continue

to

be

available,

or

if

available,

will

be

available

on

terms

and

conditions

acceptable

to

the

Funds.

Unfavorable

economic

conditions

also

could

increase

funding

costs,

limit

access

to

the

capital

markets

or

result

in

a

decision

by

lenders

not

to

extend

credit

to

the

Funds.

In

addition,

a

decline

in

market

value

of

the

Funds’

assets

may

have

particular

adverse

consequences

in

instances

where

they

have

borrowed

money

based

on

the

market

value

of

those

assets.

A

decrease

in

market

value

of

those

assets

may

result

in

the

lender

(including

derivative

counterparties)

requiring

the

Funds

to

post

additional

collateral

or

otherwise

sell

assets

at

a

time

when

it

may

not

be

in

the

Funds’

best

interest

to

do

so.

Given

the

complexity

of

the

investments

and

strategies

of

the

Fund,

the

Adviser

relies

heavily

on

quantitative

models

and

information

and

data

supplied

by

third

parties

(“Models

and

Data”).

Models

and

Data

are

used

to

construct

sets

of

transactions

and

investments,

to

provide

risk

management

insights,

and

to

assist

in

hedging

the

Fund’s

investments.

When

Models

and

Data

prove

to

be

incorrect

or

incomplete,

any

decisions

made

in

reliance

thereon

expose

the

Fund

to

potential

risks.

Similarly,

any

hedging

based

on

faulty

Models

and

Data

may

prove

to

be

unsuccessful.

Some

of

the

models

used

by

the

Adviser

for

the

Fund

are

predictive

in

nature.

The

use

of

predictive

models

has

inherent

risks.

Because

predictive

models

are

usually

constructed

based

on

historical

data

supplied

by

third

parties,

the

success

of

relying

on

such

models

may

depend

heavily

on

the

accuracy

and

reliability

of

the

supplied

historical

data.

The

Fund

bears

the

risk

that

the

quantitative

models

used

by

the

Adviser

will

not

be

successful

in

selecting

investments

or

in

determining

the

weighting

of

investment

positions

that

will

enable

the

Fund

to

achieve

its

investment

objective.

In

regards

to

the

AQR

Diversifying

Strategies

Fund,

due

to

the

Fund's

strategy

of

investing

in

affiliated

funds,

shareholders

bear

both

their

proportionate

share

of

expenses

in

the

Fund

and,

indirectly,

the

expenses

of

such

Affiliated

Funds.

An

investor

holding

the

affiliated

investment

funds

directly

and

in

the

same

proportions

as

the

Fund

would

incur

lower

overall

expenses

but

would

not

receive

the

benefits

of

the

active

allocation

of

investments

among

the

affiliated

investment

funds

associated

with

an

investment

in

the

Fund.

The

Adviser

receives

management

fees

from

each

of

the

affiliated

investment

funds,

but

not

from

the

Fund.

If

the

Adviser

were

to

invest

in

unaffiliated

funds,

however,

the

Adviser

would

not

receive

direct

or

indirect

management

fees

on

the

Fund

assets

invested

in

those

unaffiliated

funds.

There

is

a

risk

that

the

affiliated

investment

funds

in

which

the

Fund

invests

will

have

higher

expense

ratios

and/or

under-perform

unaffiliated

funds

with

comparable

investment

strategies.

Additionally,

investments

in

the

AQR

Diversifying

Strategies

Fund

are

subject

to

risks

related

to

the

Adviser's

allocation

choices.

The

selection

of

the

affiliated

investment

funds

and

the

allocation

of

the

Fund's

assets

to

the

affiliated

investment

funds

could

cause

the

Fund

to

lose

value

or

its

results

to

lag

relevant

benchmarks

or

other

funds

with

similar

objectives.

The

Fund

could

miss

attractive

investment

opportunities

by

under-weighting

strategies

that

subsequently

experience

significant

returns

and

could

lose

value

by

overweighting

strategies

that

subsequently

experience

significant

declines.

As

with

other

investments,

investments

in

other

investment

companies,

such

as

the

affiliated

investment

funds

and

money

market

mutual

funds,

are

subject

to

market

and

manager

risk.

Since

the

AQR

Diversifying

Strategies

Fund's

investments

consist

primarily

of

affiliated

funds,

the

Fund's

risks

are

directly

related

to

the

risks

of

the

affiliated

investment

funds.

For

this

reason,

it

is

important

to

understand

the

risks

associated

with

investing

in

the

affiliated

investment

funds.

350

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

In

regard

to

the

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund,

the

ability

of

the

Fund

to

achieve

its

net

zero

carbon

target

will

be

subject

to

the

Adviser's

ability

to

correctly

assess

the

carbon

emissions

of

the

companies

to

which

the

Fund

has

exposure

and

the

relative

performance

of

the

investments

in

the

portfolio.

Since

the

carbon

emissions

of

companies

will

likely

change

as

the

regulatory

environment,

public

sentiment

and

markets

change

or

time

passes,

the

success

of

the

Fund's

net

zero

carbon

strategy

will

also

be

subject

to

the

Adviser's

ability

to

continually

recalculate,

readjust,

and

execute

long

and/or

short

positions

in

an

efficient

and

timely

manner.

Additionally,

the

Adviser's

methodology

for

assessing

the

Fund's

carbon

emissions

exposure

may

differ

from

the

methodology

used

by

others

and

may

not

comport

with

an

investor's

assessment

due

to

a

variety

of

reasons

such

as,

the

use

of

different

carbon

emission

data

sources

and/or

differing

views

on

how

net

zero

carbon

exposure

is

achieved.

The

Adviser's

methodology

for

calculating

the

Fund's

carbon

emissions

exposure

could

prove

to

be

imperfect

or

may

not

achieve

its

intended

results.

Additionally,

the

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

follows

a

sustainable

investment

approach

that

considers

the

Environmental,

Social

and

Governance

(“ESG”)

characteristics

of

investments

when

constructing

the

Fund's

portfolio.

Accordingly,

the

Fund

will

have

reduced

exposure

to

industries

or

sectors

with

companies

that

are

excluded

by

the

Fund's

dynamic

ESG

filter

or

otherwise

underweighted

due

to

their

ESG

characteristics

and

potentially

increased

exposure

to

industries

or

sectors

that

do

not

contain

such

companies.

Additionally,

due

to

its

exclusionary

criteria,

the

Fund

may

not

be

invested

in

certain

industries

or

sectors.

As

a

result,

the

Fund's

performance

may

be

lower

than

other

funds

that

do

not

consider

ESG

characteristics

or

use

different

ESG

criteria

when

constructing

their

portfolios.

In

addition,

since

sustainable

and

ESG

investing

takes

into

consideration

factors

beyond

traditional

financial

analysis,

the

Fund

may

have

fewer

investment

opportunities

available

to

it.

Sustainability

and

ESG-related

information

provided

by

issuers

and

third

parties,

upon

which

the

portfolio

managers

may

rely,

may

be

incomplete,

inaccurate,

use

different

methodologies,

or

be

applied

differently

across

companies

and

industries.

Further,

the

regulatory

landscape

for

sustainable

and

ESG

investing

in

the

United

States

is

still

developing

and

future

rules

and

regulations

may

require

the

Fund

to

modify

or

alter

its

investment

process.

