Phelix De Base Electricity

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

LONG

POSITIONS

240.3%

COMMON

STOCKS

171.5%

Australia

5.1%

ANZ

Group

Holdings

Ltd.

(2)(a)

26,328

431,823

Aristocrat

Leisure

Ltd.

(2)(a)

23,521

614,520

Atlas

Arteria

Ltd.

(2)(a)

47,123

166,853

Aurizon

Holdings

Ltd.

(2)(a)

118,773

265,567

BHP

Group

Ltd.

(2)(a)

22,585

634,431

BlueScope

Steel

Ltd.

(2)(a)

58,510

724,559

Brambles

Ltd.

(2)(a)

47,439

435,800

Coles

Group

Ltd.

(2)(a)

14,457

144,293

Computershare

Ltd.

(2)(a)

4,566

76,090

Harvey

Norman

Holdings

Ltd.

(2)(a)

91,049

225,596

Incitec

Pivot

Ltd.

(2)(a)

122,551

245,562

Hi-Fi

Ltd.

(2)(a)

27,530

799,624

Lendlease

Corp.

Ltd.

(2)(a)

17,561

80,535

Medibank

Pvt

Ltd.

(2)(a)

59,574

131,488

Northern

Star

Resources

Ltd.

(2)(a)

36,104

239,740

Orica

Ltd.

(2)(a)

4,319

43,064

Origin

Energy

Ltd.

(2)(a)

39,369

221,684

Pilbara

Minerals

Ltd.

(2)(a)

99,774

272,202

Pro

Medicus

Ltd.

(2)(a)

4,168

222,405

Qantas

Airways

Ltd.

(2)*(a)

141,166

467,328

QBE

Insurance

Group

Ltd.

(2)(a)

8,941

89,564

Qube

Holdings

Ltd.

(2)(a)

146,403

268,909

Rio

Tinto

plc

(2)(a)

2,284

143,418

Santos

Ltd.

(2)(a)

10,253

51,686

Sonic

Healthcare

Ltd.

(2)(a)

3,652

69,735

South32

Ltd.

(2)(a)

229,272

495,046

Suncorp

Group

Ltd.

(2)(a)

15,918

141,824

Tabcorp

Holdings

Ltd.

(2)(a)

29,182

17,584

Telstra

Group

Ltd.

(2)(a)

138,564

342,342

Washington

Soul

Pattinson

Co.

Ltd.

(2)(a)

2,436

50,817

Wesfarmers

Ltd.

(2)(a)

3,384

114,528

Westpac

Banking

Corp.

(2)(a)

28,821

389,590

Whitehaven

Coal

Ltd.

(2)(a)

122,381

555,032

Worley

Ltd.

(2)(a)

23,285

258,531

9,431,770

—

Austria

0.1%

ams-OSRAM

(2)*(a)

10,119

47,345

Mondi

plc

(2)(a)

7,506

125,214

172,559

—

Belgium

1.2%

Ageas

SA/NV

(2)(a)

18,868

777,106

Etablissements

Franz

Colruyt

(2)(a)

5,624

243,116

Proximus

SADP

(2)(a)

40,977

332,949

Solvay

(2)(a)

8,093

894,352

2,247,523

—

Brazil

0.5%

Yara

International

ASA

(2)

26,554

1,002,670

Canada

7.1%

Air

Canada

*(a)

6,692

95,484

Alimentation

Couche-Tard,

Inc.

(a)

4,410

223,966

ARC

Resources

Ltd.

(a)

29,146

465,220

Atco

Ltd.,

Class

(a)

8,969

227,155

INVESTMENTS

VALUE

($)

Canada

7.1%

(continued)

Bank

Nova

Scotia

(The)

(a)

11,961

536,121

Boyd

Group

Services,

Inc.

(a)

515

91,580

Canadian

Imperial

Bank

Commerce

(a)

3,570

137,806

Canadian

National

Railway

Co.

(a)

1,276

138,183

Canadian

Tire

Corp.

Ltd.,

Class

(a)

3,116

335,057

Capital

Power

Corp.

(a)

15,314

427,541

CGI,

Inc.

*(a)

3,017

297,380

Constellation

Software,

Inc.

(a)

169,287

Descartes

Systems

Group,

Inc.

(The)

*(a)

779

57,175

Empire

Co.

Ltd.,

Class

(a)

19,793

538,451

Enerplus

Corp.

(a)

22,966

404,114

Fairfax

Financial

Holdings

Ltd.

(a)

885

722,445

Finning

International,

Inc.

(a)

3,910

115,321

Fortis,

Inc.

(a)

5,537

210,310

George

Weston

Ltd.

(a)

1,281

142,063

Hydro

One

Ltd.

(a)(b)

9,503

241,939

Financial

Corp.,

Inc.

(a)

3,363

210,954

IGM

Financial,

Inc.

(a)

3,230

81,924

Imperial

Oil

Ltd.

(a)

9,281

571,654

Kinross

Gold

Corp.

(a)

27,695

126,215

Loblaw

Cos.

Ltd.

(a)

3,594

305,354

Magna

International,

Inc.

(a)

5,176

277,387

Manulife

Financial

Corp.

(a)

34,134

623,748

MEG

Energy

Corp.

*(a)

13,367

260,107

National

Bank

Canada

(a)

2,094

139,107

Northland

Power,

Inc.

(a)

18,909

307,946

Nutrien

Ltd.

(a)

8,170

504,546

Onex

Corp.

(a)

1,265

74,349

Open

Text

Corp.

(a)

12,496

438,568

Quebecor,

Inc.,

Class

(a)

11,042

236,652

Restaurant

Brands

International,

Inc.

(a)

599

39,889

Saputo,

Inc.

(a)

20,162

421,572

Stantec,

Inc.

(a)

3,706

240,464

Sun

Life

Financial,

Inc.

(a)

7,406

361,344

Suncor

Energy,

Inc.

(a)

8,125

279,417

TFI

International,

Inc.

(a)

3,897

500,492

TMX

Group

Ltd.

(a)

7,350

157,958

Toromont

Industries

Ltd.

(a)

459

37,382

Tourmaline

Oil

Corp.

(a)

14,446

726,953

West

Fraser

Timber

Co.

Ltd.

(a)

3,298

239,437

Whitecap

Resources,

Inc.

(a)

36,880

311,440

13,051,457

—

Chile

0.1%

Lundin

Mining

Corp.

35,544

265,092

China

0.9%

BOC

Hong

Kong

Holdings

Ltd.

(2)

11,500

31,394

NXP

Semiconductors

2,182

436,225

Wilmar

International

Ltd.

(2)

127,000

345,604

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

691,300

837,988

1,651,211

—

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Denmark

2.1%

Moller

Maersk

A/S,

Class

(2)(a)

525

944,420

Carlsberg

A/S,

Class

(2)(a)

6,454

813,753

Danske

Bank

A/S

(2)(a)

16,206

376,076

Genmab

A/S

(2)*(a)

639

226,238

ISS

A/S

(2)(a)

23,301

357,939

Jyske

Bank

A/S

(Registered)

(2)*(a)

2,804

204,535

Pandora

A/S

(2)(a)

6,088

628,229

ROCKWOOL

A/S,

Class

(2)(a)

1,003

242,411

Royal

Unibrew

A/S

(2)(a)

926

71,515

3,865,116

—

Finland

1.0%

Elisa

OYJ

(2)(a)

2,776

128,732

Fortum

OYJ

(2)(a)

42,276

490,277

Kesko

OYJ,

Class

(2)(a)

8,792

157,520

Kone

OYJ,

Class

(2)(a)

3,338

140,664

Metso

OYJ

(2)(a)

21,519

225,667

Nokia

OYJ

(2)(a)

59,751

224,668

Orion

OYJ,

Class

(2)(a)

1,044

41,014

Stora

Enso

OYJ,

Class

(2)(a)

3,880

48,629

Valmet

OYJ

(2)(a)

6,911

157,782

Wartsila

OYJ

Abp

(2)(a)

12,833

145,448

1,760,401

—

France

4.7%

Air

France-KLM

(2)*(a)

2,398

30,012

Amundi

(2)(a)(b)

2,333

131,037

Arkema

(2)(a)

2,382

234,486

BNP

Paribas

(2)(a)

14,673

933,001

Bouygues

(2)(a)

12,077

422,267

Carrefour

(2)(a)

27,907

479,306

Cie

Saint-Gobain

(2)(a)

12,639

756,449

Credit

Agricole

(2)(a)

78,410

964,036

Dassault

Aviation

(2)(a)

1,621

305,315

Eiffage

(2)(a)

4,988

473,449

Engie

(2)(a)

25,164

385,919

Ipsen

(2)(a)

337

44,154

Orange

(2)(a)

51,874

595,009

Publicis

Groupe

(2)(a)

658

49,806

Rexel

(2)(a)

28,576

640,273

Rubis

SCA

(2)(a)

8,564

191,804

SCOR

(2)(a)

1,146

35,580

Societe

Generale

(2)(a)

25,487

616,725

Sodexo

(2)(a)

756

77,828

TotalEnergies

(2)(a)

14,528

955,207

Ubisoft

Entertainment

(2)*(a)

8,988

291,273

Veolia

Environnement

(2)(a)

3,314

95,795

8,708,731

—

Germany

7.5%

Allianz

(Registered)

(2)(a)

3,049

725,590

Aurubis

(2)(a)

4,199

309,818

BASF

(2)(a)

8,998

407,294

Bayerische

Motoren

Werke

(2)

(a)

4,915

499,203

Bechtle

(2)(a)

5,391

251,060

Brenntag

(2)(a)

7,421

574,213

Commerzbank

(2)(a)

64,111

727,618

Covestro

(2)*(a)(b)

11,497

618,251

INVESTMENTS

VALUE

($)

Germany

7.5%

(continued)

Daimler

Truck

Holding

(2)(a)

4,877

168,862

Deutsche

Bank

(Registered)

(2)(a)

166,508

1,829,969

Deutsche

Lufthansa

(Registered)

(2)*(a)

42,643

337,451

Deutsche

Post

(2)(a)

9,521

386,320

E.ON

(2)(a)

51,810

612,706

Evonik

Industries

(2)(a)

18,312

334,014

Freenet

(2)(a)

8,107

189,772

GEA

Group

(2)(a)

793

29,226

Hannover

Rueck

(2)(a)

890

195,283

Heidelberg

Materials

(2)(a)

12,898

998,955

HOCHTIEF

(2)(a)

2,948

297,258

HUGO

BOSS

(2)(a)

10,060

635,900

K+S

(Registered)

(2)(a)

31,149

563,309

KION

Group

(2)(a)

1,667

63,761

Knorr-Bremse

(2)(a)

869

55,092

LANXESS

(2)(a)

3,511

88,764

LEG

Immobilien

(2)*(a)

3,075

211,459

Mercedes-Benz

Group

(2)(a)

5,753

400,390

Muenchener

Rueckversicherungs-

Gesellschaft

Muenchen

(Registered)

(2)(a)

2,824

1,099,815

ProSiebenSat.1

Media

(2)(a)

23,918

161,557

Talanx

(2)(a)

1,767

111,833

Telefonica

Deutschland

Holding

(2)(a)

126,269

225,841

thyssenkrupp

(2)(a)

68,073

517,513

TUI

(2)*

53,118

291,157

Wacker

Chemie

(2)(a)

218

31,130

13,950,384

—

Guatemala

0.1%

Millicom

International

Cellular

SA,

SDR

(2)*

15,048

233,271

Hong

Kong

0.3%

Group

Ltd.

(2)(b)

922,000

482,592

Italy

3.5%

A2A

SpA

(2)(a)

268,148

476,579

Assicurazioni

Generali

SpA

(2)(a)

42,929

876,284

Azimut

Holding

SpA

(2)(a)

4,636

100,887

Banco

BPM

SpA

(2)(a)

63,113

300,576

Buzzi

SpA

(2)(a)

12,187

333,037

Coca-Cola

HBC

(2)(a)

6,849

187,278

Hera

SpA

(2)(a)

57,728

157,637

Italgas

SpA

(2)(a)

9,242

47,284

Leonardo

SpA

(2)(a)

115,081

1,657,610

Pirelli

SpA

(2)(a)(b)

27,382

131,334

Poste

Italiane

SpA

(2)(a)(b)

24,678

259,152

Prysmian

SpA

(2)(a)

14,125

566,953

UniCredit

SpA

(2)(a)

36,490

869,425

Unipol

Gruppo

SpA

(2)(a)

82,916

447,525

6,411,561

—

Japan

25.0%

AGC,

Inc.

(2)(a)

16,100

564,263

Air

Water,

Inc.

(2)(a)

11,900

148,126

Aisin

Corp.

(2)(a)

8,100

306,059

Allegro

MicroSystems,

Inc.

*(a)

2,201

70,300

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Japan

25.0%

(continued)

Amada

Co.

Ltd.

(2)(a)

58,400

587,112

Asahi

Group

Holdings

Ltd.

(2)(a)

8,700

324,985

Bandai

Namco

Holdings,

Inc.

(2)(a)

7,100

144,417

Brother

Industries

Ltd.

(2)(a)

5,400

86,983

Chiba

Bank

Ltd.

(The)

(2)(a)

8,400

61,027

Chubu

Electric

Power

Co.,

Inc.

(2)

(a)

52,000

661,954

Dai

Nippon

Printing

Co.

Ltd.

(2)(a)

10,400

270,589

Dai-ichi

Life

Holdings,

Inc.

(2)(a)

15,200

313,794

Daito

Trust

Construction

Co.

Ltd.

(2)(a)

3,000

316,001

Daiwa

House

Industry

Co.

Ltd.

(2)

(a)

11,200

300,601

Daiwa

Securities

Group,

Inc.

(2)(a)

19,700

113,601

Dentsu

Group,

Inc.

(2)(a)

3,900

114,706

Ebara

Corp.

(2)(a)

7,000

327,509

Fuji

Electric

Co.

Ltd.

(2)(a)

13,100

589,967

Fujitsu

Ltd.

(2)(a)

3,300

388,117

Fukuoka

Financial

Group,

Inc.

(2)

(a)

3,600

86,136

Goldwin,

Inc.

(2)(a)

1,100

74,489

Hakuhodo

Holdings,

Inc.

(2)(a)

45,700

375,382

Hamamatsu

Photonics

(2)(a)

1,600

67,286

Haseko

Corp.

(2)(a)

11,000

140,226

Hino

Motors

Ltd.

(2)*(a)

29,900

114,055

Hirose

Electric

Co.

Ltd.

(2)(a)

600

69,404

Hitachi

Construction

Machinery

Co.

Ltd.

(2)(a)

12,500

379,323

Hitachi

Ltd.

(2)(a)

2,700

167,339

Honda

Motor

Co.

Ltd.

(2)(a)

26,700

300,367

Idemitsu

Kosan

Co.

Ltd.

(2)(a)

3,300

75,653

IHI

Corp.

(2)(a)

15,600

326,964

Iida

Group

Holdings

Co.

Ltd.

(2)(a)

26,300

436,434

Inpex

Corp.

(2)(a)

30,900

463,448

Isuzu

Motors

Ltd.

(2)(a)

8,200

103,087

Ito

Ltd.

(2)(a)

8,100

260,156

ITOCHU

Corp.

(2)(a)

16,600

599,491

Japan

Post

Holdings

Co.

Ltd.

(2)(a)

15,100

120,802

Japan

Post

Insurance

Co.

Ltd.

(2)

(a)

27,300

459,141

JFE

Holdings,

Inc.

(2)(a)

15,000

219,665

Kajima

Corp.

(2)(a)

19,200

312,538

Kao

Corp.

(2)(a)

7,800

289,107

Kawasaki

Heavy

Industries

Ltd.

(2)

(a)

16,600

401,635

Kawasaki

Kisen

Kaisha

Ltd.

(2)(a)

4,900

167,217

Kirin

Holdings

Co.

Ltd.

(2)(a)

11,100

155,405

Koito

Manufacturing

Co.

Ltd.

(2)(a)

4,000

60,319

Komatsu

Ltd.

(2)(a)

10,200

275,106

Konami

Group

Corp.

(2)(a)

4,700

247,805

Kuraray

Co.

Ltd.

(2)(a)

14,600

172,954

Kyocera

Corp.

(2)(a)

3,600

182,512

Lawson,

Inc.

(2)(a)

3,900

179,294

Lion

Corp.

(2)(a)

38,900

383,655

Marubeni

Corp.

(2)(a)

55,800

869,824

Mazda

Motor

Corp.

(2)(a)

45,400

515,494

McDonald's

Holdings

Co.

Japan

Ltd.

(a)

6,500

248,361

Medipal

Holdings

Corp.

(2)(a)

24,300

410,755

MEIJI

Holdings

Co.

Ltd.

(2)(a)

12,900

320,617

INVESTMENTS

VALUE

($)

Japan

25.0%

(continued)

MINEBEA

MITSUMI,

Inc.

(2)(a)

13,200

215,069

Mitsubishi

Chemical

Group

Corp.

(2)(a)

33,700

212,312

Mitsubishi

Corp.

(2)(a)

17,700

843,411

Mitsubishi

Electric

Corp.

(2)(a)

56,700

700,498

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)(a)

21,800

293,014

Mitsubishi

Capital,

Inc.

(2)(a)

82,100

547,039

Mitsubishi

Heavy

Industries

Ltd.

(2)(a)

6,800

379,283

Mitsubishi

Motors

Corp.

(2)(a)

93,400

407,065

Mitsui

Co.

Ltd.

(2)(a)

18,700

678,248

Mitsui

Chemicals,

Inc.

(2)(a)

15,000

388,621

Mizuho

Financial

Group,

Inc.

(2)(a)

21,780

369,780

MS&AD

Insurance

Group

Holdings,

Inc.

(2)(a)

15,000

548,915

Nabtesco

Corp.

(2)(a)

2,700

48,587

NGK

Insulators

Ltd.

(2)(a)

38,300

507,612

Foods

Ltd.

(2)(a)

8,900

266,170

Nikon

Corp.

(2)(a)

12,200

128,489

NIPPON

EXPRESS

HOLDINGS,

Inc.

(2)(a)

5,800

302,643

Nippon

Steel

Corp.

(2)(a)

23,500

550,561

Nippon

Yusen

(2)(a)

12,300

319,368

Niterra

Co.

Ltd.

(2)(a)

7,300

165,224

Nitto

Denko

Corp.

(2)(a)

5,100

334,435

NOF

Corp.

(2)(a)

1,100

43,914

Nomura

Holdings,

Inc.

(2)(a)

75,600

302,735

Nomura

Real

Estate

Holdings,

Inc.

(2)(a)

6,600

165,697

NSK

Ltd.

(2)(a)

82,100

461,632

Obayashi

Corp.

(2)(a)

63,500

558,792

Oji

Holdings

Corp.

(2)(a)

52,800

222,141

Olympus

Corp.

(2)(a)

13,200

171,382

Ono

Pharmaceutical

Co.

Ltd.

(2)(a)

16,100

308,772

ORIX

Corp.

(2)(a)

20,200

377,183

Osaka

Gas

Co.

Ltd.

(2)(a)

6,400

105,311

Otsuka

Corp.

(2)(a)

4,200

177,696

Otsuka

Holdings

Co.

Ltd.

(2)(a)

21,000

745,607

Panasonic

Holdings

Corp.

(2)(a)

77,500

874,802

Persol

Holdings

Co.

Ltd.

(2)(a)

129,000

209,524

Pola

Orbis

Holdings,

Inc.

(2)(a)

19,700

236,423

Ricoh

Co.

Ltd.

(2)(a)

19,400

167,383

Rohm

Co.

Ltd.

(2)(a)

16,400

308,308

Rohto

Pharmaceutical

Co.

Ltd.

(2)

(a)

12,600

341,634

Ryohin

Keikaku

Co.

Ltd.

(2)(a)

36,400

470,826

Santen

Pharmaceutical

Co.

Ltd.

(2)(a)

36,500

334,902

SCREEN

Holdings

Co.

Ltd.

(2)(a)

12,800

622,030

SCSK

Corp.

(2)(a)

9,700

169,118

Secom

Co.

Ltd.

(2)(a)

1,400

94,977

Sega

Sammy

Holdings,

Inc.

(2)(a)

14,800

272,948

Seiko

Epson

Corp.

(2)(a)

16,800

263,837

Sekisui

Chemical

Co.

Ltd.

(2)(a)

12,000

172,643

Shimamura

Co.

Ltd.

(2)(a)

3,000

296,498

Shimizu

Corp.

(2)(a)

29,100

202,137

Shin-Etsu

Chemical

Co.

Ltd.

(2)(a)

19,000

551,867

Shinko

Electric

Industries

Co.

Ltd.

(2)(a)

8,200

318,159

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Japan

25.0%

(continued)

Shionogi

Co.

Ltd.

(2)(a)

9,700

432,663

Skylark

Holdings

Co.

Ltd.

(2)*(a)

18,200

248,961

Sohgo

Security

Services

Co.

Ltd.

(2)(a)

43,000

259,539

Sojitz

Corp.

(2)(a)

33,520

734,276

Sompo

Holdings,

Inc.

(2)(a)

8,500

364,283

Square

Enix

Holdings

Co.

Ltd.

(2)

(a)

7,400

253,564

Stanley

Electric

Co.

Ltd.

(2)(a)

8,500

134,224

Subaru

Corp.

(2)(a)

29,900

581,390

Sugi

Holdings

Co.

Ltd.

(2)(a)

5,300

210,525

SUMCO

Corp.

(2)(a)

68,100

886,184

Sumitomo

Corp.

(2)(a)

23,600

471,007

Sumitomo

Electric

Industries

Ltd.

(2)(a)

7,900

95,171

Sumitomo

Forestry

Co.

Ltd.

(2)(a)

15,700

398,207

Sumitomo

Heavy

Industries

Ltd.

(2)(a)

26,900

681,193

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)(a)

6,400

240,941

Suntory

Beverage

Food

Ltd.

(2)

(a)

16,100

489,970

Taisei

Corp.

(2)(a)

4,600

161,902

Taisho

Pharmaceutical

Holdings

Co.

Ltd.

(2)(a)

7,500

308,726

TDK

Corp.

(2)(a)

10,500

388,188

Tokyo

Gas

Co.

Ltd.

(2)(a)

39,400

893,302

Tokyu

Fudosan

Holdings

Corp.

(2)

(a)

28,000

172,048

TOPPAN

Holdings,

Inc.

(2)(a)

34,600

827,679

Tosoh

Corp.

(2)(a)

17,200

220,523

Toyo

Suisan

Kaisha

Ltd.

(2)(a)

9,000

352,952

Toyota

Boshoku

Corp.

(2)(a)

14,800

269,797

Toyota

Industries

Corp.

(2)(a)

7,000

551,008

Toyota

Tsusho

Corp.

(2)(a)

17,700

1,041,044

Tsuruha

Holdings,

Inc.

(2)(a)

3,400

228,379

Yamada

Holdings

Co.

Ltd.

(2)(a)

28,700

88,262

Yokogawa

Electric

Corp.

(2)(a)

9,700

187,217

Zensho

Holdings

Co.

Ltd.

(2)(a)

11,500

499,383

46,149,287

—

Luxembourg

0.7%

Aperam

(2)

9,295

269,989

ArcelorMittal

(2)

40,484

1,013,560

SES

SA,

Class

ADR

(2)

13,347

87,253

1,370,802

—

Netherlands

2.7%

Aalberts

(2)(a)

4,287

156,426

ABN

AMRO

Bank

NV,

CVA

(2)(a)(b)

52,117

736,546

ASR

Nederland

(2)(a)

14,840

555,270

Heineken

(2)(a)

2,543

224,195

Koninklijke

Ahold

Delhaize

(2)

(a)

40,032

1,206,553

Group

(2)(a)

10,501

336,643

Randstad

(2)(a)

12,254

676,985

Shell

plc

(2)(a)

36,385

1,153,194

5,045,812

—

INVESTMENTS

VALUE

($)

Nigeria

0.1%

Airtel

Africa

plc

(2)(b)

140,189

214,306

Norway

0.9%

DNB

Bank

ASA

(2)(a)

2,513

50,491

Equinor

ASA

(2)(a)

26,960

883,534

Norsk

Hydro

ASA

(2)(a)

105,731

661,648

Orkla

ASA

(2)(a)

13,764

102,802

1,698,475

—

Panama

0.1%

Copa

Holdings

SA,

Class

2,213

197,223

Portugal

0.0%

†

Galp

Energia

SGPS

(2)

5,166

76,519

Singapore

1.1%

Genting

Singapore

Ltd.

(2)

601,200

371,144

Oversea-Chinese

Banking

Corp.

Ltd.

(2)

41,700

389,981

Singapore

Airlines

Ltd.

(2)

133,500

629,748

STMicroelectronics

(2)

5,351

230,752

UOL

Group

Ltd.

(2)

8,000

37,421

Venture

Corp.

Ltd.

(2)

44,100

398,190

2,057,236

—

Spain

2.6%

Acciona

(2)(a)

777

98,955

Acerinox

(2)(a)

40,912

395,341

Banco

Bilbao

Vizcaya

Argentaria

(2)(a)

101,181

818,851

Banco

Sabadell

(2)(a)

571,124

660,717

Banco

Santander

(2)(a)

254,847

970,475

Mapfre

(2)(a)

119,479

243,125

Redeia

Corp.

(2)(a)

13,319

209,526

Repsol

(2)(a)

88,217

1,451,083

4,848,073

—

Sweden

2.7%

AAK

(2)(a)

4,478

80,574

Axfood

(a)

2,623

60,116

Billerud

Aktiebolag

(2)(a)

33,438

309,517

Boliden

(2)(a)

1,895

54,380

Elekta

AB,

Class

(2)(a)

21,101

143,304

Embracer

Group

AB,

Class

(2)*(a)

151,857

302,885

Essity

AB,

Class

(2)(a)

8,345

179,979

Evolution

(2)(a)(b)

590

59,536

Getinge

AB,

Class

(2)(a)

12,912

226,895

Hennes

Mauritz

AB,

Class

(2)(a)

28,109

398,591

Hexpol

(2)(a)

3,508

31,083

Saab

AB,

Class

(2)(a)

3,381

172,078

Sandvik

(2)(a)

2,467

45,394

Securitas

AB,

Class

(2)(a)

50,244

397,286

Skanska

AB,

Class

(2)(a)

20,615

338,510

SKF

AB,

Class

(2)(a)

37,532

623,088

SSAB

AB,

Class

(2)(a)

107,249

588,365

Swedbank

AB,

Class

(2)(a)

11,402

209,585

Swedish

Orphan

Biovitrum

(2)*(a)

2,804

57,293

Trelleborg

AB,

Class

(2)(a)

8,127

201,922

Volvo

AB,

Class

(2)(a)

6,704

138,087

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Sweden

2.7%

(continued)

Volvo

Car

AB,

Class

(2)*(a)

107,400

434,415

5,052,883

—

Switzerland

3.7%

Adecco

Group

(Registered)

(2)

(a)

13,213

542,699

Baloise

Holding

(Registered)

(2)(a)

1,635

236,709

Barry

Callebaut

(Registered)

(2)(a)

125

198,780

BKW

(2)(a)

2,248

395,742

Cie

Financiere

Richemont

(Registered)

(2)(a)

3,308

402,859

DKSH

Holding

(2)(a)

3,761

254,402

Dufry

(Registered)

(2)*(a)

2,802

106,381

Flughafen

Zurich

(Registered)

(2)(a)

1,399

266,364

Galenica

(2)(a)(b)

435

32,136

Geberit

(Registered)

(2)(a)

489

243,853

Georg

Fischer

(Registered)

(2)

(a)

3,207

180,100

Kuehne

Nagel

International

(Registered)

(2)(a)

768

218,212

Novartis

(Registered)

(2)(a)

10,074

1,028,845

SGS

(Registered)

(2)(a)

3,450

289,543

Swatch

Group

(The)

(2)(a)

2,531

648,246

Swiss

Life

Holding

(Registered)

(2)(a)

774

481,566

Swisscom

(Registered)

(2)(a)

967

574,195

Tecan

Group

(Registered)

(2)(a)

744

250,074

UBS

Group

(Registered)

(2)(a)

22,695

559,028

6,909,734

—

United

Kingdom

6.6%

abrdn

plc

(2)

26,714

50,473

Aviva

plc

(2)(a)

45,026

213,115

BAE

Systems

plc

(2)(a)

30,986

376,537

Barclays

plc

(2)

829,018

1,597,874

Barratt

Developments

plc

(2)(a)

88,669

475,411

plc

(2)(a)

80,023

515,823

British

American

Tobacco

plc

(2)(a)

10,900

342,246

Group

plc

(2)

309,718

439,819

Burberry

Group

plc

(2)(a)

10,403

241,089

Centrica

plc

(2)

674,662

1,268,980

Hutchison

Holdings

Ltd.

(2)(a)

26,000

138,036

DCC

plc

(2)(a)

3,642

203,914

Smith

plc

(2)(a)

121,193

422,687

Howden

Joinery

Group

plc

(2)(a)

13,817

123,628

HSBC

Holdings

plc

(2)(a)

6,668

52,180

Imperial

Brands

plc

(2)(a)

22,146

449,263

Inchcape

plc

(2)(a)

15,781

145,350

InterContinental

Hotels

Group

plc

(2)(a)

1,329

98,285

International

Distributions

Services

plc

(2)*(a)

103,900

330,008

Investec

plc

(a)

17,872

105,038

Sports

Fashion

plc

(2)

111,599

202,723

Johnson

Matthey

plc

(2)(a)

1,823

36,090

Just

Eat

Takeaway.com

(2)*(a)

(b)

53,256

658,432

INVESTMENTS

VALUE

($)

United

Kingdom

6.6%

(continued)

Kingfisher

plc

(2)(a)

94,285

255,947

Lloyds

Banking

Group

plc

(2)

452,050

242,929

Man

Group

plc

(2)(a)

79,574

216,284

Marks

Spencer

Group

plc

(2)*(a)

201,395

579,256

NatWest

Group

plc

(2)(a)

181,761

519,938

Pearson

plc

(2)(a)

8,837

93,237

Rolls-Royce

Holdings

plc

(2)*(a)

36,076

96,661

Standard

Chartered

plc

(2)(a)

65,393

601,454

Subsea

(2)(a)

23,547

323,527

Taylor

Wimpey

plc

(2)

24,371

34,757

Tesco

plc

(2)(a)

48,581

156,260

Travis

Perkins

plc

(2)(a)

8,380

85,678

Unilever

plc

(2)(a)

1,777

87,903

Vodafone

Group

plc

(2)

545,892

511,720

12,292,552

—

United

States

91.1%

Co.

(a)

4,557

426,626

Smith

Corp.

(a)

3,097

204,805

Abbott

Laboratories

(a)

5,106

494,516

AbbVie,

Inc.

(a)

3,818

569,111

ACI

Worldwide,

Inc.

*(a)(c)

8,931

201,483

Acuity

Brands,

Inc.

(a)(c)

5,329

907,582

Adient

plc

*(a)

5,392

197,886

Adobe,

Inc.

*(a)

1,834

935,157

AGCO

Corp.

(a)

6,494

768,110

Agilent

Technologies,

Inc.

(a)

3,666

409,932

Airbnb,

Inc.,

Class

*(a)

2,178

298,843

Akamai

Technologies,

Inc.

*(a)(c)

4,047

431,167

ALLETE,

Inc.

(a)

1,212

63,994

Allison

Transmission

Holdings,

Inc.

(a)

13,025

769,257

Ally

Financial,

Inc.

(a)(c)

10,150

270,802

Alphabet,

Inc.,

Class

*(a)

5,182

678,117

Altice

USA,

Inc.,

Class

*(a)(c)

165,929

542,588

Altria

Group,

Inc.

(a)

14,581

613,131

Amdocs

Ltd.

(a)

3,800

321,062

American

International

Group,

Inc.

(a)

19,689

1,193,152

Ameriprise

Financial,

Inc.

(a)(c)

729

240,337

Amgen,

Inc.

(a)(c)

1,980

532,145

Amkor

Technology,

Inc.

(a)(c)

28,531

644,801

Analog

Devices,

Inc.

(a)(c)

2,275

398,330

ANSYS,

Inc.

*(a)(c)

759

225,840

Apple,

Inc.

(a)

2,047

350,467

Applied

Materials,

Inc.

(a)(c)

4,481

620,394

AppLovin

Corp.,

Class

*(a)(c)

9,749

389,570

Aramark

(a)(c)

3,802

131,929

Arch

Capital

Group

Ltd.

*(a)

2,000

159,420

Archer-Daniels-Midland

Co.

(a)

12,516

943,957

Arrow

Electronics,

Inc.

*(a)(c)

7,772

973,365

ASGN,

Inc.

*(a)

1,592

130,035

Associated

Banc-Corp.

(a)(c)

16,396

280,536

Assurant,

Inc.

(a)

989

142,001

Assured

Guaranty

Ltd.

(a)

722

43,695

AT&T,

Inc.

(a)

13,819

207,561

Autodesk,

Inc.

*(a)

2,417

500,101

AutoNation,

Inc.

*(a)(c)

3,623

548,522

Avangrid,

Inc.

(a)

4,319

130,304

Avantor,

Inc.

*(a)(c)

9,508

200,429

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

United

States

91.1%

(continued)

Avient

Corp.

(a)(c)

5,165

182,428

Avnet,

Inc.

(a)(c)

11,564

557,269

Axis

Capital

Holdings

Ltd.

(a)

1,634

92,109

Bank

New

York

Mellon

Corp.

(The)

(a)

13,533

577,182

Bank

OZK

(a)(c)

3,238

120,033

Belden,

Inc.

(a)(c)

2,338

225,734

Berry

Global

Group,

Inc.

(a)

7,012

434,113

Best

Buy

Co.,

Inc.

(a)(c)

10,481

728,115

Biogen,

Inc.

*(a)(c)

1,765

453,623

Black

Hills

Corp.

(a)

1,444

73,052

Blackbaud,

Inc.

*(a)

991

69,687

Booking

Holdings,

Inc.

*(a)

243

749,400

Booz

Allen

Hamilton

Holding

Corp.,

Class

(a)(c)

2,497

272,847

BorgWarner,

Inc.

(a)(c)

7,720

311,656

Boston

Beer

Co.,

Inc.

(The),

Class

*(a)(c)

897

349,408

Brighthouse

Financial,

Inc.

*(a)

4,693

229,675

Bristol-Myers

Squibb

Co.

(a)(c)

6,899

400,418

Broadcom,

Inc.

(a)

361

299,839

BRP,

Inc.

(a)

5,045

381,871

Bruker

Corp.

(a)(c)

2,680

166,964

Brunswick

Corp.

(a)(c)

4,907

387,653

Builders

FirstSource,

Inc.

*(a)

10,065

1,252,991

Bunge

Ltd.

(a)(c)

3,491

377,901

BWX

Technologies,

Inc.

(a)(c)

2,121

159,033

Cabot

Corp.

(a)(c)

1,238

85,756

CACI

International,

Inc.,

Class

*(a)(c)

1,159

363,845

Cadence

Design

Systems,

Inc.

*(a)

1,531

358,713

Capital

One

Financial

Corp.

(a)(c)

4,809

466,713

Cardinal

Health,

Inc.

(a)

9,562

830,173

Carlisle

Cos.,

Inc.

(a)(c)

758

196,519

Carter's,

Inc.

(a)(c)

7,319

506,109

Casey's

General

Stores,

Inc.

(a)(c)

995

270,162

Caterpillar,

Inc.

(a)(c)

957

261,261

Cathay

General

Bancorp

(a)(c)

2,105

73,170

CBRE

Group,

Inc.,

Class

*(a)(c)

2,244

165,742

Cencora,

Inc.

(a)

456

82,066

Centene

Corp.

*(a)(c)

6,958

479,267

Industries

Holdings,

Inc.

(a)(c)

5,317

455,880

Robinson

Worldwide,

Inc.

(a)(c)

3,280

282,506

ChampionX

Corp.

(a)(c)

14,107

502,491

Charles

River

Laboratories

International,

Inc.

*(a)(c)

1,995

390,980

Chemours

Co.

(The)

(a)(c)

7,569

212,310

Chesapeake

Energy

Corp.

(a)(c)

2,011

173,409

Chevron

Corp.

(a)

1,344

226,625

Chord

Energy

Corp.

(a)(c)

2,081

337,268

Cigna

Group

(The)

(a)

2,635

753,794

Cintas

Corp.

(a)(c)

909

437,238

Cirrus

Logic,

Inc.

*(a)

4,744

350,866

Cisco

Systems,

Inc.

(a)(c)

20,611

1,108,047

Citigroup,

Inc.

(a)

15,037

618,472

Citizens

Financial

Group,

Inc.

(a)(c)

18,890

506,252

Clean

Harbors,

Inc.

*(a)(c)

2,261

378,401

CNO

Financial

Group,

Inc.

(a)

8,445

200,400

Coca-Cola

Consolidated,

Inc.

(a)

723

460,059

INVESTMENTS

VALUE

($)

United

States

91.1%

(continued)

Cognizant

Technology

Solutions

Corp.,

Class

(a)

9,011

610,405

Colgate-Palmolive

Co.

(a)

3,282

233,383

Columbia

Sportswear

Co.

(a)(c)

3,012

223,189

Comcast

Corp.,

Class

(a)

11,455

507,915

Comerica,

Inc.

(a)

3,922

162,959

Commercial

Metals

Co.

(a)

9,745

481,500

CommVault

Systems,

Inc.

*(a)

4,407

297,957

Concentrix

Corp.

(a)(c)

5,136

411,445

Consolidated

Edison,

Inc.

(a)(c)

4,569

390,787

Cooper

Cos.,

Inc.

(The)

(a)

355

112,894

Copart,

Inc.

*(a)

10,600

456,754

Coterra

Energy,

Inc.

(a)(c)

8,301

224,542

Crane

NXT

Co.

(a)(c)

8,107

450,506

Cummins,

Inc.

(a)

1,947

444,812

Curtiss-Wright

Corp.

(a)(c)

1,632

319,268

CVS

Health

Corp.

(a)

13,433

937,892

Dana,

Inc.

(a)

25,807

378,589

Danaher

Corp.

(a)(c)

1,163

288,540

Darden

Restaurants,

Inc.

(a)(c)

1,828

261,806

Deckers

Outdoor

Corp.

*(a)

551

283,264

Dell

Technologies,

Inc.,

Class

(a)

11,404

785,736

DENTSPLY

SIRONA,

Inc.

(a)(c)

7,278

248,616

Dick's

Sporting

Goods,

Inc.

(a)(c)

3,176

344,850

Discover

Financial

Services

(a)

4,501

389,922

DISH

Network

Corp.,

Class

*(a)

(c)

8,941

52,394

DocuSign,

Inc.,

Class

*(a)

3,409

143,178

Dolby

Laboratories,

Inc.,

Class

(a)

4,989

395,428

Domino's

Pizza,

Inc.

(a)

744

281,820

Donaldson

Co.,

Inc.

(a)(c)

6,036

359,987

Dover

Corp.

(a)(c)

1,807

252,095

Dow,

Inc.

(a)

7,414

382,266

Doximity,

Inc.,

Class

*(a)

1,471

31,215

Dropbox,

Inc.,

Class

*(a)

26,846

731,017

DXC

Technology

Co.

*(a)

18,800

391,604

Eagle

Materials,

Inc.

(a)(c)

2,840

472,917

Eastman

Chemical

Co.

(a)

3,336

255,938

eBay,

Inc.

(a)(c)

8,853

390,329

Electronic

Arts,

Inc.

(a)(c)

2,762

332,545

Elevance

Health,

Inc.

(a)

623

271,267

EMCOR

Group,

Inc.

(a)(c)

2,956

621,913

Encompass

Health

Corp.

(a)

1,103

74,077

EnerSys

(a)(c)

4,509

426,867

Enovis

Corp.

*(a)(c)

8,463

446,254

Entergy

Corp.

(a)

1,809

167,333

Envista

Holdings

Corp.

*(a)(c)

4,124

114,977

EOG

Resources,

Inc.

(a)(c)

2,829

358,604

EQT

Corp.

(a)(c)

1,487

60,342

Equitable

Holdings,

Inc.

(a)(c)

17,280

490,579

Euronet

Worldwide,

Inc.

*(a)(c)

2,502

198,609

Evercore,

Inc.,

Class

(a)

4,013

553,312

Everest

Group

Ltd.

(a)

1,110

412,554

Evergy,

Inc.

(a)

1,965

99,626

Exelixis,

Inc.

*(a)

23,403

511,356

Expedia

Group,

Inc.

*(a)

8,828

909,902

Expeditors

International

Washington,

Inc.