Similarly,

government

policies

incentivizing

companies

to

engage

in

and/or

disclose

their

sustainable

and

ESG

practices

may

fall

out

of

favor,

which

would

challenge

the

Fund's

ability

to

assess

ESG

characteristics

of

an

issuer

or

industry

and

its

ability

to

implement

its

investment

strategies.

There

is

also

a

risk

that

the

companies

identified

through

the

investment

process

may

fail

to

adhere

to

sustainable

and/or

ESG-related

business

practices,

which

may

result

in

the

Fund

selling

a

security

when

it

might

otherwise

be

disadvantageous

to

do

so.

There

is

no

guarantee

that

sustainable

investments

will

outperform

the

broader

market

on

either

an

absolute

or

relative

basis.

There

is

also

no

guarantee

that

the

Adviser

will

successfully

implement

strategies

or

make

investments

in

companies

that

result

in

favorable

ESG

outcomes

while

enhancing

long-term

shareholder

value

and

achieving

financial

returns.

Periodically,

the

Funds

may

be

a

party

to

legal

actions

arising

in

the

ordinary

course

of

business.

The

Funds

are

currently

not

subject

to

any

actions

that

either

individually

or

in

the

aggregate

are

expected

to

have

a

material

impact

on

their

results

of

operations,

cash

flows

or

financial

condition.

12.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Funds,

including

other

AQR

Funds

not

presented

in

this

book,

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

each

Fund’s

investment

objective

and

investment

policies.

This

program

allows

the

Funds

to

borrow

and

lend

to

other

AQR

Funds

that

permit

such

transactions.

All

loans

under

the

Interfund

Lending

Program

are

for

temporary

cash

management

or

emergency

purposes.

Interest

earned

or

paid

on

an

interfund

lending

transaction

will

be

based

on

the

average

of

certain

current

market

rates,

as

calculated

according

to

a

formula

established

by

the

Board.

No

Fund

may

borrow

or

lend

money

through

the

program

unless

it

receives

a

more

favorable

rate

than

is

typically

available

for

comparable

borrowings

from

a

bank

or

investments

in

U.S.

Treasury

bills,

respectively.

A

lending

Fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

Fund

through

the

Interfund

Lending

Program.

A

borrowing

Fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets.

If

a

borrowing

Fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

the

Fund

must

secure

each

of

its

outstanding

borrowings

through

the

Interfund

Lending

Program

with

collateral

equal

to

102%

of

the

outstanding

principal

value

of

the

loan.

The

Funds

are

not

required

to

borrow

money

under

the

Interfund

Lending

Program

and

may

borrow

under

other

arrangements,

including

their

existing

bank

line

of

credit.

This

could

result

in

a

Fund

borrowing

money

at

a

higher

interest

rate

than

it

would

have

received

under

the

Interfund

Lending

Program.

Interest

expense

earned,

as

a

result

of

lending

under

this

agreement

is

included

in

Interfund

lending

income

in

the

Statements

of

Operations.

During

the

reporting

period,

average

loans

made

to

another

AQR Fund

(not

presented

in

this

book) under

the

Interfund

Lending

Program

were

as

follows:

There

were

no

open

borrowings

as

of December

31,

2021 by

any

of

the

Funds.

The

Funds

did

not

have

any

borrowings

for

the year

ended

December

31,

2021. 

FUND

AVERAGE

LOANS

WEIGHTED

AVERAGE

INTEREST

RATE

INTEREST

RECEIVED

AQR

Managed

Futures

Strategy

Fund

....................................

$

12,015,789

0.56

%

$

3,472

351

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

13.

Line

of

Credit

Effective

March

20,

2021

and

terminating

on

March

19,

2022,

all

funds

within

the

Trust,

with

the

exception

of

the

AQR

Diversifying

Strategies

Fund

and

the

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund, renewed

a

$350,000,000

committed

syndicated

line

of

credit

(the

“Agreement”)

with

Bank

of

America,

N.A.,

as

the

Administrative

Agent.

Borrowing,

if

any,

under

this

arrangement

bears,

as

incurred,

interest

at

the

sum

of

(a)

1.25%

per

annum

plus

(b)

the

higher

of

(i)

the

Federal

Funds

Rate

or

(ii)

the

Eurodollar

Rate,

which

is

paid

monthly.

The

maximum

loan

amount

available

to

a

Fund

is

the

lesser

of

an

amount

which

will

not

exceed

the

borrowing

limits

set

forth

in

the

Fund’s

Prospectus

and/or

Registration

Statement

and

will

not

cause

the

asset

coverage

ratio

for

any

borrowings

by

a

Fund

to

drop

below

the

required

amount

under

the

Agreement

(between

300-500%

per

Fund).

The

Agreement

is

subject

to

an

annual

commitment

fee

and

allocated

to

each

participating

fund,

which

is

payable

in

arrears

on

a

quarterly

basis.

In

the

event

of

a

draw

upon

the

line

of

credit,

liquid

assets

of

the

borrowing

Fund

may

be

designated

as

collateral

until

its

loan

is

repaid

in

full.

Interest

expense

paid,

as

a

result

of

borrowing

under

the

Agreement,

and

each

Fund's

allocated

commitment

fee,

is

included

in

Interest

expense

in

the

Statements

of

Operations.

There

were

no

open

borrowings

as

of December

31,

2021 by

any

of

the

Funds.

The

Funds

did

not

have

any

borrowings

for

the year

ended

December

31,

2021. 

14.

Principal

Ownership

As

of

December

31,

2021,

the

Funds

had

individual

shareholder

and/or

omnibus

accounts

owning

more

than

5%

of

the

total

shares

outstanding

of

the

Fund

as

follows:

Significant

shareholder

transactions

by

these

shareholders,

if

any,

may

impact

the

Funds’

performance.

15.

New

Accounting

Pronouncements

and

Regulations 

In

March

2020,

the

Financial

Accounting

Standards

Board

("FASB") issued

Accounting

Standards

Update

("ASU")

No.

2020-04,

“Reference

Rate

Reform

(Topic

848)

–

Facilitation

of

the

Effects

of

Reference

Rate

Reform

on

Financial

Reporting”

in

response

to

concerns

about

structural

risks

of

interbank

offered

rates,

such

as

LIBOR.

In

January

2021,

the

FASB

issued

ASU

No.

2021-01

with

further

amendments

to

Topic

848.

Together,

the

ASUs

provide

optional

temporary

guidance

to

ease

the

potential

burden

in

accounting

for

(or

recognizing

the

effects

of)

reference

rate

reform

on

financial

reporting

for

certain

types

of

contract

modifications,

hedging

relationships

and

other

transactions

that

contain

LIBOR

and/or

any

other

reference

rate

that

is

expected

to

be

discontinued. The

ASUs are

elective

and are

effective

for

certain

reference

rate-related

contract

modifications

that

occur

during

the

period

March

12,

2020

through

December

31,

2022.

Management

has

reviewed

the

requirements

and

believes

the

adoption

of

these

ASUs

will

not

have

a

material

impact

on

the

financial

statements.

In

October

2020,

the

Securities

and

Exchange

Commission

(the

“SEC”)

adopted

new

regulations

governing

the

use

of

derivatives

by

registered

investment

companies

(“Rule

18f-4”).

The

Trust

will

be

required

to

implement

and

comply

with

Rule

18f-4

by

August

19,

2022.