(a)(c)

2,981

341,712

Exxon

Mobil

Corp.

(a)(c)

4,442

522,290

F5,

Inc.

*(a)

3,082

496,633

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

United

States

91.1%

(continued)

Fair

Isaac

Corp.

*(a)(c)

541

469,875

Federated

Hermes,

Inc.,

Class

(a)

7,915

268,081

Ferguson

plc

(a)

1,110

182,562

Fidelity

National

Financial,

Inc.

(a)

6,235

257,506

Fidelity

National

Information

Services,

Inc.

(a)

13,012

719,173

First

American

Financial

Corp.

(a)

(c)

5,459

308,379

FirstCash

Holdings,

Inc.

(a)(c)

963

96,666

Fiserv,

Inc.

*(a)(c)

2,817

318,208

FleetCor

Technologies,

Inc.

*(a)(c)

914

233,381

Flowers

Foods,

Inc.

(a)(c)

4,028

89,341

Fluor

Corp.

*(a)

5,615

206,071

FNB

Corp.

(a)(c)

10,949

118,140

Foot

Locker,

Inc.

(a)(c)

7,462

129,466

Fortinet,

Inc.

*(a)

7,548

442,917

Fortive

Corp.

(a)(c)

3,949

292,858

Fortune

Brands

Innovations,

Inc.

(a)

1,106

68,749

Fox

Corp.,

Class

(a)(c)

7,020

219,024

Franklin

Resources,

Inc.

(a)(c)

11,348

278,934

Fulton

Financial

Corp.

(a)

3,129

37,892

Gap,

Inc.

(The)

(a)

35,848

381,064

Gartner,

Inc.

*(a)

1,011

347,390

Gates

Industrial

Corp.

plc

*(a)

28,293

328,482

HealthCare

Technologies,

Inc.

(a)(c)

6,850

466,074

General

Dynamics

Corp.

(a)

3,031

669,760

General

Electric

Co.

(a)

2,995

331,097

General

Motors

Co.

(a)

18,645

614,726

Genuine

Parts

Co.

(a)(c)

4,230

610,727

Gilead

Sciences,

Inc.

(a)(c)

14,427

1,081,159

Global

Payments,

Inc.

(a)

4,377

505,062

GLOBALFOUNDRIES,

Inc.

*(a)

665

38,696

Globus

Medical,

Inc.,

Class

*(a)

(c)

6,360

315,774

Goodyear

Tire

Rubber

Co.

(The)

*(a)

18,954

235,598

Graco,

Inc.

(a)(c)

3,814

277,964

Graham

Holdings

Co.,

Class

(a)

(c)

619

360,877

Grand

Canyon

Education,

Inc.

*(a)

3,070

358,822

Graphic

Packaging

Holding

Co.

(a)

(c)

5,271

117,438

Greif,

Inc.,

Class

(a)

4,656

311,067

GSK

plc

(2)(a)

11,904

215,389

H&R

Block,

Inc.

(a)(c)

13,555

583,678

Haemonetics

Corp.

*(a)(c)

3,939

352,856

Halliburton

Co.

(a)(c)

9,719

393,620

Hartford

Financial

Services

Group,

Inc.

(The)

(a)(c)

7,482

530,549

Hawaiian

Electric

Industries,

Inc.

(a)

84,932

1,045,513

HCA

Healthcare,

Inc.

(a)

1,076

264,674

Henry

Schein,

Inc.

*(a)(c)

2,247

166,840

Hewlett

Packard

Enterprise

Co.

(a)

(c)

55,512

964,243

Hexcel

Corp.

(a)(c)

3,341

217,633

Sinclair

Corp.

(a)(c)

8,478

482,653

Hilton

Grand

Vacations,

Inc.

*(a)(c)

7,070

287,749

Holcim

(2)(a)

19,920

1,275,056

INVESTMENTS

VALUE

($)

United

States

91.1%

(continued)

Hologic,

Inc.

*(a)(c)

7,858

545,345

Howmet

Aerospace,

Inc.

(a)(c)

8,256

381,840

HP,

Inc.

(a)

17,180

441,526

Hubbell,

Inc.,

Class

(a)

1,373

430,312

Humana,

Inc.

(a)

2,148

1,045,045

Huntington

Bancshares,

Inc.

(a)

5,337

55,505

Huntington

Ingalls

Industries,

Inc.

(a)(c)

3,398

695,163

Huntsman

Corp.

(a)

14,800

361,120

IAC,

Inc.

*(a)(c)

1,029

51,851

Incyte

Corp.

*(a)

6,504

375,736

Informatica,

Inc.,

Class

*(a)

2,943

62,009

Ingredion,

Inc.

(a)(c)

1,912

188,141

Insperity,

Inc.

(a)

3,455

337,208

Integra

LifeSciences

Holdings

Corp.

*(a)(c)

7,054

269,392

Intel

Corp.

(a)

1,986

70,602

International

Business

Machines

Corp.

(a)(c)

2,359

330,968

International

Paper

Co.

(a)(c)

8,176

290,003

Intuit,

Inc.

(a)(c)

490

250,361

Invesco

Ltd.

(a)(c)

17,349

251,907

IPG

Photonics

Corp.

*(a)(c)

846

85,903

IQVIA

Holdings,

Inc.

*(a)(c)

1,111

218,589

ITT,

Inc.

(a)

2,867

280,708

Jabil,

Inc.

(a)(c)

8,426

1,069,175

Janus

Henderson

Group

plc

(a)

6,831

176,376

Jazz

Pharmaceuticals

plc

*(a)(c)

2,349

304,055

Hunt

Transport

Services,

Inc.

(a)(c)

1,364

257,141

Jefferies

Financial

Group,

Inc.

(a)(c)

8,509

311,685

Johnson

(a)

2,665

415,074

Jones

Lang

LaSalle,

Inc.

*(a)(c)

3,169

447,399

Home

(a)

17,194

795,738

Keysight

Technologies,

Inc.

*(a)

1,018

134,692

Kimberly-Clark

Corp.

(a)

3,993

482,554

KLA

Corp.

(a)(c)

437

200,434

Knight-Swift

Transportation

Holdings,

Inc.,

Class

(a)

8,967

449,695

Kroger

Co.

(The)

(a)(c)

20,676

925,251

Kyndryl

Holdings,

Inc.

*(a)

41,972

633,777

L3Harris

Technologies,

Inc.

(a)

1,055

183,697

Laboratory

Corp.

America

Holdings

(a)(c)

676

135,910

Lam

Research

Corp.

(a)

577

361,646

Landstar

System,

Inc.

(a)

4,269

755,357

Lantheus

Holdings,

Inc.

*(a)(c)

3,336

231,785

Lattice

Semiconductor

Corp.

*(a)(c)

502

43,137

Lear

Corp.

(a)

1,179

158,222

Leidos

Holdings,

Inc.

(a)

946

87,183

Lennar

Corp.,

Class

(a)

5,366

602,226

Liberty

Media

Corp-Liberty

SiriusXM

*(a)

2,800

71,288

Lincoln

Electric

Holdings,

Inc.

(a)(c)

1,054

191,607

Live

Nation

Entertainment,

Inc.

*(a)

(c)

895

74,321

LKQ

Corp.

(a)

15,247

754,879

Lockheed

Martin

Corp.

(a)

1,494

610,986

Loews

Corp.

(a)

3,953

250,264

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

United

States

91.1%

(continued)

LyondellBasell

Industries

NV,

Class

(a)

4,801

454,655

M&T

Bank

Corp.

(a)(c)

1,185

149,843

Macy's,

Inc.

(a)

54,213

629,413

Manhattan

Associates,

Inc.

*(a)

1,569

310,129

ManpowerGroup,

Inc.

(a)

8,939

655,407

Marathon

Oil

Corp.

(a)

12,847

343,657

Marathon

Petroleum

Corp.

(a)

3,694

559,050

Marriott

Vacations

Worldwide

Corp.

(a)(c)

1,952

196,430

Masco

Corp.

(a)(c)

2,117

113,154

Masterbrand,

Inc.

*(a)(c)

28,189

342,496

Matador

Resources

Co.

(a)(c)

1,581

94,038

Maximus,

Inc.

(a)(c)

5,485

409,620

McKesson

Corp.

(a)

502

218,295

Medpace

Holdings,

Inc.

*(a)(c)

1,068

258,595

Medtronic

plc

(a)

6,986

547,423

Merck

Co.,

Inc.

(a)

6,356

654,350

Meta

Platforms,

Inc.,

Class

*(a)

2,733

820,474

MetLife,

Inc.

(a)

3,561

224,023

Mettler-Toledo

International,

Inc.

*(a)(c)

227

251,532

MGIC

Investment

Corp.

(a)

4,612

76,974

MGM

Resorts

International

(a)

6,424

236,146

Microchip

Technology,

Inc.

(a)(c)

6,904

538,857

Microsoft

Corp.

(a)

927

292,700

Mohawk

Industries,

Inc.

*(a)(c)

2,702

231,859

Molina

Healthcare,

Inc.

*(a)(c)

2,190

718,079

Molson

Coors

Beverage

Co.,

Class

(a)

10,884

692,114

Mosaic

Co.

(The)

(a)(c)

9,310

331,436

MSC

Industrial

Direct

Co.,

Inc.,

Class

(a)(c)

5,323

522,452

Murphy

Oil

Corp.

(a)(c)

5,759

261,171

Murphy

USA,

Inc.

(a)(c)

2,685

917,545

National

Fuel

Gas

Co.

(a)

1,882

97,695

Navient

Corp.

(a)

12,128

208,844

NCR

Corp.

*(a)(c)

20,777

560,356

NetApp,

Inc.

(a)

3,035

230,296

New

York

Community

Bancorp,

Inc.

(a)(c)

14,320

162,389

Nexstar

Media

Group,

Inc.,

Class

(a)(c)

505

72,402

Nordstrom,

Inc.

(a)

12,856

192,069

Northern

Trust

Corp.

(a)(c)

1,042

72,398

Northwestern

Energy

Group,

Inc.

(a)(c)

1,817

87,325

NOV,

Inc.

(a)(c)

2,695

56,326

Nucor

Corp.

(a)

1,669

260,948

Nutanix,

Inc.,

Class

*(a)

7,731

269,657

nVent

Electric

plc

(a)

5,969

316,297

NVR,

Inc.

*(a)

149,083

OGE

Energy

Corp.

(a)

1,865

62,160

Old

Republic

International

Corp.

(a)

16,224

437,075

Olin

Corp.

(a)(c)

7,417

370,702

Semiconductor

Corp.

*(a)(c)

4,627

430,080

ONE

Gas,

Inc.

(a)

3,970

271,072

OneMain

Holdings,

Inc.

(a)(c)

2,564

102,791

Organon

Co.

(a)

9,825

170,562

Oshkosh

Corp.

(a)

6,517

621,917

INVESTMENTS

VALUE

($)

United

States

91.1%

(continued)

Ovintiv,

Inc.

(a)(c)

7,015

333,704

Owens

Corning

(a)(c)

6,485

884,619

PACCAR,

Inc.

(a)

7,732

657,375

Packaging

Corp.

America

(a)(c)

1,964

301,572

Palo

Alto

Networks,

Inc.

*(a)(c)

721

169,031

Patterson

Cos.,

Inc.

(a)(c)

1,298

38,473

PayPal

Holdings,

Inc.

*(a)

5,668

331,351

PBF

Energy,

Inc.,

Class

(a)

8,663

463,730

Penn

Entertainment,

Inc.

*(a)(c)

13,636

312,946

Penske

Automotive

Group,

Inc.

(a)

(c)

3,303

551,799

Pentair

plc

(a)(c)

3,106

201,114

PepsiCo,

Inc.

(a)(c)

2,715

460,030

Performance

Food

Group

Co.

*(a)

5,859

344,861

Petco

Health

Wellness

Co.,

Inc.,

Class

*(a)(c)

14,865

60,798

Pfizer,

Inc.

(a)(c)

23,886

792,299

PG&E

Corp.

*(a)

7,126

114,942

Philip

Morris

International,

Inc.

(a)

(c)

2,639

244,319

Phillips

(a)(c)

3,385

406,708

Pilgrim's

Pride

Corp.

*(a)

12,410

283,320

Pinnacle

West

Capital

Corp.

(a)

5,680

418,502

Playtika

Holding

Corp.

*(a)

47,780

460,121

Polaris,

Inc.

(a)(c)

4,652

484,459

Popular,

Inc.

6,152

387,638

Post

Holdings,

Inc.

*(a)

1,344

115,235

Power

Integrations,

Inc.

(a)(c)

1,687

128,735

Principal

Financial

Group,

Inc.

(a)

(c)

2,667

192,211

Procter

Gamble

Co.

(The)

(a)

1,615

235,564

Prudential

Financial,

Inc.

(a)(c)

1,244

118,043

PulteGroup,

Inc.

(a)

8,703

644,457

Pure

Storage,

Inc.,

Class

*(a)

3,413

121,571

PVH

Corp.

(a)

6,391

488,975

QIAGEN

(2)*(a)

6,569

265,056

Qorvo,

Inc.

*(a)

2,386

227,791

QUALCOMM,

Inc.

(a)

4,229

469,673

Qualys,

Inc.

*(a)

1,893

288,777

QuidelOrtho

Corp.

*(a)(c)

3,266

238,549

Ralph

Lauren

Corp.,

Class

(a)

3,455

401,091

Raymond

James

Financial,

Inc.

(a)

(c)

971

97,518

Regal

Rexnord

Corp.

(a)(c)

2,302

328,910

Regeneron

Pharmaceuticals,

Inc.

*(a)

650

534,924

Reinsurance

Group

America,

Inc.

(a)

3,917

568,709

Reliance

Steel

Aluminum

Co.

(a)

1,161

304,449

Revvity,

Inc.

(a)(c)

514

56,900

Reynolds

Consumer

Products,

Inc.

(a)

2,662

68,227

RingCentral,

Inc.,

Class

*(a)(c)

8,214

243,381

Robert

Half,

Inc.

(a)(c)

5,921

433,891

Roche

Holding

(2)(a)

787

214,852

Roper

Technologies,

Inc.

(a)(c)

689

333,669

RTX

Corp.

(a)

3,611

259,884

RXO,

Inc.

*(a)(c)

12,042

237,589

Ryder

System,

Inc.

(a)(c)

6,725

719,239

Salesforce,

Inc.

*(a)

1,796

364,193

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

United

States

91.1%

(continued)

Schneider

National,

Inc.,

Class

(a)

29,677

821,756

Science

Applications

International

Corp.

(a)(c)

1,837

193,877

Seagate

Technology

Holdings

plc

(a)(c)

656

43,263

SEI

Investments

Co.

(a)

5,624

338,734

Sensata

Technologies

Holding

plc

(a)(c)

7,575

286,487

Signify

(2)(a)(b)

23,506

630,730

Silgan

Holdings,

Inc.

(a)(c)

4,736

204,169

Sinch

(2)*(a)(b)

256,362

447,230

Skechers

USA,

Inc.,

Class

*(a)(c)

8,673

424,543

Skyworks

Solutions,

Inc.

(a)(c)

7,281

717,834

Snap-on,

Inc.

(a)(c)

1,717

437,938

Southwestern

Energy

Co.

*(a)(c)

69,842

450,481

Splunk,

Inc.

*(a)(c)

1,071

156,634

Sprouts

Farmers

Market,

Inc.

*(a)

(c)

9,194

393,503

State

Street

Corp.

(a)

9,217

617,170

Steel

Dynamics,

Inc.

(a)

5,396

578,559

Stellantis

(2)(a)

38,968

746,176

STERIS

plc

(a)(c)

1,129

247,725

Stifel

Financial

Corp.

(a)

6,142

377,364

Super

Micro

Computer,

Inc.

*(a)(c)

1,086

297,803

Swiss

(2)(a)

2,470

253,670

Synaptics,

Inc.

*(a)(c)

2,692

240,772

Synchrony

Financial

(a)

25,911

792,099

Synopsys,

Inc.

*(a)

1,051

482,377

Synovus

Financial

Corp.

(a)

2,625

72,975

Tapestry,

Inc.

(a)(c)

11,625

334,219

Taylor

Morrison

Home

Corp.,

Class

*(a)

18,326

780,871

SYNNEX

Corp.

(a)

8,300

828,838

Connectivity

Ltd.

(a)

1,203

148,607

TEGNA,

Inc.

(a)

19,922

290,264

Teladoc

Health,

Inc.

*(a)(c)

6,903

128,327

Teleflex,

Inc.

(a)(c)

1,004

197,196

Tenaris

(2)(a)

64,454

1,018,113

Tenet

Healthcare

Corp.

*(a)

3,648

240,367

Teradata

Corp.

*(a)(c)

13,728

618,035

Teradyne,

Inc.

(a)

2,503

251,451

Terex

Corp.

(a)

13,342

768,766

Tetra

Tech,

Inc.

(a)(c)

1,205

183,196

Texas

Instruments,

Inc.

(a)(c)

538

85,547

Texas

Roadhouse,

Inc.,

Class

(a)(c)

4,320

415,152

Textron,

Inc.

(a)(c)

15,052

1,176,162

Thor

Industries,

Inc.

(a)(c)

2,339

222,509

Timken

Co.

(The)

(a)(c)

5,748

422,421

Toll

Brothers,

Inc.

(a)(c)

10,586

782,941

Travel

Leisure

Co.

(a)

6,739

247,523

Travelers

Cos.,

Inc.

(The)

(a)(c)

1,569

256,233

TripAdvisor,

Inc.

*(a)(c)

37,739

625,713

Truist

Financial

Corp.

(a)(c)

14,449

413,386

Tyson

Foods,

Inc.,

Class

(a)(c)

6,686

337,576

UFP

Industries,

Inc.

(a)

8,577

878,285

U-Haul

Holding

Co.

*(a)

252

13,752

Ulta

Beauty,

Inc.

*(a)

215

85,882

United

Airlines

Holdings,

Inc.

*(a)(c)

8,470

358,281

INVESTMENTS

VALUE

($)

United

States

91.1%

(continued)

United

Rentals,

Inc.

(a)(c)

1,328

590,389

United

States

Steel

Corp.

(a)(c)

23,910

776,597

United

Therapeutics

Corp.

*(a)

3,280

740,854

Universal

Display

Corp.

(a)(c)

865

135,796

Universal

Health

Services,

Inc.,

Class

(a)

3,325

418,052

Unum

Group

(a)

14,112

694,169

Foods

Holding

Corp.

*(a)(c)

9,021

358,134

Vail

Resorts,

Inc.

(a)(c)

929

206,136

Valero

Energy

Corp.

(a)

4,603

652,291

Valley

National

Bancorp

(a)(c)

8,566

73,325

Veeva

Systems,

Inc.,

Class

*(a)

(c)

2,344

476,887

VeriSign,

Inc.

*(a)

752

152,303

Verizon

Communications,

Inc.

(a)(c)

11,908

385,938

Vertex

Pharmaceuticals,

Inc.

*(a)

1,852

644,014

Vertiv

Holdings

Co.,

Class

(a)

6,092

226,622

Viasat,

Inc.

*(a)(c)

7,179

132,524

Viatris,

Inc.

(a)

60,626

597,772

Victoria's

Secret

Co.

*(a)(c)

8,138

135,742

Vishay

Intertechnology,

Inc.

(a)(c)

25,209

623,166

Vistra

Corp.

(a)

6,961

230,966

Vontier

Corp.

(a)(c)

4,684

144,829

Voya

Financial,

Inc.

(a)(c)

2,401

159,546

Walmart,

Inc.

(a)

7,519

1,202,513

Watts

Water

Technologies,

Inc.,

Class

(a)

1,559

269,426

Werner

Enterprises,

Inc.

(a)(c)

11,223

437,136

WESCO

International,

Inc.

(a)(c)

2,682

385,725

Western

Alliance

Bancorp

(a)

1,396

64,174

Western

Union

Co.

(The)

(a)(c)

58,949

776,948

Westlake

Corp.

(a)(c)

4,482

558,771

Westrock

Co.

(a)(c)

7,544

270,075

Williams-Sonoma,

Inc.

(a)(c)

2,729

424,087

Wintrust

Financial

Corp.

(a)(c)

1,033

77,992

Woodward,

Inc.

(a)

2,206

274,118

Wyndham

Hotels

Resorts,

Inc.

(a)(c)

1,567

108,969

Xerox

Holdings

Corp.

(a)

10,015

157,135

Ziff

Davis,

Inc.

*(a)(c)

2,435

155,085

Zimmer

Biomet

Holdings,

Inc.

(a)

4,567

512,509

Zions

Bancorp

(a)

7,180

250,510

Zoom

Video

Communications,

Inc.,

Class

*(a)(c)

9,576

669,745

168,455,854

—

TOTAL

COMMON

STOCKS

(Cost

$262,969,616)

317,603,094

PREFERRED

STOCKS

0.1%

Germany

0.1%

Henkel

Co.

KGaA

(Preference)

(2)(a)

(Cost

$113,130)

1,725

122,836

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

NO.

WARRANTS

VALUE

($)

WARRANTS

0.0%

Canada

0.0%

Constellation

Software,

Inc.,

expiring

3/31/2040

(3)*(d)

(Cost

$–)

–

SHORT-TERM

INVESTMENTS

68.7%

INVESTMENT

COMPANIES

55.3%

Goldman

Sachs

Financial

Square

Funds

Treasury

Instruments

Fund,

Institutional

Shares,

5.24%

(e)(f)

2,773,306

Limited

Purpose

Cash

Investment

Fund,

5.36%

(e)

99,471,089

99,441,247

TOTAL

INVESTMENT

COMPANIES

(Cost

$102,196,810)

102,214,553

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

13.4%

U.S.

Treasury

Bills

4.89%,

10/5/2023

(2)(g)

5,256,000

5,253,693

4.91%,

10/12/2023

(2)(g)

243,000

242,644

4.99%,

10/19/2023

(2)(g)

754,000

752,116

4.96%,

10/26/2023

(2)(g)

627,000

624,792

5.02%,

11/2/2023

(2)(g)

980,000

975,536

5.01%,

11/9/2023

(2)(g)

900,000

894,970

5.11%,

11/16/2023

(2)(g)

330,000

327,816

5.44%,

11/30/2023

(2)(g)(h)

1,951,000

1,933,957

5.39%,

12/7/2023

(2)(g)(h)

959,000

949,655

5.36%,

12/28/2023

(2)(g)

608,000

600,183

5.41%,

1/11/2024

(2)(g)

222,000

218,697

5.39%,

1/18/2024

(2)(g)(h)

3,883,000

3,821,202

5.41%,

1/25/2024

(2)(g)(h)

2,405,000

2,364,186

5.41%,

2/1/2024

(2)(g)

1,584,000

1,555,536

5.45%,

3/14/2024

(2)(g)

1,822,000

1,777,936

5.45%,

3/21/2024

(2)(g)

1,345,000

1,311,005

5.46%,

3/28/2024

(2)(g)

1,319,000

1,284,331

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$24,887,899)

24,888,255

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$127,084,709)

127,102,808

TOTAL

LONG

POSITIONS

(Cost

$390,167,455)

444,828,738

SHORT

POSITIONS

(158.3)%

COMMON

STOCKS

(157.7)%

Australia

(4.1)%

Allkem

Ltd.

(2)

(12,515)

(93,580)

ALS

Ltd.

(2)

(9,224)

(67,750)

Alumina

Ltd.

(2)

(300,939)

(183,049)

Ampol

Ltd.

(2)

(4,842)

(104,539)

APA

Group

(2)

(63,947)

(340,187)

Cleanaway

Waste

Management

Ltd.

(2)

(51,238)

(79,801)

Cochlear

Ltd.

(2)

(1,600)

(262,053)

Commonwealth

Bank

Australia

(2)

(15,188)

(970,151)

Domino's

Pizza

Enterprises

Ltd.

(2)

(2,090)

(70,968)

Endeavour

Group

Ltd.

(2)

(79,222)

(267,475)

INVESTMENTS

VALUE

($)

Australia

(4.1)%

(continued)

Evolution

Mining

Ltd.

(2)

(119,668)

(249,816)

Fortescue

Metals

Group

Ltd.

(2)

(10,114)

(134,446)

IDP

Education

Ltd.

(2)

(46,055)

(630,273)

IGO

Ltd.

(2)

(40,857)

(327,879)

Insurance

Australia

Group

Ltd.

(2)

(78,123)

(283,395)

Lynas

Rare

Earths

Ltd.

(2)

(88,371)

(381,646)

Macquarie

Group

Ltd.

(2)

(2,816)

(301,560)

Mineral

Resources

Ltd.

(2)

(12,489)

(536,300)

National

Australia

Bank

Ltd.

(2)

(20,383)

(378,397)

NEXTDC

Ltd.

(2)

(53,870)

(426,240)

Ramsay

Health

Care

Ltd.

(2)

(14,557)

(483,153)

REA

Group

Ltd.

(2)

(647)

(63,899)

SEEK

Ltd.

(2)

(11,105)

(156,881)

Seven

Group

Holdings

Ltd.

(2)

(7,623)

(151,838)

Transurban

Group

(2)

(21,581)

(175,360)

Treasury

Wine

Estates

Ltd.

(2)

(6,643)

(52,457)

WiseTech

Global

Ltd.

(2)

(3,569)

(148,150)

Woodside

Energy

Group

Ltd.

(2)

(5,275)

(122,649)

Woolworths

Group

Ltd.

(2)

(7,497)

(179,487)

(7,623,379)

—

Belgium

(0.7)%

Anheuser-Busch

InBev

SA/NV

(2)

(5,898)

(326,963)

D'ieteren

Group

(2)

(2,632)

(443,738)

Elia

Group

SA/NV

(2)

(754)

(73,787)

Galapagos

(2)

(1,900)

(65,424)

KBC

Group

(2)

(4,649)

(289,431)

UCB

(2)

(1,094)

(89,609)

Umicore

(2)

(3,525)

(83,460)

(1,372,412)

—

Brazil

(0.3)%

MercadoLibre,

Inc.

(405)

(513,491)

Wheaton

Precious

Metals

Corp.

(1,115)

(45,249)

(558,740)

—

Canada

(7.0)%

Agnico

Eagle

Mines

Ltd.

(4,907)

(222,978)

Algonquin

Power

Utilities

Corp.

(113,658)

(672,785)

AltaGas

Ltd.

(3,703)

(71,020)

Aritzia,

Inc.

(25,864)

(449,966)

Barrick

Gold

Corp.

(11,823)

(171,741)

BCE,

Inc.

(6,561)

(250,460)

Boralex,

Inc.,

Class

(4,857)

(104,345)

Brookfield

Asset

Management

Ltd.,

Class

(3,064)

(102,100)

Brookfield

Corp.,

Class

(27,085)

(846,900)

CAE,

Inc.

(5,102)

(119,112)

Cameco

Corp.

(9,606)

(381,128)

Canadian

Natural

Resources

Ltd.

(6,847)

(442,805)

Canadian

Pacific

Kansas

City

Ltd.

(4,823)

(358,498)

CCL

Industries,

Inc.,

Class

(4,051)

(170,033)

Cenovus

Energy,

Inc.

(19,221)

(400,199)

Colliers

International

Group,

Inc.

(2,720)

(259,033)

Dollarama,

Inc.

(1,681)

(115,817)

Element

Fleet

Management

Corp.

(16,172)

(232,058)

Enbridge,

Inc.

(18,617)

(617,483)

FirstService

Corp.

(323)

(46,981)

Franco-Nevada

Corp.

(1,902)

(253,922)

GFL

Environmental,

Inc.

(4,105)

(130,351)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Canada

(7.0)%

(continued)

Gildan

Activewear,

Inc.

(1,794)

(50,284)

Intact

Financial

Corp.

(2,056)

(299,745)

Keyera

Corp.

(7,344)

(172,428)

Kinaxis,

Inc.

(1,090)

(122,927)

Lumine

Group,

Inc.

(i)

(225)

(3,333)

Metro,

Inc.,

Class

(3,669)

(190,548)

Nuvei

Corp.

(b)

(6,355)

(95,307)

Pan

American

Silver

Corp.

(32,834)

(475,256)

Pembina

Pipeline

Corp.

(14,126)

(424,742)

PrairieSky

Royalty

Ltd.

(21,966)

(403,660)

Global,

Inc.

(10,140)

(634,865)

Rogers

Communications,

Inc.,

Class

(12,350)

(474,178)

Royal

Bank

Canada

(6,649)

(581,069)

Shopify,

Inc.,

Class

(11,754)

(641,591)

SNC-Lavalin

Group,

Inc.

(5,810)

(193,816)

SSR

Mining,

Inc.

(11,448)

(152,050)

Energy

Corp.

(17,683)

(608,116)

Thomson

Reuters

Corp.

(1,601)

(195,857)

Toronto-Dominion

Bank

(The)

(4,104)

(247,252)

WSP

Global,

Inc.

(2,867)

(404,641)

(12,791,380)

—

Chile

(0.3)%

Antofagasta

plc

(2)

(29,039)

(504,110)

China

(0.4)%

Prosus

(2)

(25,523)

(752,062)

Denmark

(2.0)%

Ambu

A/S,

Class

(2)

(7,848)

(81,801)

Coloplast

A/S,

Class

(2)

(961)

(101,690)

Demant

A/S

(2)

(2,130)

(87,950)

DSV

A/S

(2)

(3,604)

(671,572)

Store

Nord

A/S

(2)

(5,896)

(106,005)

Novo

Nordisk

A/S,

Class

(2)

(2,434)

(221,619)

Novozymes

A/S,

Class

(2)

(9,897)

(398,205)

Orsted

A/S

(2)(b)

(6,593)

(358,680)

Tryg

A/S

(2)

(22,967)

(420,282)

Vestas

Wind

Systems

A/S

(2)

(56,044)

(1,199,000)

(3,646,804)

—

Finland

(1.1)%

Huhtamaki

OYJ

(2)

(2,348)

(77,192)

Kojamo

OYJ

(2)

(8,154)

(72,246)

Neste

OYJ

(2)

(12,673)

(429,217)

Nokian

Renkaat

OYJ

(2)

(9,452)

(74,197)

Nordea

Bank

Abp

(2)

(28,729)

(314,977)

Sampo

OYJ,

Class

(2)

(13,610)

(588,380)

UPM-Kymmene

OYJ

(2)

(11,458)

(392,332)

(1,948,541)

—

France

(4.8)%

Accor

(2)

(3,657)

(123,001)

Aeroports

Paris

(2)

(613)

(72,292)

Air

Liquide

(2)

(1,820)

(306,545)

Airbus

(2)

(4,630)

(619,718)

Alstom

(2)

(11,539)

(274,250)

AXA

(2)

(10,579)

(313,867)

BioMerieux

(2)

(1,137)

(109,994)

Bureau

Veritas

(2)

(4,057)

(100,598)

INVESTMENTS

VALUE

($)

France

(4.8)%

(continued)

Capgemini

(2)

(1,709)

(298,210)

Cie

Generale

des

Etablissements

Michelin

SCA

(2)

(4,464)

(136,630)

Dassault

Systemes

(2)

(24,022)

(892,234)

Edenred

(2)

(5,778)

(361,449)

EssilorLuxottica

(2)

(1,460)

(253,961)

Forvia

(2)

(2,554)

(52,545)

Gaztransport

Technigaz

(2)

(396)

(48,672)

Getlink

(2)

(3,587)

(57,184)

Hermes

International

SCA

(2)

(276)

(503,101)

Kering

(2)

(236)

(107,230)

Legrand

(2)

(1,032)

(94,827)

L'Oreal

(2)

(1,743)

(722,319)

LVMH

Moet

Hennessy

Louis

Vuitton

(2)

(1,107)

(835,597)

Pernod

Ricard

(2)

(638)

(106,221)

Remy

Cointreau

(2)

(741)

(90,340)

Renault

(2)

(5,809)

(237,684)

Safran

(2)

(1,979)

(310,128)

Sartorius

Stedim

Biotech

(2)

(2,859)

(680,166)

SEB

(2)

(286)

(26,680)

SOITEC

(2)

(2,055)

(341,040)

Teleperformance

(2)

(722)

(90,652)

Thales

(2)

(321)

(45,114)

Valeo

(2)

(8,673)

(148,828)

Vivendi

(2)

(13,300)

(116,483)

Worldline

(2)(b)

(12,032)

(337,754)

(8,815,314)

—

Germany

(5.3)%

adidas

(2)

(5,084)

(891,778)

Aroundtown

(2)

(23,860)

(49,498)

Bayer

(Registered)

(2)

(13,212)

(634,499)

Carl

Zeiss

Meditec

(2)

(3,368)

(293,598)

Continental

(2)

(1,021)

(71,738)

CTS

Eventim

Co.

KGaA

(2)

(7,388)

(419,369)

Deutsche

Telekom

(Registered)

(2)

(14,904)

(312,638)

Fraport

Frankfurt

Airport

Services

Worldwide

(2)

(2,180)

(115,250)

HelloFresh

(2)

(3,711)

(110,271)

Infineon

Technologies

(2)

(10,047)

(332,764)

Merck

KGaA

(2)

(6,020)

(1,003,578)

MTU

Aero

Engines

(2)

(374)

(67,735)

Nemetschek

(2)

(4,931)

(300,094)

Puma

(2)

(5,310)

(328,330)

Rational

(2)

(150)

(94,905)

Rheinmetall

(2)

(1,410)

(362,725)

RWE

(2)

(10,804)

(401,042)

SAP

(2)

(5,417)

(701,187)

Scout24

(2)(b)

(821)

(56,927)

Siemens

(Registered)

(2)

(1,063)

(151,912)

Siemens

Healthineers

(2)(b)

(17,983)

(909,614)

Symrise

AG,

Class

(2)

(8,633)

(821,852)

TeamViewer

(2)(b)

(7,378)

(124,006)

United

Internet

(Registered)

(2)

(2,660)

(56,857)

VERBIO

Vereinigte

BioEnergie

(2)

(4,962)

(199,147)

Vonovia

(2)

(31,034)

(743,522)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Germany

(5.3)%

(continued)

Zalando

(2)(b)

(12,554)

(278,929)

(9,833,765)

—

Hong

Kong

(0.3)%

Prudential

plc

(2)

(53,882)

(579,196)

Italy

(2.7)%

Amplifon

SpA

(2)

(6,675)

(197,587)

Brunello

Cucinelli

SpA

(2)

(3,333)

(252,804)

Davide

Campari-Milano

(2)

(6,439)

(75,802)

DiaSorin

SpA

(2)

(674)

(61,376)

Enel

SpA

(2)

(97,605)

(598,588)

ERG

SpA

(2)

(17,177)

(413,623)

Ferrari

(2)

(1,771)

(522,065)

FinecoBank

Banca

Fineco

SpA

(2)

(3,135)

(37,856)

Infrastrutture

Wireless

Italiane

SpA

(2)(b)

(16,203)

(192,530)

Interpump

Group

SpA

(2)

(6,867)

(314,126)

Mediobanca

Banca

Credito

Finanziario

SpA

(2)

(26,502)

(349,405)

Moncler

SpA

(2)

(6,505)

(376,997)

Nexi

SpA

(2)(b)

(58,363)

(355,610)

Recordati

Industria

Chimica

Farmaceutica

SpA

(2)

(3,198)

(150,707)

Snam

SpA

(2)

(74,518)

(349,659)

Telecom

Italia

SpA

(2)

(727,461)

(226,870)

Terna

Rete

Elettrica

Nazionale

(2)

(65,646)

(493,752)

(4,969,357)

—

Japan

(23.4)%

ABC-Mart,

Inc.

(2)

(2,700)

(48,525)

Advantest

Corp.

(2)

(24,000)

(669,444)

Aeon

Co.

Ltd.

(2)

(32,200)

(637,821)

Ajinomoto

Co.,

Inc.

(2)

(13,400)

(516,686)

Asahi

Intecc

Co.

Ltd.

(2)

(13,300)

(238,447)

Asahi

Kasei

Corp.

(2)

(29,200)

(183,799)

Asics

Corp.

(2)

(7,300)

(254,198)

Azbil

Corp.

(2)

(5,400)

(164,967)

Bank

Kyoto

Ltd.

(The)

(2)

(7,600)

(431,463)

BayCurrent

Consulting,

Inc.

(2)

(5,300)

(176,611)

Bridgestone

Corp.

(2)

(19,200)

(748,185)

Calbee,

Inc.

(2)

(7,500)

(142,660)

Canon,

Inc.

(2)

(11,700)

(281,837)

Capcom

Co.

Ltd.

(2)

(6,200)

(223,149)

Chugai

Pharmaceutical

Co.

Ltd.

(2)

(4,200)

(129,503)

Concordia

Financial

Group

Ltd.

(2)

(24,700)

(112,521)

Cosmos

Pharmaceutical

Corp.

(2)

(1,500)

(153,357)

CyberAgent,

Inc.

(2)

(6,200)

(33,375)

Daifuku

Co.

Ltd.

(2)

(19,000)

(358,656)

Daiichi

Sankyo

Co.

Ltd.

(2)

(19,800)

(542,071)

Daikin

Industries

Ltd.

(2)

(3,200)

(501,669)

Denso

Corp.

(2)

(27,600)

(442,866)

East

Japan

Railway

Co.

(2)

(11,500)

(658,110)

Eisai

Co.

Ltd.

(2)

(13,600)

(753,764)

FANUC

Corp.

(2)

(19,800)

(514,947)

Fast

Retailing

Co.

Ltd.

(2)

(2,400)

(522,757)

FUJIFILM

Holdings

Corp.

(2)

(4,400)

(254,543)

GMO

Payment

Gateway,

Inc.

(2)

(7,800)

(425,596)

Hankyu

Hanshin

Holdings,

Inc.

(2)

(3,100)

(105,774)

Harmonic

Drive

Systems,

Inc.

(2)

(18,700)

(414,421)

INVESTMENTS

VALUE

($)

Japan

(23.4)%

(continued)

Hikari

Tsushin,

Inc.

(2)

(1,400)

(213,214)

Hoshizaki

Corp.

(2)

(8,000)

(277,714)

Hoya

Corp.

(2)

(5,700)

(583,780)

Hulic

Co.

Ltd.

(2)

(27,600)

(247,485)

Ibiden

Co.

Ltd.

(2)

(8,200)

(434,931)

Japan

Airlines

Co.

Ltd.

(2)

(2,000)

(38,858)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(12,900)

(546,501)

Japan

Post

Bank

Co.

Ltd.

(2)

(30,400)

(264,536)

Japan

Tobacco,

Inc.

(2)

(19,700)

(453,258)

Kadokawa

Corp.

(2)

(11,000)

(220,017)

Kakaku.com,

Inc.

(2)

(8,300)

(84,051)

KDDI

Corp.

(2)

(10,300)

(315,288)

Keio

Corp.

(2)

(11,300)

(388,473)

Keisei

Electric

Railway

Co.

Ltd.

(2)

(4,100)

(142,017)

Keyence

Corp.

(2)

(2,600)

(961,546)

Kikkoman

Corp.

(2)

(6,300)

(330,200)

Kintetsu

Group

Holdings

Co.

Ltd.

(2)

(8,600)

(243,833)

Kobe

Bussan

Co.

Ltd.

(2)

(25,000)

(585,287)

Koei

Tecmo

Holdings

Co.

Ltd.

(2)

(5,200)

(73,879)

Kose

Corp.

(2)

(2,700)

(195,702)

Kubota

Corp.

(2)

(27,900)

(410,432)

Kurita

Water

Industries

Ltd.

(2)

(2,500)

(86,997)

Kyowa

Kirin

Co.

Ltd.

(2)

(7,900)

(137,356)

Lasertec

Corp.

(2)

(7,600)

(1,181,894)

M3,

Inc.

(2)

(27,000)

(489,746)

Makita

Corp.

(2)

(5,400)

(133,160)

Marui

Group

Co.

Ltd.

(2)

(18,100)

(294,049)

MatsukiyoCocokara

Co.

(2)

(6,900)

(123,600)

Mercari,

Inc.

(2)

(28,000)

(602,432)

Mitsubishi

Estate

Co.

Ltd.

(2)

(55,600)

(725,359)

Mitsubishi

UFJ

Financial

Group,

Inc.

(2)

(41,600)

(352,525)

Mitsui

Fudosan

Co.

Ltd.

(2)

(10,600)

(233,455)

Mitsui

OSK

Lines

Ltd.

(2)

(16,100)

(442,413)

MonotaRO

Co.

Ltd.

(2)

(38,000)

(405,125)

Murata

Manufacturing

Co.

Ltd.

(2)

(17,700)

(322,886)

Nagoya

Railroad

Co.

Ltd.

(2)

(7,000)

(103,383)

NIDEC

Corp.

(2)

(16,900)

(780,331)

Nihon

M&A

Center

Holdings,

Inc.

(2)

(58,900)

(283,070)

Nintendo

Co.

Ltd.

(2)

(7,000)

(290,871)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(69,900)

(469,457)

Nippon

Sanso

Holdings

Corp.

(2)

(4,100)

(97,074)

Nippon

Shinyaku

Co.

Ltd.

(2)

(2,000)

(84,451)

Nippon

Telegraph

Telephone

Corp.

(2)

(185,700)

(219,801)

Nissan

Chemical

Corp.

(2)

(9,300)

(395,338)

Nissan

Motor

Co.

Ltd.

(2)

(104,200)

(459,860)

Nissin

Foods

Holdings

Co.

Ltd.

(2)

(1,900)

(157,876)

Nitori

Holdings

Co.

Ltd.

(2)

(3,800)

(423,683)

Nomura

Research

Institute

Ltd.

(2)

(9,200)

(239,124)

NTT

Data

Group

Corp.

(2)

(13,700)

(183,325)

Obic

Co.

Ltd.

(2)

(2,500)

(378,801)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(20,600)

(307,801)

Omron

Corp.

(2)

(2,800)

(124,604)

Oriental

Land

Co.

Ltd.

(2)

(16,300)

(534,765)

Renesas

Electronics

Corp.

(2)

(6,500)

(99,287)

Resona

Holdings,

Inc.

(2)

(60,100)

(332,304)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Japan

(23.4)%

(continued)

Resonac

Holdings

Corp.

(2)

(23,800)

(398,150)

Rinnai

Corp.

(2)

(6,300)

(117,804)

Seven

Holdings

Co.

Ltd.

(2)

(3,400)

(133,111)

Holdings

Co.

Ltd.

(2)

(28,200)

(361,012)

Sharp

Corp.

(2)

(28,200)

(175,563)

SHIFT,

Inc.

(2)

(1,000)

(181,853)

Shimadzu

Corp.

(2)

(5,000)

(132,626)

Shimano,

Inc.

(2)

(1,400)

(187,382)

Shiseido

Co.

Ltd.

(2)

(7,600)

(266,336)

Shizuoka

Financial

Group,

Inc.

(2)

(11,900)

(96,979)

SMC

Corp.

(2)

(1,300)

(582,741)

SoftBank

Corp.

(2)

(78,200)

(885,091)

SoftBank

Group

Corp.

(2)

(21,300)

(897,273)

Sony

Group

Corp.

(2)

(10,100)

(825,933)

Sumitomo

Chemical

Co.

Ltd.

(2)

(48,400)

(131,644)

Sumitomo

Metal

Mining

Co.

Ltd.

(2)

(12,400)

(364,140)

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)

(8,800)

(432,309)

Sumitomo

Realty

Development

Co.

Ltd.

(2)

(7,200)

(186,923)

Suzuki

Motor

Corp.

(2)

(4,600)

(185,017)

Sysmex

Corp.

(2)

(4,600)

(218,579)

T&D

Holdings,

Inc.

(2)

(29,500)

(485,128)

Taiyo

Yuden

Co.

Ltd.

(2)

(8,200)

(221,561)

Takeda

Pharmaceutical

Co.

Ltd.

(2)

(15,600)

(483,546)

Terumo

Corp.

(2)

(18,400)

(487,064)

TIS,

Inc.

(2)

(1,400)

(30,785)

Tobu

Railway

Co.

Ltd.

(2)

(5,300)

(136,218)

Tokio

Marine

Holdings,

Inc.

(2)

(5,700)

(131,976)

Tokyo

Century

Corp.

(2)

(1,100)

(43,847)

Tokyo

Electron

Ltd.

(2)

(3,900)

(532,710)

Tokyu

Corp.

(2)

(25,900)

(298,615)

Toray

Industries,

Inc.

(2)

(9,100)

(47,348)

Toshiba

Corp.

(2)

(21,100)

(649,709)

TOTO

Ltd.

(2)

(5,700)

(147,088)

Toyota

Motor

Corp.

(2)

(41,300)

(740,936)

Trend

Micro,

Inc.

(2)

(2,700)

(102,204)

Unicharm

Corp.

(2)

(10,200)

(360,649)

USS

Co.

Ltd.

(2)

(7,200)

(119,026)

Welcia

Holdings

Co.

Ltd.

(2)

(11,300)

(195,139)

West

Japan

Railway

Co.

(2)

(9,100)

(376,566)

Yakult

Honsha

Co.

Ltd.

(2)

(6,400)

(155,437)

Yamaha

Corp.

(2)

(18,200)

(497,072)

Yamaha

Motor

Co.

Ltd.

(2)

(4,700)

(123,549)

Yamato

Holdings

Co.

Ltd.

(2)

(5,500)

(89,519)

Yaskawa

Electric

Corp.

(2)

(16,700)

(601,385)

Holdings

Corp.

(2)

(61,300)

(170,053)

ZOZO,

Inc.

(2)

(4,100)

(75,076)

(43,211,599)

—

Luxembourg

(0.1)%

Eurofins

Scientific

(2)

(4,607)

(259,637)

Netherlands

(2.5)%

Adyen

(2)(b)

(1,068)

(791,852)

Aegon

(2)

(37,444)

(180,469)

Argenx

(2)

(1,850)

(904,332)

ASM

International

(2)

(509)

(212,555)

ASML

Holding

(2)

(1,083)

(637,617)

INVESTMENTS

VALUE

($)

Netherlands

(2.5)%

(continued)

Semiconductor

Industries

(2)

(836)

(81,766)

IMCD

(2)

(3,630)

(458,958)

JDE

Peet's

(1,243)

(34,720)

Koninklijke

Philips

(2)

(1,678)

(33,480)

Koninklijke

Vopak

(2)

(7,575)

(259,110)

SBM

Offshore

(2)

(9,255)

(121,333)

Universal

Music

Group

(2)

(28,249)

(737,191)

Wolters

Kluwer

(2)

(1,709)

(206,918)

(4,660,301)

—

New

Zealand

(0.0)%

†

Xero

Ltd.

(2)

(1,281)

(92,127)

Norway

(0.5)%

Gjensidige

Forsikring

ASA

(2)

(15,728)

(230,785)

Kongsberg

Gruppen

ASA

(2)

(1,409)

(58,070)

Mowi

ASA

(2)

(14,414)

(254,771)

Salmar

ASA

(2)

(2,098)

(106,260)

Schibsted

ASA,

Class

(2)

(8,359)

(187,578)

TOMRA

Systems

ASA

(2)

(12,577)

(142,924)

(980,388)

—

Portugal

(0.0)%

†

EDP

Energias

Portugal

(2)

(6,821)

(28,361)

Jeronimo

Martins

SGPS

(2)

(1,453)

(32,632)

(60,993)

—

Singapore

(1.7)%

City

Developments

Ltd.

(2)

(21,800)

(105,204)

DBS

Group

Holdings

Ltd.

(2)

(11,700)

(287,348)

Grab

Holdings

Ltd.,

Class

(155,695)

(551,160)

Keppel

Corp.

Ltd.

(2)

(28,600)

(142,023)

Sea

Ltd.,

ADR

(4,430)

(194,699)

Seatrium

Ltd.

(2)

(5,012,100)

(490,086)

Singapore

Technologies

Engineering

Ltd.

(2)

(172,800)

(493,146)

Singapore

Telecommunications

Ltd.

(2)

(495,000)

(876,197)

(3,139,863)

—

South

Africa

(0.1)%

Anglo

American

plc

(2)

(7,438)

(204,245)

South

Korea

(0.3)%

Delivery

Hero

(2)(b)

(16,277)

(464,765)

Spain

(1.8)%

Aena

SME

(2)(b)

(721)

(108,494)

Amadeus

Group

(2)

(10,100)

(610,067)

Bankinter

(2)

(17,896)

(113,854)

Cellnex

Telecom

(2)(b)

(19,493)

(678,006)

Corp.

ACCIONA

Energias

Renovables

(2)

(7,033)

(181,154)

Endesa

(2)

(6,008)

(122,271)

Fluidra

(2)

(13,051)

(266,298)

Grifols

(2)

(53,385)

(691,438)

Iberdrola

(2)

(15,382)

(172,039)

Industria

Diseno

Textil

(2)

(987)

(36,728)

Naturgy

Energy

Group

(2)

(11,859)

(322,626)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Spain

(1.8)%

(continued)

Telefonica

(2)

(12,983)

(53,040)

(3,356,015)

—

Sweden

(2.9)%

AddTech

AB,

Class

(2)

(8,386)

(133,834)

Alfa

Laval

(2)

(2,367)

(81,088)

Assa

Abloy

AB,

Class

(2)

(5,703)

(123,918)

Atlas

Copco

AB,

Class

(2)

(16,206)

(217,658)

Autoliv,

Inc.

(568)

(54,801)

Beijer

Ref

AB,

Class

(2)

(17,567)

(184,827)

Castellum

(2)

(15,875)

(160,918)

Epiroc

AB,

Class

(2)

(18,432)

(349,973)

EQT

(2)

(45,852)

(903,421)

Fastighets

Balder,

Class

(2)

(30,280)

(135,740)

Hexagon

AB,

Class

(2)

(54,956)

(467,716)

Holmen

AB,

Class

(2)

(7,848)

(305,054)

Husqvarna

AB,

Class

(2)

(11,685)

(89,170)

Indutrade

(2)

(1,754)

(32,394)

Lifco

AB,

Class

(2)

(9,369)

(163,895)

Nibe

Industrier

AB,

Class

(2)

(76,058)

(497,248)

Sagax

AB,

Class

(2)

(14,520)

(275,814)

Skandinaviska

Enskilda

Banken

AB,

Class

(2)

(10,765)

(128,339)

Svenska

Cellulosa

SCA,

Class

(2)

(54,148)

(741,401)

Svenska

Handelsbanken

AB,

Class

(2)

(13,425)

(119,454)

Tele2

AB,

Class

(2)

(15,302)

(117,022)

Telia

Co.

(2)

(54,607)

(112,638)

(5,396,323)

—

Switzerland

(4.7)%

ABB

Ltd.

(Registered)

(2)

(12,363)

(441,275)

Alcon,

Inc.

(2)

(1,648)

(127,172)

Bachem

Holding

AG,

Class

(2)

(1,306)

(96,329)

Banque

Cantonale

Vaudoise

(Registered)

(2)

(3,898)

(407,895)

Belimo

Holding

(Registered)

(2)

(245)

(116,276)

Chocoladefabriken

Lindt

Spruengli

(2)

(23)

(255,589)

Clariant

(Registered)

(2)

(12,856)

(202,696)

DSM-Firmenich

(2)

(8,725)

(737,287)

EMS-Chemie

Holding

(Registered)

(2)

(233)

(157,892)

Givaudan

(Registered)

(2)

(177)

(576,283)

Helvetia

Holding

(Registered)

(2)

(664)

(92,753)

Julius

Baer

Group

Ltd.

(2)

(3,842)

(245,918)

Logitech

International

(Registered)

(2)

(2,266)

(155,897)

Lonza

Group

(Registered)

(2)

(915)

(423,231)

Partners

Group

Holding

(2)

(675)

(757,752)

PSP

Swiss

Property

(Registered)

(2)

(1,853)

(218,620)

SIG

Group

(2)

(31,171)

(767,910)

Sika

(Registered)

(2)

(3,609)

(914,381)

Straumann

Holding

(Registered)

(2)

(3,804)

(484,169)

Swiss

Prime

Site

(Registered)

(2)

(2,261)

(206,992)

INVESTMENTS

VALUE

($)

Switzerland

(4.7)%

(continued)

Temenos

(Registered)

(2)

(3,603)

(251,995)

VAT

Group

(2)(b)

(1,352)

(482,452)

Zurich

Insurance

Group

(2)

(1,071)

(490,042)

(8,610,806)

—

United

Kingdom

(5.7)%

Admiral

Group

plc

(2)

(11,136)

(321,826)

Ashtead

Group

plc

(2)

(3,471)

(210,491)

AstraZeneca

plc

(2)

(5,058)

(682,246)

Beazley

plc

(2)

(21,281)

(143,100)

Berkeley

Group

Holdings

plc

(2)

(2,061)

(102,925)

CNH

Industrial

(2)

(71,811)

(871,759)

ConvaTec

Group

plc

(2)(b)

(61,992)

(164,283)

Croda

International

plc

(2)

(7,189)

(429,411)

Diageo

plc

(2)

(10,664)

(393,162)

Diploma

plc

(2)

(2,592)

(94,628)

Direct

Line

Insurance

Group

plc

(2)

(57,068)

(119,388)

easyJet

plc

(2)

(24,272)

(125,810)

Entain

plc

(2)

(2,691)

(30,521)

Halma

plc

(2)

(11,103)

(261,595)

Harbour

Energy

plc

(2)

(95,471)

(298,982)

Hargreaves

Lansdown

plc

(2)

(9,060)

(85,209)

Hiscox

Ltd.

(2)

(10,685)

(130,642)

Informa

plc

(2)

(73,195)

(668,378)

Intermediate

Capital

Group

plc

(2)

(19,718)

(330,976)

ITV

plc

(2)

(38,773)

(33,307)

Legal

General

Group

plc

(2)

(52,257)

(141,007)

Liberty

Global

plc,

Class

(21,214)

(393,732)

M&G

plc

(2)

(162,103)

(388,385)

Melrose

Industries

plc

(2)

(32,232)

(183,735)

National

Grid

plc

(2)

(52,627)

(629,385)

Ocado

Group

plc

(2)

(12,643)

(91,926)

Persimmon

plc

(2)

(14,544)

(190,475)

Reckitt

Benckiser

Group

plc

(2)

(10,065)

(709,791)

RELX

plc

(2)

(11,420)

(385,310)

Sage

Group

plc

(The)

(2)

(10,551)

(126,970)

Smith

Nephew

plc

(2)

(2,625)

(32,578)

Spirax-Sarco

Engineering

plc

(2)

(3,375)

(390,667)

SSE

plc

(2)

(13,023)

(255,203)

James's

Place

plc

(2)

(24,422)

(246,393)

Tate

Lyle

plc

(4,485)

(37,512)

Weir

Group

plc

(The)

(2)

(8,209)

(189,669)

Smith

plc

(2)

(4,027)

(65,750)

Wise

plc,

Class

(2)

(35,110)

(292,795)

WPP

plc

(2)

(43,708)

(389,408)

(10,639,330)

—

United

States

(84.8)%

10X

Genomics,

Inc.,

Class

(11,535)

(475,819)

Acadia

Healthcare

Co.,

Inc.

(6,078)

(427,344)

Advanced

Drainage

Systems,

Inc.

(1,909)

(217,301)

Advanced

Micro

Devices,

Inc.

(4,756)

(489,012)

AECOM

(3,374)

(280,177)

AES

Corp.

(The)

(34,133)

(518,822)

Affirm

Holdings,

Inc.,

Class

(10,597)

(225,398)

Aflac,

Inc.

(2,946)

(226,106)

agilon

health,

Inc.

(35,311)

(627,123)

Air

Lease

Corp.,

Class

(855)

(33,696)

Air

Products

and

Chemicals,

Inc.

(2,260)

(640,484)

Alaska

Air

Group,

Inc.

(6,861)

(254,406)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

United

States

(84.8)%

(continued)

Alcoa

Corp.

(15,055)

(437,498)

Allegion

plc

(493)

(51,371)

Alliant

Energy

Corp.

(11,152)

(540,314)

Allstate

Corp.

(The)

(5,909)

(658,322)

Alnylam

Pharmaceuticals,

Inc.

(1,550)

(274,505)

Alteryx,

Inc.,

Class

(16,506)

(622,111)

Amazon.com,

Inc.

(7,175)

(912,085)

Amcor

plc

(45,355)

(415,452)

Ameren

Corp.

(1,251)

(93,612)

American

Airlines

Group,

Inc.

(22,791)

(291,953)

American

Electric

Power

Co.,

Inc.

(5,310)

(399,418)

American

Express

Co.

(3,967)

(591,837)

American

Financial

Group,

Inc.

(919)

(102,625)

American

Water

Works

Co.,

Inc.

(5,942)

(735,798)

AMETEK,

Inc.

(2,035)

(300,692)

Amphenol

Corp.,

Class

(2,414)

(202,752)

Antero

Resources

Corp.

(13,013)

(330,270)

Aon

plc,

Class

(2,308)

(748,300)

APA

Corp.

(1,800)

(73,980)

AptarGroup,

Inc.

(2,106)

(263,334)

Aptiv

plc

(5,377)

(530,118)

Arista

Networks,

Inc.

(2,304)

(423,775)

Armstrong

World

Industries,

Inc.

(2,078)

(149,616)

Arrowhead

Pharmaceuticals,

Inc.

(10,082)

(270,903)

Arthur

Gallagher

Co.

(2,759)

(628,859)

Ashland,

Inc.

(5,250)

(428,820)

Atlassian

Corp.,

Class

(676)

(136,221)

Atmos

Energy

Corp.

(1,391)

(147,349)

Automatic

Data

Processing,

Inc.

(650)

(156,377)

AutoZone,

Inc.

(135)

(342,899)

Avery

Dennison

Corp.

(3,407)

(622,357)

Avis

Budget

Group,

Inc.

(245)

(44,024)

Axalta

Coating

Systems

Ltd.

(4,264)

(114,702)

Axon

Enterprise,

Inc.

(2,420)

(481,556)

AZEK

Co.,

Inc.

(The),

Class

(5,473)

(162,767)

Azenta,

Inc.

(12,712)

(638,015)

Baker

Hughes

Co.,

Class

(4,198)

(148,273)

Ball

Corp.

(10,126)

(504,072)

Bank

Hawaii

Corp.

(4,211)

(209,245)

Bath

Body

Works,

Inc.

(3,102)

(104,848)

Baxter

International,

Inc.

(5,978)

(225,610)

Becton

Dickinson

Co.

(1,236)

(319,543)

BellRing

Brands,

Inc.

(5,565)

(229,445)

Bentley

Systems,

Inc.,

Class

(2,218)

(111,255)

BILL

Holdings,

Inc.

(5,395)

(585,735)

BioMarin

Pharmaceutical,

Inc.

(4,039)

(357,371)

Bio-Rad

Laboratories,

Inc.,

Class

(1,069)

(383,183)

Bio-Techne

Corp.

(3,930)

(267,515)

BJ's

Wholesale

Club

Holdings,

Inc.

(5,003)

(357,064)

BlackRock,

Inc.

(848)

(548,224)

Block,

Inc.,

Class

(4,935)

(218,423)

Blue

Owl

Capital,

Inc.,

Class

(5,004)

(64,852)

Boeing

Co.

(The)

(2,173)

(416,521)

BOK

Financial

Corp.

(2,096)

(167,638)

Boston

Scientific

Corp.

(6,640)

(350,592)

Bright

Horizons

Family

Solutions,

Inc.

(2,739)

(223,119)

Brink's

Co.

(The)

(1,700)

(123,488)

Brookfield

Renewable

Corp.,

Class

(1,847)

(44,208)

INVESTMENTS

VALUE

($)

United

States

(84.8)%

(continued)

Brown

Brown,

Inc.

(3,838)

(268,046)

Brown-Forman

Corp.,

Class

(8,563)

(493,999)

Burlington

Stores,

Inc.

(1,447)

(195,779)

Cable

One,

Inc.

(536)

(329,983)

Cadence

Bank

(11,127)

(236,115)

Caesars

Entertainment,

Inc.

(1,052)

(48,760)

Calix,

Inc.

(1,303)

(59,730)

Campbell

Soup

Co.

(3,344)

(137,372)

CarMax,

Inc.

(4,493)

(317,790)

Carnival

Corp.

(19,886)

(272,836)

Carvana

Co.,

Class

(1,639)

(68,805)

Catalent,

Inc.

(9,207)

(419,195)

Cboe

Global

Markets,

Inc.

(1,566)

(244,625)

CDW

Corp.

(1,176)

(237,270)

Celanese

Corp.,

Class

(2,212)

(277,650)

Celsius

Holdings,

Inc.

(2,313)

(396,911)

CenterPoint

Energy,

Inc.

(14,507)

(389,513)

Ceridian

HCM

Holding,

Inc.

(9,253)

(627,816)

Certara,

Inc.

(3,152)

(45,830)

Charles

Schwab

Corp.

(The)

(6,989)

(383,696)

Chart

Industries,

Inc.

(3,225)

(545,412)

Charter

Communications,

Inc.,

Class

(946)

(416,070)

Chemed

Corp.

(1,031)

(535,811)

Cheniere

Energy,

Inc.

(1,188)

(197,160)

Chewy,

Inc.,

Class

(7,318)

(133,627)

Chipotle

Mexican

Grill,

Inc.,

Class

(129)

(236,306)

Choice

Hotels

International,

Inc.

(673)

(82,449)

Chubb

Ltd.

(1,613)

(335,794)

Church

Dwight

Co.,

Inc.

(1,628)

(149,174)

Churchill

Downs,

Inc.

(2,157)

(250,298)

Ciena

Corp.

(6,698)

(316,547)

Cincinnati

Financial

Corp.

(4,078)

(417,139)

Clarivate

plc

(19,394)

(130,134)

Cleveland-Cliffs,

Inc.

(3,027)

(47,312)

Clorox

Co.

(The)

(565)

(74,049)

Cloudflare,

Inc.,

Class

(6,196)

(390,596)

CME

Group,

Inc.

(3,343)

(669,335)

CMS

Energy

Corp.

(9,952)

(528,551)

CNX

Resources

Corp.

(6,704)

(151,376)

Coca-Cola

Co.

(The)

(3,714)

(207,910)

Cognex

Corp.

(6,258)

(265,590)

Coherent

Corp.

(5,205)

(169,891)

Coinbase

Global,

Inc.,

Class

(5,202)

(390,566)

Commerce

Bancshares,

Inc.

(12,046)

(577,967)

Conagra

Brands,

Inc.

(9,157)

(251,085)

Confluent,

Inc.,

Class

(16,072)

(475,892)

ConocoPhillips

(2,723)

(326,215)

Constellation

Brands,

Inc.,

Class

(1,199)

(301,345)

Constellation

Energy

Corp.

(1,518)

(165,583)

Core

Main,

Inc.,

Class

(1,687)

(48,670)

Corning,

Inc.

(5,702)

(173,740)

Corteva,

Inc.

(18,093)

(925,637)

CoStar

Group,

Inc.

(4,901)

(376,838)

Costco

Wholesale

Corp.

(1,464)

(827,100)

Crane

Co.

(2,655)

(235,870)

Credit

Acceptance

Corp.

(610)

(280,673)

Crowdstrike

Holdings,

Inc.,

Class

(976)

(163,363)

Crown

Holdings,

Inc.

(5,623)

(497,523)

CSL

Ltd.

(2)

(7,459)

(1,201,666)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

United

States

(84.8)%

(continued)

CSX

Corp.

(8,159)

(250,889)

Cullen/Frost

Bankers,

Inc.

(5,327)

(485,876)

Darling

Ingredients,

Inc.

(3,515)

(183,483)

Datadog,

Inc.,

Class

(3,670)

(334,300)

DaVita,

Inc.

(939)

(88,764)

Deere

Co.

(691)

(260,770)

Definitive

Healthcare

Corp.,

Class

(36,343)

(290,381)

Delta

Air

Lines,

Inc.

(6,371)

(235,727)

Devon

Energy

Corp.

(2,220)

(105,894)

Dexcom,

Inc.

(4,241)

(395,685)

Dollar

General

Corp.

(4,388)

(464,250)

Dollar

Tree,

Inc.

(4,075)

(433,784)

Dominion

Energy,

Inc.

(14,777)

(660,089)

DoorDash,

Inc.,

Class

(2,562)

(203,602)

DoubleVerify

Holdings,

Inc.

(1,718)

(48,018)

Horton,

Inc.

(1,488)

(159,915)

DraftKings,

Inc.,

Class

(10,605)

(312,211)

Driven

Brands

Holdings,

Inc.

(7,590)

(95,558)

Midstream,

Inc.

(7,924)

(419,338)

DTE

Energy

Co.

(3,665)

(363,861)

Duke

Energy

Corp.

(8,254)

(728,498)

Dun

Bradstreet

Holdings,

Inc.

(17,793)

(177,752)

DuPont

Nemours,

Inc.

(4,481)

(334,238)

Dynatrace,

Inc.

(5,075)

(237,155)

Eaton

Corp.

plc

(915)

(195,151)

Ecolab,

Inc.

(304)

(51,498)

Edison

International

(7,900)

(499,991)

Edwards

Lifesciences

Corp.

(1,451)

(100,525)

Elanco

Animal

Health,

Inc.

(4,161)

(46,770)

Elastic

(3,789)

(307,818)

Element

Solutions,

Inc.

(7,724)

(151,468)

Eli

Lilly

Co.

(2,449)

(1,315,430)

Emerson

Electric

Co.

(5,336)

(515,298)

Energizer

Holdings,

Inc.

(895)

(28,676)

Enhabit,

Inc.

(18,217)

(204,941)

Enphase

Energy,

Inc.

(1,278)

(153,552)

Entegris,

Inc.

(1,970)

(185,003)

Envestnet,

Inc.

(15,065)

(663,312)

EPAM

Systems,

Inc.

(438)

(111,992)

Equifax,

Inc.

(1,823)

(333,937)

Erie

Indemnity

Co.,

Class

(607)

(178,331)

Essential

Utilities,

Inc.

(7,324)

(251,433)

Estee

Lauder

Cos.,

Inc.

(The),

Class

(2,625)

(379,444)

Etsy,

Inc.

(4,530)

(292,547)

Eversource

Energy

(3,559)

(206,956)

Exact

Sciences

Corp.

(854)

(58,260)

Exelon

Corp.

(15,716)

(593,908)

ExlService

Holdings,

Inc.

(4,523)

(126,825)

Experian

plc

(2)

(8,016)

(262,184)

Exponent,

Inc.

(1,657)

(141,839)

FactSet

Research

Systems,

Inc.

(897)

(392,222)

Fastenal

Co.

(4,812)

(262,928)

Ferrovial

(2)

(36,470)

(1,114,413)

Fifth

Third

Bancorp

(6,797)

(172,168)

First

Citizens

BancShares,

Inc.,

Class

(194)

(267,739)

First

Financial

Bankshares,

Inc.

(26,578)

(667,639)

First

Hawaiian,

Inc.

(12,793)

(230,914)

First

Solar,

Inc.

(786)

(127,010)

INVESTMENTS

VALUE

($)

United

States

(84.8)%

(continued)

FirstEnergy

Corp.

(17,502)

(598,218)

Five

Below,

Inc.

(2,433)

(391,470)

Five9,

Inc.

(5,968)

(383,742)

Floor

Decor

Holdings,

Inc.,

Class

(3,889)

(351,955)

FMC

Corp.

(6,107)

(408,986)

Ford

Motor

Co.

(10,732)

(133,291)

Fox

Factory

Holding

Corp.

(2,502)

(247,898)

Freeport-McMoRan,

Inc.

(19,852)

(740,281)

Freshpet,

Inc.

(6,402)

(421,764)

Frontier

Communications

Parent,

Inc.

(24,424)

(382,236)

FTI

Consulting,

Inc.

(2,007)

(358,069)

Garmin

Ltd.

(2,930)

(308,236)

GATX

Corp.

(3,880)

(422,260)

General

Mills,

Inc.

(4,772)

(305,360)

Gentex

Corp.

(4,039)

(131,429)

Glacier

Bancorp,

Inc.

(18,218)

(519,213)

Globant

(1,710)

(338,324)

Globe

Life,

Inc.

(2,649)

(288,026)

GoDaddy,

Inc.,

Class

(1,465)

(109,113)

Goldman

Sachs

Group,

Inc.

(The)

(542)

(175,375)

Grocery

Outlet

Holding

Corp.

(15,592)

(449,829)

Guardant

Health,

Inc.

(5,488)

(162,664)

Guidewire

Software,

Inc.

(7,254)

(652,860)

Hancock

Whitney

Corp.

(1,592)

(58,888)

Hanesbrands,

Inc.

(97,673)

(386,785)

Hanover

Insurance

Group,

Inc.

(The)

(1,712)

(189,998)

Harley-Davidson,

Inc.

(9,943)

(328,716)

Hasbro,

Inc.

(4,206)

(278,185)

Hayward

Holdings,

Inc.

(31,389)

(442,585)

HealthEquity,

Inc.

(7,710)

(563,216)

HEICO

Corp.

(900)

(145,737)

Helen

Troy

Ltd.

(520)

(60,611)

Hershey

Co.

(The)

(2,369)

(473,990)

Hertz

Global

Holdings,

Inc.

(6,795)

(83,239)

Hess

Corp.

(6,348)

(971,243)

Hilton

Worldwide

Holdings,

Inc.

(1,313)

(197,186)

Home

BancShares,

Inc.

(17,974)

(376,376)

Home

Depot,

Inc.

(The)

(96)

(29,007)

Honeywell

International,

Inc.

(1,248)

(230,556)

Hormel

Foods

Corp.

(10,566)

(401,825)

Howard

Hughes

Holdings,

Inc.

(3,197)

(236,994)

HubSpot,

Inc.

(191)

(94,068)

Hyatt

Hotels

Corp.,

Class

(1,332)

(141,299)

ICU

Medical,

Inc.

(788)

(93,780)

IDACORP,

Inc.

(1,071)

(100,299)

IDEX

Corp.

(1,737)

(361,331)

IDEXX

Laboratories,

Inc.

(569)

(248,807)

Illinois

Tool

Works,

Inc.

(792)

(182,406)

Illumina,

Inc.

(3,912)

(537,039)

Inari

Medical,

Inc.

(4,967)

(324,842)

Ingersoll

Rand,

Inc.

(2,871)

(182,940)

Insulet

Corp.

(3,550)

(566,190)

Intercontinental

Exchange,

Inc.

(2,112)

(232,362)

International

Bancshares

Corp.

(873)

(37,836)

International

Flavors

Fragrances,

Inc.

(7,044)

(480,189)

Interpublic

Group

Cos.,

Inc.

(The)

(6,542)

(187,494)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

United

States

(84.8)%

(continued)

Intuitive

Surgical,

Inc.

(994)

(290,536)

Ionis

Pharmaceuticals,

Inc.

(17,650)

(800,603)

Iridium

Communications,

Inc.

(12,717)

(578,496)

Smucker

Co.

(The)

(1,227)

(150,811)

Jack

Henry

Associates,

Inc.

(1,797)

(271,599)

James

Hardie

Industries

plc,

CHESS

(2)

(11,527)

(301,468)

Jamf

Holding

Corp.

(7,853)

(138,684)

John

Wiley

Sons,

Inc.,

Class

(2,799)

(104,039)

Johnson

Controls

International

plc

(3,681)

(195,866)

JPMorgan

Chase

Co.

(241)

(34,950)

Juniper

Networks,

Inc.

(8,976)

(249,443)

KBR,

Inc.

(5,972)

(351,990)

Kellogg

Co.

(4,268)

(253,989)

Kemper

Corp.

(3,961)

(166,481)

Keurig

Pepper,

Inc.

(4,609)

(145,506)

KeyCorp

(14,866)

(159,958)

Kinder

Morgan,

Inc.

(35,310)

(585,440)

Kinsale

Capital

Group,

Inc.

(397)

(164,410)

Kirby

Corp.

(2,288)

(189,446)

Kraft

Heinz

Co.

(The)

(13,901)

(467,630)

Lamb

Weston

Holdings,

Inc.

(4,559)

(421,525)

Las

Vegas

Sands

Corp.

(3,597)

(164,886)

Leggett

Platt,

Inc.

(8,570)

(217,764)

Lennox

International,

Inc.

(772)

(289,068)

Leslie's,

Inc.

(67,119)

(379,894)

Liberty

Broadband

Corp.,

Class

(6,093)

(556,413)

Lincoln

National

Corp.

(7,138)

(176,237)

Linde

plc

(1,745)

(649,751)

Littelfuse,

Inc.

(436)

(107,832)

Louisiana-Pacific

Corp.

(4,426)

(244,625)

Lowe's

Cos.,

Inc.

(1,136)

(236,106)

LPL

Financial

Holdings,

Inc.

(144)

(34,222)

Lucid

Group,

Inc.

(56,115)

(313,683)

Lululemon

Athletica,

Inc.

(615)

(237,150)

Lumentum

Holdings,

Inc.

(3,341)

(150,946)

Lyft,

Inc.,

Class

(24,089)

(253,898)

MACOM

Technology

Solutions

Holdings,

Inc.

(3,200)

(261,056)

Madison

Square

Garden

Sports

Corp.,

Class

(2,233)

(393,678)

Maravai

LifeSciences

Holdings,

Inc.,

Class

(9,008)

(90,080)

Markel

Group,

Inc.

(146)

(214,984)

MarketAxess

Holdings,

Inc.

(1,151)

(245,900)

Marriott

International,

Inc.,

Class

(663)

(130,319)

Marsh

McLennan

Cos.,

Inc.

(1,100)

(209,330)

Martin

Marietta

Materials,

Inc.

(522)

(214,271)

Marvell

Technology,

Inc.

(1,232)

(66,688)

Masimo

Corp.

(2,435)

(213,501)

MasTec,

Inc.

(3,196)

(230,016)

Mastercard,

Inc.,

Class

(1,991)

(788,256)

Match

Group,

Inc.

(5,815)

(227,803)

Mattel,

Inc.

(10,425)

(229,663)

McCormick

Co.,

Inc.

(Non-Voting)

(5,118)

(387,126)

McDonald's

Corp.

(1,399)

(368,553)

MDU

Resources

Group,

Inc.

(8,384)

(164,159)

Mercury

Systems,

Inc.

(10,698)

(396,789)

Micron

Technology,

Inc.

(5,533)

(376,410)

Mirati

Therapeutics,

Inc.

(8,580)

(373,745)

INVESTMENTS

VALUE

($)

United

States

(84.8)%

(continued)

Mister

Car

Wash,

Inc.

(12,074)

(66,528)

MKS

Instruments,

Inc.

(522)

(45,174)

Moderna,

Inc.

(4,659)

(481,228)

Mondelez

International,

Inc.,

Class

(8,551)

(593,439)

MongoDB,

Inc.,

Class

(665)

(229,997)

Monolithic

Power

Systems,

Inc.

(280)

(129,360)

Monster

Beverage

Corp.

(2,855)

(151,172)

Moody's

Corp.

(617)

(195,077)

Morgan

Stanley

(8,056)

(657,934)

Morningstar,

Inc.

(1,046)

(245,015)

Motorola

Solutions,

Inc.

(3,265)

(888,863)

Materials

Corp.

(38,042)

(726,602)

MSCI,

Inc.,

Class

(1,126)

(577,728)

Nasdaq,

Inc.

(7,703)

(374,289)

Natera,

Inc.

(4,809)

(212,798)

nCino,

Inc.

(5,452)

(173,374)

Neogen

Corp.

(9,667)

(179,226)

Nestle

(Registered)

(2)

(6,695)

(757,846)

Netflix,

Inc.

(1,477)

(557,715)

Neurocrine

Biosciences,

Inc.

(796)

(89,550)

New

Fortress

Energy,

Inc.

(5,663)

(185,633)

New

Jersey

Resources

Corp.

(5,740)

(233,216)

New

Relic,

Inc.

(496)

(42,468)

New

York

Times

Co.

(The),

Class

(733)

(30,200)

Newell

Brands,

Inc.

(59,949)

(541,339)

Newmont

Corp.

(16,418)

(606,645)

News

Corp.,

Class

(5,789)

(116,127)

NextEra

Energy,

Inc.

(18,490)

(1,059,291)

NIKE,

Inc.,

Class

(5,221)

(499,232)

NiSource,

Inc.

(4,464)

(110,172)

Norfolk

Southern

Corp.

(1,280)

(252,070)

Northrop

Grumman

Corp.

(975)

(429,185)

Norwegian

Cruise

Line

Holdings

Ltd.

(4,143)

(68,277)

Novanta,

Inc.

(1,284)

(184,177)

Novocure

Ltd.

(13,688)

(221,061)

NRG

Energy,

Inc.

(7,374)

(284,046)

Occidental

Petroleum

Corp.

(5,948)

(385,906)

Okta,

Inc.,

Class

(4,086)

(333,050)

Old

National

Bancorp

(9,135)

(132,823)

Ollie's

Bargain

Outlet

Holdings,

Inc.

(2,301)

(177,591)

Omnicell,

Inc.

(1,548)

(69,722)

Omnicom

Group,

Inc.

(1,931)

(143,821)

ONEOK,

Inc.

(3,166)

(200,819)

Opendoor

Technologies,

Inc.

(10,590)

(27,958)

Option

Care

Health,

Inc.

(6,616)

(214,028)

Oracle

Corp.

(4,364)

(462,235)

O'Reilly

Automotive,

Inc.

(355)

(322,645)

Ormat

Technologies,

Inc.

(5,696)

(398,264)

Otis

Worldwide

Corp.

(4,071)

(326,942)

Palantir

Technologies,

Inc.,

Class

(17,605)

(281,680)

Papa

John's

International,

Inc.

(1,286)

(87,731)

Paramount

Global,

Class

(27,009)

(348,416)

Parker-Hannifin

Corp.

(770)

(299,930)

Paycom

Software,

Inc.

(832)

(215,713)

Paycor

HCM,

Inc.

(12,404)

(283,183)

Paylocity

Holding

Corp.

(1,690)

(307,073)

Pegasystems,

Inc.

(1,157)

(50,225)

Peloton

Interactive,

Inc.,

Class

(29,536)

(149,157)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

United

States

(84.8)%

(continued)

Penumbra,

Inc.

(1,432)

(346,415)

Perrigo

Co.

plc

(10,960)

(350,172)

Pinnacle

Financial

Partners,

Inc.

(2,113)

(141,656)

Pinterest,

Inc.,

Class

(6,324)

(170,938)

Planet

Fitness,

Inc.,

Class

(3,481)

(171,196)

Plug

Power,

Inc.

(45,474)

(345,602)

PNC

Financial

Services

Group,

Inc.

(The)

(1,894)

(232,526)

Pool

Corp.

(432)

(153,835)

PPL

Corp.

(9,555)

(225,116)

Primerica,

Inc.

(286)

(55,487)

Procore

Technologies,

Inc.

(3,064)

(200,140)

Progressive

Corp.

(The)

(6,367)

(886,922)

Progyny,

Inc.

(1,430)

(48,649)

Prosperity

Bancshares,

Inc.

(4,749)

(259,200)

PTC,

Inc.

(1,475)

(208,978)

Public

Service

Enterprise

Group,

Inc.

(5,329)

(303,273)

Quanta

Services,

Inc.

(2,224)

(416,044)

QuantumScape

Corp.

(8,883)

(59,427)

Quest

Diagnostics,

Inc.

(3,011)

(366,920)

RCM,

Inc.

(20,560)

(309,839)

Range

Resources

Corp.

(5,450)

(176,635)

Regions

Financial

Corp.

(7,852)

(135,054)

RenaissanceRe

Holdings

Ltd.

(992)

(196,337)

Repligen

Corp.

(3,383)

(537,931)

Republic

Services,

Inc.,

Class

(1,729)

(246,400)

ResMed,

Inc.

(2,454)

(362,873)

(567)

(149,892)

Rivian

Automotive,

Inc.,

Class

(12,142)

(294,808)

RLI

Corp.

(1,826)

(248,135)

Robinhood

Markets,

Inc.,

Class

(23,892)

(234,381)

ROBLOX

Corp.,

Class

(12,118)

(350,937)

Rockwell

Automation,

Inc.

(1,154)

(329,894)

Roku,

Inc.,

Class

(4,269)

(301,349)

Rollins,

Inc.

(3,884)

(144,990)

Ross

Stores,

Inc.

(917)

(103,575)

Royal

Caribbean

Cruises

Ltd.

(952)

(87,717)

Royal

Gold,

Inc.

(4,744)

(504,430)

Royalty

Pharma

plc,

Class

(7,862)

(213,375)

RPM

International,

Inc.

(1,237)

(117,280)

Ryan

Specialty

Holdings,

Inc.,

Class

(9,462)

(457,961)

S&P

Global,

Inc.

(714)

(260,903)

Schlumberger

(11,030)

(643,049)

Schneider

Electric

(2)

(4,689)

(772,710)

Scotts

Miracle-Gro

Co.

(The)

(4,308)

(222,637)

Sealed

Air

Corp.

(7,974)

(262,026)

Selective

Insurance

Group,

Inc.