Once

implemented,

Rule

18f-4

will

replace

the

current

requirements

on

funds

to

“set

aside”

(often

referred

to

as

“asset

segregation”)

liquid

assets,

or

engage

in

other

SEC

or

staff-approved

measures,

to

“cover”

open

positions

with

respect

to

certain

kinds

of

derivative

instruments

with

a

requirement

to

ensure

a

Fund

has

a

derivatives

risk

management

program

consistent

with

Rule

18f-4,

along

with

other

requirements

such

as

compliance

with

a

specific

value-at-risk

(“VaR”)

based

limit

on

leverage

risk.

The

Board

of

Trustees

will

have

an

oversight

role

in

ensuring

these

new

requirements

are

being

taken

into

account

and

will

appoint

a

derivatives

risk

manager

to

handle

the

day-to-day

responsibilities

of

the

derivatives

risk

management

program.

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Alternative

Risk

Premia

Fund

..........................................

3

94.86

%

AQR

Diversified

Arbitrage

Fund

.............................................

4

81.43

AQR

Diversifying

Strategies

Fund*

..........................................

3

87.80

AQR

Equity

Market

Neutral

Fund*

...........................................

6

87.43

AQR

Long-Short

Equity

Fund

..............................................

7

91.00

AQR

Macro

Opportunities

Fund*

............................................

6

90.54

AQR

Managed

Futures

Strategy

Fund

........................................

8

81.42

AQR

Managed

Futures

Strategy

HV

Fund*

....................................

4

93.17

AQR

Multi-Asset

Fund*

...................................................

6

89.12

AQR

Risk-Balanced

Commodities

Strategy

Fund

................................

6

92.54

AQR

Style

Premia

Alternative

Fund

..........................................

3

83.55

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund*

.........................

3

98.70

*

The

percentage

held

by

the

Adviser

and/or

affiliates

is

9.69%,

9.47%,

59.75%,

6.02%,

8.66%

and

98.70%

respectively.

352

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

In

December

2020,

the

SEC

voted

to

adopt

a

new

rule

providing

a

framework

for

fund

valuation

practices.

New

Rule

2a-5

(“Rule

2a-5”)

under

the

1940

Act

establishes

requirements

for

determining

fair

value

in

good

faith

for

purposes

of

the

1940

Act.

Rule

2a-5

will

permit

boards,

subject

to

board

oversight

and

certain

other

conditions,

to

designate

certain

parties

to

perform

fair

value

determinations.

Rule

2a-5

also

defines

when

market

quotations

are

“readily

available”

for

purposes

of

the

1940

Act

and

the

threshold

for

determining

whether

a

fund

must

fair

value

a

security.

The

SEC

also

adopted

new

Rule

31a-4

(“Rule

31a-4”),

which

provides

the

recordkeeping

requirements

associated

with

fair

value

determinations.

Finally,

the

SEC

is

rescinding

previously

issued

guidance

on

related

issues,

including

the

role

of

the

board

in

determining

fair

value

and

the

accounting

and

auditing

of

fund

investments,

effective

as

of

the

2a-5

compliance

date.

Rule

2a-5

and

Rule

31a-4 became

effective

on

March

8,

2021.

The

compliance

date

for

Rule

2a-5

and

Rule

31a-4

is

September

8,

2022.

A

fund

is

not

required

to

comply

with

the

rules until

the

compliance

date.

Management

is

currently

assessing

the

impact

of

these

provisions

on

the

Funds’

financial

statements

and

various

filings.

16.

Subsequent

Events

The

Funds

have

evaluated

subsequent

events

through

the

date

of

issuance

of

this

report

and

have

determined

that

there

are

no

material

events. 

353

Report

of

Independent

Registered

Public

Accounting

Firm

AQR

Funds

|

Annual

Report

|

December

2021

To

the

Board

of

Trustees

of

AQR

Funds

and

Shareholders

of

each

of

the

twelve

funds

listed

in

the

table

below

Opinions

on

the

Financial

Statements

We

have

audited

the

accompanying

statements

of

assets

and

liabilities,

including

the

schedules

of

investments,

of

each

of

the

funds

listed

in

the

table

below

(twelve

of

the

funds

constituting

AQR

Funds,

hereafter

collectively

referred

to

as

the

"Funds")

as

of

December

31,

2021,

the

related

statements

of

operations,

the

statements

of

changes

in

net

assets,

and

for

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund

and

AQR

Multi-Asset

Fund,

the

statements

of

cash

flows,

for

each

of

the

periods

indicated

in

the

table

below,

including

the

related

notes,

and

the

financial

highlights

for

each

of

the

periods

indicated

therein

(collectively

referred

to

as

the

“financial

statements”).

In

our

opinion,

the

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

each

of

the

Funds

as

of

December

31,

2021,

the

results

of

each

of

their

operations,

the

changes

in

each

of

their

net

assets

and

for

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund

and

AQR

Multi-Asset

Fund

each

of

their

cash

flows,

for

each

of

the

periods

indicated

in

the

table

below,

and

each

of

the

financial

highlights

for

each

of

the

periods

indicated

therein,

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinions

These

financial

statements

are

the

responsibility

of

the

Funds’

management.

Our

responsibility

is

to

express

an

opinion

on

the

Funds’

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Funds

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

December

31,

2021

by

correspondence

with

the

custodians,

transfer

agents

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinions.

/s/

PricewaterhouseCoopers

LLP

New

York,

New

York

February

24,

2022

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

AQR

Funds

since

2008.

AQR

Alternative

Risk

Premia

Fund

(1)

AQR

Managed

Futures

Strategy

Fund

(2)

AQR

Diversified

Arbitrage

Fund

(1)

AQR

Managed

Futures

Strategy

HV

Fund

(2)

AQR

Diversifying

Strategies

Fund

(3)

AQR

Multi-Asset

Fund

(1)

AQR

Equity

Market

Neutral

Fund

(2)

AQR

Risk-Balanced

Commodities

Strategy

Fund

(2)

AQR

Long-Short

Equity

Fund

(2)

AQR

Style

Premia

Alternative

Fund

(2)

AQR

Macro

Opportunities

Fund

(2)

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

(4)

(1)

Statements

of

operations

and

cash

flows

for

the

year

ended

December

31,

2021

and

statement

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2021

(2)

Statement

of

operations

for

the

year

ended

December

31,

2021

and

statement

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2021

(3)

Statement

of

operations

for

the

year

ended

December

31,

2021

and

statement

of

changes

in

net

assets

for

the

year

ended

December

31,

2021

and

for

the

period

June

8,

2020

(commencement

of

operations)

through

December

31,

2020

(4)

Statements

of

operations

and

changes

in

net

assets

for

the

period

December

16,

2021

(commencement

of

operations)

through

December

31,

2021

354

Other

Federal

Tax

Information

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2021

For

the

fiscal

year

ended

December

31,

2021,

the

Funds

designate

the

following

percentages

of

ordinary

income

dividends,

or

maximum

amount

allowable,

as

qualifying

for

the

reduced

tax

rate

under

the

Jobs

and

Growth

Tax

Relief

Reconciliation

Act

of

2003:

For

the

fiscal

year

ended

December

31,

2021,

the

following

percentages

of

income

dividends

paid

by

the

Funds

qualify

for

the

dividends

received

deduction

available

to

corporations:

The

Funds

designate

the

following

amounts,

or

the

maximum

allowable

under

Section

852

of

the

Internal

Revenue

Code,

as

long

term

capital

gain

dividends paid

during

the

fiscal

year

ended December

31,

2021:

FUND

PERCENTAGE

AQR

Alternative

Risk

Premia

Fund

........................................................................