(2,053)

(211,808)

Sempra

(4,282)

(291,304)

Sensient

Technologies

Corp.

(4,845)

(283,336)

SentinelOne,

Inc.,

Class

(32,570)

(549,130)

Service

Corp.

International

(8,431)

(481,747)

ServiceNow,

Inc.

(324)

(181,103)

Sherwin-Williams

Co.

(The)

(595)

(151,755)

Shift4

Payments,

Inc.,

Class

(1,227)

(67,939)

Shockwave

Medical,

Inc.

(1,943)

(386,851)

Silicon

Laboratories,

Inc.

(1,883)

(218,221)

SiteOne

Landscape

Supply,

Inc.

(1,517)

(247,954)

SiTime

Corp.

(3,730)

(426,153)

INVESTMENTS

VALUE

($)

United

States

(84.8)%

(continued)

Six

Flags

Entertainment

Corp.

(8,780)

(206,418)

SLM

Corp.

(11,348)

(154,560)

Smartsheet,

Inc.,

Class

(2,009)

(81,284)

Snap,

Inc.,

Class

(67,844)

(604,490)

Snowflake,

Inc.,

Class

(1,551)

(236,946)

SoFi

Technologies,

Inc.

(20,709)

(165,465)

SolarEdge

Technologies,

Inc.

(1,100)

(142,461)

Sonoco

Products

Co.

(5,791)

(314,741)

Sotera

Health

Co.

(20,310)

(304,244)

Southern

Co.

(The)

(8,957)

(579,697)

SouthState

Corp.

(4,129)

(278,129)

Southwest

Airlines

Co.

(11,401)

(308,625)

Southwest

Gas

Holdings,

Inc.

(12,843)

(775,845)

Spectrum

Brands

Holdings,

Inc.

(708)

(55,472)

Spire,

Inc.

(5,590)

(316,282)

Spirit

AeroSystems

Holdings,

Inc.,

Class

(2,909)

(46,951)

SS&C

Technologies

Holdings,

Inc.

(2,587)

(135,921)

STAAR

Surgical

Co.

(6,804)

(273,385)

Starbucks

Corp.

(2,939)

(268,243)

Stericycle,

Inc.

(2,274)

(101,671)

Stryker

Corp.

(1,153)

(315,080)

SunPower

Corp.

(17,081)

(105,390)

Sunrun,

Inc.

(9,494)

(119,245)

Sysco

Corp.

(3,389)

(223,843)

Rowe

Price

Group,

Inc.

(2,044)

(214,354)

Take-Two

Interactive

Software,

Inc.

(2,301)

(323,037)

Tandem

Diabetes

Care,

Inc.

(12,829)

(266,458)

Targa

Resources

Corp.

(3,212)

(275,333)

Teledyne

Technologies,

Inc.

(582)

(237,794)

Tempur

Sealy

International,

Inc.

(14,465)

(626,913)

Tesla,

Inc.

(4,071)

(1,018,645)

Texas

Capital

Bancshares,

Inc.

(3,113)

(183,356)

Thermo

Fisher

Scientific,

Inc.

(244)

(123,505)

TJX

Cos.,

Inc.

(The)

(3,438)

(305,569)

T-Mobile

US,

Inc.

(6,643)

(930,351)

Toast,

Inc.,

Class

(19,619)

(367,464)

Topgolf

Callaway

Brands

Corp.

(22,908)

(317,047)

Toro

Co.

(The)

(1,219)

(101,299)

Tractor

Supply

Co.

(1,533)

(311,276)

Trade

Desk,

Inc.

(The),

Class

(1,703)

(133,089)

Tradeweb

Markets,

Inc.,

Class

(2,285)

(183,257)

Trane

Technologies

plc

(773)

(156,849)

TransDigm

Group,

Inc.

(379)

(319,546)

TransUnion

(954)

(68,488)

Trex

Co.,

Inc.

(6,800)

(419,084)

Trimble,

Inc.

(4,270)

(229,982)

Twilio,

Inc.,

Class

(3,327)

(194,729)

Tyler

Technologies,

Inc.

(301)

(116,228)

Uber

Technologies,

Inc.

(10,776)

(495,588)

Ubiquiti,

Inc.

(699)

(101,565)

UGI

Corp.

(20,740)

(477,020)

UiPath,

Inc.,

Class

(10,537)

(180,288)

Ultragenyx

Pharmaceutical,

Inc.

(4,798)

(171,049)

UMB

Financial

Corp.

(1,933)

(119,943)

Under

Armour,

Inc.,

Class

(32,330)

(221,461)

Union

Pacific

Corp.

(2,885)

(587,473)

United

Bankshares,

Inc.

(6,395)

(176,438)

United

Parcel

Service,

Inc.,

Class

(3,088)

(481,327)

UnitedHealth

Group,

Inc.

(815)

(410,915)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

United

States

(84.8)%

(continued)

Unity

Software,

Inc.

(13,922)

(437,012)

Upstart

Holdings,

Inc.

(11,845)

(338,056)

Bancorp

(5,609)

(185,434)

Valaris

Ltd.

(3,860)

(289,423)

Valvoline,

Inc.

(10,499)

(338,488)

Verisk

Analytics,

Inc.,

Class

(847)

(200,095)

Corp.

(28,077)

(496,121)

Virtu

Financial,

Inc.,

Class

(7,505)

(129,611)

Visa,

Inc.,

Class

(3,259)

(749,603)

Visteon

Corp.

(1,915)

(264,404)

Vulcan

Materials

Co.

(776)

(156,768)

Berkley

Corp.

(2,724)

(172,947)

Walt

Disney

Co.

(The)

(5,538)

(448,855)

Warner

Bros

Discovery,

Inc.

(2,440)

(26,498)

Waste

Connections,

Inc.

(3,584)

(481,331)

Waste

Management,

Inc.

(2,995)

(456,558)

Watsco,

Inc.

(544)

(205,480)

Wayfair,

Inc.,

Class

(2,430)

(147,185)

Webster

Financial

Corp.

(3,988)

(160,756)

WEC

Energy

Group,

Inc.

(7,045)

(567,475)

Wells

Fargo

Co.

(3,737)

(152,694)

Wendy's

Co.

(The)

(6,569)

(134,073)

West

Pharmaceutical

Services,

Inc.

(516)

(193,608)

Western

Digital

Corp.

(9,545)

(435,538)

Westinghouse

Air

Brake

Technologies

Corp.

(2,769)

(294,262)

WEX,

Inc.

(523)

(98,371)

Whirlpool

Corp.

(2,886)

(385,858)

White

Mountains

Insurance

Group

Ltd.

(362)

(541,440)

Williams

Cos.,

Inc.

(The)

(16,965)

(571,551)

Willis

Towers

Watson

plc

(1,276)

(266,633)

WillScot

Mobile

Mini

Holdings

Corp.

(3,360)

(139,742)

Wingstop,

Inc.

(1,406)

(252,855)

Wolfspeed,

Inc.

(11,834)

(450,875)

Grainger,

Inc.

(380)

(262,899)

Wynn

Resorts

Ltd.

(2,627)

(242,761)

XPO,

Inc.

(2,584)

(192,921)

Xylem,

Inc.

(5,602)

(509,950)

Zebra

Technologies

Corp.,

Class

(1,709)

(404,230)

Zoetis,

Inc.,

Class

(2,682)

(466,614)

ZoomInfo

Technologies,

Inc.,

Class

(13,099)

(214,824)

Zscaler,

Inc.

(1,617)

(251,589)

(156,805,311)

—

Zambia

(0.2)%

First

Quantum

Minerals

Ltd.

(19,468)

(459,951)

TOTAL

COMMON

STOCKS

(Proceeds

$(347,200,586))

(291,736,714)

PREFERRED

STOCKS

(0.6)%

Germany

(0.6)%

Sartorius

(Preference)

(2)

(2,783)

(942,586)

Volkswagen

(Preference)

(2)

(1,914)

(219,917)

TOTAL

PREFERRED

STOCKS

(Proceeds

$(1,419,678))

(1,162,503)

INVESTMENTS

NO.

WARRANTS

VALUE

($)

WARRANTS

(0.0)%

†

Canada

(0.0)%

†

Cenovus

Energy,

Inc.,

expiring

1/1/2026

(Proceeds

$–)

(674)

(10,778)

TOTAL

SHORT

POSITIONS

(Proceeds

$(348,620,264))

(292,909,995)

TOTAL

INVESTMENTS

SECURITIES

VALUE

82.0%

(Cost

$41,547,191)

151,918,743

OTHER

ASSETS

EXCESS

LIABILITIES

18.0%

‡

33,169,918

NET

ASSETS

100.0%

185,088,661

SECTOR

VALUE

NET

ASSETS

Communication

Services

(6,601,560)

(3.6)

Consumer

Discretionary

4,883,689

2.6

Consumer

Staples

3,033,518

1.6

Energy

6,362,193

3.4

Financials

6,353,917

3.4

Health

Care

(5,756,754)

(3.1)

Industrials

18,816,321

10.2

Information

Technology

6,283,268

3.4

Materials

1,648,335

0.9

Real

Estate

(2,412,675)

(1.3)

Utilities

(7,794,317)

(4.2)

Investment

Companies

102,214,553

55.3

U.S.

Treasury

Obligations

24,888,255

13.4

Total

Investments

Securities

Value

151,918,743

82.0

Other

Assets

Excess

Liabilities

‡

33,169,918

18.0

Net

Assets

185,088,661

100.0%

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

Non-income

producing

security.

†

Represents

less

than

0.05%

net

assets.

‡

Includes

appreciation/(depreciation)

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

All

portion

this

security

segregated

connection

with

obligations

for

securities

sold

short.

Total

value

all

such

securities

September

30,

2023

amounted

$304,198,233,

which

inclusive

rehypothecated

amounts disclosed

below;

additional

securities

sold

but

not

yet

settled

totaling

$268,926

were

also

segregated.

addition,

$10,884,030

cash

collateral

was

also

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

section

4(2),

the

Securities

Act

1933.

Under

procedures

approved

the

Board

Trustees,

such

securities

have

been

determined

liquid

the

investment

adviser

and

may

resold,

normally

qualified

institutional

buyers

transactions

exempt

from

registration.

Total

value

all

such

securities

September

30,

2023

amounted

$(755,988),

which

represents

(0.41)%

net

assets

the

Fund.

(c)

All

portion

this

security

has

been

rehypothecated

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company.

Total

value

all

such

securities

September

30,

2023

amounted

$69,612,575;

additional

securities

sold

but

not

yet

settled

totaling

$268,926

were

also

rehypothecated.

(d)

Security

fair

valued

using

significant

unobservable

inputs

(Level

September

30,

2023

accordance

with

procedures

approved

the

Board

Trustees.

Total

value

all

such

securities

September

30,

2023

amounted

$0,

which

represents

0.00%

net

assets

the

Fund.

(e)

Represents

7-day

effective

yield

September

30,

2023.

(f)

All

portion

the

security

pledged

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(g)

The

rate

shown

was

the

effective

yield

the

date

purchase.

(h)

All

portion

the

security

pledged

collateral

for

swap

contracts.

(i)

Security

exempt

from

registration

pursuant

Regulation

under

the

Securities

Act

1933.

Regulation

applies

securities

offerings

that

are

made

outside

the

United

States

and

not

involve

direct

selling

efforts

the

United

States.

Total

value

all

such

securities

September

30,

2023

amounted

$(3,333),

which

represents

(0.00)%

net

assets

the

Fund.

All

securities

are

Level

with

respect

ASC

820,

unless

otherwise

noted

parentheses.

(2)

Level

security.

(3)

Level

security.

Forward

effective

interest

rate

swap

contracts

outstanding

September

30,

2023:

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

TONAR

Annual

0.50%

Annual

3/23/2026

JPY

6,134,000,000

148,014

(18,366)

129,648

Pay

TONAR

Annual

1.00%

Annual

12/20/2033

JPY

750,000,000

126,301

(118,494)

7,807

Pay

BBR

Qtrly

4.50%

Qtrly

12/11/2025

AUD

36,000,000

54,821

34,040

88,861

Receive

CORRA

Semi

3.50%

Semi

12/19/2033

CAD

2,100,000

(1,966)

79,741

77,775

Receive

CORRA

Semi

4.00%

Semi

3/20/2034

CAD

2,600,000

(10,605)

25,394

14,789

Receive

CORRA

Semi

3.50%

Semi

3/20/2034

CAD

400,000

6,966

6,930

13,896

Receive

SOFR

Annual

4.19%

Annual

12/22/2025

USD

49,900,000

(101,245)

685,672

584,427

Receive

SOFR

Annual

3.50%

Annual

3/20/2026

USD

42,300,000

738,699

136,427

875,126

Receive

SONIA

Annual

4.00%

Annual

3/20/2034

GBP

5,800,000

164,382

(1,719)

162,663

Receive

TONAR

Annual

0.00%

Annual

12/22/2025

JPY

6,782,400,000

82,892

156,935

239,827

Receive

TONAR

Annual

1.00%

Annual

3/21/2034

JPY

882,100,000

(5,194)

19,501

14,307

Receive

BBR

Qtrly

4.00%

Qtrly

12/11/2025

AUD

11,100,000

24,856

14,590

39,446

Receive

STIBOR

Qtrly

3.50%

Annual

12/17/2025

SEK

134,000,000

(7,658)

106,075

98,417

Receive

STIBOR

Qtrly

3.50%

Annual

3/18/2026

SEK

217,300,000

91,111

24,319

115,430

Receive

EURIBOR

Semi

3.55%

Annual

12/22/2025

EUR

205,500,000

(461,383)

1,017,844

556,461

Receive

EURIBOR

Semi

3.25%

Annual

3/20/2026

EUR

95,700,000

364,537

186,679

551,216

Receive

NIBOR

Semi

4.50%

Annual

3/18/2026

NOK

201,000,000

67,626

(13,948)

53,678

1,282,154

2,341,620

3,623,774

Pay

CORRA

Semi

4.50%

Semi

12/18/2025

CAD

5,200,000

(30,227)

763

(29,464)

Pay

CORRA

Semi

4.00%

Semi

12/18/2025

CAD

3,300,000

(13,100)

(28,186)

(41,286)

Pay

CORRA

Semi

4.50%

Semi

3/18/2026

CAD

36,800,000

(145,319)

906

(144,413)

Pay

SARON

Annual

1.50%

Annual

3/20/2026

CHF

48,600,000

(230,776)

62,475

(168,301)

Pay

SOFR

Annual

3.48%

Annual

12/20/2033

USD

12,300,000

(227,470)

(527,572)

(755,042)

Pay

SOFR

Annual

3.25%

Annual

3/20/2034

USD

10,800,000

(567,229)

(251,482)

(818,711)

Pay

SONIA

Annual

4.25%

Annual

12/22/2025

GBP

5,900,000

(265,877)

157,459

(108,418)

Pay

SONIA

Annual

4.75%

Annual

3/20/2026

GBP

27,400,000

(261,912)

137,302

(124,610)

Pay

SONIA

Annual

4.25%

Annual

3/20/2034

GBP

4,000,000

57,738

(71,720)

(13,982)

Pay

TONAR

Annual

0.50%

Annual

12/20/2033

JPY

693,300,000

(80,782)

(124,891)

(205,673)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

BBR

Qtrly

5.50%

Semi

12/10/2025

NZD

25,700,000

67,965

(114,357)

(46,392)

Pay

BBR

Qtrly

3.50%

Qtrly

12/11/2025

AUD

11,400,000

(28,984)

(82,308)

(111,292)

Pay

BBR

Qtrly

5.50%

Semi

3/11/2026

NZD

41,100,000

93,019

(119,648)

(26,629)

Pay

BBR

Qtrly

4.00%

Qtrly

3/12/2026

AUD

1,500,000

–

(5,094)

Pay

BBR

Semi

4.00%

Semi

12/08/2033

AUD

8,100,000

(181,646)

(138,725)

(320,371)

Pay

BBR

Semi

4.50%

Semi

3/09/2034

AUD

9,300,000

22,807

(159,954)

(137,147)

Pay

EURIBOR

Semi

3.13%

Annual

12/20/2033

EUR

31,200,000

278,920

(950,045)

(671,125)

Pay

EURIBOR

Semi

3.00%

Annual

3/20/2034

EUR

11,800,000

(150,992)

(212,525)

(363,517)

Receive

SONIA

Annual

5.25%

Annual

3/20/2026

GBP

17,500,000

(157,539)

35,921

(121,618)

Receive

STIBOR

Qtrly

4.00%

Annual

12/17/2025

SEK

7,000,000

(863)

(847)

Receive

STIBOR

Qtrly

4.00%

Annual

3/18/2026

SEK

431,000,000

(122,384)

(14,875)

(137,259)

Receive

NIBOR

Semi

5.00%

Annual

12/17/2025

NOK

18,000,000

(8,249)

1,366

(6,883)

Receive

NIBOR

Semi

5.00%

Annual

3/18/2026

NOK

5,000,000

(2,911)

(39)

(2,950)

(1,955,811)

(2,405,213)

(4,361,024)

(673,657)

(63,593)

(737,250)

Abbreviations:

1D:

Day

3M:

Month

6M:

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

September

30,

2023

were

follows:

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

5.02%

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.31%

Day

Sterling

Overnight

Index

Average

(''SONIA''):

5.19%

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.71%

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.06%

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.14%

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

4.06%

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.40%

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

4.13%

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

5.03%

Total

return

swap

contracts

outstanding

September

30,

2023

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Amsterdam

Exchange

Index

October

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

termination

MSCS

10/20/2023

EUR

(11,391,900)

163,954

Hang

Seng

Index

October

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

termination

MLIN

10/30/2023

HKD

(894,450)

(1,542)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

iBovespa

Index

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MSCS

10/18/2023

BRL

16,762,746

(96,029)

Swiss

Market

Index

December

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

Monthly

MLIN

12/15/2023

CHF

220,040

(3,546)

TAIEX

Index

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MLIN

10/18/2023

TWD

98,202,000

(67,592)

(168,709)

(4,755)

Futures

contracts

outstanding

September

30,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

IBEX

Index

10/2023

EUR

7,185,917

(12,840)

LME

Aluminum

Base

Metal

10/2023

USD

58,486

3,839

LME

Aluminum

Base

Metal

10/2023

USD

58,461

2,521

LME

Aluminum

Base

Metal

10/2023

USD

58,568

3,042

LME

Aluminum

Base

Metal

10/2023

USD

117,166

6,905

LME

Aluminum

Base

Metal

10/2023

USD

116,950

4,319

LME

Aluminum

Base

Metal

10/2023

USD

175,181

11,247

LME

Aluminum

Base

Metal

10/2023

USD

175,200

12,629

LME

Aluminum

Base

Metal

10/2023

USD

175,219

5,710

LME

Aluminum

Base

Metal

10/2023

USD

175,163

14,259

LME

Copper

Base

Metal

10/2023

USD

205,738

(4,271)

LME

Copper

Base

Metal

10/2023

USD

206,163

(8,965)

LME

Copper

Base

Metal

10/2023

USD

205,975

(5,771)

LME

Copper

Base

Metal

10/2023

USD

411,292

(4,564)

LME

Copper

Base

Metal

10/2023

USD

411,384

(7,916)

LME

Copper

Base

Metal

10/2023

USD

618,394

(10,182)

LME

Copper

Base

Metal

10/2023

USD

618,619

(24,664)

LME

Copper

Base

Metal

10/2023

USD

617,925

(12,833)

LME

Nickel

Base

Metal

10/2023

USD

110,845

(15,416)

LME

Nickel

Base

Metal

10/2023

USD

110,800

(14,341)

LME

Zinc

Base

Metal

10/2023

USD

66,122

7,130

LME

Zinc

Base

Metal

10/2023

USD

66,131

7,147

LME

Zinc

Base

Metal

10/2023

USD

66,144

6,580

LME

Zinc

Base

Metal

10/2023

USD

132,263

12,894

LME

Zinc

Base

Metal

10/2023

USD

132,282

8,396

Harbor

ULSD

10/2023

USD

1,940,753

6,798

RBOB

Gasoline

10/2023

USD

1,511,685

(155,589)

SGX

FTSE

China

A50

Index

10/2023

USD

1,083,428

(1,821)

SGX

FTSE

Taiwan

Index

10/2023

USD

5,472,000

44,752

WTI

Crude

Oil

179

10/2023

USD

16,251,410

(9,776)

LME

Aluminum

Base

Metal

11/2023

USD

58,663

3,397

LME

Aluminum

Base

Metal

11/2023

USD

58,703

4,538

LME

Aluminum

Base

Metal

11/2023

USD

58,663

3,710

LME

Copper

Base

Metal

11/2023

USD

206,501

(2,622)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

11/2023

USD

206,419

(1,634)

LME

Copper

Base

Metal

11/2023

USD

206,435

1,535

LME

Copper

Base

Metal

11/2023

USD

206,398

(7,230)

LME

Copper

Base

Metal

11/2023

USD

1,239,600

(22,238)

LME

Nickel

Base

Metal

11/2023

USD

111,390

(12,153)

LME

Nickel

Base

Metal

11/2023

USD

111,408

(11,325)

LME

Zinc

Base

Metal

11/2023

USD

66,231

8,447

LME

Zinc

Base

Metal

11/2023

USD

66,236

7,183

LME

Zinc

Base

Metal

11/2023

USD

66,218

8,871

LME

Zinc

Base

Metal

11/2023

USD

132,543

10,866

LME

Zinc

Base

Metal

11/2023

USD

132,425

18,399

LME

Zinc

Base

Metal

11/2023

USD

198,713

23,185

LME

Zinc

Base

Metal

11/2023

USD

198,581

27,104

Low

Sulphur

Gasoil

11/2023

USD

2,222,375

60,352

Soybean

11/2023

USD

4,590,000

(275,937)

Australia

Year

Bond

692

12/2023

AUD

49,876,214

(1,331,085)

Canada

Year

Bond

12/2023

CAD

2,036,091

(12,152)

Cocoa

12/2023

GBP

143,923

11,807

Cocoa

12/2023

USD

205,080

(6,689)

Corn

12/2023

USD

524,425

(8,100)

DJIA

CBOT

E-Mini

Index

12/2023

USD

337,250

(12,418)

Euro

STOXX

Index

103

12/2023

EUR

4,578,019

(83,594)

FTSE/MIB

Index

137

12/2023

EUR

20,483,008

(201,491)

Japan

Year

Bond

12/2023

JPY

9,702,891

(71,391)

KOSPI

200

Index

12/2023

KRW

2,255,262

(51,090)

Lean

Hogs

12/2023

USD

57,420

(3,549)

Live

Cattle

12/2023

USD

451,020

(3,311)

LME

Aluminum

Base

Metal

12/2023

USD

58,721

3,077

LME

Aluminum

Base

Metal

12/2023

USD

58,864

4,036

LME

Aluminum

Base

Metal

12/2023

USD

58,763

3,314

LME

Aluminum

Base

Metal

12/2023

USD

58,813

4,185

LME

Aluminum

Base

Metal

12/2023

USD

117,725

7,320

LME

Aluminum

Base

Metal

12/2023

USD

117,625

6,280

LME

Aluminum

Base

Metal

12/2023

USD

294,375

18,985

LME

Copper

Base

Metal

12/2023

USD

206,600

(28)

LME

Copper

Base

Metal

12/2023

USD

206,751

4,407

LME

Copper

Base

Metal

12/2023

USD

206,700

(2,678)

LME

Copper

Base

Metal

12/2023

USD

206,675

697

LME

Copper

Base

Metal

12/2023

USD

206,757

(4,246)

LME

Copper

Base

Metal

12/2023

USD

206,678

(950)

LME

Copper

Base

Metal

12/2023

USD

413,529

(226)

LME

Copper

Base

Metal

12/2023

USD

827,000

(15,311)

LME

Copper

Base

Metal

12/2023

USD

1,033,093

(32,171)

LME

Nickel

Base

Metal

12/2023

USD

112,164

(1,749)

LME

Nickel

Base

Metal

12/2023

USD

111,966

(3,717)

LME

Nickel

Base

Metal

12/2023

USD

111,954

(7,959)

LME

Nickel

Base

Metal

12/2023

USD

111,903

(8,400)

LME

Nickel

Base

Metal

12/2023

USD

111,756

(11,847)

LME

Nickel

Base

Metal

12/2023

USD

111,960

(6,063)

LME

Nickel

Base

Metal

12/2023

USD

111,991

(3,800)

LME

Zinc

Base

Metal

12/2023

USD

66,340

3,541

LME

Zinc

Base

Metal

12/2023

USD

66,244

3,696

LME

Zinc

Base

Metal

12/2023

USD

66,350

3,888

LME

Zinc

Base

Metal

12/2023

USD

66,319

5,505

LME

Zinc

Base

Metal

12/2023

USD

66,361

3,084

LME

Zinc

Base

Metal

12/2023

USD

66,211

2,258

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

12/2023

USD

132,626

9,477

LME

Zinc

Base

Metal

12/2023

USD

264,970

13,046

LME

Zinc

Base

Metal

12/2023

USD

994,781

53,940

MEX

BOLSA

Index

12/2023

MXN

29,628

(728)

MSCI

Emerging

Markets

E-Mini

Index

12/2023

USD

525,525

(15,620)

Silver

12/2023

USD

1,683,750

(113,941)

Soybean

Meal

12/2023

USD

38,120

(1,362)

Soybean

Oil

12/2023

USD

66,996

(5,797)

SPI

200

Index

12/2023

AUD

9,453,583

(240,789)

TOPIX

Index

223

12/2023

JPY

34,672,143

(527,085)

Sugar

No.

2/2024

USD

148,288

(2,105)

Month

SARON

6/2024

CHF

804,733

644

Month

SARON

9/2024

CHF

536,516

395

Month

SARON

12/2024

CHF

536,707

264

Month

SARON

3/2025

CHF

537,117

359

(2,913,570)

Short

Contracts

Brent

Crude

Oil

(173)

10/2023

USD

(15,950,600)

108,111

CAC

Euro

Index

(76)

10/2023

EUR

(5,746,302)

50,342

FTSE

Bursa

Malaysia

KLCI

Index

(25)

10/2023

MYR

(379,905)

4,525

Hang

Seng

Index

(10)

10/2023

HKD

(1,142,199)

(11,172)

HSCEI

(87)

10/2023

HKD

(3,433,472)

(24,733)

IFSC

NIFTY

Index

(59)

10/2023

USD

(2,325,839)

7,489

LME

Aluminum

Base

Metal

(1)

10/2023

USD

(58,486)

(3,711)

LME

Aluminum

Base

Metal

(1)

10/2023

USD

(58,461)

(2,324)

LME

Aluminum

Base

Metal

(1)

10/2023

USD

(58,568)

(3,086)

LME

Aluminum

Base

Metal

(2)

10/2023

USD

(116,950)

(5,647)

LME

Aluminum

Base

Metal

(2)

10/2023

USD

(117,166)

(6,773)

LME

Aluminum

Base

Metal

(3)

10/2023

USD

(175,163)

(14,063)

LME

Aluminum

Base

Metal

(3)

10/2023

USD

(175,181)

(12,184)

LME

Aluminum

Base

Metal

(3)

10/2023

USD

(175,219)

(5,146)

LME

Aluminum

Base

Metal

(3)

10/2023

USD

(175,200)

(10,649)

LME

Copper

Base

Metal

(1)

10/2023

USD

(205,975)

5,397

LME

Copper

Base

Metal

(1)

10/2023

USD

(206,163)

10,069

LME

Copper

Base

Metal

(1)

10/2023

USD

(205,738)

2,710

LME

Copper

Base

Metal

(2)

10/2023

USD

(411,292)

4,736

LME

Copper

Base

Metal

(2)

10/2023

USD

(411,384)

8,611

LME

Copper

Base

Metal

(3)

10/2023

USD

(618,619)

25,907

LME

Copper

Base

Metal

(3)

10/2023

USD

(617,925)

12,297

LME

Copper

Base

Metal

(3)

10/2023

USD

(618,394)

13,586

LME

Nickel

Base

Metal

(1)

10/2023

USD

(110,800)

13,967

LME

Nickel

Base

Metal

(1)

10/2023

USD

(110,845)

16,934

LME

Zinc

Base

Metal

(1)

10/2023

USD

(66,144)

(6,519)

LME

Zinc

Base

Metal

(1)

10/2023

USD

(66,122)

(7,325)

LME

Zinc

Base

Metal

(1)

10/2023

USD

(66,131)

(6,469)

LME

Zinc

Base

Metal

(2)

10/2023

USD

(132,282)

(8,625)

LME

Zinc

Base

Metal

(2)

10/2023

USD

(132,263)

(13,454)

MSCI

Singapore

Index

(133)

10/2023

SGD

(2,779,184)

(43,596)

Natural

Gas

(148)

10/2023

USD

(4,334,920)

56,746

OMXS30

Index

(316)

10/2023

SEK

(6,247,374)

43,626

LME

Aluminum

Base

Metal

(1)

11/2023

USD

(58,703)

(4,619)

LME

Aluminum

Base

Metal

(1)

11/2023

USD

(58,663)

(3,413)

LME

Aluminum

Base

Metal

(1)

11/2023

USD

(58,663)

(3,510)

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,419)

2,240

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,501)

2,271

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,435)

(756)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,398)

7,061

LME

Copper

Base

Metal

(6)

11/2023

USD

(1,239,600)

24,451

LME

Nickel

Base

Metal

(1)

11/2023

USD

(111,390)

12,885

LME

Nickel

Base

Metal

(1)

11/2023

USD

(111,408)

11,708

LME

Zinc

Base

Metal

(1)

11/2023

USD

(66,236)

(6,731)

LME

Zinc

Base

Metal

(1)

11/2023

USD

(66,231)

(8,255)

LME

Zinc

Base

Metal

(1)

11/2023

USD

(66,218)

(8,602)

LME

Zinc

Base

Metal

(2)

11/2023

USD

(132,543)

(10,873)

LME

Zinc

Base

Metal

(2)

11/2023

USD

(132,425)

(18,153)

LME

Zinc

Base

Metal

(3)

11/2023

USD

(198,713)

(22,438)

LME

Zinc

Base

Metal

(3)

11/2023

USD

(198,581)

(25,979)

100

Gold

(59)

12/2023

USD

(11,009,990)

682,443

Australia

Year

Bond

(58)

12/2023

AUD

(3,930,445)

31,215

Coffee

'C'

(1)

12/2023

USD

(54,806)

5,547

Copper

(16)

12/2023

USD

(1,495,000)

(1,538)

Cotton

No.

(8)

12/2023

USD

(348,600)

(22,760)

DAX

Index

(23)

12/2023

EUR

(9,438,547)

221,081

Euro-Bobl

(31)

12/2023

EUR

(3,790,400)

46,531

Euro-BTP

(16)

12/2023

EUR

(1,853,655)

85,900

Euro-Bund

(391)

12/2023

EUR

(53,074,467)

1,347,858

Euro-Buxl

(5)

12/2023

EUR

(643,548)

58,318

Euro-OAT

(16)

12/2023

EUR

(2,078,807)

57,839

Euro-Schatz

(99)

12/2023

EUR

(10,988,020)

31,777

FTSE

100

Index

(9)

12/2023

GBP

(842,345)

11,186

FTSE/JSE

Top

Index

(5)

12/2023

ZAR

(178,121)

381

HRW

Wheat

(3)

12/2023

USD

(99,563)

8,763

LME

Aluminum

Base

Metal

(1)

12/2023

USD

(58,813)

(4,224)

LME

Aluminum

Base

Metal

(1)

12/2023

USD

(58,864)

(3,979)

LME

Aluminum

Base

Metal

(1)

12/2023

USD

(58,721)

(2,948)

LME

Aluminum

Base

Metal

(1)

12/2023

USD

(58,763)

(3,240)

LME

Aluminum

Base

Metal

(2)

12/2023

USD

(117,725)

(7,674)

LME

Aluminum

Base

Metal

(5)

12/2023

USD

(294,375)

(18,509)

LME

Aluminum

Base

Metal

(26)

12/2023

USD

(1,529,125)

(100,989)

LME

Copper

Base

Metal

(1)

12/2023

USD

(206,678)

883

LME

Copper

Base

Metal

(1)

12/2023

USD

(206,675)

(690)

LME

Copper

Base

Metal

(1)

12/2023

USD

(206,757)

3,138

LME

Copper

Base

Metal

(1)

12/2023

USD

(206,751)

(3,761)

LME

Copper

Base

Metal

(1)

12/2023

USD

(206,600)

(133)

LME

Copper

Base

Metal

(1)

12/2023

USD

(206,700)

2,735

LME

Copper

Base

Metal

(2)

12/2023

USD

(413,529)

1,080

LME

Copper

Base

Metal

(5)

12/2023

USD

(1,033,093)

34,153

LME

Copper

Base

Metal

(18)

12/2023

USD

(3,721,500)

48,576

LME

Nickel

Base

Metal

(1)

12/2023

USD

(111,954)

7,568

LME

Nickel

Base

Metal

(1)

12/2023

USD

(112,164)

1,640

LME

Nickel

Base

Metal

(1)

12/2023

USD

(111,960)

6,378

LME

Nickel

Base

Metal

(1)

12/2023

USD

(111,991)

3,979

LME

Nickel

Base

Metal

(1)

12/2023

USD

(111,903)

8,170

LME

Nickel

Base

Metal

(1)

12/2023

USD

(111,756)

12,753

LME

Nickel

Base

Metal

(1)

12/2023

USD

(111,966)

3,617

LME

Nickel

Base

Metal

(11)

12/2023

USD

(1,231,626)

93,119

LME

Zinc

Base

Metal

(1)

12/2023

USD

(66,340)

(4,042)

LME

Zinc

Base

Metal

(1)

12/2023

USD

(66,319)

(5,322)

LME

Zinc

Base

Metal

(1)

12/2023

USD

(66,244)

(4,022)

LME

Zinc

Base

Metal

(1)

12/2023

USD

(66,350)

(4,103)

LME

Zinc

Base

Metal

(1)

12/2023

USD

(66,211)

(2,270)

LME

Zinc

Base

Metal

(1)

12/2023

USD

(66,361)

(3,238)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(2)

12/2023

USD

(132,626)

(10,081)

LME

Zinc

Base

Metal

(4)

12/2023

USD

(264,970)

(12,444)

LME

Zinc

Base

Metal

(15)

12/2023

USD

(994,781)

(80,156)

Long

Gilt

(1)

12/2023

GBP

(114,433)

487

MSCI

EAFE

E-Mini

Index

(7)

12/2023

USD

(714,525)

23,222

Palladium

(1)

12/2023

USD

(125,600)

(1,742)

Russell

2000

E-Mini

Index

(3)

12/2023

USD

(269,790)

11,248

S&P

500

E-Mini

Index

(175)

12/2023

USD

(37,848,125)

1,326,637

S&P/TSX

Index

(50)

12/2023

CAD

(8,660,409)

274,937

SET50

Index

(308)

12/2023

THB

(1,525,261)

33,112

U.S.

Treasury

Year

Note

(106)

12/2023

USD

(11,451,313)

95,635

U.S.

Treasury

Year

Note

(68)

12/2023

USD

(13,783,812)

19,064

U.S.

Treasury

Year

Note

(55)

12/2023

USD

(5,793,047)

38,493

U.S.

Treasury

Long

Bond

(19)

12/2023

USD

(2,163,625)

119,137

U.S.

Treasury

Ultra

Bond

(15)

12/2023

USD

(1,784,531)

119,367

Wheat

(19)

12/2023

USD

(514,425)

122,009

Aluminum

(2)

1/2024

USD

(117,925)

(5,742)

Month

Canadian

Bankers

Acceptance

(28)

3/2024

CAD

(4,861,734)

17,849

Month

Euro

Euribor

(11)

3/2024

EUR

(2,792,594)

3,995

90-Day

Australian

Bank

Bill

(8)

3/2024

AUD

(5,088,270)

(981)

90-Day

New

Zealand

Bill

(7)

3/2024

NZD

(4,134,486)

843

Month

Canadian

Bankers

Acceptance

(24)

6/2024

CAD

(4,169,851)

27,637

Month

Euro

Euribor

(10)

6/2024

EUR

(2,542,422)

8,329

Month

SOFR

(22)

6/2024

USD

(5,204,100)

16,470

Month

SONIA

(3)

6/2024

GBP

(865,707)

(3,978)

90-Day

Australian

Bank

Bill

(13)

6/2024

AUD

(8,267,834)

(287)

90-Day

New

Zealand

Bill

(6)

6/2024

NZD

(3,543,931)

2,067

Month

Canadian

Bankers

Acceptance

(26)

9/2024

CAD

(4,528,824)

24,446

Month

Euro

Euribor

(10)

9/2024

EUR

(2,547,708)

6,454

Month

SOFR

(19)

9/2024

USD

(4,503,713)

21,278

Month

SONIA

(5)

9/2024

GBP

(1,444,446)

(7,915)

90-Day

Australian

Bank

Bill

(21)

9/2024

AUD

(13,356,710)

2,212

90-Day

New

Zealand

Bill

(7)

9/2024

NZD

(4,135,994)

2,465

Month

Canadian

Bankers

Acceptance

(24)

12/2024

CAD

(4,188,625)

10,454

Month

Euro

Euribor

(8)

12/2024

EUR

(2,042,818)

3,181

Month

SOFR

(17)

12/2024

USD

(4,041,325)

25,379

Month

SONIA

(5)

12/2024

GBP

(1,447,191)

(4,743)

90-Day

Australian

Bank

Bill

(20)

12/2024

AUD

(12,723,469)

5,927

Month

Euro

Euribor

(6)

3/2025

EUR

(1,534,572)

933

Month

SOFR

(14)

3/2025

USD

(3,339,350)

21,607

Month

SONIA

(4)

3/2025

GBP

(1,160,193)

(2,534)

Month

Euro

Euribor

(6)

6/2025

EUR

(1,536,237)

1,670

Month

SOFR

(13)

6/2025

USD

(3,109,925)

17,147

Month

SONIA

(4)

6/2025

GBP

(1,162,450)

(135)

Month

Euro

Euribor

(6)

9/2025

EUR

(1,537,109)

2,995

Month

SOFR

(13)

9/2025

USD

(3,116,263)

17,444

Month

SONIA

(3)

9/2025

GBP

(873,073)

(2,992)

Month

SOFR

(12)

12/2025

USD

(2,879,700)

10,370

Month

SONIA

(3)

12/2025

GBP

(874,080)

(2,290)

5,068,530

2,154,960

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

Forward

foreign

currency

exchange

contracts

outstanding

September

30,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

2,996,375

USD

1,930,087

CITI

12/20/2023

1,807

AUD

2,996,374

USD

1,930,076

JPMC

12/20/2023

1,817

BRL

419,000

USD

82,226

CITI

12/20/2023

313

BRL

419,000

USD

82,226

JPMC

12/20/2023

313

CAD

1,842,330

USD

1,356,594

CITI

12/20/2023

1,547

CAD

1,842,330

USD

1,356,587

JPMC

12/20/2023

1,554

CNY

11,784,151

USD

1,616,819

CITI

12/20/2023

3,648

CNY

11,784,147

USD

1,616,810

JPMC

12/20/2023

3,655

CZK

1,000,000

USD

43,210

CITI

12/20/2023

CZK

1,000,000

USD

43,209

JPMC

12/20/2023

HUF

50,000,000

USD

133,365

CITI

12/20/2023

652

HUF

50,000,000

USD

133,364

JPMC

12/20/2023

653

ILS

30,500

USD

8,005

CITI

12/20/2023

ILS

30,500

USD

8,005

JPMC

12/20/2023

INR

43,897,161

USD

525,760

CITI

12/20/2023

409

INR

43,897,161

USD

525,757

JPMC

12/20/2023

411

MXN

25,502,752

USD

1,428,337

CITI

12/20/2023

15,496

MXN

25,502,750

USD

1,428,330

JPMC

12/20/2023

15,502

NOK

26,372,484

USD

2,462,321

CITI

12/20/2023

8,670

NOK

26,372,482

USD

2,462,309

JPMC

12/20/2023

8,682

NZD

2,888,000

USD

1,713,300

CITI

12/20/2023

17,680

NZD

2,888,000

USD

1,713,292

JPMC

12/20/2023

17,690

SEK

50,484,500

USD

4,589,651

CITI

12/20/2023

49,912

SEK

50,484,500

USD

4,589,628

JPMC

12/20/2023

49,935

SGD

118,000

USD

86,478

CITI

12/20/2023

156

SGD

118,000

USD

86,478

JPMC

12/20/2023

157

USD

1,028,045

AUD

1,587,500

CITI

12/20/2023

4,514

USD

1,028,051

AUD

1,587,500

JPMC

12/20/2023

4,520

USD

42,634

BRL

213,706

CITI

12/20/2023

536

USD

42,634

BRL

213,704

JPMC

12/20/2023

536

USD

691,017

CAD

936,986

CITI

12/20/2023

284

USD

691,019

CAD

936,984

JPMC

12/20/2023

288

USD

21,838,567

CHF

19,187,503

CITI

12/20/2023

687,281

USD

21,838,669

CHF

19,187,497

JPMC

12/20/2023

687,390

USD

7,086

CLP

6,175,502

CITI

12/20/2023

179

USD

7,086

CLP

6,175,498

JPMC

12/20/2023

179

USD

623,011

CNY

4,509,418

CITI

12/20/2023

2,910

USD

623,014

CNY

4,509,416

JPMC

12/20/2023

2,914

USD

9,019

COP

37,283,626

CITI

12/20/2023

USD

9,019

COP

37,283,625

JPMC

12/20/2023

USD

95,793

CZK

2,149,000

CITI

12/20/2023

2,847

USD

95,793

CZK

2,149,000

JPMC

12/20/2023

2,847

USD

7,835,728

EUR

7,287,003

CITI

12/20/2023

102,284

USD

7,835,761

EUR

7,286,997

JPMC

12/20/2023

102,323

USD

1,788,711

GBP

1,435,002

CITI

12/20/2023

36,868

USD

1,788,715

GBP

1,434,998

JPMC

12/20/2023

36,877

USD

349,905

HKD

2,734,500

CITI

12/20/2023

123

USD

349,907

HKD

2,734,500

JPMC

12/20/2023

124

USD

124,668

HUF

45,330,502

CITI

12/20/2023

3,167

USD

124,669

HUF

45,330,498

JPMC

12/20/2023

3,168

USD

523,163

IDR

8,005,151,003

CITI

12/20/2023

6,566

USD

523,165

IDR

8,005,150,997

JPMC

12/20/2023

6,569

USD

996,371

ILS

3,767,978

CITI

12/20/2023

4,500

USD

996,374

ILS

3,767,969

JPMC

12/20/2023

4,504

USD

722,521

INR

59,879,001

CITI

12/20/2023

4,788

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

(Continued)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

722,525

INR

59,878,999

JPMC

12/20/2023

4,792

USD

20,648,967

JPY

2,973,873,510

CITI

12/20/2023

482,360

USD

20,649,070

JPY

2,973,873,498

JPMC

12/20/2023

482,463

USD

4,122,186

KRW

5,448,460,005

CITI

12/20/2023

76,819

USD

4,122,207

KRW

5,448,459,995

JPMC

12/20/2023

76,840

USD

604,148

MXN

10,500,000

CITI

12/20/2023

9,693

USD

604,151

MXN

10,500,000

JPMC

12/20/2023

9,696

USD

728,522

NOK

7,721,626

CITI

12/20/2023

5,039

USD

728,526

NOK

7,721,623

JPMC

12/20/2023

5,042

USD

777,360

PLN

3,357,000

CITI

12/20/2023

11,324

USD

777,363

PLN

3,357,000

JPMC

12/20/2023

11,328

USD

6,373,451

SGD

8,621,500

CITI

12/20/2023

43,605

USD

6,373,483

SGD

8,621,500

JPMC

12/20/2023

43,637

USD

1,015,940

TWD

32,190,000

CITI

12/20/2023

12,316

USD

1,015,945

TWD

32,190,000

JPMC

12/20/2023

12,321

USD

873,000

ZAR

16,473,750

CITI

12/20/2023

9,061

USD

873,005

ZAR

16,473,748

JPMC

12/20/2023

9,064

ZAR

10,929,502

USD

563,830

CITI

12/20/2023

9,349

ZAR

10,929,500

USD

563,827

JPMC

12/20/2023

9,352

Total

unrealized

appreciation

3,234,098

AUD

1,513,208

USD

976,652

CITI

12/20/2023

(1,020)

AUD

1,513,208

USD

976,647

JPMC

12/20/2023

(1,015)

BRL

13,430,804

USD

2,680,289

CITI

12/20/2023

(34,543)

BRL

13,430,804

USD

2,680,275

JPMC

12/20/2023

(34,530)

CAD

7,206,671

USD

5,347,371

CITI

12/20/2023

(34,708)

CAD

7,206,669

USD

5,347,343

JPMC

12/20/2023

(34,681)

CHF

42,501

USD

48,503

CITI

12/20/2023

(1,652)

CHF

42,499

USD

48,501

JPMC

12/20/2023

(1,652)

CNY

8,502,389

USD

1,173,080

CITI

12/20/2023

(3,897)

CNY

8,502,386

USD

1,173,074

JPMC

12/20/2023

(3,892)

CZK

10,000,000

USD

437,529

CITI

12/20/2023

(5,020)

CZK

10,000,000

USD

437,526

JPMC

12/20/2023

(5,017)

DKK

1,397,500

USD

204,384

CITI

12/20/2023

(5,357)

DKK

1,397,500

USD

204,383

JPMC

12/20/2023

(5,356)

EUR

21,516,799

USD

23,342,689

CITI

12/20/2023

(507,658)

EUR

21,516,793

USD

23,342,566

JPMC

12/20/2023

(507,540)

GBP

11,302,005

USD

14,191,142

CITI

12/20/2023

(393,711)

GBP

11,301,995

USD

14,191,058

JPMC

12/20/2023

(393,641)

HUF

260,000,000

USD

709,115

CITI

12/20/2023

(12,230)

HUF

260,000,000

USD

709,112

JPMC

12/20/2023

(12,226)

INR

28,834,341

USD

347,383

CITI

12/20/2023

(1,763)

INR

28,834,337

USD

347,381

JPMC

12/20/2023

(1,761)

JPY

395,000,000

USD

2,706,422

CITI

12/20/2023

(27,826)

JPY

395,000,000

USD

2,706,409

JPMC

12/20/2023

(27,811)

KRW

1,799,999,999

USD

1,360,031

CITI

12/20/2023

(23,570)

KRW

1,800,000,000

USD

1,360,053

JPMC

12/20/2023

(23,591)

MXN

29,502,750

USD

1,718,285

CITI

12/20/2023

(47,992)

MXN

29,502,748

USD

1,718,276

JPMC

12/20/2023

(47,985)

NOK

50,300,019

USD

4,737,888

CITI

12/20/2023

(24,986)

NOK

50,300,015

USD

4,737,864

JPMC

12/20/2023

(24,962)

NZD

139,500

USD

83,623

CITI

12/20/2023

(11)

NZD

139,500

USD

83,623

JPMC

12/20/2023

(10)

PLN

5,433,500

USD

1,308,248

CITI

12/20/2023

(68,376)

PLN

5,433,500

USD

1,308,242

JPMC

12/20/2023

(68,368)

SEK

4,000,000

USD

369,742

CITI

12/20/2023

(2,139)

SEK

4,000,000

USD

369,740

JPMC

12/20/2023

(2,137)

SGD

747,500

USD

550,764

CITI

12/20/2023

(1,954)

SGD

747,500

USD

550,761

JPMC

12/20/2023

(1,951)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

TWD

17,734,502

USD

561,016

CITI

12/20/2023

(8,087)

TWD

17,734,498

USD

561,013

JPMC

12/20/2023

(8,085)

USD

401,356

AUD

624,500

CITI

12/20/2023

(1,286)

USD

401,358

AUD

624,500

JPMC

12/20/2023

(1,285)

USD

230,134

CAD

312,515

CITI

12/20/2023

(248)

USD

230,135

CAD

312,515

JPMC

12/20/2023

(248)

USD

808,957

CHF

735,000

CITI

12/20/2023

(1,268)

USD

808,961

CHF

735,000

JPMC

12/20/2023

(1,264)

USD

110,820

CLP

100,000,000

CITI

12/20/2023

(1,026)

USD

110,820

CLP

100,000,000

JPMC

12/20/2023

(1,026)

USD

78,110

CNY

569,286

CITI

12/20/2023

(173)

USD

78,111

CNY

569,288

JPMC

12/20/2023

(173)

USD

26,557

COP

111,850,877

CITI

12/20/2023

(318)

USD

26,567

COP

111,850,872

JPMC

12/20/2023

(308)

USD

148,972

EUR

140,500

CITI

12/20/2023

(136)

USD

148,973

EUR

140,500

JPMC

12/20/2023

(135)

USD

96,816

GBP

79,500

CITI

12/20/2023

(238)

USD

96,816

GBP

79,500

JPMC

12/20/2023

(237)

USD

291,226

ILS

1,107,028

CITI

12/20/2023

(185)

USD

291,227

ILS

1,107,025

JPMC

12/20/2023

(183)

USD

179,591

INR

15,000,000

CITI

12/20/2023

(205)

USD

179,592

INR

15,000,000

JPMC

12/20/2023

(204)

USD

74,200

KRW

100,000,000

CITI

12/20/2023

(48)

USD

74,200

KRW

100,000,000

JPMC

12/20/2023

(48)

USD

225,574

NOK

2,410,876

CITI

12/20/2023

(316)

USD

225,575

NOK

2,410,875

JPMC

12/20/2023

(314)

USD

11,115,396

NZD

18,719,001

CITI

12/20/2023

(104,215)

USD

11,115,451

NZD

18,718,999

JPMC

12/20/2023

(104,160)

USD

144,012

PHP

8,176,500

CITI

12/20/2023

(383)

USD

144,012

PHP

8,176,500

JPMC

12/20/2023

(383)

USD

1,219,602

SEK

13,414,500

CITI

12/20/2023

(13,200)

USD

1,219,608

SEK

13,414,500

JPMC

12/20/2023

(13,194)

USD

538,439

SGD

733,500

CITI

12/20/2023

(92)

USD

538,442

SGD

733,500

JPMC

12/20/2023

(89)

USD

326,836

TWD

10,500,000

CITI

12/20/2023

(535)

USD

326,837

TWD

10,500,000

JPMC

12/20/2023

(533)

USD

1,189,117

ZAR

22,973,752

CITI

12/20/2023

(15,706)

USD

1,189,123

ZAR

22,973,750

JPMC

12/20/2023

(15,699)

ZAR

14,429,500

USD

763,332

CITI

12/20/2023

(6,598)

ZAR

14,429,498

USD

763,328

JPMC

12/20/2023

(6,595)

Total

unrealized

depreciation

(2,704,965)

Net

unrealized

appreciation

529,133

Non-deliverable

forward

foreign

currency

exchange

contracts.

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

LONG

POSITIONS

107.8%

COMMON

STOCKS

7.4%

Banks

0.2%

PacWest

Bancorp

224,620

1,776,744

Patriot

National

Bancorp,

Inc.

120,629

858,879

2,635,623

Beverages

0.1%

Brown-Forman

Corp.,

Class

20,025

1,155,242

Biotechnology

1.5%

Horizon

Therapeutics

plc

231,127

26,739,082

Capital

Markets

2.9%

Accretion

Acquisition

Corp.

*(a)

99,000

1,037,520

Acri

Capital

Acquisition

Corp.

*(a)

29,906

328,667

Aetherium

Acquisition

Corp.,

Class

*(a)

67,895

730,550

Alset

Capital

Acquisition

Corp.,

Class

(2)*(a)

41,189

432,485

AltC

Acquisition

Corp.,

Class

*(a)

137,000

1,417,950

Aquaron

Acquisition

Corp.

*(a)

28,541

301,964

Avantax,

Inc.

126,338

3,231,726

Bannix

Acquisition

Corp.

*(a)

26,277

279,850

Banyan

Acquisition

Corp.,

Class

(2)*(a)

100,000

1,053,000

Banyan

Acquisition

Corp.,

Class

(acquired

4/28/2023,

Cost

$–)

(3)*(a)(b)(c)

25,000

–

Beard

Energy

Transition

Acquisition

Corp.,

Class

*(a)

67,114

721,475

Bellevue

Life

Sciences

Acquisition

Corp.

(2)*(a)

73,709

766,574

Broad

Capital

Acquisition

Corp.

(2)*(a)

69,739

763,642

BurTech

Acquisition

Corp.,

Class

*(a)

116,029

1,226,427

byNordic

Acquisition

Corp.

(Sweden)

(2)*(a)

69,207

746,051

Acquisition

Corp.,

Class

*(a)

156,955

1,721,796

Cetus

Capital

Acquisition

Corp.

(Taiwan)

*(a)

126,232

1,320,387

Acquisition

Corp.

VII,

Class

*(a)

146,292

1,565,324

Churchill

Capital

Corp.

VI,

Class

*(a)

67,203

702,271

Clean

Earth

Acquisitions

Corp.,

Class

*(a)

66,851

706,615

Concord

Acquisition

Corp.

III,

Class

(2)*(a)

100,000

1,062,000

Concord

Acquisition

Corp.

III,

Class

(acquired

5/11/2023,

Cost

$–)

(3)*(a)(b)(c)

25,000

–

Crixus

BH3

Acquisition

Co.,

Class

*(a)

84,579

891,886

Digital

Health

Acquisition

Corp.

*(a)

48,428

569,029

Direct

Selling

Acquisition

Corp.,

Class

(2)*(a)

102,582

1,073,008

dMY

Squared

Technology

Group,

Inc.,

Class

*(a)

12,280

128,327

DUET

Acquisition

Corp.,

Class

*(a)

88,695

949,923

INVESTMENTS

VALUE

($)

Capital

Markets

2.9%

(continued)

Hutton

Acquisition

Corp.

(2)*(a)

34,096

360,054

ESH

Acquisition

Corp.,

Class

*(a)

108,402

1,097,028

ExcelFin

Acquisition

Corp.,

Class

*(a)

186,114

1,980,253

ExcelFin

Acquisition

Corp.,

Class

(acquired

4/28/2023,

Cost

$–)

(3)*(a)(b)(c)

46,529

–

Feutune

Light

Acquisition

Corp.,

Class

*(a)

66,386

709,002

Financial

Strategies

Acquisition

Corp.

(3)*(a)(b)

18,686

207,415

Fintech

Ecosystem

Development

Corp.,

Class

(2)*(a)

10,730

114,167

Four

Leaf

Acquisition

Corp.,

Class

*(a)

111,000

1,163,280

FutureTech

Acquisition

Corp.,

Class

*(a)

38,964

423,928

Gardiner

Healthcare

Acquisitions

Corp.

*(a)

19,575

211,019

Global

Star

Acquisition,

Inc.,

Class

(2)*(a)

50,064

530,678

Globalink

Investment,

Inc.

(2)*(a)

21,708

233,361

HNR

Acquisition

Corp.

*(a)

49,014

534,253

Home

Plate

Acquisition

Corp.,

Class

(2)*(a)

41,016

433,949

Home

Plate

Acquisition

Corp.,

Class

(acquired

4/26/2023,

Cost

$–)

(3)*(a)(b)(c)

8,203

–

Inception

Growth

Acquisition

Ltd.

*(a)

140,846

1,495,785

Inception

Growth

Acquisition

Ltd.,

Class

(acquired

4/26/2023,

Cost

$–)

(3)*(a)(b)(c)

33,755

–

Industrial

Tech

Acquisitions

II,

Inc.,

Class

*(a)

32,128

335,416

Integral

Acquisition

Corp.

Class

*(a)

36,279

388,911

Juniper

Corp.,

Class

*(a)

150,000

1,589,250

Jupiter

Acquisition

Corp.,

Class

*(a)

59,039

606,921

KnightSwan

Acquisition

Corp.,

Class

(2)*(a)

110,000

1,156,100

KnightSwan

Acquisition

Corp.,

Class

(acquired

7/24/2023,

Cost

$–)

(3)*(a)(b)(c)

36,630

–

Capital

Acquisition

Corp.

*(a)

130,138

1,418,504

Metal

Sky

Star

Acquisition

Corp.

*(a)

17,504

191,319

Mobiv

Acquisition

Corp.,

Class

*(a)

48,113

486,422

Monterey

Capital

Acquisition

Corp.,

Class

*(a)

71,394

757,490

Monterey

Innovation

Acquisition

Corp.

*(a)

8,700

97,353

NorthView

Acquisition

Corp.

*(a)

22,823

246,488

Nubia

Brand

International

Corp.,

Class

*(a)

81,052

878,604

OPY

Acquisition

Corp.

Class

(2)*(a)

41,286

430,613

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Capital

Markets

2.9%

(continued)

Papaya

Growth

Opportunity

Corp.

Class

(2)*(a)

2,815

30,064

Plutonian

Acquisition

Corp.

*(a)

15,166

160,305

PROOF

Acquisition

Corp.

Class

*(a)

136,709

1,468,255

Qomolangma

Acquisition

Corp.

*(a)

23,684

251,050

Redwoods

Acquisition

Corp.

*(a)

46,009

490,916

Revelstone

Capital

Acquisition

Corp.,

Class

*(a)

30,874

327,882

Acquisition

Corp.,

Class

(Singapore)

*(a)

57,107

608,190

Sagaliam

Acquisition

Corp.,

Class

(2)*(a)

31,501

344,936

Schultze

Special

Purpose

Acquisition

Corp.

II,

Class

*(a)

63,730

675,538

ShoulderUp

Technology

Acquisition

Corp.,

Class

*(a)

100,000

1,054,000

ShoulderUp

Technology

Acquisition

Corp.,

Class

(acquired

5/11/2023,

Cost

$–)

(3)*(a)(b)(c)

25,000

–

SilverBox

Corp.

III,

Class

*(a)

107,214

1,096,799

Trailblazer

Merger

Corp.

*(a)

149,105

1,540,255

Vision

Sensing

Acquisition

Corp.,

Class

*(a)

51,216

558,767

Yotta

Acquisition

Corp.

*(a)

45,002

473,871

50,886,838

Chemicals

1.3%

Chr

Hansen

Holding

A/S

(Denmark)

(2)

233,569

14,288,116

JSR

Corp.

(Japan)

(2)

309,543

8,304,213

22,592,329

Containers

Packaging

0.2%

Westrock

Co.

86,806

3,107,655

Entertainment

0.4%

Atlanta

Braves

Holdings,

Inc.,

Class

65,276

2,332,311

Kahoot!

ASA

(Norway)

(2)*

1,094,155

3,534,104

Liberty

Media

Corp-Liberty

Formula

One,

Class

11,046

624,541

6,490,956

Financial

Services

0.1%

EXOR

(Netherlands)

(2)

19,073

1,686,981

Hotels,

Restaurants

Leisure

0.5%

Booking

Holdings,

Inc.

*(d)

3,089

9,526,321

Machinery

0.0%

†

Oshkosh

Corp.

4,060

387,446

Media

0.1%

DISH

Network

Corp.,

Class

306,222

1,794,461

Paramount

Global,

Class

65,189

840,938

2,635,399

Real

Estate

Management

Development

0.0%

†

Zillow

Group,

Inc.,

Class

1,658

74,262

INVESTMENTS

VALUE

($)

Retail

REITs

0.0%

†

RPT

Realty,

REIT

68,314

721,396

Software

0.1%

New

Relic,

Inc.

16,193

1,386,445

TOTAL

COMMON

STOCKS

(Cost

$126,571,927)

130,025,975

CLOSED-END

FUNDS

7.7%

abrdn

Emerging

Markets

Equity

Income

Fund,

Inc.

(d)

21,876

104,349

abrdn

Global

Dynamic

Dividend

Fund

(d)

54,458

471,606

abrdn

Global

Infrastructure

Income

Fund

27,098

436,278

abrdn

National

Municipal

Income

Fund

29,455

253,608

abrdn

Total

Dynamic

Dividend

Fund

238,056

1,799,703

Adams

Diversified

Equity

Fund,

Inc.

32,306

537,572

Adams

Natural

Resources

Fund,

Inc.

(d)

42,081

972,913

Advent

Convertible

and

Income

Fund

13,113

137,555

AllianceBernstein

National

Municipal

Income

Fund,

Inc.

(d)

91,554

855,114

Allspring

Income

Opportunities

193,557

1,180,698

Apollo

Senior

Floating

Rate

Fund,

Inc.

(d)

41,606

559,185

Ares

Dynamic

Credit

Allocation

Fund,

Inc.

29,695

383,065

Bancroft

Fund

Ltd.

9,679

152,638

Barings

Global

Short

Duration

High

Yield

Fund

9,336

118,567

BlackRock

California

Municipal

Income

Trust

873

8,983

BlackRock

Credit

Allocation

Income

Trust

(d)

122,614

1,186,904

BlackRock

Energy

and

Resources

Trust

(d)

38,338

502,611

BlackRock

Enhanced

Equity

Dividend

Trust

123,451

939,462

BlackRock

Enhanced

Global

Dividend

Trust

(d)

116,371

1,097,379

BlackRock

Enhanced

International

Dividend

Trust

(d)

234,799

1,171,647

BlackRock

Health

Sciences

Term

Trust

29,055

418,683

BlackRock

Innovation

and

Growth

Term

Trust

142,069

988,800

Blackrock

Investment

Quality

Municipal

Trust,

Inc.

(The)

45,323

458,669

BlackRock

MuniAssets

Fund,

Inc.

9,161

82,449

BlackRock

Municipal

2030

Target

Term

Trust

64,186

1,245,850

BlackRock

Municipal

Income

Fund,

Inc.

(d)

171,264

1,738,330

BlackRock

Municipal

Income

Quality

Trust

(d)

66,122

651,963

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

CLOSED-END

FUNDS

7.7%

(continued)

BlackRock

Municipal

Income

Trust

(d)

136,195

1,208,050

BlackRock

Municipal

Income

Trust

(d)

121,523

1,110,720

BlackRock

MuniHoldings

California

Quality

Fund,

Inc.

(d)

238,182

2,277,020

BlackRock

MuniHoldings

Fund,

Inc.

(d)

145,039

1,495,352

BlackRock

MuniHoldings

New

Jersey

Quality

Fund,

Inc.

(d)

105,515

1,067,812

BlackRock

MuniHoldings

New

York

Quality

Fund,

Inc.

(d)

70,203

640,953

BlackRock

MuniHoldings

Quality

Fund

II,

Inc.

(d)

73,424

644,663

BlackRock

MuniVest

Fund

II,

Inc.

(d)

63,319

588,234

BlackRock

MuniVest

Fund,

Inc.

(d)

161,478

978,557

BlackRock

MuniYield

Fund,

Inc.

(d)

118,894

1,091,447

BlackRock

MuniYield

Michigan

Quality

Fund,

Inc.

(d)

58,947

585,344

BlackRock

MuniYield

New

York

Quality

Fund,

Inc.

(d)

93,191

825,672

BlackRock

MuniYield

Pennsylvania

Quality

Fund

(d)

30,957

321,024

BlackRock

MuniYield

Quality

Fund

II,

Inc.

(d)

56,239

505,589

BlackRock

MuniYield

Quality

Fund

III,

Inc.

(d)

177,950

1,699,423

BlackRock

MuniYield

Quality

Fund,

Inc.

(d)

181,447

1,856,203

BlackRock

New

York

Municipal

Income

Trust

(d)

72,272

657,675

BlackRock

Resources

Commodities

Strategy

Trust

197,624

1,820,117

BlackRock

Science

and

Technology

Term

Trust

101,614

1,676,631

Blackstone

Long-Short

Credit

Income

Fund

(d)

45,054

524,879

Blackstone

Senior

Floating

Rate

2027

Term

Fund

43,196

572,347

Blackstone

Strategic

Credit

2027

Term

Fund

113,205

1,244,123

BNY

Mellon

Municipal

Income,

Inc.

71,921

407,792

BNY

Mellon

Strategic

Municipal

Bond

Fund,

Inc.

165,738

823,718

BNY

Mellon

Strategic

Municipals,

Inc.

176,009

938,128

Brookfield

Real

Assets

Income

Fund,

Inc.

127,278

1,559,155

Calamos

Global

Dynamic

Income

Fund

114,451

634,059

Calamos

Long

42,352

626,386

CBRE

Global

Real

Estate

Income

Fund

220,076

990,342

Central

Securities

Corp.

12,661

448,832

Clough

Global

Equity

Fund

76,902

421,423

Clough

Global

Opportunities

Fund

103,928

460,401

Cohen

Steers

Ltd.

Duration

Preferred

and

Income

Fund,

Inc.

45,130

770,369

INVESTMENTS

VALUE

($)

CLOSED-END

FUNDS

7.7%

(continued)

Cohen

Steers

Select

Preferred

and

Income

Fund,

Inc.

170

3,075

DWS

Municipal

Income

Trust

79,223

610,017

DWS

Strategic

Municipal

Income

Trust

414

Eaton

Vance

California

Municipal

Bond

Fund

83,591

678,759

Eaton

Vance

Floating-Rate

Income

Trust

43,299

533,011

Eaton

Vance

Ltd.

Duration

Income

Fund

214,197

1,936,341

Eaton

Vance

Municipal

Bond

Fund

151,568

1,358,049

Eaton

Vance

Municipal

Income

Trust

104,959

935,185

Eaton

Vance

New

York

Municipal

Bond

Fund

36,102

299,286

Eaton

Vance

Senior

Floating-Rate

Trust

50,146

607,268

Eaton

Vance

Short

Duration

Diversified

Income

Fund

4,780

49,569

Eaton

Vance

Tax

Managed

Global

Buy

Write

Opportunities

Fund

101,100

772,404

Eaton

Vance

Tax-Advantaged

Global

Dividend

Income

Fund

42,458

653,004

Eaton

Vance

Tax-Advantaged

Global

Dividend

Opportunities

Fund

3,410

72,804

Eaton

Vance

Tax-Managed

Global

Diversified

Equity

Income

Fund

161,131

1,187,535

Ellsworth

Growth

and

Income

Fund

Ltd.

46,707

375,991

Federated

Hermes

Premier

Municipal

Income

Fund

43,986

421,386

First

Trust

Energy

Income

and

Growth

Fund

51,179

673,004

First

Trust

High

Income

Long

21,181

227,060

First

Trust

High

Yield

Opportunities

2027

Term

Fund

50,455

672,061

First

Trust

Senior

Floating

Rate

Income

Fund

78,388

783,880

Flaherty

Crumrine

Preferred

and

Income

Fund,

Inc.

8,530

77,879

Flaherty

Crumrine

Preferred

and

Income

Opportunity

Fund,

Inc.

9,780

72,763

Flaherty

Crumrine

Preferred

and

Income

Securities

Fund,

Inc.

82,815

1,074,111

Flaherty

Crumrine

Total

Return

Fund,

Inc.

16,803

230,033

Franklin

Ltd.

Duration

Income

Trust

170,144

1,036,177

Gabelli

Dividend

Income

Trust

(The)

132,795

2,581,535

Gabelli

Global

Small

and

Mid

Cap

Value

Trust

(The)

3,721

38,550

Gabelli

Healthcare

WellnessRx

Trust

(The)

31,704

272,020

GDL

Fund

(The)

8,338

64,619

General

American

Investors

Co.,

Inc.

20,152

829,053

Highland

Global

Allocation

Fund

51,007

408,056

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

CLOSED-END

FUNDS

7.7%

(continued)

Highland

Opportunities

and

Income

Fund

122,103

981,708

Insight

Select

Income

Fund

17,625

264,904

Invesco

Advantage

Municipal

Income

Trust

106,307

787,735

Invesco

California

Value

Municipal

Income

Trust

121,264

1,022,256

Invesco

Municipal

Opportunity

Trust

169,888

1,398,178

Invesco

Municipal

Trust

127,974

1,067,303

Invesco

Pennsylvania

Value

Municipal

Income

Trust

42,186

377,565

Invesco

Quality

Municipal

Income

Trust

122,482

1,027,624

Invesco

Trust

for

Investment

Grade

Municipals

138,468

1,176,978

Invesco

Trust

for

Investment

Grade

New

York

Municipals

39,864

363,161

Invesco

Value

Municipal

Income

Trust

106,551

1,108,130

John

Hancock

Hedged

Equity

Income

Fund

5,613

53,716

John

Hancock

Income

Securities

Trust

8,685

89,108

John

Hancock

Premium

Dividend

Fund

39,784

382,722

John

Hancock

Tax-Advantaged

Dividend

Income

Fund

5,220

92,707

KKR

Income

Opportunities

Fund

18,201

217,684

Lazard

Global

Total

Return

and

Income

Fund,

Inc.

23,630

327,039

LMP

Capital

and

Income

Fund,

Inc.

25,764

322,050

MFS

Municipal

Income

Trust

96,965

441,191

Neuberger

Berman

Municipal

Fund,

Inc.

52,987

488,010

New

America

High

Income

Fund,

Inc.

(The)

62,681

406,173

New

Germany

Fund,

Inc.

(The)

14,142

115,540

Nuveen

AMT-Free

Municipal

Credit

Income

Fund

326,922

3,370,566

Nuveen

AMT-Free

Quality

Municipal

Income

Fund

394,848

3,822,129

Nuveen

Arizona

Quality

Municipal

Income

Fund

14,584

140,444

Nuveen

California

AMT-Free

Quality

Municipal

Income

Fund

104,554

1,072,724

Nuveen

California

Quality

Municipal

Income

Fund

310,150

2,992,947

Nuveen

Credit

Strategies

Income

Fund

240,435

1,216,601

Nuveen

Dow

30sm

Dynamic

Overwrite

Fund

73,393

1,005,484

Nuveen

Floating

Rate

Income

Fund

238,294

1,956,394

Nuveen

Massachusetts

Quality

Municipal

Income

Fund

5,237

49,647

Nuveen

Multi-Asset

Income

Fund

22,196

246,820

Nuveen

Municipal

Credit

Income

Fund

342,439

3,571,639

INVESTMENTS

VALUE

($)

CLOSED-END

FUNDS

7.7%

(continued)

Nuveen

New

Jersey

Quality

Municipal

Income

Fund

81,681

864,185

Nuveen

New

York

AMT-Free

Quality

Municipal

Income

Fund

177,171

1,674,266

Nuveen

New

York

Quality

Municipal

Income

Fund

68,129

658,807

Nuveen

Pennsylvania

Quality

Municipal

Income

Fund

64,866

659,687

Nuveen

Preferred

Income

Opportunities

Fund

373,161

2,362,109

Nuveen

Preferred

Income

Securities

Fund

521,429

3,217,217

Nuveen

Quality

Municipal

Income

Fund

375,816

3,810,774

Nuveen

Real

Asset

Income

and

Growth

Fund

70,799

751,885

Nuveen

Real

Estate

Income

Fund

59,681

399,863

Nuveen

Select

Maturities

Municipal

Fund

190

1,609

Nuveen

Virginia

Quality

Municipal

Income

Fund

12,909

122,635

PGIM

Global

High

Yield

Fund,

Inc.

23,531

253,664

PGIM

High

Yield

Bond

Fund,

Inc.

14,787

174,191

PGIM

Short

Duration

High

Yield

Opportunities

Fund

9,872

143,045

PIMCO

California

Municipal

Income

Fund

391

3,261

PIMCO

California

Municipal

Income

Fund

6,775

34,010

Pioneer

Diversified

High

Income

Fund,

Inc.

115

1,175

Pioneer

Floating

Rate

Fund,

Inc.

77,583

699,023

Pioneer

High

Income

Fund,

Inc.

106,323

713,427

Pioneer

Municipal

High

Income

Advantage

Fund,

Inc.

87,491

588,814

Pioneer

Municipal

High

Income

Fund

Trust

103,462

748,030

RiverNorth

Flexible

Municipal

Income

Fund

II,

Inc.

778

9,585

Royce

Global

Value

Trust,

Inc.

1,365

11,890

Royce

Micro-Cap

Trust,

Inc.

55,068

455,963

Royce

Value

Trust,

Inc.

186,363

2,398,492

Saba

Capital

Income

Opportunities

Fund

13,691

105,147

Source

Capital,

Inc.

5,258

202,906

Sprott

Focus

Trust,

Inc.

1,361

10,221

SRH

Total

Return

Fund,

Inc.

(d)

68,038

883,133

Swiss

Helvetia

Fund,

Inc.

(The)

11,383

86,966

Tekla

Healthcare

Investors

144,796

2,251,578

Tekla

Healthcare

Opportunities

Fund

95,638

1,623,933

Tekla

Life

Sciences

Investors

101,744

1,268,748

Templeton

Emerging

Markets

Fund

12,513

141,522

Tri-Continental

Corp.

20,459

544,005

Virtus

Dividend

Interest

Premium

Strategy

Fund

170,193

1,928,287

Virtus

Total

Return

Fund,

Inc.

124,092

595,642

Voya

Emerging

Markets

High

Dividend

Equity

Fund

20,154

99,359

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

CLOSED-END

FUNDS

7.7%

(continued)

Voya

Global

Advantage

and

Premium

Opportunity

Fund

51,642

428,629

Voya

Global

Equity

Dividend

and

Premium

Opportunity

Fund

185,877

910,797

Voya

Infrastructure

Industrials

and

Materials

Fund

41,666

392,910

Western

Asset

Intermediate

Muni

Fund,

Inc.

28,383

203,222

Western

Asset

Investment

Grade

Income

Fund,

Inc.

551

6,199

Western

Asset

Managed

Municipals

Fund,

Inc.

115,006

1,027,004

Western

Asset

Municipal

High

Income

Fund,

Inc.

36,922

224,855

Western

Asset

Municipal

Partners

Fund,

Inc.

21,164

223,915

Western

Asset

Premier

Bond

Fund

8,405

84,806

TOTAL

CLOSED-END

FUNDS

(Cost

$146,753,920)

135,420,188

PRINCIPAL

AMOUNT

CORPORATE

BONDS

0.0%

†

Independent

Power

and

Renewable

Electricity

Producers

0.0%

†

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2022

(2)(e)

2,375,000

2,375

Media

0.0%

†

iHeartCommunications,

Inc.

6.38%,

5/1/2026

(2)

423

365

Oil,

Gas

Consumable

Fuels

0.0%

†

Black

Elk

Energy

Escrow

13.75%,

12/1/2015

(3)(b)(e)

2,833,436

123,254

TOTAL

CORPORATE

BONDS

(Cost

$880,000)

125,994

CONVERTIBLE

BONDS

29.8%

Air

Freight

Logistics

0.1%

Air

Transport

Services

Group,

Inc.

3.88%,

8/15/2029

(2)(d)(f)

962,000

944,203

Automobile

Components

1.0%

LCI

Industries

1.13%,

5/15/2026

(2)(d)

11,400,000

10,590,600

Luminar

Technologies,

Inc.

1.25%,

12/15/2026

(2)(d)(f)

3,325,000

2,176,213

Patrick

Industries,

Inc.

1.75%,

12/1/2028

(2)(d)

4,258,000

4,017,423

16,784,236

Biotechnology

1.9%

Cytokinetics,

Inc.

3.50%,

7/1/2027

(2)(d)

10,840,000

9,193,404

Exact

Sciences

Corp.

2.00%,

3/1/2030

(2)(d)(f)

11,975,000

13,172,500

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024

(2)(d)

2,075,000

1,872,687

Insmed,

Inc.

0.75%,

6/1/2028

(2)(d)

1,462,000

1,450,304

Intercept

Pharmaceuticals,

Inc.

2.00%,

5/15/2026

(2)

3,082,000

3,016,662

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Biotechnology

1.9%

(continued)

Ionis

Pharmaceuticals,

Inc.

1.75%,

6/15/2028

(2)(d)(f)

4,008,000

4,206,396

32,911,953

Broadline

Retail

0.7%

Etsy,

Inc.

0.25%,

6/15/2028

(2)(d)

17,025,000

12,862,388

Capital

Markets

0.1%

WisdomTree,

Inc.

5.75%,

8/15/2028

(2)(d)(f)

1,425,000

1,464,187

Commercial

Services

Supplies

0.1%

Tetra

Tech,

Inc.

2.25%,

8/15/2028

(2)(d)(f)

1,348,000

1,327,780

Communications

Equipment

1.6%

Infinera

Corp.

2.50%,

3/1/2027

(2)(d)

2,925,000

2,573,892

3.75%,

8/1/2028

(2)(d)

7,575,000

7,053,730

Lumentum

Holdings,

Inc.

0.50%,

6/15/2028

(2)(d)

11,406,000

8,284,178

1.50%,

12/15/2029

(2)(d)(f)

11,036,000

10,031,724

27,943,524

Consumer

Finance

1.4%

EZCORP,

Inc.

2.38%,

5/1/2025

(2)(d)

1,540,000

1,436,050

3.75%,

12/15/2029

(2)(d)(f)

9,850,000

9,535,785

LendingTree,

Inc.

0.50%,

7/15/2025

(2)(d)

11,651,000

9,175,163

SoFi

Technologies,

Inc.

0.00%,

10/15/2026

(2)(d)(f)

5,950,000

4,587,450

24,734,448

Diversified

Consumer

Services

0.1%

2U,

Inc.

2.25%,

5/1/2025

(2)(d)

3,425,000

2,044,725

Diversified

REITs

0.4%

HAT

Holdings

LLC

3.75%,

8/15/2028

(2)(d)(f)

7,335,000

7,128,703

Diversified

Telecommunication

Services

0.1%

Bandwidth,

Inc.

0.25%,

3/1/2026

(2)(d)

1,875,000

1,494,375

Electric

Utilities

0.3%

FirstEnergy

Corp.

4.00%,

5/1/2026

(2)(d)(f)

6,108,000

5,878,950

Electrical

Equipment

1.5%

Array

Technologies,

Inc.

1.00%,

12/1/2028

(2)(d)

12,850,000

14,636,150

Bloom

Energy

Corp.

3.00%,

6/1/2028

(2)(d)(f)

11,965,000

11,942,267

26,578,417

Electronic

Equipment,

Instruments

Components

0.1%

Advanced

Energy

Industries,

Inc.

2.50%,

9/15/2028

(2)(d)(f)

1,896,000

1,912,377

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Energy

Equipment

Services

1.1%

Helix

Energy

Solutions

Group,

Inc.

6.75%,

2/15/2026

(2)(d)

5,125,000

8,817,562

Nabors

Industries,

Inc.

1.75%,

6/15/2029

(2)(d)(f)

12,646,000

11,122,157

19,939,719

Entertainment

0.4%

Sea

Ltd.

(Singapore)

0.25%,

9/15/2026

(2)(d)

9,900,000

7,895,250

Financial

Services

0.8%

Shift4

Payments,

Inc.

0.50%,

8/1/2027

(2)(d)

16,600,000

14,183,040

Health

Care

Equipment

Supplies

0.5%

Cutera,

Inc.

2.25%,

6/1/2028

(2)(d)

10,581,000

6,130,632

4.00%,

6/1/2029

(2)(d)(f)

1,033,000

593,355

TransMedics

Group,

Inc.

1.50%,

6/1/2028

(2)(f)

2,225,000

2,009,397

8,733,384

Health

Care

Providers

Services

0.6%

Guardant

Health,

Inc.

0.00%,

11/15/2027

(2)(d)

14,525,000

9,985,937

Health

Care

REITs

0.3%

Welltower

LLC

2.75%,

5/15/2028

(2)(d)(f)

5,799,000

5,918,085

Health

Care

Technology

0.2%

Teladoc

Health,

Inc.

1.25%,

6/1/2027

(2)(d)

5,175,000

4,123,958

Hotels,

Restaurants

Leisure

3.7%

Carnival

Corp.

5.75%,

12/1/2027

(2)(d)(f)

22,095,000

29,496,825

DraftKings

Holdings,

Inc.

0.00%,

3/15/2028

(2)(d)

13,750,000

10,401,875

MakeMyTrip

Ltd.

(India)

0.00%,

2/15/2028

(2)(d)

10,150,000

11,799,375

NCL

Corp.

Ltd.

2.50%,

2/15/2027

(2)(d)

275,000

237,050

1.13%,

2/15/2027

(2)(d)

15,638,000

12,940,445

64,875,570

Household

Durables

0.1%

GoPro,

Inc.

1.25%,

11/15/2025

(2)(d)

1,225,000

1,059,625

Independent

Power

and

Renewable

Electricity

Producers

0.1%

Sunnova

Energy

International,

Inc.

2.63%,

2/15/2028

(2)(d)

3,989,000

2,451,240

Interactive

Media

Services

1.6%

Eventbrite,

Inc.

0.75%,

9/15/2026

(2)(d)

7,400,000

6,053,200

Liberty

TripAdvisor

Holdings,

Inc.

0.50%,

6/30/2051

(2)(d)(f)

15,050,000

12,243,175

Snap,

Inc.

0.00%,

5/1/2027

(2)(d)

1,175,000

870,675

0.13%,

3/1/2028

(2)(d)

12,872,000

8,868,808

28,035,858

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Services

0.5%

DigitalOcean

Holdings,

Inc.