94.27%

AQR

Diversified

Arbitrage

Fund

...........................................................................

3.28%

AQR

Diversifying

Strategies

Fund

.........................................................................

2.90%

AQR

Multi-Asset

Fund

.................................................................................

6.38%

AQR

Style

Premia

Alternative

Fund

........................................................................

1.16%

FUND

PERCENTAGE

AQR

Alternative

Risk

Premia

Fund

........................................................................

41.40%

AQR

Diversified

Arbitrage

Fund

...........................................................................

1.78%

AQR

Diversifying

Strategies

Fund

.........................................................................

0.48%

AQR

Multi-Asset

Fund

.................................................................................

1.09%

FUND

TOTAL

AQR

Diversifying

Strategies

Fund

.........................................................................

$

364,045

AQR

Equity

Market

Neutral

Fund

.........................................................................

1,588,031

AQR

Long-Short

Equity

Fund

............................................................................

6,285,949

355

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2021

As

a

shareholder

of

the

Trust,

you

incur

two

types

of

costs:

(1)

transaction

costs

and

(2)

ongoing

costs,

including

management

fees;

and

other

Fund

expenses.

This

example

is

intended

to

help

you

understand

your

ongoing

costs

(in

dollars)

of

investing

in

the

Fund

and

to

compare

these

costs

with

the

ongoing

costs

of

investing

in

other

mutual

funds

The

Example

is

based

on

an

investment

of

$1,000

invested

at

the

beginning

of

the

period

and

held

for

the

entire

period

as

indicated

below.

Actual

Expenses

The

table

below

provides

information

about

actual

account

values

and

actual

expenses.

You

may

use

the

information

together

with

the

amount

you

invested,

to

estimate

the

expenses

that

you

paid

over

the

period.

Simply

divide

your

account

value

by

$1,000

(for

example,

an

$8,600

account

value

divided

by

$1,000

=

8.6),

then

multiply

the

result

by

the

number

under

the

heading

entitled

“Expenses

Paid

for

the

Period

Ending

12/31/2021”