0.00%,

12/1/2026

(2)(d)

10,530,000

8,049,132

Life

Sciences

Tools

Services

0.3%

CryoPort,

Inc.

0.75%,

12/1/2026

(2)(d)(f)

3,083,000

2,443,277

Inotiv,

Inc.

3.25%,

10/15/2027

(2)(d)

4,750,000

2,351,250

4,794,527

Machinery

1.0%

Systems

Corp.

0.00%,

11/15/2026

(2)(d)

9,900,000

7,147,800

Greenbrier

Cos.,

Inc.

(The)

2.88%,

4/15/2028

(2)(d)

11,535,000

10,865,970

18,013,770

Media

1.0%

Cable

One,

Inc.

1.13%,

3/15/2028

(2)(d)

7,514,000

5,590,416

Liberty

Media

Corp.

2.38%,

9/30/2053

(2)(d)(f)

11,718,000

11,759,013

17,349,429

Metals

Mining

0.9%

United

States

Steel

Corp.

5.00%,

11/1/2026

(2)(d)

6,225,000

15,332,175

Multi-Utilities

0.5%

CenterPoint

Energy,

Inc.

4.25%,

8/15/2026

(2)(d)(f)

9,866,000

9,624,283

Oil,

Gas

Consumable

Fuels

0.7%

Northern

Oil

and

Gas,

Inc.

3.63%,

4/15/2029

(2)(d)(f)

10,572,000

13,059,484

Passenger

Airlines

1.1%

JetBlue

Airways

Corp.

0.50%,

4/1/2026

(2)(d)

12,675,000

9,799,043

Spirit

Airlines,

Inc.

1.00%,

5/15/2026

(2)(d)

10,811,000

8,989,346

18,788,389

Pharmaceuticals

0.6%

Innoviva,

Inc.

2.13%,

3/15/2028

(2)(d)

13,373,000

10,968,289

Real

Estate

Management

Development

0.1%

Redfin

Corp.

0.50%,

4/1/2027

(2)(d)

4,535,000

2,630,300

Semiconductors

Semiconductor

Equipment

0.2%

SMART

Global

Holdings,

Inc.

2.00%,

2/1/2029

(2)(d)

1,000,000

1,312,000

Veeco

Instruments,

Inc.

2.88%,

6/1/2029

(2)(d)(f)

1,215,000

1,430,662

2,742,662

Software

2.3%

8x8,

Inc.

4.00%,

2/1/2028

(2)(d)

9,300,000

6,608,580

Cerence,

Inc.

1.50%,

7/1/2028

(2)(d)(f)

12,812,000

10,608,336

Splunk,

Inc.

1.13%,

6/15/2027

(2)

18,303,000

17,268,880

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Software

2.3%

(continued)

Unity

Software,

Inc.

0.00%,

11/15/2026

(2)(d)

6,825,000

5,401,988

Veritone,

Inc.

1.75%,

11/15/2026

(2)(d)

1,091,000

385,232

40,273,016

Specialty

Retail

1.4%

Farfetch

Ltd.

(United

Kingdom)

3.75%,

5/1/2027

(2)(d)

8,525,000

4,529,332

Wayfair,

Inc.

1.13%,

11/1/2024

(2)(d)

2,863,000

2,804,022

1.00%,

8/15/2026

(2)(d)

8,075,000

6,601,313

3.25%,

9/15/2027

(2)(d)

9,225,000

11,106,900

25,041,567

Trading

Companies

Distributors

0.4%

Xometry,

Inc.

1.00%,

2/1/2027

(2)(d)

8,800,000

6,371,400

TOTAL

CONVERTIBLE

BONDS

(Cost

$566,387,070)

524,250,355

NO.

RIGHTS

0.0%

†

Biotechnology

0.0%

Ambit

Biosciences

Corp.,

CVR

(3)*(b)

146,272

–

Tobira

Therapeutics,

Inc.,

CVR

(3)*(b)

11,880

–

Capital

Markets

0.0%

†

Accretion

Acquisition

Corp.,

expiring

3/1/2028

(2)*(a)

202,180

13,020

Alset

Capital

Acquisition

Corp.,

expiring

2/3/2025

*(a)

122,496

28,174

Aquaron

Acquisition

Corp.,

expiring

7/15/2026

(2)*(a)(d)

35,605

9,831

Bannix

Acquisition

Corp.,

expiring

8/30/2026

*(a)

26,277

6,543

Bellevue

Life

Sciences

Acquisition

Corp.,

expiring

11/15/2023

*(a)

25,053

7,015

Breeze

Holdings

Acquisition

Corp.,

expiring

11/14/2023

*(a)

55,000

4,675

Broad

Capital

Acquisition

Corp.,

expiring

1/13/2027

(2)*(a)

69,739

14,297

Cetus

Capital

Acquisition

Corp.,

expiring

2/3/2033

*(a)

27,102

6,084

Clean

Earth

Acquisitions

Corp.,

expiring

8/28/2028

*(a)

195,348

25,786

Clean

Energy

Special

Situations

Corp.,

expiring

10/11/2023

(2)*(a)

40,212

33,810

Deep

Medicine

Acquisition

Corp.,

expiring

9/30/2028

*(a)

152,927

45,878

Edoc

Acquisition

Corp.,

expiring

11/30/2027

*(a)

55,000

4,950

Hutton

Acquisition

Corp.

expiring

10/13/2023

(2)*(a)

34,096

5,796

ESH

Acquisition

Corp.,

expiring

6/16/2028

*(a)

97,905

23,889

Feutune

Light

Acquisition

Corp.,

expiring

11/16/2023

(2)*(a)

94,079

12,014

INVESTMENTS

NO.

RIGHTS

VALUE

($)

Capital

Markets

0.0%

†

(continued)

Financial

Strategies

Acquisition

Corp.,

expiring

10/14/2023

(3)*(a)

(b)

131,193

9,184

Fintech

Ecosystem

Development

Corp.,

expiring

1/4/2026

*(a)

10,730

1,503

Global

Blockchain

Acquisition

Corp.,

expiring

11/14/2023

*(a)

161,196

29,563

Global

Star

Acquisition,

Inc.,

expiring

6/21/2024

(3)*(a)(b)

50,064

6,023

Globalink

Investment,

Inc.,

expiring

12/9/2026

(3)*(a)(b)

74,843

9,400

Goldenstone

Acquisition

Ltd.,

expiring

7/15/2026

*(a)

32,200

4,849

Inception

Growth

Acquisition

Ltd.,

expiring

10/13/2023

(2)*(a)

112,518

20,253

Metal

Sky

Star

Acquisition

Corp.,

expiring

12/31/2023

*(a)

103,342

13,445

Monterey

Capital

Acquisition

Corp.,

expiring

5/13/2027

*(a)

71,394

14,279

NorthView

Acquisition

Corp.,

expiring

8/2/2027

*(a)

154,598

26,282

PHP

Ventures

Acquisition

Corp.,

expiring

8/11/2026

*(a)

29,400

4,413

Plutonian

Acquisition

Corp.,

expiring

11/14/2023

*(a)

15,166

2,730

Qomolangma

Acquisition

Corp.,

expiring

1/18/2028

(3)*(a)(b)

23,684

3,837

Redwoods

Acquisition

Corp.,

expiring

3/15/2027

*(a)

74,885

10,484

Acquisition

Corp.,

expiring

3/29/2024

(3)*(a)(b)

114,573

12,614

Sagaliam

Acquisition

Corp.,

expiring

5/31/2028

*(a)

70,003

9,051

Trailblazer

Merger

Corp.

expiring

11/15/2023

*(a)

149,105

26,839

Welsbach

Technology

Metals

Acquisition

Corp.,

expiring

6/30/2024

*(a)

9,289

1,208

Yotta

Acquisition

Corp.,

expiring

12/31/2023

*(a)

68,693

8,078

455,797

TOTAL

RIGHTS

(Cost

$–)

455,797

NO.

WARRANTS

0.1%

Aerospace

Defense

0.0%

†

AERWINS

Technology,

Inc.,

expiring

6/16/2026

*(d)

43,218

1,210

Automobiles

0.0%

†

Zapp

Electric

Vehicles

Group

Ltd.,

expiring

3/3/2028

(Cayman

Islands)

33,031

829

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

NO.

WARRANTS

VALUE

($)

Biotechnology

0.0%

†

180

Life

Sciences

Corp.,

expiring

11/7/2025

275,975

3,119

Calidi

Biotherapeutics,

Inc.,

expiring

9/10/2026

2,829

622

Cardio

Diagnostics

Holdings,

Inc.,

expiring

12/1/2026

(2)*

2,786

Carmell

Corp.,

expiring

7/12/2028

(2)*

45,485

10,462

DermTech,

Inc.,

expiring

8/29/2024

(2)*

46,082

1,382

Ensysce

Biosciences,

Inc.,

expiring

2/1/2026

(2)*

67,841

814

Peak

Bio,

Inc.,

expiring

12/31/2027

(2)*

5,937

TriSalus

Life

Sciences,

Inc.,

expiring

8/10/2028

6,451

2,427

ZyVersa

Therapeutics,

Inc.,

expiring

12/20/2026

(3)*(b)

38,655

–

18,927

Capital

Markets

0.1%

7GC

Co.

Holdings,

Inc.,

expiring

12/31/2026

*(a)

67,750

7,757

Accretion

Acquisition

Corp.,

expiring

3/1/2028

*(a)(d)

101,090

2,285

Achari

Ventures

Holdings

Corp.

expiring

10/15/2026

(2)*(a)(d)

42,909

2,613

Acri

Capital

Acquisition

Corp.,

expiring

2/1/2029

*(a)(d)

27,498

3,795

Acropolis

Infrastructure

Acquisition

Corp.,

expiring

3/31/2026

*(a)(d)

140,333

8,420

Adit

EdTech

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)(d)

41,250

2,760

Aetherium

Acquisition

Corp.,

expiring

1/21/2028

(2)*(a)(d)

175,712

4,621

Alset

Capital

Acquisition

Corp.,

expiring

2/2/2027

*(a)

53,716

3,164

AltEnergy

Acquisition

Corp.,

expiring

11/2/2028

*(a)(d)

61,463

4,542

Altitude

Acquisition

Corp.,

expiring

11/30/2027

*(a)

96,300

5,778

American

Acquisition

Opportunity,

Inc.,

expiring

5/28/2026

(2)*(a)

58,500

5,838

Anzu

Special

Acquisition

Corp.

expiring

12/31/2027

68,213

5,798

Armada

Acquisition

Corp.

expiring

8/13/2026

(2)*(a)

64,166

4,723

Arogo

Capital

Acquisition

Corp.,

expiring

3/23/2028

*(a)

96,774

4,858

Arrowroot

Acquisition

Corp.,

expiring

3/2/2026

*(a)(d)

41,500

7,470

Artemis

Strategic

Investment

Corp.,

expiring

12/31/2027

(2)*(a)

102,400

3,133

Athena

Consumer

Acquisition

Corp.,

expiring

7/31/2028

*(a)

64,463

23,207

INVESTMENTS

NO.

WARRANTS

VALUE

($)

Capital

Markets

0.1%

(continued)

Athena

Technology

Acquisition

Corp.

II,

expiring

10/17/2028

*(a)

319,116

41,485

Atlantic

Coastal

Acquisition

Corp.,

expiring

12/31/2027

*(a)(d)

228,472

6,397

Atlantic

Coastal

Acquisition

Corp.

II,

expiring

6/2/2028

*(a)(d)

206,631

16,530

Ault

Disruptive

Technologies

Corp.,

expiring

6/20/2028

(3)*(a)(b)(d)

54,855

658

Bannix

Acquisition

Corp.,

expiring

7/31/2026

*(a)

26,277

657

Banyan

Acquisition

Corp.,

expiring

9/30/2028

*(a)

167,229

30,352

Beard

Energy

Transition

Acquisition

Corp.,

expiring

12/31/2027

*(a)

74,755

2,243

Bellevue

Life

Sciences

Acquisition

Corp.,

expiring

2/10/2028

(3)*(a)(b)

25,053

1,177

Beneficient,

expiring

6/7/2028

18,030

694

Berenson

Acquisition

Corp.

expiring

8/1/2026

(2)*(a)

15,392

Bite

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

41,600

2,500

Black

Mountain

Acquisition

Corp.,

expiring

10/15/2027

(2)*(a)

183,774

8,637

Breeze

Holdings

Acquisition

Corp.,

expiring

5/25/2027

*(a)

55,000

10,450

BurTech

Acquisition

Corp.,

expiring

12/18/2026

(2)*(a)

447,209

10,196

byNordic

Acquisition

Corp.,

expiring

2/9/2027

*(a)

69,207

6,921

Acquisition

Corp.,

expiring

5/19/2028

*(a)

131,692

4,886

Canna-Global

Acquisition

Corp.,

expiring

2/9/2028

(2)*(a)

188,580

3,319

Cetus

Capital

Acquisition

Corp.,

expiring

3/24/2028

*(a)

27,102

726

Acquisition

Corp.

IV,

expiring

12/14/2025

*(a)

78,500

3,925

Acquisition

Corp.

VII,

expiring

3/15/2026

*(a)

48,764

2,731

Acquisition

Corp.

VIII,

expiring

12/31/2027

*(a)

32,001

9,024

Churchill

Capital

Corp.

expiring

10/29/2027

*(a)

10,350

1,915

Churchill

Capital

Corp.

VI,

expiring

12/31/2027

*(a)

16,600

2,656

Churchill

Capital

Corp.

VII,

expiring

2/29/2028

*(a)

16,600

5,113

Clean

Earth

Acquisitions

Corp.,

expiring

2/24/2028

*(a)

97,674

5,186

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

NO.

WARRANTS

VALUE

($)

Capital

Markets

0.1%

(continued)

Clean

Energy

Special

Situations

Corp.,

expiring

4/12/2026

(2)*(a)

20,106

1,799

Concord

Acquisition

Corp.

II,

expiring

12/31/2028

(2)*(a)

95,464

9,957

Concord

Acquisition

Corp.

III,

expiring

12/31/2028

(2)*(a)

215,234

12,914

Conx

Corp.,

expiring

10/30/2027

*(a)

92,500

13,875

Corner

Growth

Acquisition

Corp.,

expiring

12/31/2027

*(a)

110,400

10,223

Crixus

BH3

Acquisition

Co.,

expiring

11/23/2026

*(a)

42,289

2,326

Data

Knights

Acquisition

Corp.,

expiring

12/31/2028

*(a)

50,667

2,280

Digital

Health

Acquisition

Corp.,

expiring

10/14/2023

*(a)

71,745

1,586

Direct

Selling

Acquisition

Corp.,

expiring

9/30/2028

(3)*(a)(b)

51,291

1,026

dMY

Squared

Technology

Group,

Inc.,

expiring

11/21/2027

(2)*(a)

6,140

1,535

DUET

Acquisition

Corp.,

expiring

7/19/2028

(2)*(a)

73,788

2,752

Dune

Acquisition

Corp.,

expiring

10/29/2027

*(a)

22,884

1,602

Edify

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

41,550

968

Edoc

Acquisition

Corp.,

expiring

11/30/2027

*(a)

55,000

963

Hutton

Acquisition

Corp.

expiring

12/8/2027

(2)*(a)

34,096

1,060

Acquisition

Corp.,

expiring

5/28/2028

*(a)

155,666

26,588

Everest

Consolidator

Acquisition

Corp.,

expiring

7/19/2028

*(a)

65,508

13,757

ExcelFin

Acquisition

Corp.,

expiring

10/21/2026

(2)*(a)

67,393

3,033

FAST

Acquisition

Corp.

II,

expiring

3/16/2026

*(a)

21,517

10,759

Feutune

Light

Acquisition

Corp.,

expiring

6/1/2029

(2)*(a)

94,079

2,352

Financial

Strategies

Acquisition

Corp.,

expiring

3/31/2028

(3)*(a)(b)

131,193

2,296

FinServ

Acquisition

Corp.

II,

expiring

2/17/2026

*(a)

20,791

665

Fintech

Ecosystem

Development

Corp.,

expiring

12/31/2028

(3)*(a)(b)

5,365

121

Flame

Acquisition

Corp.,

expiring

12/31/2028

*(a)

65,866

52,693

INVESTMENTS

NO.

WARRANTS

VALUE

($)

Capital

Markets

0.1%

(continued)

Focus

Impact

Acquisition

Corp.,

expiring

10/28/2026

(2)*(a)

50,975

4,078

Forest

Road

Acquisition

Corp.

II,

expiring

1/15/2026

*(a)

16,622

349

Fortune

Rise

Acquisition

Corp.,

expiring

12/6/2027

*(a)

49,324

3,946

Four

Leaf

Acquisition

Corp.,

expiring

5/12/2028

*(a)

111,000

7,715

FTAC

Emerald

Acquisition

Corp.,

expiring

8/22/2028

*(a)

118,863

8,320

Fusion

Acquisition

Corp.

II,

expiring

12/31/2027

*(a)

27,666

Future

Health

ESG

Corp.,

expiring

9/9/2026

*(a)

45,911

1,175

FutureTech

Acquisition

Corp.,

expiring

2/16/2027

(3)*(a)(b)

38,964

2,673

Gardiner

Healthcare

Acquisitions

Corp.,

expiring

7/30/2028

(3)*(a)(b)

52,651

3,159

GigCapital5,

Inc.,

expiring

12/31/2028

*(a)

123,100

3,693

Global

Blockchain

Acquisition

Corp.,

expiring

5/10/2027

(2)*(a)

161,196

4,852

Global

Star

Acquisition,

Inc.,

expiring

11/10/2027

(2)*(a)

50,064

1,427

Global

Systems

Dynamics,

Inc.,

expiring

12/31/2027

(2)*(a)

69,500

2,078

Globalink

Investment,

Inc.,

expiring

12/3/2026

(2)*(a)

74,843

1,400

Goal

Acquisitions

Corp.,

expiring

2/11/2026

*(a)

84,630

2,217

Golden

Arrow

Merger

Corp.,

expiring

7/31/2026

*(a)

131,733

4,769

Goldenstone

Acquisition

Ltd.,

expiring

7/15/2026

*(a)

32,200

1,552

Gores

Holdings

IX,

Inc.,

expiring

1/14/2029

*(a)

552,098

110,420

Graf

Acquisition

Corp.

IV,

expiring

5/31/2028

73,000

28,813

Healthwell

Acquisition

Corp.

expiring

8/5/2028

(2)*(a)

139,600

23,718

Hennessy

Capital

Investment

Corp.

VI,

expiring

12/31/2027

(2)*(a)

232,490

27,899

HNR

Acquisition

Corp.,

expiring

7/29/2028

(2)*(a)

49,014

9,313

Home

Plate

Acquisition

Corp.,

expiring

9/30/2026

(2)*(a)

20,508

705

Inception

Growth

Acquisition

Ltd.,

expiring

10/15/2026

*(a)

56,259

5,626

Industrial

Tech

Acquisitions

II,

Inc.,

expiring

12/31/2028

*(a)

63,004

2,205

Insight

Acquisition

Corp.,

expiring

8/26/2026

(2)*(a)

25,170

654

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

NO.

WARRANTS

VALUE

($)

Capital

Markets

0.1%

(continued)

Integral

Acquisition

Corp.

expiring

12/14/2028

*(a)

53,808

1,862

Integrated

Rail

and

Resources

Acquisition

Corp.,

expiring

11/12/2026

*(a)

54,219

13,820

InterPrivate

III

Financial

Partners,

Inc.,

expiring

12/31/2027

(3)*(a)(b)

16,500

909

Iris

Acquisition

Corp.,

expiring

3/5/2026

(2)*(a)

63,888

2,556

Juniper

Corp.,

expiring

12/31/2028

(2)*(a)

53,808

140

Jupiter

Acquisition

Corp.,

expiring

8/17/2028

(2)*(a)

105,000

3,591

Kingswood

Acquisition

Corp.,

expiring

5/1/2027

(3)*(a)(b)

112,062

1,121

KnightSwan

Acquisition

Corp.,

expiring

7/21/2028

(2)*(a)

167,019

6,046

Landcadia

Holdings

IV,

Inc.,

expiring

3/29/2028

*(a)

84,500

11,830

Learn

Investment

Corp.,

expiring

12/31/2028

*(a)

13,352

382

Capital

Acquisition

Corp.

II,

expiring

1/7/2026

*(a)

54,396

201

Live

Oak

Crestview

Climate

Acquisition

Corp.,

expiring

3/12/2026

*(a)

54,710

4,180

M3-Brigade

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

413,333

18,807

Maquia

Capital

Acquisition

Corp.,

expiring

12/31/2027

*(a)

113,500

7,207

Marblegate

Acquisition

Corp.,

expiring

8/31/2028

*(a)

573,387

10,550

Mercato

Partners

Acquisition

Corp.,

expiring

12/28/2026

*(a)

69,041

14,499

Metal

Sky

Star

Acquisition

Corp.,

expiring

4/1/2027

*(a)

103,342

1,964

Mobiv

Acquisition

Corp.,

expiring

9/23/2027

*(a)

101,917

7,134

Monterey

Capital

Acquisition

Corp.,

expiring

5/11/2027

(2)*(a)

71,394

2,856

Monterey

Innovation

Acquisition

Corp.,

expiring

10/1/2026

*(a)

8,700

250

Murphy

Canyon

Acquisition

Corp.,

expiring

2/3/2027

*(a)

90,208

4,059

Nabors

Energy

Transition

Corp.,

expiring

11/17/2026

(2)*(a)

127,094

24,148

New

Providence

Acquisition

Corp.

II,

expiring

12/31/2027

*(a)

41,859

2,390

Newbury

Street

Acquisition

Corp.,

expiring

12/31/2027

*(a)

88,000

12,786

INVESTMENTS

NO.

WARRANTS

VALUE

($)

Capital

Markets

0.1%

(continued)

Northern

Star

Investment

Corp.

II,

expiring

1/31/2028

(2)*(a)

16,500

480

Northern

Star

Investment

Corp.

III,

expiring

2/25/2028

(2)*(a)

13,777

172

Northern

Star

Investment

Corp.

IV,

expiring

12/31/2027

(2)*(a)

13,777

827

NorthView

Acquisition

Corp.,

expiring

8/2/2027

*(a)

77,299

2,860

Nubia

Brand

International

Corp.,

expiring

11/16/2026

*(a)

142,150

9,382

OCA

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

55,769

2,911

OceanTech

Acquisitions

Corp.,

expiring

5/10/2026

*(a)

104,000

2,860

OmniLit

Acquisition

Corp.,

expiring

11/8/2026

*(a)

40,496

1,822

OPY

Acquisition

Corp.

expiring

9/22/2027

*(a)

41,286

1,144

Osiris

Acquisition

Corp.,

expiring

5/1/2028

*(a)

254,000

7,671

Papaya

Growth

Opportunity

Corp.

expiring

12/31/2028

*(a)

206,644

12,047

Phoenix

Biotech

Acquisition

Corp.,

expiring

9/1/2026

*(a)

106,172

7,602

PHP

Ventures

Acquisition

Corp.,

expiring

12/4/2023

(2)*(a)

14,700

520

Plutonian

Acquisition

Corp.,

expiring

10/26/2027

*(a)

15,166

1,053

PMV

Consumer

Acquisition

Corp.,

expiring

8/31/2027

(3)*(a)(b)

146,000

2,920

Pono

Capital

Two,

Inc.,

expiring

9/23/2027

*(a)

92,094

5,516

Power

Digital

Infrastructure

Acquisition

Corp.,

expiring

12/14/2028

*(a)

159,558

15,956

PowerUp

Acquisition

Corp.,

expiring

2/18/2027

*(a)

226,462

11,323

Priveterra

Acquisition

Corp.

II,

expiring

1/8/2026

*(a)

72,083

3,604

PROOF

Acquisition

Corp.

expiring

12/3/2028

(3)*(a)(b)

75,432

8,169

Qomolangma

Acquisition

Corp.,

expiring

11/23/2027

(2)*(a)

23,684

528

Redwoods

Acquisition

Corp.,

expiring

3/15/2027

(2)*(a)

74,885

5,407

Relativity

Acquisition

Corp.,

expiring

2/11/2027

(3)*(a)(b)

89,748

–

Acquisition

Corp.,

expiring

5/1/2028

*(a)

114,573

2,979

Roth

Acquisition

Co.,

expiring

12/10/2026

*(a)

14,143

1,131

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

NO.

WARRANTS

VALUE

($)

Capital

Markets

0.1%

(continued)

Schultze

Special

Purpose

Acquisition

Corp.

II,

expiring

3/25/2028

*(a)

31,865

159

Seaport

Global

Acquisition

Corp.,

expiring

11/17/2026

*(a)

40,848

2,247

ShoulderUp

Technology

Acquisition

Corp.,

expiring

11/17/2026

*(a)

108,870

2,722

SilverBox

Corp.

III,

expiring

4/28/2028

(3)*(a)(b)

35,738

5,757

Sizzle

Acquisition

Corp.,

expiring

3/12/2026

*(a)

35,872

5,381

Social

Leverage

Acquisition

Corp.

expiring

2/17/2028

(2)*(a)

20,666

932

Southport

Acquisition

Corp.,

expiring

5/24/2028

*(a)

182,986

9,881

SportsMap

Tech

Acquisition

Corp.,

expiring

9/1/2027

*(a)

64,363

1,995

Venture

Acquisition

Corp.,

expiring

8/15/2028

(2)*(a)

215,235

6,888

Thunder

Bridge

Capital

Partners

III,

Inc.,

expiring

2/15/2028

*(a)

16,818

1,177

Thunder

Bridge

Capital

Partners

IV,

Inc.,

expiring

4/30/2028

*(a)

64,400

7,084

Twelve

Seas

Investment

Co.

II,

expiring

3/2/2028

*(a)

32,933

1,706

Vision

Sensing

Acquisition

Corp.,

expiring

11/1/2026

*(a)

38,412

1,421

Western

Acquisition

Ventures

Corp.,

expiring

1/12/2027

*(a)

67,539

2,168

Williams

Rowland

Acquisition

Corp.,

expiring

12/11/2026

(2)*(a)

115,833

1,274

Yotta

Acquisition

Corp.,

expiring

3/15/2027

*(a)

68,693

1,374

Zalatoris

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

54,960

10,239

1,043,688

Commercial

Services

Supplies

0.0%

†

ESGL

Holdings

Ltd.,

expiring

4/13/2028

(Cayman

Islands)

40,880

797

Construction

Engineering

0.0%

†

Southland

Holdings,

Inc.,

expiring

9/1/2026

(2)*

36,810

24,298

Consumer

Finance

0.0%

†

Moneylion,

Inc.,

expiring

9/22/2026

19,006

874

Electrical

Equipment

0.0%

†

Noco-Noco,

Inc.,

expiring

8/11/2028

8,855

443

INVESTMENTS

NO.

WARRANTS

VALUE

($)

Electronic

Equipment,

Instruments

Components

0.0%

†

Innoviz

Technologies

Ltd.,

expiring

4/5/2026

(Israel)

10,727

7,723

Ouster,

Inc.,

expiring

9/29/2025

62,132

1,255

SMX

Security

Matters

plc,

expiring

3/7/2028

(Ireland)

15,574

178

9,156

Health

Care

Technology

0.0%

†

iCoreConnect,

Inc.,

expiring

5/15/2028

(3)*(b)

73,527

7,353

Hotels,

Restaurants

Leisure

0.0%

†

Hall

Fame

Resort

Entertainment

Co.,

expiring

7/1/2025

94,018

1,974

Insurance

0.0%

†

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)

(3)*(b)

108,207

398

Interactive

Media

Services

0.0%

†

Leafly

Holdings,

Inc.,

expiring

11/7/2026

22,529

789

Machinery

0.0%

†

Nuburu,

Inc.,

expiring

9/7/2027

282,709

6,107

Metals

Mining

0.0%

†

NioCorp

Developments

Ltd.,

expiring

3/17/2028

(Canada)

117,360

69,242

Mortgage

Real

Estate

Investment

Trusts

(REITs)

0.0%

†

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

(3)*(b)

255,656

1,304

Oil,

Gas

Consumable

Fuels

0.0%

†

Brooge

Energy

Ltd.,

expiring

12/20/2024

(United

Arab

Emirates)

68,016

1,027

Verde

Clean

Fuels,

Inc.,

expiring

12/31/2027

72,811

15,946

16,973

Real

Estate

Management

Development

0.0%

†

Doma

Holdings,

Inc.,

expiring

7/28/2026

(3)*(b)

22,314

105

Software

0.0%

†

FOXO

Technologies,

Inc.,

expiring

8/1/2027

(2)*

206

Specialty

Retail

0.0%

†

BARK,

Inc.,

expiring

8/29/2025

102,138

13,268

Kaixin

Auto

Holdings,

expiring

4/30/2024

(Hong

Kong)

5,784

13,325

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

NO.

WARRANTS

VALUE

($)

Technology

Hardware,

Storage

Peripherals

0.0%

†

CompoSecure,

Inc.,

expiring

10/31/2025

14,871

9,815

TOTAL

WARRANTS

(Cost

$388,272)

1,227,608

NO.

UNITS

SECURITIES

LITIGATION

0.0%

Health

Care

Equipment

Supplies

0.0%

DEMC

Ltd.,

Class

(acquired

1/24/2014

10/29/2015,

Cost

$129,686)

(3)*(b)(c)

12,969

–

DEMC

Ltd.,

Class

A-2

(acquired

2/8/2023,

Cost

$–)

(3)*(b)(c)

368,190,309

–

DEMC

Ltd.,

Class

A-3

(acquired

2/8/2023,

Cost

$–)

(3)*(b)(c)

292,030,544,028

–

DEMC

Ltd.,

Class

A-4

(acquired

2/8/2023,

Cost

$–)

(3)*(b)(c)

40,321,771,424,070

–

DEMC

Ltd.,

Class

(acquired

1/27/2014,

Cost

$11)

(3)*(b)(c)

10,488

–

DEMC

Ltd.,

Class

B-2

(acquired

4/12/2017,

Cost

$–)

(3)*(b)(c)

513,897,326

–

DEMC

Ltd.,

Class

B-3

(acquired

9/5/2019,

Cost

$–)

(3)*(b)(c)

489,352,292,604

–

DEMC

Ltd.,

Class

B-4

(acquired

1/31/2022,

Cost

$–)

(3)*(b)(c)

40,321,771,424,070

–

TOTAL

SECURITIES

LITIGATION

(Cost

$129,697)

–

UNITS

0.0%

†

Capital

Markets

0.0%

†

Acquisition

Group,

Inc.

*(a)

9,622

99,780

SilverBox

Corp.

III

*(a)

TOTAL

UNITS

(Cost

$96,220)

99,790

SHORT-TERM

INVESTMENTS

62.8%

INVESTMENT

COMPANIES

24.5%

Goldman

Sachs

Financial

Square

Funds

Treasury

Instruments

Fund,

Institutional

Shares,

5.24%

(g)(h)

3,137,149

Limited

Purpose

Cash

Investment

Fund,

5.36%

(g)(i)

429,163,291

429,034,542

TOTAL

INVESTMENT

COMPANIES

(Cost

$431,982,014)

432,171,691

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

38.3%

U.S.

Treasury

Bills

4.80%,

10/5/2023

(2)(j)

29,937,000

29,923,853

4.91%,

10/12/2023

(2)(j)

15,828,000

15,804,797

4.99%,

10/19/2023

(2)(j)

70,000,000

69,825,136

4.96%,

10/26/2023

(2)(j)(k)

68,232,000

67,991,672

5.02%,

11/2/2023

(2)(j)(k)

9,493,000

9,449,757

5.39%,

12/7/2023

(2)(d)(j)(k)

10,653,000

10,549,195

5.29%,

12/14/2023

(2)(d)(j)(k)

10,440,000

10,327,799

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

38.3%

(continued)

5.36%,

12/28/2023

(2)(j)(k)

22,385,000

22,097,203

5.40%,

1/4/2024

(2)(d)(j)(k)

47,494,000

46,836,116

5.41%,

1/11/2024

(2)(d)(j)(k)

79,701,000

78,515,331

5.39%,

1/18/2024

(2)(j)(k)

6,627,000

6,521,531

5.41%,

2/8/2024

(2)(j)(k)

5,211,000

5,111,988

5.44%,

2/15/2024

(2)(j)

105,733,000

103,615,492

5.44%,

2/22/2024

(2)(j)(k)

123,952,000

121,338,773

5.45%,

3/7/2024

(2)(j)(k)

30,979,000

30,260,681

5.45%,

3/21/2024

(2)(j)(k)

21,230,000

20,693,417

5.46%,

3/28/2024

(2)(j)

25,755,000

25,078,038

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$673,923,638)

673,940,779

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,105,905,652)

1,106,112,470

TOTAL

LONG

POSITIONS

(Cost

$1,947,112,758)

1,897,718,177

SHORT

POSITIONS

(11.3)%

COMMON

STOCKS

(10.7)%

Air

Freight

Logistics

(0.0)%

†

Air

Transport

Services

Group,

Inc.

(19,864)

(414,562)

Automobile

Components

(0.3)%

LCI

Industries

(31,608)

(3,711,411)

Luminar

Technologies,

Inc.,

Class

(31,618)

(143,862)

Patrick

Industries,

Inc.

(26,370)

(1,979,332)

(5,834,605)

Automobiles

(0.1)%

Ferrari

(Italy)

(3,622)

(1,070,446)

Stellantis

(36,632)

(700,770)

(1,771,216)

Banks

(0.1)%

Banc

California,

Inc.

(147,553)

(1,826,706)

Beverages

(0.1)%

Brown-Forman

Corp.,

Class

(19,572)

(1,137,133)

Biotechnology

(0.8)%

Cytokinetics,

Inc.

(123,093)

(3,626,320)

Exact

Sciences

Corp.

(113,308)

(7,729,872)

Insmed,

Inc.

(33,030)

(834,007)

Ionis

Pharmaceuticals,

Inc.

(51,907)

(2,354,502)

(14,544,701)

Broadline

Retail

(0.1)%

Etsy,

Inc.

(18,070)

(1,166,961)

Capital

Markets

(0.0)%

†

Penson

Worldwide,

Inc.

(3)(b)

(212,307)

–

WisdomTree,

Inc.

(86,407)

(604,849)

Chemicals

(0.8)%

Novozymes

A/S,

Class

(Denmark)

(2)

(357,970)

(14,402,881)

Commercial

Services

Supplies

(0.0)%

†

Tetra

Tech,

Inc.

(3,907)

(593,981)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Communications

Equipment

(0.5)%

Infinera

Corp.

(815,606)

(3,409,233)

Lumentum

Holdings,

Inc.

(130,230)

(5,883,791)

(9,293,024)

Consumer

Finance

(0.3)%

EZCORP,

Inc.,

Class

(605,932)

(4,998,939)

SoFi

Technologies,

Inc.

(69,019)

(551,462)

(5,550,401)

Diversified

Telecommunication

Services

(0.1)%

Bandwidth,

Inc.,

Class

(412)

(4,643)

EchoStar

Corp.,

Class

(107,446)

(1,799,721)

(1,804,364)

Electric

Utilities

(0.1)%

FirstEnergy

Corp.

(24,252)

(828,933)

Electrical

Equipment

(0.8)%

Array

Technologies,

Inc.

(407,468)

(9,041,715)

Bloom

Energy

Corp.,

Class

(420,765)

(5,579,344)

(14,621,059)

Energy

Equipment

Services

(0.7)%

Helix

Energy

Solutions

Group,

Inc.

(710,571)

(7,937,078)

Nabors

Industries

Ltd.

(38,680)

(4,763,055)

(12,700,133)

Entertainment

(0.5)%

Atlanta

Braves

Holdings,

Inc.,

Class

(56,801)

(2,219,215)

Liberty

Media

Corp-Liberty

Formula

One,

Class

(9,749)

(607,362)

Live

Nation

Entertainment,

Inc.

(73,719)

(6,121,626)

Sea

Ltd.,

ADR

(Singapore)

(506)

(22,239)

(8,970,442)

Financial

Services

(0.2)%

Shift4

Payments,

Inc.,

Class

(61,068)

(3,381,335)

Health

Care

Equipment

Supplies

(0.1)%

Cutera,

Inc.

(18,360)

(110,527)

TransMedics

Group,

Inc.

(13,854)

(758,507)

(869,034)

Health

Care

Providers

Services

(0.0)%

†

Guardant

Health,

Inc.

(22,428)

(664,766)

Health

Care

REITs

(0.1)%

Welltower,

Inc.,

REIT

(30,997)

(2,539,274)

Health

Care

Technology

(0.0)%

†

Teladoc

Health,

Inc.

(427)

(7,938)

Hotels,

Restaurants

Leisure

(1.7)%

Carnival

Corp.

(1,253,897)

(17,203,467)

DraftKings,

Inc.,

Class

(51,174)

(1,506,562)

MakeMyTrip

Ltd.

(India)

(180,715)

(7,322,572)

Norwegian

Cruise

Line

Holdings

Ltd.

(207,615)

(3,421,495)

(29,454,096)

INVESTMENTS

VALUE

($)

Household

Durables

(0.0)%

†

GoPro,

Inc.,

Class

(17,071)

(53,603)

Independent

Power

and

Renewable

Electricity

Producers

(0.0)%

†

Sunnova

Energy

International,

Inc.

(61,742)

(646,439)

Interactive

Media

Services

(0.1)%

Eventbrite,

Inc.,

Class

(72,499)

(714,840)

Snap,

Inc.,

Class

(37,095)

(330,517)

TripAdvisor,

Inc.

(2,157)

(35,763)

(1,081,120)

Services

(0.0)%

†

DigitalOcean

Holdings,

Inc.

(4,799)

(115,320)

Life

Sciences

Tools

Services

(0.0)%

†

CryoPort,

Inc.

(1,049)

(14,382)

Inotiv,

Inc.

(19,926)

(61,372)

(75,754)

Machinery

(0.3)%

Systems

Corp.

(15,740)

(77,283)

CNH

Industrial

(United

Kingdom)

(29,909)

(361,899)

Greenbrier

Cos.,

Inc.

(The)

(115,099)

(4,603,960)

(5,043,142)

Media

(0.1)%

Cable

One,

Inc.

(231)

(142,213)

Paramount

Global,

Class

(52,617)

(830,822)

(973,035)

Metals

Mining

(0.8)%

United

States

Steel

Corp.

(428,604)

(13,921,058)

Mortgage

Real

Estate

Investment

Trusts

(REITs)

(0.2)%

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

(175,689)

(3,724,607)

Multi-Utilities

(0.1)%

CenterPoint

Energy,

Inc.

(57,612)

(1,546,882)

Oil,

Gas

Consumable

Fuels

(0.5)%

Northern

Oil

and

Gas,

Inc.

(200,975)

(8,085,224)

Passenger

Airlines

(0.1)%

JetBlue

Airways

Corp.

(9,780)

(44,988)

Spirit

Airlines,

Inc.

(83,109)

(1,371,298)

(1,416,286)

Pharmaceuticals

(0.2)%

Innoviva,

Inc.

(204,036)

(2,650,428)

Professional

Services

(0.0)%

†

Clarivate

plc

(2,647)

(17,761)

Real

Estate

Management

Development

(0.0)%

†

Redfin

Corp.

(1,940)

(13,658)

Zillow

Group,

Inc.,

Class

(1,625)

(75,010)

(88,668)

Retail

REITs

(0.0)%

†

Kimco

Realty

Corp.,

REIT

(41,323)

(726,872)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

Non-income

producing

security.

†

Represents

less

than

0.05%

net

assets.

‡

Includes

appreciation/(depreciation)

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

Special

Purpose

Acquisition

Company.

(b)

Security

fair

valued

using

significant

unobservable

inputs

(Level

September

30,

2023

accordance

with

procedures

approved

the

Board

Trustees.

Total

value

all

such

securities

September

30,

2023

amounted

$410,873,

which

represents

0.02%

net

assets

the

Fund.

(c)

Restricted

securities.

Securities

acquired

through

private

placement

transaction

exempt

from

registration

under

the

Securities

Act

of 1933

and/

or may

subject

legal

contractual

restrictions

resale

(excluding

144A

securities).

Total

value

all

such

securities

September

30,

2023

amounted

$0,

which

represents

0.00%

net

assets

the

Fund.

(d)

All

portion

this

security

segregated

connection

with

obligations

for

securities

sold

short.

Total

value

all

such

securities

September

30,

2023

amounted

$534,281,097;

additional

securities

sold

but

not

yet

settled

totaling

$5,742

were

also

segregated.

addition,

$21,586,049

cash

collateral

was

also

pledged.

(e)

Defaulted

security.