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

  12/31/21

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/21

AQR

Alternative

Risk

Premia

Fund

Class

I

Actual

Return

$1,000.00

$1,053.80

2.65%

$13.72

Hypothetical

Return

$1,000.00

$1,011.85

2.65%

$13.44

Class

N

Actual

Return

$1,000.00

$1,054.20

2.91%

$15.07

Hypothetical

Return

$1,000.00

$1,010.54

2.91%

$14.75

Class

R6

Actual

Return

$1,000.00

$1,054.60

2.56%

$13.26

Hypothetical

Return

$1,000.00

$1,012.30

2.56%

$12.98

AQR

Diversified

Arbitrage

Fund

Class

I

Actual

Return

$1,000.00

$994.20

1.39%

$6.99

Hypothetical

Return

$1,000.00

$1,018.20

1.39%

$7.07

Class

N

Actual

Return

$1,000.00

$992.50

1.64%

$8.24

Hypothetical

Return

$1,000.00

$1,016.94

1.64%

$8.34

Class

R6

Actual

Return

$1,000.00

$994.20

1.30%

$6.53

Hypothetical

Return

$1,000.00

$1,018.65

1.30%

$6.61

AQR

Diversifying

Strategies

Fund

Class

I

Actual

Return

$1,000.00

$1,015.50

0.20%

$1.02

Hypothetical

Return

$1,000.00

$1,024.20

0.20%

$1.02

Class

N

Actual

Return

$1,000.00

$1,013.80

0.45%

$2.28

Hypothetical

Return

$1,000.00

$1,022.94

0.45%

$2.29

Class

R6

Actual

Return

$1,000.00

$1,015.40

0.10%

$0.51

Hypothetical

Return

$1,000.00

$1,024.70

0.10%

$0.51

356

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2021

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/21

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/21

AQR

Equity

Market

Neutral

Fund

Class

I

Actual

Return

$1,000.00

$1,055.90

1.51%

$7.82

Hypothetical

Return

$1,000.00

$1,017.59

1.51%

$7.68

Class

N

Actual

Return

$1,000.00

$1,053.70

1.76%

$9.11

Hypothetical

Return

$1,000.00

$1,016.33

1.76%

$8.94

Class

R6

Actual

Return

$1,000.00

$1,055.70

1.41%

$7.31

Hypothetical

Return

$1,000.00

$1,018.10

1.41%

$7.17

AQR

Long-Short

Equity

Fund

Class

I

Actual

Return

$1,000.00

$1,090.30

1.31%

$6.90

Hypothetical

Return

$1,000.00

$1,018.60

1.31%

$6.67

Class

N

Actual

Return

$1,000.00

$1,089.20

1.56%

$8.21

Hypothetical

Return

$1,000.00

$1,017.34

1.56%

$7.93

Class

R6

Actual

Return

$1,000.00

$1,090.70

1.20%

$6.32

Hypothetical

Return

$1,000.00

$1,019.16

1.20%

$6.11

AQR

Macro

Opportunities

Fund

Class

I

Actual

Return

$1,000.00

$919.10

1.21%

$5.85

Hypothetical

Return

$1,000.00

$1,019.11

1.21%

$6.16

Class

N

Actual

Return

$1,000.00

$917.70

1.46%

$7.06

Hypothetical

Return

$1,000.00

$1,017.85

1.46%

$7.43

Class

R6

Actual

Return

$1,000.00

$919.50

1.11%

$5.37

Hypothetical

Return

$1,000.00

$1,019.61

1.11%

$5.65

AQR

Managed

Futures

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$975.80

1.22%

$6.08

Hypothetical

Return

$1,000.00

$1,019.06

1.22%

$6.21

Class

N

Actual

Return

$1,000.00

$975.60

1.41%

$7.02

Hypothetical

Return

$1,000.00

$1,018.10

1.41%

$7.17

Class

R6

Actual

Return

$1,000.00

$976.90

1.15%

$5.73

Hypothetical

Return

$1,000.00

$1,019.41

1.15%

$5.85

AQR

Managed

Futures

Strategy

HV

Fund

Class

I

Actual

Return

$1,000.00

$960.80

1.66%

$8.20

Hypothetical

Return

$1,000.00

$1,016.84

1.66%

$8.44

Class

N

Actual

Return

$1,000.00

$960.00

1.91%

$9.44

Hypothetical

Return

$1,000.00

$1,015.58

1.91%

$9.70

Class

R6

Actual

Return

$1,000.00

$962.70

1.56%

$7.72

Hypothetical

Return

$1,000.00

$1,017.34

1.56%

$7.93

357

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2021

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/21

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/21

AQR

Multi-Asset

Fund

Class

I

Actual

Return

$1,000.00

$1,043.40

0.97%

$5.00

Hypothetical

Return

$1,000.00

$1,020.32

0.97%

$4.94

Class

N

Actual

Return

$1,000.00

$1,041.60

1.22%

$6.28

Hypothetical

Return

$1,000.00

$1,019.06

1.22%

$6.21

Class

R6

Actual

Return

$1,000.00

$1,043.60

0.87%

$4.48

Hypothetical

Return

$1,000.00

$1,020.82

0.87%

$4.43

AQR

Risk-Balanced

Commodities

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$1,082.90

1.01%

$5.30

Hypothetical

Return

$1,000.00

$1,020.11

1.01%

$5.14

Class

N

Actual

Return

$1,000.00

$1,082.30

1.26%

$6.61

Hypothetical

Return

$1,000.00

$1,018.85

1.26%

$6.41

Class

R6

Actual

Return

$1,000.00

$1,084.70

0.91%

$4.78

Hypothetical

Return

$1,000.00

$1,020.62

0.91%

$4.63

AQR

Style

Premia

Alternative

Fund

Class

I

Actual

Return

$1,000.00

$1,058.50

1.56%

$8.09

Hypothetical

Return

$1,000.00

$1,017.34

1.56%

$7.93

Class

N

Actual

Return

$1,000.00

$1,057.80

1.81%

$9.39

Hypothetical

Return

$1,000.00

$1,016.08

1.81%

$9.20

Class

R6

Actual

Return

$1,000.00

$1,059.40

1.46%

$7.58

Hypothetical

Return

$1,000.00

$1,017.85

1.46%

$7.43

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

1

Class

I

Actual

Return

$1,000.00

$1,008.00

1.30%

$0.54

2

Hypothetical

Return

$1,000.00

$1,018.65

1.30%

$6.61

Class

N

Actual

Return

$1,000.00

$1,008.00

1.55%

$0.64

2

Hypothetical

Return

$1,000.00

$1,017.39

1.55%

$7.88

Class

R6

Actual

Return

$1,000.00

$1,008.00

1.20%

$0.50

2

Hypothetical

Return

$1,000.00

$1,019.16

1.20%

$6.11

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

184/365

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

1

Commencement

of

operation

was

December

16,

2021.

2

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

15/365

(to

reflect

the

period

since

commencement

of

operations).

358

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

The

overall

management

of

the

business

and

affairs

of

the

Funds

is

vested

with

the

Board

of

Trustees.

The

Board

of

Trustees

consists

of

six

individuals

(each,

a

“Trustee”),

five

of

whom

are

not

“interested

persons”

of

the

Trust

as

defined

in

the

1940

Act

(the

“Disinterested

Trustees”).

The

Trustees

are

responsible

for

the

oversight

of

the

operations

of

the

Trust

and

perform

the

various

duties

imposed

on

the

directors

of

investment

companies

by

the

1940

Act.

The

Board

of

Trustees

approves

all

significant

agreements

between

the

Trust

and

persons

or

companies

furnishing

services

to

it,

including

the

Trust’s

agreements

with

its

investment

advisers,

investment

sub-advisers,

administrator,

custodian

and

transfer

agent.

The

management

of

each

Fund’s

day-to-day

operations

is

delegated

to

its

officers,

the

Adviser

and

the

Funds'

administrator,

subject

always

to

the

investment

objectives

and

policies

of

each

of

the

Funds

and

to

general

supervision

of

the

Board

of

Trustees.

The

Disinterested

Trustees

have

retained

independent

legal

counsel

to

assist

them

in

connection

with

their

duties.

Listed

in

the

chart

below

is

basic

information

regarding

the

Trustees

and

officers

of

the

Trust.

The

address

of

each

officer

and

Trustee

is

Two

Greenwich

Plaza,

Greenwich

CT

06830. 

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENT

OR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Disinterested

Trustees

2

Brian Posner, M.B.A.,

1961

Chairman

of

the

Board,

since

2020;

Trustee,

since

2011

President,

Point

Rider

Group

LLC

(since

2008)

(consulting)

32

Biogen

Inc.

3

(since

2008)

(biotechnology

company);

Arch

Capital

Group

(since

2010)

(insurance

company);

Bioverativ

Inc.

(2017-2018)

L.

Joe

Moravy,

M.B.A.,

CPA,

1950

Trustee,

since

2008

Independent

Consultant

(retired)

(2014-

2020)

32

William

L.

Atwell,

M.B.A.,

1950

Trustee,

since

2011

Consultant,

Atwell

Partners,

LLC

(retired)

(2012-2019)

(consulting)

32

Webster

Financial

Corporation

(since

2014)

(banking);

Blucora,

Inc.

(2017-2019)

Gregg

D.

Behrens,

M.M.,

1952

Trustee,

since

2011

Retired

from

Northern

Trust

Company

(since

2009)

(banking)

32

Kiwi

Wealth

(wealth

management)

(since

2020)

Mark

A.

Zurack,

M.B.A.,

CFA,

1957

Trustee,

since

2014

Professor,

Columbia

Business

School

(since

2002)

32

Exchange

Traded

Concepts

Trust

(19

portfolios)

(since

2011)

Interested

Trustees

4

David

Kabiller,

CFA,

1963

Trustee,

since

2010

Founding

Principal,

AQR

Capital

Management,

LLC

(since

1998)

32

None

Officers

Ted

Pyne,

M.B.A.,

Ph.D.,

1966

Chief

Executive

Officer

and

President,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2016)

N/A

N/A

H.J.

Willcox,

J.D.,

1966

Chief

Compliance

Officer,

since

2013;

Anti-Money

Laundering

Officer,

since

2017

Principal,

Chief

Legal

Officer

and

Global

Head

of

Compliance,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Bradley Asness, J.D.,

M.B.A.,

1969

Vice

President,

since 2009

Principal

and

Co-Chief

Operating

Officer,

AQR

Capital

Management,

LLC

(since

1998)

N/A

N/A

Patrick

Ryan,

CPA

1965

Assistant

Treasurer,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2012)

N/A

N/A

Heather

Bonner,

CPA,

1977

Chief

Financial

Officer,

since

2014;

Treasurer,

since

2018

Managing

Director,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Nicole

DonVito,

J.D.,

1979

Chief

Legal

Officer,

since

2014;

Vice

President,

since 2009

Managing

Director,

Senior

Counsel

&

Head

of

Registered

Products,

AQR

Capital

Management,

LLC

(since

2007)

N/A

N/A

359

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2021

December

31,

2021

_________

1

Each

Trustee

serves

until

the

election

and

qualification

of

a

successor,

or

until

death,

resignation

or

removal

as

provided

in

the

Trust’s

Declaration

of

Trust.

A

Disinterested

Trustee

may

not

hold

office

beyond

December 31

of

the

year

in

which

he

turns

75.

2

A

Disinterested

Trustee

is

any

Trustee

that

is

not

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

3

Mr.

Posner

will

be

retiring

from

his

position

on

the

Board

of

Directors

of

Biogen

Inc.

effective

as

of

the

company's

2022

annual

meeting

of

stockholders.

4

An

Interested

Trustee

is

a

Trustee

that

is

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

Mr.

Kabiller

is

an

interested

person

of

the

Trust

because

of

his

position

with

the

Adviser.

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENT

OR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Matthew

Plastina,

1970

Assistant

Treasurer,

since

2020

Vice

President,

AQR

Capital

Management,

LLC

(since

2018);

Executive

Director,

JP

Morgan

Investment

Management

(2010-

2018)

N/A

N/A

Investment

Adviser

AQR

Capital

Management,

LLC

Two

Greenwich

Plaza,

4th

Floor

Greenwich,

CT

06830

Sub-Adviser

AQR

Arbitrage,

LLC

Two

Greenwich

Plaza,

3rd

Floor

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1000

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

State

Street

Bank

and

Trust

Company

One

Lincoln

Street

Boston,

MA

02111

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.

a).

As of the end of the period, December 31

, 2021

,

the Registrant

has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.  This code of ethics is included as Exhibit 13 (a)(1).

b). Not Applicable.

c). There have been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended December 31, 2021 (“Reporting Period”).

d). Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period.

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

a). The Registrant’s Board of Trustees has determined that its Audit Committee has two “audit committee financial experts”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy and Mr. Brian S. Posner, the Registrant’s audit committee financial experts, are “independent”, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP

for the fiscal years ended December 31, 2020 and December 31, 2021 were:

	2020	2021
Audit Fees (a)	$1,062,013	$1,029,944
Audit Related Fees (b)	$7,000	$17,500
Tax Fees (c)	$0	$337,500
All Other Fees (d)	$675	$1,889
Total:	$1,069,688	$1,386,833

(a)

Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP

for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements.  These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC.

(b)           Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP

that are reasonably

related to the performance of the audit of the Registrant’s December 31, 2021 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2021, relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of the issuance of, and amendments to, the Registrant’s Registration Statement.

(c)           Tax Fees: The December 31, 2021 fees relate to professional services rendered by PricewaterhouseCoopers LLP

for tax compliance, tax advice and tax planning.  The tax services provided by PricewaterhouseCoopers LLP

relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review.

(d)           All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP

other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

(e)           Audit Committee Pre-approval Policies and Procedures:

(i) Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.

(ii) 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X.  

(f)            Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.

(g)           Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended December 31, 2020 and December 31, 2021: $1,350 and $3,950, respectively.

(h)           Not Applicable.

(i)            The Registrant is not a foreign issuer, as identified by the Securities and Exchange Commission (“Commission”) pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N- CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (“PCAOB”) has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the Registrant is not owned or controlled by a governmental entity in the foreign jurisdiction.

(j)            The Registrant is not a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the PCAOB has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the Registrant is so identified

.Also, the Registrant is not an identified foreignissuer that uses a variable-interest entity or any similar structure that results in additional foreign entities being consolidated inthefinancialstatementsoftheRegistrant.

(1) Not Applicable.

(2) Not Applicable.

(3) Not Applicable.

(4) Not Applicable.

(5) Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act.  All of the Board’s independent Trustees, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark A. Zurack, are members of the Audit Committee.

(b) Not Applicable.

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 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)      The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

                Code of Ethics

(a)(2)      Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

                Section 302

(a)(3)      Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.

(a)(4)      Any change in the Registrant’s independent public accountant – Not Applicable.

(b)           Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

                Section 906

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ Ted Pyne

-----------------------------------

Ted Pyne,

Principal Executive Officer

February 24, 2022

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ Ted Pyne

----------------------------------

Ted Pyne,

Principal Executive Officer

February 24, 2022

By: /s/ Heather Bonner

---------------------------------

Heather Bonner,

Principal Financial Officer

February 24, 2022

EX-99.CODE ETH

AQR FUNDS: CODE OF ETHICSPURSUANTTOTHESARBANES-OXLEYACTOF2002

AS AMENDED: AUGUST 2021LASTREVIEWED:AUGUST2021

I.

INTRODUCTION

The Board of Trustees (the “Board”) of the AQR Funds (the “Trust”) has established this CodeofEthics(“Code”)inaccordancewiththeSarbanes-OxleyActof2002andtherulespromulgatedthereunder.This Code does not supersede or otherwise affect any separate code of ethics that theTrust and AQR Capital Management, LLC (“Adviser”) have adopted pursuant to, among otherthings,Rule17j-1undertheInvestmentCompanyActof1940,asamended(“InvestmentCompanyAct”),oranyotherapplicablelaws,regulationsorcorporategovernanceprovisions.

ThisCodeisdesignedtodeterwrongdoingandpromote:

·

honestandethicalconduct,includingtheethicalhandlingofactualorapparentconflicts

ofinterest between personal andprofessionalrelationships;

·

full,fair,accurate,timely,andunderstandabledisclosureinreportsanddocumentsthatthe Trust files with, or submits to, the U.S. Securities and Exchange Commission(“SEC”) and in other public communications made by the Trust or any of its separateseries(each,a “Fund”);

·

compliancewithapplicablegovernmentallaws,rules,andregulations;

·

promptinternalreportingofviolationsoftheCodetoanappropriatepersonorpersonsidentifiedin the Code; and

·

accountabilityforadherencetotheCode

This Code applies to the Trust’s principal executive officer, principal financial officer, principalaccounting officer or controller, or persons performing similar functions, regardless of whetherthese individuals are employed by the Trust or a third party (collectively, “Covered Officers”).TheTrust’sCoveredOfficersarethoseindividualslisted inAppendixA,attached hereto.

II.PRINCIPLESOFHONESTANDETHICALCONDUCT

A.

GeneralObjectives

The Trust expects each Covered Officer to adhere to the highest possible standards of honest andethicalconduct.EachCoveredOfficerisexpectedtohandleactualorapparentconflictsofinterestbetween personal and professional relationships in a manner that is above reproach and to placetheinterestsoftheTrustabove the Covered Officer’sownpersonalinterests.

B.

ConflictsofInterest

A “conflict of interest” occurs when a Covered Officer’s private or personal interests interfere, oreven appear to interfere, with the interests of the Trust.Certain conflicts of interest arise out ofthe relationships between Covered Officers and the Trust and already are subject to conflict ofinterest provisions in the Investment Company Act and the Investment Advisers Act of 1940, asamended (“Investment Advisers Act”).For example, Covered Officers may not individuallyengageincertaintransactions(suchasthepurchaseorsaleofsecuritiesorotherproperty)withtheTrust because of their status as “affiliated persons” of the Trust.The Trust’s and the Adviser’scompliance programs and procedures are designed to prevent, or identify and correct, violationsof these provisions.This Code does not, and is not intended to, repeat or replace these programsandprocedures.

Although typically not presenting an opportunity for improper personal benefit, conflicts arisefrom,orasaresultof,thecontractualrelationshipbetweentheTrustandtheAdviserofwhichthe

Covered

Officersarealsoofficersoremployees.Asaresult,thisCoderecognizesthattheCovered

Officers

will,

in

the

normal

courseoftheirduties(whetherformallyfortheTrustorfortheAdviser,or for both), be involved in establishing policies and implementing decisions that will havedifferent effects on the Adviser and the Trust.The participation of the Covered Officers in suchactivities is inherent in the contractual relationship between the Trust and the Adviser and isconsistent with the performance by the Covered Officers of their duties as officers of the Trust.Thus, if performed in conformity with the provisions of the Investment Company Act and theInvestment Advisers Act, such activities will be deemed to have been handled ethically.Inaddition,itisrecognizedbytheBoardthattheCoveredOfficersmayalsobeofficersoremployeesofone or more other investment companies covered by this or other codes.

OtherconflictsofinterestarecoveredbytheCode,evenifsuchconflictsofinterestarenotsubjectto provisions in the Investment Company Act and the Investment Advisers Act.Examples ofpossibleconflictsofinterestmightinclude,butarenotlimitedto:

·

Personal Business Transactions.

A Covered Officer may not cause the Trust to engagein any business transaction with his or her family members or relatives or utilize theCovered Officer’s relationship with the Trust to cause any third party to engage in anybusinesstransactionwithhisorherfamilymembersorrelatives,exceptaspermittedundertheInvestment Company Act.

·

Use of Nonpublic or Confidential Information.