(f)

Securities

exempt

from

registration

under

Rule

144A

section

4(2),

the

Securities

Act

1933.

Under

procedures

approved

the

Board

Trustees,

such

securities

have

been

determined

liquid

the

investment

adviser

and

may

resold,

normally

qualified

institutional

buyers

transactions

exempt

from

registration.

Total

value

all

such

securities

September

30,

2023

amounted

$184,616,584,

which

represents

10.49%

net

assets

the

Fund.

(g)

Represents

7-day

effective

yield

September

30,

2023.

(h)

All

portion

the

security

pledged

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(i)

For

the

period

ended

September

30,

2023,

transactions

and

earnings

from

issuers

considered

affiliated

issuer

were

follows:

INVESTMENTS

VALUE

($)

Semiconductors

Semiconductor

Equipment

(0.1)%

SMART

Global

Holdings,

Inc.

(38,348)

(933,774)

Veeco

Instruments,

Inc.

(31,779)

(893,307)

(1,827,081)

Software

(0.3)%

8x8,

Inc.

(480,385)

(1,210,570)

Cerence,

Inc.

(169,676)

(3,456,300)

Unity

Software,

Inc.

(884)

(27,749)

Veritone,

Inc.

(1,187)

(3,063)

(4,697,682)

Specialty

Retail

(0.5)%

Farfetch

Ltd.,

Class

(United

Kingdom)

(68,696)

(143,575)

Wayfair,

Inc.,

Class

(139,084)

(8,424,318)

(8,567,893)

Trading

Companies

Distributors

(0.0)%

†

Xometry,

Inc.,

Class

(43,621)

(740,685)

TOTAL

COMMON

STOCKS

(Proceeds

$(215,975,128))

(188,981,934)

PRINCIPAL

AMOUNT

CONVERTIBLE

BONDS

(0.6)%

Hotels,

Restaurants

Leisure

(0.6)%

Booking

Holdings,

Inc.

0.75%,

5/1/2025

(2)

(Proceeds

$(7,042,010))

(6,200,000)

(10,354,000)

TOTAL

SHORT

POSITIONS

(Proceeds

$(223,017,138))

(199,335,934)

TOTAL

INVESTMENTS

SECURITIES

VALUE

96.5%

(Cost

$1,724,095,620)

1,698,382,243

OTHER

ASSETS

EXCESS

LIABILITIES

3.5%

‡

61,954,646

NET

ASSETS

100.0%

1,760,336,889

SECTOR

VALUE

NET

ASSETS

Communication

Services

51,073,459

2.9

Consumer

Discretionary

75,008,186

4.3

Consumer

Staples

18,109

0.0

†

Energy

12,354,073

0.7

Financials

217,525,258

12.4

Health

Care

79,470,791

4.5

Industrials

49,596,783

2.8

Information

Technology

66,393,021

3.8

Materials

12,777,462

0.7

Real

Estate

13,118,037

0.7

Utilities

14,934,594

0.9

Investment

Companies

432,171,691

24.5

U.S.

Treasury

Obligations

673,940,779

38.3

Total

Investments

Securities

Value

1,698,382,243

96.5

Other

Assets

Excess

Liabilities

‡

61,954,646

3.5

Net

Assets

1,760,336,889

100.0%

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

(j)

The

rate

shown

was

the

effective

yield

the

date

purchase.

(k)

All

portion

the

security

pledged

collateral

for

swap

contracts.

Affiliate

Value

12/31/2022

Purchases

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

Unrealized

App/Dep

Value

9/30/2023

Held

9/30/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

24.4%

INVESTMENT

COMPANIES

24.4%

Limited

Purpose

Cash

Investment

Fund,

5.36%

(a)

(Cost

$428,844,865)

$519,255,218

$1,050,918,029

$(1,141,185,123)

$18,115

$28,303

$429,034,542

429,163,291

$18,379,745

$–

(a)

Represents

7-day

effective

yield

September

30,

2023.

All

bonds

are

denominated

dollars,

unless

noted

otherwise.

All

securities

are

United

States

companies,

unless

noted

otherwise

parentheses.

All

securities

are

Level

with

respect

ASC

820,

unless

otherwise

noted

parentheses.

(2)

Level

security.

(3)

Level

security.

Credit

default

swap

contracts

outstanding

buy

protection

September

30,

2023:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

High

Yield

Index

Series

41.V1

5.00

Quarterly

12/20/2028

4.79

USD

116,050,000

(1,128,545)

23,950

(1,104,595)

(1,128,545)

23,950

(1,104,595)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

Futures

contracts

outstanding

September

30,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

S&P

500

E-Mini

Index

(162)

12/2023

USD

(35,036,550)

3,722

U.S.

Treasury

Year

Note

(479)

12/2023

USD

(51,746,969)

972,301

U.S.

Treasury

Year

Note

(476)

12/2023

USD

(96,486,687)

262,432

U.S.

Treasury

Year

Note

(1,142)

12/2023

USD

(120,284,719)

950,394

2,188,849

Forward

foreign

currency

exchange

contracts

outstanding

September

30,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

8,371,546

USD

6,165,823

CITI

12/20/2023

5,570

CAD

8,371,546

USD

6,165,792

JPMC

12/20/2023

5,601

EUR

44,271

USD

46,659

CITI

12/20/2023

324

USD

6,196,677

CAD

8,402,392

CITI

12/20/2023

2,545

USD

6,196,708

CAD

8,402,392

JPMC

12/20/2023

2,576

USD

1,077,809

DKK

7,370,580

CITI

12/20/2023

28,117

USD

1,077,814

DKK

7,370,580

JPMC

12/20/2023

28,122

USD

1,802,337

EUR

1,671,221

CITI

12/20/2023

28,728

USD

343,029

EUR

316,328

JPMC

12/20/2023

7,321

USD

4,676,951

JPY

673,256,025

CITI

12/20/2023

111,428

USD

4,676,975

JPY

673,256,025

JPMC

12/20/2023

111,451

USD

1,330,632

NOK

14,103,351

CITI

12/20/2023

9,207

USD

1,330,638

NOK

14,103,350

JPMC

12/20/2023

9,213

Total

unrealized

appreciation

350,203

CAD

2,833,311

USD

2,107,699

CITI

12/20/2023

(19,020)

CAD

2,833,310

USD

2,112,342

JPMC

12/20/2023

(23,664)

EUR

351,764

USD

380,840

CITI

12/20/2023

(7,525)

EUR

316,328

USD

342,934

JPMC

12/20/2023

(7,226)

USD

2,063,716

CAD

2,802,465

CITI

12/20/2023

(2,224)

USD

2,063,726

CAD

2,802,464

JPMC

12/20/2023

(2,213)

USD

1,553,299

EUR

1,464,411

CITI

12/20/2023

(829)

USD

503,486

NOK

5,381,465

CITI

12/20/2023

(735)

USD

440,437

NOK

4,707,259

JPMC

12/20/2023

(614)

Total

unrealized

depreciation

(64,050)

Net

unrealized

appreciation

286,153

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

Total

return

basket

swap

contracts

outstanding

September

30,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

AOISR

plus

minus

specified

spread

(0.04%),

which

denominated

AUD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

03/30/2028

$13,750,030

$328,653

$250,118

$578,771

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

CORRA

plus

minus

specified

spread

(-0.03%

0.02%),

which

denominated

CAD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

09/20/2028

$8,904,638

$(222,455)

$4,967

$(217,488)

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

ESTR

plus

minus

specified

spread

(-0.04%),

which

denominated

EUR

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

09/21/2028

$2,883,676

$94,436

$(29,522)

$64,914

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

OBFR

plus

minus

specified

spread

(-0.05%

0.07%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

49-61

months

maturity

ranging

from

10/15/2026

09/29/2028

$7,765,882

$(277,475)

$(112,312)

$(389,787)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

portfolio

short

equity

positions

and

fixed

income

positions

and

pays

receives

the

OBFR

plus

minus

specified

spread

(-0.04%

0.07%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

06/25/2025

$103,889,057

$(10,745,382)

$(2,968,871)

$(13,714,253)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

United

States

Bandwidth,

Inc.,

0.50%,

4/1/2028

9,255,000

5,946,211

(2,233,608)

16.3

Cable

One,

Inc.,

0.00%,

3/15/2026

7,050,000

5,766,900

(1,462,875)

10.7

Coherus

Biosciences,

Inc.,

1.50%,

4/15/2026

7,600,000

4,669,328

(4,154,523)

30.3

Exact

Sciences

Corp.,

0.38%,

3/1/2028

11,850,000

10,231,275

(1,044,681)

7.6

Exact

Sciences

Corp.,

0.38%,

3/15/2027

9,889,000

8,951,073

(1,762,253)

12.8

Granite

Point

Mortgage

Trust,

Inc.,

6.38%,

10/1/2023

1,900,000

1,960,279

487,011

(3.6)

Green

Plains,

Inc.,

2.25%,

3/15/2027

5,650,000

6,552,459

(1,150,537)

8.4

Liberty

Broadband

Corp.,

3.13%,

3/31/2053

3,475,000

3,646,361

200,650

(1.5)

Opendoor

Technologies,

Inc.,

0.25%,

8/15/2026

3,717,000

2,500,029

42,345

(0.3)

PetIQ,

Inc.,

4.00%,

6/1/2026

2,975,000

2,919,513

(1,345,215)

9.8

Redfin

Corp.,

0.00%,

10/15/2025

3,550,000

2,899,995

(701,480)

5.1

Spotify

USA,

Inc.,

0.00%,

3/15/2026

4,000,000

3,402,000

(278,000)

2.0

Stride,

Inc.,

1.13%,

9/1/2027

18,800,000

19,766,270

1,613,066

(11.8)

Short

Positions

Common

Stocks

United

States

Bandwidth,

Inc.

(2,065)

(23,273)

6,377

(0.0)

Cable

One,

Inc.

(31)

(19,085)

1,071

(0.0)

Charter

Communications,

Inc.

(3,678)

(1,617,658)

(132,581)

1.0

Coherus

Biosciences,

Inc.

(31,068)

(116,194)

37,174

(0.3)

Exact

Sciences

Corp.

(104,177)

(7,106,955)

1,914,410

(14.0)

Green

Plains,

Inc.

(131,867)

(3,969,197)

296,965

(2.2)

Opendoor

Technologies,

Inc.

(23,191)

(61,224)

17,346

(0.1)

PetIQ,

Inc.

(48,834)

(962,030)

(182,387)

1.3

Redfin

Corp.

(490)

(3,450)

618

(0.0)

Spotify

Technology

(466)

(72,062)

(1,417)

0.0

Stride,

Inc.

(238,202)

(10,726,236)

(912,858)

6.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

equity

positions

and

pays

receives

the

SONIA

plus

minus

specified

spread

(0.03%),

which

denominated

GBP

based

the

local

currencies

the

positions

within

the

swap.

46-58

months

maturity

ranging

from

06/23/2027

06/13/2028

$26,435,907

$(49,907)

$(60,411)

$(110,318)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

Arab

Emirates

Network

International

Holdings

plc

2,139,844

10,187,434

10,443

(9.5)

United

Kingdom

Dechra

Pharmaceuticals

plc

262,922

12,125,908

(83,403)

75.6

EMIS

Group

plc

174,890

4,122,565

23,053

(20.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

equity

positions

and

pays

receives

the

OBFR

plus

minus

specified

spread

(0.11%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

03/12/2027

07/30/2027

$40,421,644

$2,815,090

$(2,642,994)

$172,096

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Athena

Technology

Acquisition

Corp.

99,000

1,067,220

94,050

54.6

Black

Mountain

Acquisition

Corp.

109,833

1,171,918

82,375

47.9

Churchill

Capital

Corp.

1,073,397

11,216,999

660,139

383.6

Gores

Holdings

IX,

Inc.

1,656,294

17,208,895

1,267,065

736.3

Hennessy

Capital

Investment

Corp.

691,170

7,153,610

518,378

301.2

Nabors

Energy

Transition

Corp.

112,127

1,216,578

100,914

58.6

Papaya

Growth

Opportunity

Corp.

129,815

1,386,424

92,169

53.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

OBFR

plus

minus

specified

spread

(-0.05%

0.11%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

36-61

months

maturity

ranging

from

10/23/2025

10/02/2028

$566,448,410

$7,316,484

$(3,745,270)

$3,571,214

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Chindata

Group

Holdings

Ltd.,

ADR

732,063

6,076,123

(26,419)

(0.7)

United

Kingdom

Abcam

plc,

ADR

1,019,396

23,068,931

89,629

2.5

United

States

Activision

Blizzard,

Inc.

416,432

38,990,528

5,420,619

151.8

Albertsons

Cos.,

Inc.

1,442,553

32,818,081

1,318,460

36.9

Amedisys,

Inc.

308,890

28,850,326

294,176

8.2

American

Equity

Investment

Life

Holding

Co.

266,437

14,291,681

14,867

0.4

Argo

Group

International

Holdings

Ltd.

408,562

12,191,490

231,034

6.5

Avantax,

Inc.

202,036

5,168,081

922

0.0

Avid

Technology,

Inc.

112,363

3,019,194

24,209

0.7

Capri

Holdings

Ltd.

518,977

27,303,380

5,549

0.2

Chase

Corp.

14,191

1,805,521

17,403

0.5

Chico's

FAS,

Inc.

386,031

2,887,512

(6,433)

(0.2)

CIRCOR

International,

Inc.

116,816

6,512,492

686,117

19.2

Denbury,

Inc.

277,156

27,164,060

2,759,857

77.3

Earthstone

Energy,

Inc.

279,223

5,651,474

346,523

9.7

GNC

Holdings,

Inc.

Escrow

(a)

32,241

–

0.0

Heritage-Crystal

Clean,

Inc.

71,783

3,255,359

(4,751)

(0.1)

Hostess

Brands,

Inc.

283,239

9,434,691

(24,710)

(0.7)

Intercept

Pharmaceuticals,

Inc.

729,915

13,532,624

(52,722)

(1.5)

iRobot

Corp.

225,011

8,527,917

(4,205,741)

(117.8)

Lakeland

Bancorp,

Inc.

241,688

3,050,103

(1,003,584)

(28.1)

National

Instruments

Corp.

358,333

21,363,813

571,620

16.0

New

Relic,

Inc.

161,910

13,862,734

264,946

7.4

NextGen

Healthcare,

Inc.

302,246

7,172,298

48,743

1.4

PacWest

Bancorp

322,944

2,554,487

44,338

1.2

PNM

Resources,

Inc.

687,474

30,668,215

(1,938,992)

(54.3)

RPT

Realty

745,585

7,873,378

(537,484)

(15.1)

Seagen,

Inc.

171,097

36,298,229

1,410,217

39.5

Sovos

Brands,

Inc.

832,363

18,769,786

8,126

0.2

Splunk,

Inc.

131,967

19,300,174

183,546

5.1

Triton

International

Ltd.

225,938

18,586,774

(238,412)

(6.7)

Veritiv

Corp.

83,067

14,030,016

36,696

1.0

VMware,

Inc.

183,192

30,497,804

9,416,591

263.7

Short

Positions

Common

Stocks

Canada

Brookfield

Asset

Management

Ltd.

(42,491)

(1,416,650)

37,843

1.1

Brookfield

Infrastructure

Corp.

(88,003)

(3,110,026)

536,263

15.0

United

States

Banc

California,

Inc.

(212,513)

(2,630,911)

(18,403)

(0.5)

Broadcom,

Inc.

(23,674)

(19,663,151)

(7,165,854)

(200.7)

Exxon

Mobil

Corp.

(232,813)

(27,374,153)

(2,539,224)

(71.1)

Smucker

Co.

(The)

(8,385)

(1,030,600)

39,010

1.1

Kimco

Realty

Corp.

(451,034)

(7,933,688)

516,874

14.5

Permian

Resources

Corp.

(403,849)

(5,637,732)

(293,149)

(8.2)

Provident

Financial

Services,

Inc.

(201,061)

(3,074,223)

1,048,184

29.4

(a)

Security

fair

valued

using

significant

unobservable

inputs

September

30,

2023

accordance

with

procedures

approved

the

Board

Trustees.

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

(a)

For

the

period

ended

September

30,

2023,

transactions

and

earnings

from

issuers

considered

affiliated

issuer

were

follows:

(b)

Represents

7-day

effective

yield

September

30,

2023.

The

Schedule

Investments

the

affiliated

investment

funds

held

the

AQR

Diversifying

Strategies

Fund

can

found

within

this

report

well

Form

N-CSR

and

Form

N-PORT

(Part

which

are

filed

with

the

Securities

and

Exchange

Commission.

INVESTMENTS

VALUE

($)

INVESTMENT

COMPANIES

98.0%

ALTERNATIVE

FUNDS

69.5%

AQR

Diversified

Arbitrage

Fund,

Class

(a)

2,153,149

25,923,909

AQR

Equity

Market

Neutral

Fund,

Class

(a)

7,275,737

75,594,911

AQR

Macro

Opportunities

Fund,

Class

(a)

4,512,312

48,958,589

AQR

Managed

Futures

Strategy

Fund,

Class

(a)

5,439,843

48,958,589

AQR

Style

Premia

Alternative

Fund,

Class

(a)

8,418,142

75,594,910

TOTAL

ALTERNATIVE

FUNDS

(Cost

$242,785,198)

275,030,908

ASSET

ALLOCATION

FUNDS

28.5%

AQR

Multi-Asset

Fund,

Class

(a)

(Cost

$111,140,407)

12,042,505

112,838,267

TOTAL

INVESTMENT

COMPANIES

(Cost

$353,925,605)

387,869,175

INVESTMENTS

VALUE

($)

SHORT-TERM

INVESTMENTS

1.9%

INVESTMENT

COMPANIES

1.9%

Limited

Purpose

Cash

Investment

Fund,

5.36%

(b)

(Cost

$7,553,470)

7,557,198

7,554,931

TOTAL

INVESTMENTS

SECURITIES

VALUE

99.9%

(Cost

$361,479,075)

395,424,106

OTHER

ASSETS

EXCESS

LIABILITIES

0.1%

366,686

NET

ASSETS

100.0%

395,790,792

SECTOR

VALUE

NET

ASSETS

Equity

Market

Neutral

75,594,911

19.1

Global

Flex

Allocation

112,838,267

28.5

Global

Macro

48,958,589

12.4

Multi-Strategy

75,594,910

19.1

Relative

Value

Arbitrage

25,923,909

6.5

Systematic

Trend

48,958,589

12.4

Investment

Companies

7,554,931

1.9

Total

Investments

Securities

Value

395,424,106

99.9

Other

Assets

Excess

Liabilities

366,686

0.1

Net

Assets

395,790,792

100.0%

Affiliate

Value

12/31/2022

Purchases

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

Unrealized

App/Dep

Value

9/30/2023

Held

9/30/2023

Dividend

Income

Capital

Gain

Distributions

INVESTMENT

COMPANIES

98.0%

ALTERNATIVE

FUNDS

69.5%

AQR

Diversified

Arbitrage

Fund

24,491,514

22,609,258

(21,928,977)

(40,930)

793,044

25,923,909

2,153,149

–

AQR

Equity

Market

Neutral

Fund

36,767,279

40,993,556

(13,059,730)

29,225

10,864,581

75,594,911

7,275,737

–

AQR

Macro

Opportunities

Fund

24,511,520

32,945,584

(8,800,568)

(461,828)

763,881

48,958,589

4,512,312

–

AQR

Managed

Futures

Strategy

Fund

24,511,520

29,340,933

(8,745,993)

(874,925)

4,727,054

48,958,589

5,439,843

–

AQR

Style

Premia

Alternative

Fund

36,767,279

41,374,701

(14,464,623)

(1,235,251)

13,152,804

75,594,910

8,418,142

–

(2,583,709)

30,301,364

275,030,908

–

ASSET

ALLOCATION

FUNDS

28.5%

AQR

Multi-Asset

Fund

37,710,030

82,957,417

(11,170,879)

(1,027,782)

4,369,481

112,838,267

12,042,505

–

TOTAL

$(3,611,491)

$34,670,845

$387,869,175

$–

All

securities

are

Level

with

respect

ASC

820.

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

LONG

POSITIONS

102.3%

COMMON

STOCKS

4.7%

Italy

3.9%

A2A

SpA

(a)

156,049

277,346

Assicurazioni

Generali

SpA

(a)

44,787

914,210

Azimut

Holding

SpA

(a)

12,449

270,910

Banco

BPM

SpA

(a)

317,905

1,514,025

Buzzi

SpA

(a)

27,228

744,065

ERG

SpA

(a)

4,819

116,042

Hera

SpA

(a)

33,256

90,812

Intesa

Sanpaolo

SpA

(a)

277,862

711,665

Italgas

SpA

(a)

7,048

36,059

Leonardo

SpA

(a)

65,279

940,270

Nexi

SpA

*(a)(b)

26,029

158,597

Pirelli

SpA

(a)(b)

167,962

805,605

Poste

Italiane

SpA

(a)(b)

67,543

709,291

Prysmian

SpA

(a)

12,958

520,112

UniCredit

SpA

(a)

54,108

1,289,198

Unipol

Gruppo

SpA

(a)

192,143

1,037,059

10,135,266

—

United

States

0.8%

Stellantis

(a)

74,597

1,428,416

Tenaris

(a)

49,435

780,873

2,209,289

—

TOTAL

COMMON

STOCKS

(Cost

$10,277,167)

12,344,555

SHORT-TERM

INVESTMENTS

97.6%

INVESTMENT

COMPANIES

53.3%

Goldman

Sachs

Financial

Square

Funds

Treasury

Instruments

Fund,

Institutional

Shares,

5.24%

(1)(c)(d)

5,781,574

Limited

Purpose

Cash

Investment

Fund,

5.36%

(1)(c)

134,501,266

134,460,915

TOTAL

INVESTMENT

COMPANIES

(Cost

$140,202,511)

140,242,489

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

44.3%

U.S.

Treasury

Bills

4.80%,

10/5/2023

(e)

3,796,000

3,794,333

4.91%,

10/12/2023

(e)

806,000

804,818

4.99%,

10/19/2023

(e)(f)

9,112,000

9,089,238

4.96%,

10/26/2023

(e)(f)

15,163,000

15,109,593

5.11%,

11/16/2023

(e)(f)

18,261,000

18,140,135

5.39%,

12/7/2023

(e)(f)

3,210,000

3,178,721

5.36%,

12/28/2023

(e)(f)

6,117,000

6,038,356

5.41%,

1/11/2024

(e)(f)

803,000

791,054

5.39%,

1/18/2024

(e)(f)

4,072,000

4,007,194

5.41%,

1/25/2024

(e)(f)

1,176,000

1,156,043

5.41%,

2/8/2024

(e)

2,014,000

1,975,733

5.44%,

2/15/2024

(e)(f)

4,889,000

4,791,088

5.44%,

2/22/2024

(e)(f)

13,656,000

13,368,096

5.50%,

2/29/2024

(e)

1,969,000

1,925,446

5.45%,

3/7/2024

(e)(f)

3,993,000

3,900,413

5.45%,

3/14/2024

(e)(f)

18,730,000

18,277,029

5.45%,

3/21/2024

(e)(f)

8,742,000

8,521,048

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

44.3%

(continued)

5.46%,

3/28/2024

(e)(f)

1,639,000

1,595,919

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$116,466,779)

116,464,257

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$256,669,290)

256,706,746

TOTAL

LONG

POSITIONS

(Cost

$266,946,457)

269,051,301

SHORT

POSITIONS

(3.2)%

COMMON

STOCKS

(3.2)%

Italy

(3.1)%

Amplifon

SpA

(1,636)

(48,427)

Banca

Generali

SpA

(6,500)

(229,246)

Brunello

Cucinelli

SpA

(3,987)

(302,409)

Davide

Campari-Milano

(58,177)

(684,879)

DiaSorin

SpA

(3,772)

(343,488)

Ferrari

(5,283)

(1,557,351)

FinecoBank

Banca

Fineco

SpA

(68,801)

(830,791)

Infrastrutture

Wireless

Italiane

SpA

(b)

(81,748)

(971,361)

Interpump

Group

SpA

(4,591)

(210,012)

Mediobanca

Banca

Credito

Finanziario

SpA

(44,278)

(583,766)

Moncler

SpA

(14,637)

(848,288)

Recordati

Industria

Chimica

Farmaceutica

SpA

(8,794)

(414,420)

SpA

(1,766)

(165,707)

Snam

SpA

(106,410)

(499,305)

Telecom

Italia

SpA

(1,147,130)

(357,751)

Terna

Rete

Elettrica

Nazionale

(31,840)

(239,483)

(8,286,684)

—

United

Kingdom

(0.1)%

CNH

Industrial

(18,048)

(219,096)

TOTAL

COMMON

STOCKS

(Proceeds

$(8,759,632))

(8,505,780)

TOTAL

SHORT

POSITIONS

(Proceeds

$(8,759,632))

(8,505,780)

TOTAL

INVESTMENTS

SECURITIES

VALUE

99.1%

(Cost

$258,186,825)

260,545,521

OTHER

ASSETS

EXCESS

LIABILITIES

0.9%

‡

2,364,239

NET

ASSETS

100.0%

262,909,760

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

SECTOR

VALUE

NET

ASSETS

Communication

Services

(1,329,112)

(0.5)

Consumer

Discretionary

(474,028)

(0.2)

Consumer

Staples

(684,879)

(0.2)

Energy

780,873

0.3

Financials

4,961,153

1.9

Health

Care

(806,335)

(0.3)

Industrials

1,031,274

0.4

Information

Technology

(165,707)

(0.1)

Materials

744,065

0.3

Utilities

(218,529)

(0.1)

Investment

Companies

140,242,489

53.3

U.S.

Treasury

Obligations

116,464,257

44.3

Total

Investments

Securities

Value

260,545,521

99.1

Other

Assets

Excess

Liabilities

‡

2,364,239

0.9

Net

Assets

262,909,760

100.0%

Non-income

producing

security.

‡

Includes

appreciation/(depreciation)

forward

foreign

currency

exchange

and

swap

contracts.

(a)

All

portion

this

security

segregated

connection

with

obligations

for

securities

sold

short.

Total

value

all

such

securities

September

30,

2023

amounted

$9,180,331.

(b)

Securities

exempt

from

registration

under

Rule

144A

section

4(2),

the

Securities

Act

1933.

Under

procedures

approved

the

Board

Trustees,

such

securities

have

been

determined

liquid

the

investment

adviser

and

may

resold,

normally

qualified

institutional

buyers

transactions

exempt

from

registration.

Total

value

all

such

securities

September

30,

2023

amounted

$702,132,

which

represents

0.27%

net

assets

the

Fund.

(c)

Represents

7-day

effective

yield

September

30,

2023.

(d)

All

portion

the

security

pledged

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

The

rate

shown

was

the

effective

yield

the

date

purchase.

(f)

All

portion

the

security

pledged

collateral

for

swap

contracts.

All

securities

are

Level

with

respect

ASC

820,

unless

otherwise

noted

parentheses.

(1)

Level

security.

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

Forward

foreign

currency

exchange

contracts

outstanding

September

30,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SEK

500

USD

CITI

12/20/2023

–

SEK

500

USD

JPMC

12/20/2023

–

USD

CAD

110

CITI

12/20/2023

–

USD

CAD

110

JPMC

12/20/2023

–

USD

292

DKK

2,000

CITI

12/20/2023

USD

292

DKK

2,000

JPMC

12/20/2023

USD

1,643,442

EUR

1,518,502

CITI

12/20/2023

31,908

USD

1,643,446

EUR

1,518,498

JPMC

12/20/2023

31,916

USD

25,592

HKD

200,000

CITI

12/20/2023

USD

25,592

HKD

200,000

JPMC

12/20/2023

USD

106

NOK

1,126

CITI

12/20/2023

USD

106

NOK

1,123

JPMC

12/20/2023

Total

unrealized

appreciation

63,860

CHF

502

USD

573

CITI

12/20/2023

(19)

CHF

498

USD

569

JPMC

12/20/2023

(19)

SGD

680,504

USD

504,375

CITI

12/20/2023

(4,754)

SGD

680,496

USD

504,366

JPMC

12/20/2023

(4,751)

USD

CAD

CITI

12/20/2023

–

USD

CAD

JPMC

12/20/2023

–

USD

12,727

EUR

12,000

CITI

12/20/2023

(8)

USD

12,727

EUR

12,000

JPMC

12/20/2023

(8)

USD

NOK

376

CITI

12/20/2023

–

USD

NOK

375

JPMC

12/20/2023

–

Total

unrealized

depreciation

(9,559)

Net

unrealized

appreciation

54,301

Total

return

basket

swap

contracts

outstanding

September

30,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

OBFR

plus

minus

specified

spread

(-0.20%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

08/09/2027

$1,055,585

$67,533

$1,103

$68,636

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SARON

plus

minus

specified

spread

(-0.50%

0.23%),

which

denominated

CHF

based

the

local

currencies

the

positions

within

the

swap.

19-61

months

maturity

ranging

from

04/23/2025

09/27/2028

$28,951,426

$118,547

$1,233

$119,780

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams-OSRAM

6,165

28,845

(7,673)

(6.4)

Switzerland

ABB

Ltd.

(Registered)

37,082

1,323,576

(14,512)

(12.1)

Adecco

Group

(Registered)

20,427

839,001

1,868

1.6

Baloise

Holding

(Registered)

1,806

261,466

(15,231)

(12.7)

Barry

Callebaut

(Registered)

112,907

(315)

(0.3)

Cie

Financiere

Richemont

(Registered)

2,248

273,769

(14,267)

(11.9)

Clariant

(Registered)

26,376

415,861

(3,977)

(3.3)

DKSH

Holding

6,819

461,251

(21,944)

(18.3)

Dufry

(Registered)

8,949

339,757

(24,812)

(20.7)

Galenica

4,252

314,120

(9,188)

(7.7)

Georg

Fischer

(Registered)

17,317

972,495

(24,861)

(20.8)

Helvetia

Holding

(Registered)

2,573

359,419

(19,606)

(16.4)

Julius

Baer

Group

Ltd.

2,229

142,674

(783)

(0.7)

Kuehne

Nagel

International

(Registered)

196

55,690

(1,503)

(1.3)

Logitech

International

(Registered)

3,578

0.0

Novartis

(Registered)

21,698

2,215,987

34,095

28.5

Schindler

Holding

325

64,740

(2,472)

(2.1)

Sonova

Holding

(Registered)

705

166,857

(729)

(0.6)

Stadler

Rail

1,000

38,921

772

0.6

Swatch

Group

(The)

3,329

852,631

(29,691)

(24.8)

Temenos

(Registered)

829

57,981

(821)

(0.7)

United

States

Holcim

29,157

1,866,308

7,238

6.0

Roche

Holding

4,126

1,126,403

(25,716)

(21.5)

Swiss

13,896

1,427,125

(319)

(0.3)

Short

Positions

Common

Stocks

Switzerland

Alcon,

Inc.

(6,655)

(513,549)

11,339

9.5

Bachem

Holding

(9,637)

(710,815)

20,405

17.0

Belimo

Holding

(Registered)

(634)

(300,893)

(298)

(0.2)

BKW

(187)

(32,920)

441

0.4

Chocoladefabriken

Lindt

Spruengli

(101)

(1,122,367)

16,579

13.8

EMS-Chemie

Holding

(Registered)

(758)

(513,658)

19,341

16.1

Flughafen

Zurich

(Registered)

(687)

(130,802)

(2,761)

(2.3)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Switzerland

(continued)

Geberit

(Registered)

(1,757)

(876,177)

(8,688)

(7.3)

Givaudan

(Registered)

(180)

(586,050)

(23,859)

(19.9)

Lonza

Group

(Registered)

(1,487)

(687,808)

1,839

1.5

Partners

Group

Holding

(1,209)

(1,357,218)

(198)

(0.2)

SGS

(Registered)

(1,725)

(144,772)

8,440

7.0

SIG

Group

(64,334)

(1,584,894)

36,202

30.2

Sika

(Registered)

(8,383)

(2,123,925)

70,024

58.5

Straumann

Holding

(Registered)

(8,646)

(1,100,454)

95,391

79.6

Swiss

Life

Holding

(Registered)

(855)

(531,963)

522

0.4

Swisscom

(Registered)

(484)

(287,394)

2,088

1.7

Tecan

Group

(Registered)

(821)

(275,956)

9,476

7.9

UBS

Group

(Registered)

(20,546)

(506,093)

16,530

13.8

VAT

Group

(2,564)

(914,947)

(348)

(0.3)

Zurich

Insurance

Group

(829)

(379,314)

6,771

5.7

United

States

Nestle

(Registered)

(4,842)

(548,095)

13,745

11.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

CIBOR

plus

minus

specified

spread

(-0.85%

0.23%),

which

denominated

DKK

based

the

local

currencies

the

positions

within

the

swap.

19-60

months

maturity

ranging

from

04/24/2025

08/31/2028

$10,186,329

$57,764

$5,272

$63,036

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Moller

Maersk

A/S

616

1,108,119

24,760

39.3

Carlsberg

A/S

7,056

889,656

(47,246)

(75.0)

Demant

A/S

3,372

139,234

(2,924)

(4.6)

Genmab

A/S

1,335

472,658

(19,940)

(31.6)

ISS

A/S

60,217

925,025

(16,519)

(26.2)

Pandora

A/S

10,713

1,105,489

(13,542)

(21.5)

ROCKWOOL

A/S

980

236,852

8,520

13.5

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(22,300)

(232,438)

9,958

15.8

Coloplast

A/S

(2,038)

(215,655)

4,737

7.5

DSV

A/S

(5,108)

(951,828)

(2,039)

(3.2)

Store

Nord

A/S

(7,446)

(133,873)

6,614

10.5

Novo

Nordisk

A/S

(16,533)

(1,505,351)

751

1.2

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Denmark

(continued)

Novozymes

A/S

(22,774)

(916,309)

40,887

64.9

Orsted

A/S

(7,352)

(399,972)

24,403

38.7

Royal

Unibrew

A/S

(2,211)

(170,757)

8,080

12.8

Tryg

A/S

(20,723)

(379,218)

18,089

28.7

Vestas

Wind

Systems

A/S

(18,879)

(403,895)

13,175

20.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

ESTR

plus

minus

specified

spread

(-0.90%

0.23%),

which

denominated

EUR

based

the

local

currencies

the

positions

within

the

swap.

19-62

months

maturity

ranging

from

04/23/2025

09/27/2028

$37,038,999

$269,347

$13,784

$283,131

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

20,202

832,048

(18,436)

(6.5)

Proximus

SADP

79,914

649,323

4,502

1.6

Solvay

6,421

709,580

(28,088)

(9.9)

Finland

Fortum

OYJ

35,100

407,057

(39,744)

(14.0)

Nokia

OYJ

111,988

421,083

(14,567)

(5.1)

Orion

OYJ

8,704

341,944

5,502

1.9

Luxembourg

ArcelorMittal

42,903

1,074,122

8,637

3.1

Netherlands

ASML

Holding

638

375,623

281

0.1

ASR

Nederland

8,775

328,335

(51,387)

(18.1)

Koninklijke

Ahold

Delhaize

40,079

1,207,969

(27,942)

(9.9)

Koninklijke

Philips

25,366

506,109

(23,689)

(8.4)

Group

20,972

672,324

(129,291)

(45.7)

OCI

12,031

334,547

8,539

3.0

Spain

Acerinox

75,737

731,863

8,521

3.0

ACS

Actividades

Construccion

Servicios

12,137

436,321

4,915

1.7

Banco

Sabadell

1,219,639

1,410,966

66,161

23.4

Banco

Santander

341,964

1,302,222

54,979

19.4

Bankinter

53,567

340,793

12,091

4.3

Enagas

27,103

448,812

(15,147)

(5.3)

Mapfre

268,661

546,692

(11,939)

(4.2)

Redeia

Corp.

31,202

490,849

(15,356)

(5.4)

Repsol

144,761

2,381,176

24,963

8.8

Telefonica

145,575

594,724

(18,907)

(6.7)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

United

States

Signify

28,366

761,137

5,890

2.1

Short

Positions

Common

Stocks

Belgium

D'ieteren

Group

(3,446)

(580,974)

(634)

(0.2)

Elia

Group

SA/NV

(4,901)

(479,617)

56,989

20.1

UCB

(6,451)

(528,397)

34,964

12.3

China

Prosus

(19,107)

(563,007)

22,111

7.8

Finland

Elisa

OYJ

(6,264)

(290,481)

5,796

2.0

Neste

OYJ

(16,589)

(561,847)

65,673

23.2

Sampo

OYJ

(14,148)

(611,639)

5,561

2.0

Stora

Enso

OYJ

(34,923)

(437,703)

5,814

2.1

Netherlands

Adyen

(1,136)

(842,269)

(32,651)

(11.5)

Argenx

(1,078)

(526,956)

29,453

10.4

ASM

International

(2,712)

(1,132,512)

(26,747)

(9.4)

Heineken

(3,594)

(316,853)

9,079

3.2

Koninklijke

KPN

(150,604)

(496,190)

16,447

5.8

SBM

Offshore

(24,338)

(319,072)

18,780

6.6

Universal

Music

Group

(16,351)

(426,699)

(11,691)

(4.1)

Spain

Acciona

(2,559)

(325,901)

16,615

5.9

Banco

Bilbao

Vizcaya

Argentaria

(92,554)

(749,033)

(39,362)

(13.9)

CaixaBank

(152,950)

(609,352)

(34,647)

(12.2)

Cellnex

Telecom

(57,508)

(2,000,243)

182,490

64.5

Corp.

ACCIONA

Energias

Renovables

(20,629)

(531,356)

28,954

10.2

Fluidra

(17,756)

(362,300)

(929)

(0.3)

Grifols

(37,403)

(484,440)

31,218

11.0

Iberdrola

(36,616)

(409,530)

13,267

4.7

Naturgy

Energy

Group

(13,146)

(357,639)

16,895

6.0

Switzerland

DSM-Firmenich

(16,318)

(1,378,918)

(28,406)

(10.0)

United

States

Ferrovial

(33,645)

(1,028,090)

45,681

16.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

NIBOR

plus

minus

specified

spread

(-0.23%

0.23%),

which

denominated

NOK

based

the

local

currencies

the

positions

within

the

swap.

19-59

months

maturity

ranging

from

04/24/2025

07/11/2028

$4,412,177

$73,009

$(6,740)

$66,269

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

8,567

323,487

(1,137)

(1.7)

Norway

Equinor

ASA

39,164

1,283,485

(6,044)

(9.1)

Leroy

Seafood

Group

ASA

10,310

43,046

(1,831)

(2.8)

Mowi

ASA

10,432

184,389

(6,860)

(10.4)

Norsk

Hydro

ASA

122,810

768,525

56,559

85.3

Orkla

ASA

13,856

103,490

(3,930)

(5.9)

Telenor

ASA

6,191

70,210

0.1

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(521)

(26,557)

573

0.9

Norway

Gjensidige

Forsikring

ASA

(12,630)

(185,326)

9,604

14.5

Kongsberg

Gruppen

ASA

(2,802)

(115,480)

6,354

9.6

Salmar

ASA

(13,473)

(682,387)

25,986

39.2

Schibsted

ASA

(8,495)

(190,629)

(24,250)

(36.6)

TOMRA

Systems

ASA

(19,465)

(221,199)

21,371

32.2

United

Kingdom

Subsea

(15,573)

(213,967)

(3,448)

(5.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

STIBOR

plus

minus

specified

spread

(-0.23%

0.23%),

which

denominated

SEK

based

the

local

currencies

the

positions

within

the

swap.