A Covered Officer may not use, ordisclosetoathirdparty(unlessrequiredbyapplicablelawsorregulations),nonpublicor

confidential information about the Trust or any of its service providers for personal gainby the Covered Officer or his or her family members or relatives (including securitiestransactionsbasedonsuchinformation).

·

Outside Employment or Activities.

A Covered Officer may not engage in any outsideemployment or activity that interferes with his or her duties and responsibilities withrespect to the Trust or is otherwise in conflict with or prejudicial to the Trust.A CoveredOfficer must disclose to the Compliance Department any outside employment or activitythat may constitute a conflict of interest and obtain the approval of the Trust’s ChiefComplianceOfficer(the“CCO”)ortheCCO’sdelegatebeforeengaginginsuchemploymentoractivity.

·

Gifts.

A Covered Officer may not accept gifts or other items of more than de minimisvalue from any person or entity that does, or seeks to do, business with or on behalf of theTrust.Inthisregard,eachCoveredOfficershouldrefertoanyotherapplicableproceduresregardingacceptingor givinggifts thathavebeenadoptedbytheTrustand theAdviser.

·

Corporate

Opportunities.

A

Covered

Officermaynotexploitforhisorherpersonalgain,or the personal gain of the Covered Officer’s family members or relatives, opportunitiesthatarediscoveredthroughtheuseofTrustproperty,information,ortheCoveredOfficer’sposition,unlesstheopportunityisfirstfullydisclosedinwritingtotheBoardandtheBoarddeterminesnottopursuesuch opportunityfortheTrust.

·

OtherSituations.

Becauseotherconflictsofinterestmayarise,itisimpracticaltoattemptto list in this Code all possible situations that could result in a conflict of interest.If aproposedtransaction,interest,personalactivity,orinvestmentraisesanymaterialconcerns, questions or doubts, a Covered Officer should consult with the ComplianceDepartmentbeforeengaginginsuchtransactionorinvestmentorpursuingsuchinterestoractivity.

When consulting the Compliance Department, the Covered Officer shall provide a detailed andaccurate description of the proposed transaction, investment, interest or activity.Upon suchconsultation, the Compliance Department shall conduct a review to determine: (1) whetherengaginginsuchtransaction,investment,interestoractivityreasonablycouldbeexpectedtogiverisetoaconflictofinterest;and(2)theappropriateresolutionofanysuchconflict.

Based on its review, the Compliance Department shall advise the Covered Officer that theproposed transaction, investment, interest or activity: (1) would not violate this Code; (2) wouldnot violate this Code only if conducted in a particular manner and/or subject to certain conditionsor safeguards; or (3) would violate the Code.If the Compliance Department has advised theCovered Officer that the proposed transaction, investment, interest or activity would not violatetheCodeonlyifconductedinaparticularmannerand/orsubjecttocertainconditionsorsafeguards, the Covered Officer must conduct the proposed transaction, investment, interest oractivity in that manner and/or subject to those conditions or safeguards.If the ComplianceDepartmenthasadvisedtheCoveredOfficerthattheproposedtransaction,investment,interestor

activity would violate the Code, the Covered Officer may not conduct the proposed transaction,investment,interestor activity.

C.

Reporting

Any actual or apparent conflict of interest that may arise as a result of a material transaction orbusiness or personal relationship must be disclosed and reported by the Covered Officer to theComplianceDepartmentandresolvedbeforetheCovered Officertakesanyaction.

III.FULL,FAIR,ACCURATE,TIMELY,ANDUNDERSTANDABLEDISCLOSUREINTRUSTDISCLOSUREAND REPORTINGDOCUMENTS

EachCoveredOfficershould:

·

familiarize himself or herself with the disclosure requirements generally applicable to theTrust;

·

notknowinglymisrepresent,orcauseotherstomisrepresent,factsabouttheTrusttoothers,including the Board, the Trust’s auditors, the Trust’s counsel, counsel to the independenttrustees,governmentalregulatorsor self-regulatoryorganizations;

·

totheextentappropriatewithinhisorherareaofexpertise,consultwithotherofficersandemployees of the Trust and the Adviser with the goal of promoting full, fair, accurate,timely and understandable disclosure in reports and documents the Trust files with, orsubmitsto, the SECand in otherpubliccommunications made bythe Trust; and

·

use reasonable efforts to promote compliance with the standards and restrictions imposedby applicable laws, rules and regulations.

Each Covered Officer shall promptly bring to the attention of the Board’s Nominating andGovernance Committee any information he or she may have concerning any violation of theprovisions of this Code involving any Trust management, employees or agents thereof who haveasignificantroleintheTrust’sfinancialreporting,disclosuresorinternalcontrols.

IV.COMPLIANCEWITHAPPLICABLEGOVERNMENTALLAWS,RULESANDREGULATIONS

As a registered investment company, the Trust must comply with all applicable federal securitieslaws and regulations, as well as other applicable laws and regulations.The Trust insists on strictcompliancewiththespiritandtheletteroftheselawsandregulations.EachCoveredOfficermustcomplywithalllaws,rules,andregulationsapplicabletotheTrust’soperationsandbusiness.

A Covered Officer should seek guidance whenever he or she is in doubt as to the applicability ofany law, rule, or regulation with respect to the contemplated course of action.If in doubt on acourse of action, a good guideline is “always ask first, act later” — if a Covered Officer is unsureofwhatto doin anysituation,heorsheshouldseekguidancebeforeacting.

Each Covered Officer shall cooperate with the Compliance Department, the Trust’s independentaccountants, and the Trust’s other service providers with the goal of maintaining the Trust’smaterialcompliance withapplicable laws, rulesand regulations.

EachCoveredOfficershouldkeepapprisedofdevelopmentsrelatingtothosegovernmentallaws,rules, and regulations applicable to the Trust.Each Covered Officer also should consult with theLegal and Compliance Departments and the various procedures, guidelines and other relatedmaterialswhichtheTrustanditsserviceprovidershavepreparedonspecificlawsandregulations.

V.PROMPTINTERNALREPORTINGOFVIOLATIONSOFTHECODE;EVALUATIONOFPOSSIBLEVIOLATIONS;DETERMINATIONOFSANCTIONS

A.

ReportingtotheComplianceDepartment

Each Covered Officer shall promptly bring to the attention of the Compliance Department anyknowledge or information the Covered Officer may have concerning a violation or possibleviolation of this Code.Failure to disclose or report to the Compliance Department any actual orpossibleviolationofthisCodeisinofitselfaviolationoftheCode.

B.

Evaluation of Reports

The Compliance Department shall determine whether the reported conduct actually violates theCode.If it is determined that there has been a violation of the Code, the Compliance Departmentshall determine whether the violation of the Code has had or may have a material adverse impactuponthe Trust or any Fund.

1.

NoMaterialAdverseImpactontheTrustoranyFund

If the Compliance Department determines that the violation has not caused a material adverseimpact upon the Trust or any Fund, the Compliance Department shall determine what sanctions,ifany,maybeappropriatefortheviolation.

2.

MaterialAdverseImpactontheTrustoranyFund

If the Compliance Department determines that the violation has caused a material adverse impactupon the Trust or any Fund, the Compliance Department shall promptly notify the Board’sNominating and Governance Committee of such violation.The Nominating and GovernanceCommittee shall be entitled to consult with independent legal counsel to determine whether theviolation actually has had a material adverse impact upon the Trust or any Fund and to formulateappropriate actions or sanctions that the Nominating and Governance Committee, in its businessjudgment,determines tobenecessaryoradvisable.

C.

PeriodicReportsbytheChiefComplianceOfficertotheBoard

At each quarterly meeting of the Board following a quarter in which one or more violationsoccurred,theCCOshallreporttotheBoardallviolationsofthisCode(whetherornottheycausedamaterial adverse impactuponthe Trustorany Fund)and all sanctionsimposed.

VI.WAIVERSOFPROVISIONSOFTHECODE

A.

Waivers

A Covered Officer may request a waiver (defined as the Trust’s approval of a material departurefrom a provision of the Code) if there is a reasonable likelihood that a contemplated action wouldbe a material departure from a provision of the Code.Waivers will not be granted except underextraordinary or special circumstances.The process of requesting a waiver shall consist of thefollowingsteps:

1.

TheCoveredOfficershallsetfortharequestforwaiverinwritingandsubmitsuchrequestto the Compliance Department.The request shall describe the conduct, activity, ortransaction for which the Covered Officer seeks a waiver, and shall briefly explain thereasonforwantingtoengage in the conduct, activity,ortransaction.

2.

ThedeterminationwithrespecttothewaivershallbemadeinatimelyfashionbytheCCOandsubmittedto theBoardforratificationatitsnextregularlyscheduledmeeting.

3.

ThedecisionwithrespecttothewaiverrequestshallbedocumentedandmaintainedintheTrust’srecordsforaperiodofnotlessthansixyearsfollowingtheendofthefiscalyearinwhichthe waiver occurred.

B.

DisclosureofWaivers

Totheextentrequiredbyapplicablelaw,waivers(including“implicitwaivers”)shallbepubliclydisclosed on a timely basis.An “implicit waiver” for these purposes is defined as the Trust’sfailure to take action within a reasonable period of time regarding a material departure from aprovision of the Code that “has been made known” to an executive officer of the Trust within themeaningofRule3b-7undertheSecuritiesExchangeActof1934,asamended(“1934Act”).

Rule3b-7underthe1934Actcurrentlydefinesan“executiveofficer”oftheTrustasthepresidentof the Trust; any vice president of the Trust in charge of a principal business unit, division orfunction; any other officer who performs a policy making function; or any other person whoperformssimilarpolicymakingfunctionsfortheTrust.

If a material departure from a provision of the Code is known only by the Covered Officer whohas caused the material departure from the Code, the material departure will not be considered tohavebeenmadeknowntoanexecutiveofficeroftheTrust.

VII.ACCOUNTABILITYFORADHERENCETOTHECODE

The matters covered in this Code are of the utmost importance to the Trust and its shareholdersand are essential to the Trust’s ability to conduct its business in accordance with its stated values.Each Covered Officer is expected to adhere to these rules in carrying out his or her duties for theTrust.The conduct of each Covered Officer can reinforce an ethical atmosphere and positivelyinfluencethe conduct of all employeesand agents ofthe Trust.

Within a reasonable period of time following appointment, a Covered Officer must affirm inwriting to the Board that he or she has received, read and understands the Code.Each CoveredOfficer must annually thereafter affirm to the Board that he or she has complied with therequirements of the Code.

The Trust will, if appropriate, take action against any Covered Officer whose actions are found toviolate this Code.As discussed in Section V of the Code, appropriate sanctions for violations oftheCodewilldependonthematerialityof the violation totheTrust.

Sanctions

may

include,

among

other

things,arequirementthattheviolatorundergotrainingrelatedto the violation, a letter of sanction or written censure by the Board, the imposition of a monetarypenalty, suspension of the violator as an officer of the Trust or termination of the employment oftheviolator.IftheTrustoranyFundhassufferedalossbecauseofviolationsofthisCode,itmaypursue its remedies against the individuals or entities responsible.Accordingly, each CoveredOfficer shall cooperate or take such steps as may be necessary or appropriate to remedy anymaterialviolation ofthisCode.

VIII.RECORDKEEPING,AMENDMENTSANDDISCLOSUREOFCODE

A.

Records

PleaserefertotheTrust’sRecordkeepingPoliciesandProcedures

B.

Amendments

TheBoardmayamendtheCodeinitsdiscretion.

C.

DisclosureofCode

The Trust must disclose this Code, any substantive amendments and any waivers (includingimplicitwaivers)byeither:(1)filingwiththeSECacopyoftheCode,anysuchamendmentsandwaivers in the Trust’s annual report on Form N-CSR; (2) posting the text of the Code, any suchamendments and waivers on the Trust’s Internet website within five business days following thedateofsuchamendmentsorwaiversanddisclosinginitsmostrecentreportonFormN-CSR,its

Internet address and the fact that it has posted the Code on the website;¹ or (3) undertaking in itsmostrecentreportonFormN-CSRtoprovidetoanypersonwithoutcharge,uponrequest,acopyoftheCode,anysuchamendmentsandwaiversandexplainthemannerinwhichsuchrequestmaybemade.

IX.NORIGHTSCREATED

This Code is a statement of certain fundamental principles, policies and procedures that governeach of the Covered Officers in the conduct of the Trust’s business.It is not intended to anddoes not create any rights in any employee, investor, supplier, competitor, shareholder or anyother person or entity.

1

InformationregardinganysuchamendmentsandwaiversmustbemadeavailableontheTrust’sInternetwebsitefora 12-month period, and it must retain the information for a period of not less than six years following the end of thefiscalyear in whichthe amendmentorwaiver occurred.

APPENDIXA

AQR FundsCODEOFETHICS

(PursuanttotheSarbanes-OxleyActof2002)

CoveredOfficers

ChiefExecutiveOfficerandPresident(principalexecutiveofficer)             TedPyne

ChiefFinancialOfficer(principalfinancialofficer)                                      HeatherBonner

Treasurer(principalaccountingofficer)                                                         HeatherBonner

UpdatedasofAugust2020

EX-99.906 CERT

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)

In connection with the attached Report of the AQR Funds (the “Fund”) on Form N-CSR to be filed with the Securities and Exchange Commission (the “Report”), each of the undersigned officers of the Fund does hereby certify that, to the best of such officer’s knowledge:

1.   The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.   The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund as of, and for, the periods presented in the Report.

Dated:  February 24, 2022

By:    /s/ Ted Pyne

                ______________________________

Ted Pyne

Principal Executive Officer

By:    /s/ Heather Bonner

                _______________________________

Heather Bonner

Principal Financial Officer

A signed original of this written statement required by Section 906 has been provided to the Fund and will be retained by the Fund and furnished to the Securities and Exchange Commission or its staff upon request.

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940

AND SECTION 302 OF THE SARBANES OXLEY ACT OF 2002

I, Ted Pyne, certify that:

1.

I have reviewed this report on Form N-CSR of the AQR Funds (the “Registrant”);

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

4.

The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)

Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d)

Disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and 

5.

The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date:      February 24, 2022                                                               By:         /s/ Ted Pyne

                                                                                                                                ----------------------------------------

Ted Pyne

Principal Executive Officer

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940

AND SECTION 302 OF THE SARBANES OXLEY ACT OF 2002

I, Heather Bonner, certify that:

1.

I have reviewed this report on Form N-CSR of the AQR Funds (the “Registrant”);

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

4.

The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)    Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)     Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d)    Disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and 

5.

The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date:      February 24, 2022                                                               By:         /s/ Heather Bonner

                                                                                                                                ---------------------------------------

Heather Bonner

Principal Financial Officer