19-61

months

maturity

ranging

from

04/23/2025

09/27/2028

$20,249,468

$(111,589)

$6,630

$(104,959)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

11,332

124,241

(1,198)

1.1

Guatemala

Millicom

International

Cellular

25,004

387,607

(13,384)

12.8

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Sweden

Assa

Abloy

10,024

217,807

(2,113)

2.0

Billerud

Aktiebolag

63,294

585,877

81,868

(78.0)

Electrolux

11,389

117,364

(3,211)

3.1

Elekta

83,284

565,608

(12,698)

12.1

Embracer

Group

246,328

491,312

(84,802)

80.8

Essity

17,589

379,346

(4,454)

4.2

Evolution

524

52,876

(147)

0.1

Getinge

40,456

710,908

(35,368)

33.7

Hennes

Mauritz

51,535

730,777

(16,683)

15.9

Saab

8,996

457,857

(50,670)

48.3

Sandvik

8,332

153,312

(5,007)

4.8

Skanska

30,683

503,832

4,222

(4.0)

SKF

59,573

989,004

(14,551)

13.9

SSAB

114,906

630,371

23,878

(22.7)

Svenska

Handelsbanken

74,859

666,087

13,215

(12.6)

Swedbank

23,677

435,216

7,643

(7.3)

Telefonaktiebolaget

Ericsson

36,496

177,800

(11,135)

10.6

Trelleborg

34,932

867,915

(22,057)

21.0

Volvo

27,904

574,757

(13,113)

12.5

Volvo

Car

91,571

370,389

17,949

(17.1)

United

States

Sinch

123,540

215,518

(4,818)

4.6

Short

Positions

Common

Stocks

Sweden

AddTech

(4,884)

(77,945)

1,067

(1.0)

Alfa

Laval

(13,463)

(461,214)

(4,063)

3.9

Atlas

Copco

(75,864)

(1,018,905)

5,874

(5.6)

Axfood

(6,110)

(140,034)

8,631

(8.2)

Beijer

Ref

(54,600)

(574,460)

29,733

(28.3)

Boliden

(2,875)

(82,503)

(3,522)

3.4

Epiroc

(58,201)

(1,105,078)

33,748

(32.2)

EQT

(92,848)

(1,829,383)

(83,713)

79.8

Hexagon

(72,291)

(615,250)

20,085

(19.1)

Hexpol

(9,046)

(80,153)

4,548

(4.3)

Holmen

(10,504)

(408,293)

445

(0.4)

Husqvarna

(19,494)

(148,762)

5,220

(5.0)

Indutrade

(25,322)

(467,668)

23,296

(22.2)

Lifco

(26,974)

(471,865)

12,612

(12.0)

Nibe

Industrier

(88,890)

(581,140)

(1,260)

1.2

Securitas

(34,338)

(271,515)

(3,991)

3.8

Skandinaviska

Enskilda

Banken

(19,223)

(229,174)

(1,700)

1.6

Svenska

Cellulosa

SCA

(49,992)

(684,496)

(4,777)

4.6

Swedish

Orphan

Biovitrum

(12,313)

(251,588)

(3,187)

3.0

Tele2

(26,909)

(205,786)

(4,578)

4.4

Telia

Co.

(67,133)

(138,475)

577

(0.5)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

CORRA

plus

minus

specified

spread

(-0.95%

0.23%),

which

denominated

CAD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

08/26/2024

10/25/2024

$35,712,887

$261,131

$(99,001)

$162,130

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

13,703

622,676

(37,126)

(22.9)

Air

Canada

97,862

1,396,330

33,864

20.9

ARC

Resources

Ltd.

31,113

496,617

11,911

7.3

Atco

Ltd.

22,277

564,203

(24,110)

(14.9)

Bank

Nova

Scotia

(The)

17,302

775,517

(21,528)

(13.3)

Bombardier,

Inc.

10,963

382,262

9,686

6.0

Canadian

Imperial

Bank

Commerce

18,844

727,400

(22,337)

(13.8)

Capital

Power

Corp.

12,665

353,585

(22,752)

(14.0)

Empire

Co.

Ltd.

23,219

631,653

(684)

(0.4)

Fairfax

Financial

Holdings

Ltd.

1,024

835,914

(22,497)

(13.9)

Finning

International,

Inc.

22,350

659,187

(3,785)

(2.3)

George

Weston

Ltd.

4,461

494,725

1,445

0.9

Financial

Corp.,

Inc.

5,606

351,652

(5,489)

(3.4)

Imperial

Oil

Ltd.

14,748

908,388

27,254

16.8

Manulife

Financial

Corp.

44,165

807,050

(16,908)

(10.4)

Northland

Power,

Inc.

24,041

391,524

(24,426)

(15.1)

Nutrien

Ltd.

14,132

872,735

(520)

(0.3)

Open

Text

Corp.

15,286

536,487

(2,363)

(1.5)

Parkland

Corp.

20,265

592,769

(2,984)

(1.8)

Pembina

Pipeline

Corp.

15,060

452,826

(1,663)

(1.0)

Suncor

Energy,

Inc.

26,627

915,698

12,743

7.9

TFI

International,

Inc.

2,907

373,346

(6,078)

(3.7)

West

Fraser

Timber

Co.

Ltd.

5,407

392,552

12,659

7.8

Whitecap

Resources,

Inc.

65,658

554,461

(2,417)

(1.5)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(11,553)

(468,840)

19,308

11.9

Canada

Algonquin

Power

Utilities

Corp.

(90,072)

(533,171)

80,904

49.9

BCE,

Inc.

(10,053)

(383,764)

9,252

5.7

Brookfield

Corp.

(27,716)

(866,629)

33,057

20.4

Cameco

Corp.

(18,315)

(726,667)

26,294

16.2

Canadian

Natural

Resources

Ltd.

(6,632)

(428,901)

(13,379)

(8.3)

Canadian

Pacific

Kansas

City

Ltd.

(12,270)

(912,041)

22,494

13.9

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Canada

(continued)

Dollarama,

Inc.

(8,261)

(569,162)

3,467

2.1

Element

Fleet

Management

Corp.

(33,719)

(483,846)

6,206

3.8

Emera,

Inc.

(10,212)

(356,527)

19,247

11.9

Enbridge,

Inc.

(17,440)

(578,444)

16,949

10.5

Fortis,

Inc.

(12,973)

(492,750)

22,541

13.9

Franco-Nevada

Corp.

(2,644)

(352,981)

8,760

5.4

GFL

Environmental,

Inc.

(13,116)

(416,487)

18,154

11.2

Hydro

One

Ltd.

(24,616)

(626,704)

20,842

12.9

Intact

Financial

Corp.

(4,572)

(666,554)

2,693

1.7

Metro,

Inc.

(7,656)

(397,610)

4,848

3.0

National

Bank

Canada

(4,934)

(327,771)

3,487

2.2

Pan

American

Silver

Corp.

(25,550)

(369,824)

10,910

6.7

Global,

Inc.

(11,588)

(725,524)

2,133

1.3

Rogers

Communications,

Inc.

(16,897)

(648,760)

24,507

15.1

Royal

Bank

Canada

(8,047)

(703,242)

10,190

6.3

Thomson

Reuters

Corp.

(2,828)

(345,960)

6,850

4.2

TMX

Group

Ltd.

(17,525)

(376,628)

(387)

(0.2)

Tourmaline

Oil

Corp.

(6,602)

(332,227)

(97)

(0.1)

WSP

Global,

Inc.

(4,106)

(579,511)

907

0.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SORA

plus

minus

specified

spread

(-0.31%

0.24%),

which

denominated

SGD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

01/27/2025

09/25/2025

$5,167,848

$(48,236)

$(57,135)

$(105,371)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

169,000

459,898

2,473

(2.3)

Yangzijiang

Shipbuilding

Holdings

Ltd.

304,476

369,083

(11,790)

11.2

Singapore

City

Developments

Ltd.

50,962

245,937

(112)

0.1

Genting

Singapore

Ltd.

546,119

337,140

1,559

(1.5)

Jardine

Cycle

Carriage

Ltd.

7,400

172,525

(1,784)

1.7

Oversea-Chinese

Banking

Corp.

Ltd.

30,700

287,108

1,443

(1.4)

Singapore

Airlines

Ltd.

192,000

905,706

(14,265)

13.5

United

Overseas

Bank

Ltd.

1,900

39,573

(0.0)

Venture

Corp.

Ltd.

24,800

223,926

(10,286)

9.8

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Singapore

DBS

Group

Holdings

Ltd.

(24,435)

(600,115)

(2,199)

2.1

Keppel

Corp.

Ltd.

(37,200)

(184,729)

(1,042)

1.0

Seatrium

Ltd.

(3,059,600)

(299,170)

(1,491)

1.4

Singapore

Technologies

Engineering

Ltd.

(352,300)

(1,005,412)

(10,622)

10.1

Singapore

Telecommunications

Ltd.

(21,200)

(37,526)

(151)

0.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

RBACR

plus

minus

specified

spread

(-0.50%

0.30%),

which

denominated

AUD

based

the

local

currencies

the

positions

within

the

swap.

23-49

months

maturity

07/22/2025

$23,537,927

$286,120

$(12,749)

$273,371

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

ANZ

Group

Holdings

Ltd.

25,615

420,129

(1,351)

(0.5)

Aristocrat

Leisure

Ltd.

7,830

204,570

(829)

(0.3)

Aurizon

Holdings

Ltd.

116,848

261,263

(12,201)

(4.5)

BHP

Group

Ltd.

10,761

302,285

(14,318)

(5.2)

BlueScope

Steel

Ltd.

90,686

1,123,010

23,419

8.6

Coles

Group

Ltd.

31,249

311,892

(5,634)

(2.1)

Harvey

Norman

Holdings

Ltd.

126,325

313,001

(15,103)

(5.5)

Incitec

Pivot

Ltd.

285,317

571,706

3,028

1.1

Hi-Fi

Ltd.

23,749

689,803

(14,881)

(5.4)

Northern

Star

Resources

Ltd.

27,548

182,926

(8,351)

(3.1)

Origin

Energy

Ltd.

76,700

431,893

3,593

1.3

Pilbara

Minerals

Ltd.

113,964

310,915

(223)

(0.1)

Qantas

Airways

Ltd.

387,235

1,281,937

(76,428)

(28.0)

QBE

Insurance

Group

Ltd.

20,785

208,208

3,924

1.4

SEEK

Ltd.

11,226

158,591

1,298

0.5

Seven

Group

Holdings

Ltd.

11,466

228,385

15,626

5.7

Sonic

Healthcare

Ltd.

22,136

422,686

(18,517)

(6.8)

South32

Ltd.

288,711

623,387

(5,888)

(2.2)

Suncorp

Group

Ltd.

22,061

196,555

(1,455)

(0.5)

Telstra

Group

Ltd.

115,406

285,127

(2,722)

(1.0)

Westpac

Banking

Corp.

42,878

579,606

(17,581)

(6.4)

Whitehaven

Coal

Ltd.

163,971

743,654

45,860

16.8

New

Zealand

Xero

Ltd.

3,722

267,678

(13,729)

(5.0)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(410,473)

(249,674)

27,435

10.0

APA

Group

(42,681)

(227,056)

7,000

2.6

carsales.com

Ltd.

(10,005)

(179,233)

9,052

3.3

Cleanaway

Waste

Management

Ltd.

(304,996)

(475,019)

(166)

(0.1)

Commonwealth

Bank

Australia

(25,912)

(1,655,157)

53,444

19.5

Computershare

Ltd.

(9,188)

(153,114)

1,807

0.7

Domino's

Pizza

Enterprises

Ltd.

(17,664)

(599,798)

(1,189)

(0.4)

IDP

Education

Ltd.

(42,067)

(575,696)

81,775

29.9

IGO

Ltd.

(25,128)

(201,653)

10,799

4.0

Insurance

Australia

Group

Ltd.

(76,294)

(276,760)

5,785

2.1

Lynas

Rare

Earths

Ltd.

(171,086)

(738,865)

36,613

13.4

Macquarie

Group

Ltd.

(2,127)

(227,776)

7,680

2.8

Medibank

Pvt

Ltd.

(105,915)

(233,768)

2,602

1.0

Mineral

Resources

Ltd.

(22,382)

(961,123)

49,515

18.1

NEXTDC

Ltd.

(24,578)

(194,470)

5,746

2.1

Pro

Medicus

Ltd.

(8,931)

(476,560)

(69,275)

(25.3)

REA

Group

Ltd.

(6,612)

(653,017)

19,631

7.2

Reece

Ltd.

(34,691)

(412,939)

4,277

1.6

Santos

Ltd.

(47,644)

(240,175)

(4,152)

(1.5)

Transurban

Group

(99,296)

(806,845)

35,445

13.0

Treasury

Wine

Estates

Ltd.

(24,294)

(191,841)

(8,027)

(2.9)

Wesfarmers

Ltd.

(10,328)

(349,541)

3,927

1.4

WiseTech

Global

Ltd.

(3,809)

(158,113)

7,096

2.6

Woodside

Energy

Group

Ltd.

(7,828)

(182,009)

8,440

3.1

Woolworths

Group

Ltd.

(12,563)

(300,773)

4,471

1.6

United

States

CSL

Ltd.

(6,606)

(1,064,247)

63,297

23.2

James

Hardie

Industries

plc

(12,216)

(319,488)

16,754

6.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

ESTR

plus

minus

specified

spread

(-0.50%

0.28%),

which

denominated

EUR

based

the

local

currencies

the

positions

within

the

swap.

12-37

months

maturity

08/21/2024

$64,565,878

$356,123

$23,365

$379,488

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

France-KLM

67,106

844,137

(15,808)

(4.2)

AXA

16,555

491,168

(17,550)

(4.6)

Bouygues

23,907

835,899

(5,916)

(1.6)

Cie

Saint-Gobain

24,028

1,438,086

(6,492)

(1.7)

Dassault

Aviation

4,485

844,749

(25,198)

(6.6)

Eiffage

12,484

1,184,952

(29,858)

(7.9)

Engie

105,235

1,613,902

(52,381)

(13.8)

Ipsen

5,800

759,927

(11,485)

(3.0)

Orange

52,371

600,709

(12,207)

(3.2)

Rexel

43,847

982,435

(58,749)

(15.5)

Safran

3,138

491,754

(11,534)

(3.0)

Sodexo

11,368

1,170,308

(49,001)

(12.9)

Germany

Bayerische

Motoren

Werke

12,894

1,309,607

(11,886)

(3.1)

Daimler

Truck

Holding

16,982

587,989

(18,339)

(4.8)

Deutsche

Bank

(Registered)

179,017

1,967,446

64,176

16.9

Deutsche

Lufthansa

(Registered)

98,172

776,875

(51,747)

(13.6)

GEA

Group

17,964

662,052

(21,857)

(5.8)

HOCHTIEF

8,222

829,055

(17,140)

(4.5)

Mercedes-Benz

Group

26,740

1,861,018

(17,248)

(4.5)

Siemens

(Registered)

5,303

757,845

(6,894)

(1.8)

TeamViewer

34,241

575,507

213

0.1

Telefonica

Deutschland

Holding

296,260

529,882

(16,083)

(4.2)

thyssenkrupp

170,354

1,295,085

31,539

8.3

Singapore

STMicroelectronics

24,302

1,047,977

7,637

2.0

United

States

Sanofi

4,649

499,188

(600)

(0.2)

Short

Positions

Common

Stocks

France

Aeroports

Paris

(4,113)

(485,051)

4,408

1.2

Air

Liquide

(6,453)

(1,086,889)

31,212

8.2

Airbus

(6,274)

(839,765)

22,814

6.0

Alstom

(44,736)

(1,063,249)

60,530

16.0

Bollore

(91,719)

(492,275)

16,740

4.4

EssilorLuxottica

(6,825)

(1,187,179)

48,812

12.9

Hermes

International

SCA

(553)

(1,008,024)

42,983

11.3

L'Oreal

(2,744)

(1,137,147)

30,240

8.0

LVMH

Moet

Hennessy

Louis

Vuitton

(1,005)

(758,605)

16,745

4.4

Pernod

Ricard

(4,689)

(780,671)

40,129

10.6

Sartorius

Stedim

Biotech

(6,067)

(1,443,360)

117,057

30.8

Germany

adidas

(7,680)

(1,347,139)

26,531

7.0

Beiersdorf

(6,272)

(809,020)

7,302

1.9

Deutsche

Telekom

(Registered)

(26,467)

(555,193)

20,077

5.3

Fraport

Frankfurt

Airport

Services

Worldwide

(11,109)

(587,300)

2,533

0.7

Hannover

Rueck

(2,369)

(519,803)

12,581

3.3

Merck

KGaA

(5,879)

(980,072)

15,326

4.0

Puma

(14,663)

(906,648)

29,080

7.7

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Germany

(continued)

Rheinmetall

(2,266)

(582,932)

48,199

12.7

Siemens

Healthineers

(32,525)

(1,645,176)

(72,976)

(19.2)

Symrise

(8,942)

(851,268)

2,421

0.6

Luxembourg

Eurofins

Scientific

(18,797)

(1,059,345)

33,754

8.9

South

Korea

Delivery

Hero

(17,411)

(497,145)

63,280

16.7

United

States

Schneider

Electric

(4,557)

(750,958)

3,487

0.9

Preferred

Stocks

Germany

Sartorius

(Preference)

(4,125)

(1,397,113)

74,342

19.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SONIA

plus

minus

specified

spread

(-0.28%

0.28%),

which

denominated

GBP

based

the

local

currencies

the

positions

within

the

swap.

10-36

months

maturity

07/19/2024

$53,623,997

$(390,666)

$58,423

$(332,243)

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Germany

TUI

74,278

407,142

(15,764)

4.7

Netherlands

Shell

plc

45,228

1,433,466

2,971

(0.9)

United

Kingdom

BAE

Systems

plc

41,168

500,267

(29,470)

8.9

Barclays

plc

740,633

1,427,518

(3,994)

1.2

Barratt

Developments

plc

210,721

1,129,809

(19,174)

5.8

plc

201,266

1,297,348

22,376

(6.7)

British

American

Tobacco

plc

76,538

2,403,193

(102,521)

30.9

Burberry

Group

plc

34,125

790,844

(81,766)

24.6

Centrica

plc

1,757,481

3,305,668

(335,046)

100.8

DCC

plc

10,687

598,361

6,891

(2.1)

Smith

plc

201,928

704,267

(15,386)

4.6

easyJet

plc

154,196

799,251

(16,223)

4.9

Howden

Joinery

Group

plc

48,542

434,332

1,389

(0.4)

Imperial

Brands

plc

51,054

1,035,703

(51,042)

15.4

InterContinental

Hotels

Group

plc

7,451

551,034

(14,788)

4.5

Kingfisher

plc

201,657

547,421

(13,064)

3.9

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

United

Kingdom

(continued)

Man

Group

plc

249,565

678,323

27,870

(8.4)

Marks

Spencer

Group

plc

340,754

980,083

55,031

(16.6)

Melrose

Industries

plc

88,834

506,389

(3,216)

1.0

Pearson

plc

58,601

618,285

(11,143)

3.4

Rolls-Royce

Holdings

plc

393,500

1,054,338

(17,744)

5.3

Taylor

Wimpey

plc

613,227

874,572

8,533

(2.6)

Tesco

plc

188,139

605,147

(18,077)

5.4

Vodafone

Group

plc

1,383,314

1,296,720

(44,284)

13.3

WPP

plc

56,883

506,789

(10,210)

3.1

United

States

GSK

plc

48,803

883,032

(14,356)

4.3

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(10,216)

(641,488)

(160)

0.0

Burkina

Faso

Endeavour

Mining

plc

(20,708)

(399,746)

11,136

(3.4)

Chile

Antofagasta

plc

(77,393)

(1,343,524)

16,151

(4.9)

Hong

Kong

Prudential

plc

(84,415)

(907,405)

34,075

(10.3)

South

Africa

Anglo

American

plc

(25,291)

(694,481)

1,367

(0.4)

United

Kingdom

Admiral

Group

plc

(26,342)

(761,274)

19,403

(5.8)

Ashtead

Group

plc

(18,413)

(1,116,613)

38,501

(11.6)

AstraZeneca

plc

(11,460)

(1,545,776)

(42,323)

12.7

ConvaTec

Group

plc

(139,204)

(368,901)

6,452

(1.9)

Croda

International

plc

(10,971)

(655,315)

6,876

(2.1)

Diageo

plc

(40,270)

(1,484,679)

59,212

(17.8)

Halma

plc

(16,425)

(386,985)

35,862

(10.8)

plc

(6,414)

(568,868)

(10,891)

3.3

Ocado

Group

plc

(56,386)

(409,976)

100,497

(30.2)

Persimmon

plc

(35,355)

(463,027)

(18,935)

5.7

RELX

plc

(24,153)

(814,921)

4,356

(1.3)

Rentokil

Initial

plc

(148,982)

(1,106,134)

(19,859)

6.0

Severn

Trent

plc

(28,153)

(812,365)

28,167

(8.5)

Spirax-Sarco

Engineering

plc

(6,549)

(758,068)

26,912

(8.1)

SSE

plc

(52,552)

(1,029,827)

30,085

(9.1)

Unilever

plc

(8,190)

(405,133)

3,555

(1.1)

United

Utilities

Group

plc

(64,803)

(748,799)

22,254

(6.7)

Wise

plc

(53,173)

(443,429)

5,854

(1.8)

United

States

Experian

plc

(17,762)

(580,952)

15,819

(4.8)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

HONIX

plus

minus

specified

spread

(-0.30%

0.30%),

which

denominated

HKD

based

the

local

currencies

the

positions

within

the

swap.

28-49

months

maturity

07/22/2025

$11,221,908

$111,374

$42,413

$153,787

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

264,500

722,051

(12,869)

(8.4)

SITC

International

Holdings

Co.

Ltd.

184,000

308,717

(5,197)

(3.4)

Hong

Kong

ASMPT

Ltd.

8,100

72,168

(1,478)

(1.0)

Asset

Holdings

Ltd.

144,321

758,059

7,036

4.6

CLP

Holdings

Ltd.

28,000

206,749

(2,899)

(1.9)

Hang

Lung

Properties

Ltd.

69,000

94,403

3,734

2.4

Henderson

Land

Development

Co.

Ltd.

159,000

417,527

10,702

7.0

HKT

Trust

HKT

Ltd.

55,000

57,352

(1,153)

(0.7)

Man

Wah

Holdings

Ltd.

762,800

533,152

(33,765)

(22.0)

New

World

Development

Co.

Ltd.

82,000

158,989

(3,525)

(2.3)

Sino

Land

Co.

Ltd.

36,000

40,487

170

0.1

Sun

Hung

Kai

Properties

Ltd.

29,500

314,764

10,925

7.1

Swire

Pacific

Ltd.

41,000

276,156

(13,153)

(8.6)

Swire

Properties

Ltd.

18,600

38,683

1,225

0.8

Group

Ltd.

963,000

504,052

3,426

2.2

Macau

Sands

China

Ltd.

28,400

86,364

(2,585)

(1.7)

United

Kingdom

Hutchison

Holdings

Ltd.

308,500

1,637,854

7,980

5.2

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(310,000)

(609,216)

56,087

36.5

ESR

Group

Ltd.

(411,000)

(574,565)

(21,810)

(14.2)

Xinyi

Glass

Holdings

Ltd.

(253,167)

(326,225)

28,561

18.6

Hong

Kong

AIA

Group

Ltd.

(63,400)

(512,725)

15,883

10.3

Hang

Seng

Bank

Ltd.

(14,300)

(177,427)

(1,666)

(1.1)

Hong

Kong

China

Gas

Co.

Ltd.

(507,000)

(352,764)

4,633

3.0

MTR

Corp.

Ltd.

(83,420)

(329,544)

(3,802)

(2.5)

Power

Assets

Holdings

Ltd.

(24,500)

(118,323)

2,015

1.3

Techtronic

Industries

Co.

Ltd.

(54,000)

(521,294)

2,091

1.4

Wharf

Real

Estate

Investment

Co.

Ltd.

(278,000)

(1,071,395)

21,943

14.3

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Macau

Galaxy

Entertainment

Group

Ltd.

(67,000)

(400,903)

38,865

25.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

MUTSC

plus

minus

specified

spread

(-3.13%

0.28%),

which

denominated

JPY

based

the

local

currencies

the

positions

within

the

swap.

22-49

months

maturity

07/23/2025

$196,333,376

$167,886

$283,267

$451,153

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

ANA

Holdings,

Inc.

70,000

1,465,664

(67,074)

(14.9)

Dai-ichi

Life

Holdings,

Inc.

63,400

1,308,850

(34,681)

(7.7)

Fujitsu

Ltd.

10,900

1,281,961

(79,445)

(17.6)

IHI

Corp.

64,400

1,349,773

(32,627)

(7.2)

Japan

Airlines

Co.

Ltd.

69,500

1,350,328

(50,795)

(11.3)

Japan

Post

Bank

Co.

Ltd.

339,200

2,951,666

(47,454)

(10.5)

Japan

Tobacco,

Inc.

59,000

1,357,474

20,481

4.5

JFE

Holdings,

Inc.

139,000

2,035,558

(115,062)

(25.5)

Lion

Corp.

116,000

1,144,062

4,991

1.1

Mazda

Motor

Corp.

120,700

1,370,488

(125,743)

(27.9)

Mitsubishi

Corp.

31,800

1,515,281

(120,683)

(26.7)

Mitsubishi

Motors

Corp.

553,900

2,414,064

(41,866)

(9.3)

Mizuho

Financial

Group,

Inc.

180,830

3,070,124

(176,442)

(39.1)

NIPPON

EXPRESS

HOLDINGS,

Inc.

23,400

1,221,008

1,187

0.3

Niterra

Co.

Ltd.

53,500

1,210,890

(73,267)

(16.2)

NSK

Ltd.

210,000

1,180,788

(57,596)

(12.8)

Obayashi

Corp.

162,900

1,433,500

(102,424)

(22.7)

Panasonic

Holdings

Corp.

119,700

1,351,146

(77,820)

(17.2)

SCREEN

Holdings

Co.

Ltd.

28,200

1,370,410

48,965

10.9

Shimamura

Co.

Ltd.

17,000

1,680,155

(18,116)

(4.0)

Shionogi

Co.

Ltd.

35,600

1,587,919

(16,892)

(3.7)

Sojitz

Corp.

77,700

1,702,067

(127,220)

(28.2)

Subaru

Corp.

135,100

2,626,950

(161,144)

(35.7)

TOPPAN

Holdings,

Inc.

48,300

1,155,401

(84,742)

(18.8)

Toyo

Suisan

Kaisha

Ltd.

42,600

1,670,641

(18,986)

(4.2)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

Advantest

Corp.

(52,400)

(1,461,620)

(58,668)

(13.0)

Aeon

Co.

Ltd.

(75,500)

(1,495,512)

37,511

8.3

Ajinomoto

Co.,

Inc.

(46,700)

(1,800,688)

27,817

6.2

Asahi

Intecc

Co.

Ltd.

(77,900)

(1,396,621)

111,614

24.7

Chugai

Pharmaceutical

Co.

Ltd.

(41,400)

(1,276,530)

(41,511)

(9.2)

Daiichi

Sankyo

Co.

Ltd.

(53,000)

(1,450,998)

(3,439)

(0.8)

Daikin

Industries

Ltd.

(9,100)

(1,426,622)

79,108

17.5

Denso

Corp.

(101,200)

(1,623,843)

117,032

25.9

Eisai

Co.

Ltd.

(25,000)

(1,385,595)

102,560

22.7

Kansai

Electric

Power

Co.,

Inc.

(The)

(108,200)

(1,497,980)

189,241

41.9

Keio

Corp.

(34,100)

(1,172,295)

46,160

10.2

Keyence

Corp.

(5,600)

(2,071,025)

59,179

13.1

Kikkoman

Corp.

(22,700)

(1,189,770)

90,490

20.1

Kobe

Bussan

Co.

Ltd.

(63,600)

(1,488,969)

59,908

13.3

Kubota

Corp.

(82,900)

(1,219,527)

114,894

25.5

Mitsubishi

UFJ

Financial

Group,

Inc.

(301,200)

(2,552,416)

112,031

24.8

Nissan

Chemical

Corp.

(36,100)

(1,534,592)

71,561

15.9

NTT

Data

Group

Corp.

(152,400)

(2,039,318)

155,581

34.5

Resonac

Holdings

Corp.

(83,700)

(1,400,216)

23,159

5.1

SMC

Corp.

(3,700)

(1,658,571)

60,159

13.3

T&D

Holdings,

Inc.

(84,800)

(1,394,536)

76,755

17.0

Takeda

Pharmaceutical

Co.

Ltd.

(37,800)

(1,171,668)

44,238

9.8

Tokio

Marine

Holdings,

Inc.

(59,100)

(1,368,384)

50,476

11.2

Toyota

Motor

Corp.

(157,500)

(2,825,602)

206,004

45.7

Yaskawa

Electric

Corp.

(47,100)

(1,696,121)

112,195

24.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

Federal

Funds

Effective

Rate

plus

minus

specified

spread

(-6.23%

0.27%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

10-24

months

maturity

07/19/2024

$526,791,975

$2,353,882

$262,615

$2,616,497

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Co.

20,585

1,927,168

(121,984)

(4.7)

Adobe,

Inc.

3,001

1,530,210

(47,476)

(1.8)

AGCO

Corp.

11,226

1,327,811

(37,460)

(1.4)

Allison

Transmission

Holdings,

Inc.

30,404

1,795,660

(31,699)

(1.2)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

United

States

(continued)

Archer-Daniels-Midland

Co.

19,681

1,484,341

(64,365)

(2.5)

AT&T,

Inc.

89,241

1,340,400

(4,375)

(0.2)

Builders

FirstSource,

Inc.

11,602

1,444,333

(42,929)

(1.6)

Cardinal

Health,

Inc.

16,107

1,398,410

(22,886)

(0.9)

Cigna

Group

(The)

4,749

1,358,546

(3,478)

(0.1)

Cisco

Systems,

Inc.

50,831

2,732,675

(53,667)

(2.1)

Citigroup,

Inc.

57,151

2,350,621

(77,944)

(3.0)

Citizens

Financial

Group,

Inc.

63,932

1,713,378

(25,325)

(1.0)

Crocs,

Inc.

15,513

1,368,712

9,463

0.4

CVS

Health

Corp.

26,407

1,843,737

(23,238)

(0.9)

Gates

Industrial

Corp.

plc

138,805

1,611,526

(11,720)

(0.4)

General

Motors

Co.

59,583

1,964,452

(17,534)

(0.7)

Humana,

Inc.

4,018

1,954,837

15,574

0.6

International

Paper

Co.

43,123

1,529,573

53,114

2.0

Home

38,815

1,796,358

(69,685)

(2.7)

Kraft

Heinz

Co.

(The)

41,590

1,399,088

4,128

0.2

Lockheed

Martin

Corp.

4,427

1,810,466

(63,621)

(2.4)

Marathon

Petroleum

Corp.

8,938

1,352,677

(39,053)

(1.5)

Microsoft

Corp.

4,362

1,377,302

(50,309)

(1.9)

Molson

Coors

Beverage

Co.

38,108

2,423,288

(23,820)

(0.9)

Owens

Corning

10,580

1,443,218

(8,904)

(0.3)

Skechers

USA,

Inc.

38,071

1,863,575

68,089

2.6

SYNNEX

Corp.

15,506

1,548,429

(14,110)

(0.5)

Toll

Brothers,

Inc.

21,746

1,608,334

(64,935)

(2.5)

TripAdvisor,

Inc.

107,255

1,778,288

46,120

1.8

Unum

Group

27,272

1,341,510

15,565

0.6

Valero

Energy

Corp.

13,521

1,916,061

(62,997)

(2.4)

Walmart,

Inc.

14,043

2,245,897

(49,010)

(1.9)

Western

Union

Co.

(The)

129,198

1,702,830

63,307

2.4

Short

Positions

Common

Stocks

United

States

Apple,

Inc.

(10,737)

(1,838,282)

70,987

2.7

BJ's

Wholesale

Club

Holdings,

Inc.

(23,364)

(1,667,489)

16,055

0.6

Celanese

Corp.

(13,655)

(1,713,976)

34,254

1.3

Chart

Industries,

Inc.

(10,493)

(1,774,576)

21,620

0.8

Churchill

Downs,

Inc.

(18,898)

(2,192,924)

39,046

1.5

Constellation

Brands,

Inc.

(5,340)

(1,342,102)

48,916

1.9

Eli

Lilly

Co.

(2,602)

(1,397,612)

88,858

3.4

GameStop

Corp.

(92,136)

(1,516,559)

99,515

3.8

Marriott

International,

Inc.

(7,851)

(1,543,193)

(2,297)

(0.1)

News

Corp.

(76,675)

(1,538,100)

(12,475)

(0.5)

NIKE,

Inc.

(19,415)

(1,856,462)

(10,918)

(0.4)

Progressive

Corp.

(The)

(10,737)

(1,495,664)

13,529

0.5

Quanta

Services,

Inc.

(8,279)

(1,548,753)

71,715

2.7

Repligen

Corp.

(9,374)

(1,490,560)

29,725

1.1

Southern

Co.

(The)

(24,947)

(1,614,570)

149,614

5.7

Tractor

Supply

Co.

(10,083)

(2,047,353)

59,329

2.3

Welltower,

Inc.

(17,252)

(1,413,284)

47,341

1.8

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

‡

Includes

appreciation/(depreciation)

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

Represents

7-day

effective

yield

September

30,

2023.

(b)

All

portion

the

security

pledged

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

September

30,

2023,

transactions

and

earnings

from

issuers

considered

affiliated

issuer

were

follows:

(d)

The

rate

shown

was

the

effective

yield

the

date

purchase.

(e)

All

portion

the

security

pledged

collateral

for

swap

contracts.

INVESTMENTS

VALUE

($)

SHORT-TERM

INVESTMENTS

86.4%

INVESTMENT

COMPANIES

36.4%

Goldman

Sachs

Financial

Square

Funds

Treasury

Instruments

Fund,

Institutional

Shares,

5.24%

(1)(a)(b)

2,812,165

Limited

Purpose

Cash

Investment

Fund,

5.36%

(1)(a)(c)

327,635,476

327,537,186

TOTAL

INVESTMENT

COMPANIES

(Cost

$330,269,886)

330,349,351

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

50.0%

U.S.

Treasury

Bills

4.96%,

10/26/2023

(d)(e)

10,981,000

10,942,323

5.02%,

11/2/2023

(d)(e)

30,639,000

30,499,431

5.01%,

11/9/2023

(d)(e)

17,814,000

17,714,435

5.11%,

11/16/2023

(d)(e)

72,693,000

72,211,862

5.31%,

11/24/2023

(d)(e)

67,900,000

67,369,316

5.44%,

11/30/2023

(d)(e)

2,882,000

2,856,825

5.39%,

12/7/2023

(d)(e)

6,886,000

6,818,902

5.29%,

12/14/2023

(d)(e)

19,893,000

19,679,206

5.36%,

12/28/2023

(d)(e)

43,211,000

42,655,450

5.41%,

1/11/2024

(d)(e)

1,710,000

1,684,561

5.39%,

1/18/2024

(d)(e)

23,257,000

22,886,865

5.41%,

1/25/2024

(d)(e)

16,824,000

16,538,488

5.41%,

2/1/2024

(d)(e)

32,787,000

32,197,831

5.41%,

2/8/2024

(d)(e)

8,992,000

8,821,146

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

50.0%

(continued)

5.44%,

2/15/2024

(d)(e)

8,959,000

8,779,579

5.44%,

2/22/2024

(d)(e)

21,624,000

21,168,111

5.50%,

2/29/2024

(d)(e)

15,011,000

14,678,960

5.45%,

3/14/2024

(d)(e)

43,526,000

42,473,354

5.45%,

3/21/2024

(d)(e)

14,414,000

14,049,690

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$454,055,162)

454,026,335

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$784,325,048)

784,375,686

TOTAL

INVESTMENTS

SECURITIES

VALUE

86.4%

(Cost

$784,325,048)

784,375,686

OTHER

ASSETS

EXCESS

LIABILITIES

13.6%

‡

123,032,573

NET

ASSETS

100.0%

907,408,259

SECURITY

TYPE

VALUE

NET

ASSETS

Investment

Companies

330,349,351

36.4

U.S.

Treasury

Obligations

454,026,335

50.0

Total

Investments

Securities

Value

784,375,686

86.4

Other

Assets

Excess

Liabilities

‡

123,032,573

13.6

Net

Assets

907,408,259

100.0%

Affiliate

Value

12/31/2022

Purchases

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

Unrealized

App/Dep

Value

9/30/2023

Held

9/30/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

36.1%

INVESTMENT

COMPANIES

36.1%

Limited

Purpose

Cash

Investment

Fund,

5.36%

(1)(a)

(Cost

$327,457,721)

$157,298,176

$1,150,562,071

$(980,338,143)

$(4,041)

$19,123

$327,537,186

327,635,476

$7,213,371

$–

(1)

Level

security.

(a)

Represents

7-day

effective

yield

September

30,

2023.

All

securities

are

Level

with

respect

ASC

820,

unless

otherwise

noted

parentheses.

(1)

Level

security.

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

Total

return

swap

contracts

outstanding

September

30,

2023

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

GSIN

10/30/2023

HKD

3,577,800

4,241

Hang

Seng

Index

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

JPMC

10/30/2023

HKD

3,577,800

3,510

MSCI

Singapore

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

SORA

plus

minus

specified

spread

(0.00%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

SGD

1,139,093

8,305

MSCI

Spain

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

ESTR

plus

minus

specified

spread

(-0.20%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

EUR

2,187,996

3,431

MSCI

United

Kingdom

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

SONIA

plus

minus

specified

spread

(0.26%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

GBP

3,403,140

15,605

35,092

Amsterdam

Exchange

Index

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

GSIN

10/20/2023

EUR

1,168,400

(6,386)

Swiss

Market

Index

December

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

JPMC

12/15/2023

CHF

1,210,220

(3,413)

Swiss

Market

Index

December

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

GSIN

12/15/2023

CHF

5,831,060

(12,278)

MSCI

Australia

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

BBR

plus

minus

specified

spread

(0.25%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

AUD

6,208,010

(36,817)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Canada

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

CORRA

plus

minus

specified

spread

(-0.90%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

CAD

5,408,228

(79,260)

MSCI

France

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

ESTR

plus

minus

specified

spread

(0.25%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

EUR

3,317,280

(27,900)

MSCI

Germany

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

ESTR

plus

minus

specified

spread

(0.22%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

EUR

3,036,174

(33,269)

MSCI

Hong

Kong

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

HIBOR

plus

minus

specified

spread

(0.20%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

HKD

5,858,801

(10,648)

MSCI

Italy

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

ESTR

plus

minus

specified

spread

(-0.15%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

EUR

1,826,605

(10,952)

MSCI

Japan

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

TONAR

plus

minus

specified

spread

(0.10%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

JPY

1,855,622,117

(198,271)

MSCI

Netherlands

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

ESTR

plus

minus

specified

spread

(0.10%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

EUR

3,197,382

(39,157)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Sweden

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

STIBOR

plus

minus

specified

spread

(-0.10%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

SEK

21,427,677

(667)

MSCI

Switzerland

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

SARON

plus

minus

specified

spread

(0.18%)

Increases

total

return

reference

entity

Monthly

JPMC

12/20/2023

CHF

3,248,987

(15,512)

(474,530)

(439,438)

Futures

contracts

outstanding

September

30,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

CAC

Euro

Index

10/2023

EUR

7,031,658

(80,342)

Hang

Seng

Index

10/2023

HKD

1,027,979

13,458

IBEX

Index

10/2023

EUR

1,397,262

(661)

MSCI

Singapore

Index

10/2023

SGD

1,003,014

17,396

OMXS30

Index

10/2023

SEK

1,680,465

(3,167)

DAX

Index

12/2023

EUR

410,372

4,210

FTSE

100

Index

12/2023

GBP

5,428,445

2,889

FTSE/MIB

Index

12/2023

EUR

1,794,132

(10,445)

S&P

500

E-Mini

Index

828

12/2023

USD

179,075,699

(6,073,974)

S&P/TSX

Index

12/2023

CAD

6,235,494

(145,236)

SPI

200

Index

12/2023

AUD

2,733,566

(9,106)

TOPIX

Index

12/2023

JPY

6,374,699

(121,694)

(6,406,672)

Forward

foreign

currency

exchange

contracts

outstanding

September

30,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

5,349,501

USD

3,435,167

CITI

12/20/2023

13,890

AUD

5,349,499

USD

3,435,148

JPMC

12/20/2023

13,908

CAD

4,767,271

USD

3,511,357

CITI

12/20/2023

3,012

CAD

4,767,270

USD

3,511,339

JPMC

12/20/2023

3,030

EUR

2,388,000

USD

2,534,226

CITI

12/20/2023

EUR

2,388,000

USD

2,534,214

JPMC

12/20/2023

GBP

1,374,500

USD

1,674,180

CITI

12/20/2023

3,803

GBP

1,374,500

USD

1,674,171

JPMC

12/20/2023

3,811

ILS

102,500

USD

26,961

CITI

12/20/2023

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ILS

102,500

USD

26,961

JPMC

12/20/2023

NOK

1,823,312

USD

169,341

CITI

12/20/2023

1,496

NOK

1,823,311

USD

169,340

JPMC

12/20/2023

1,497

NZD

115,002

USD

68,250

CITI

12/20/2023

680

NZD

114,997

USD

68,247

JPMC

12/20/2023

680

SEK

19,091,001

USD

1,734,432

CITI

12/20/2023

20,046

SEK

19,091,000

USD

1,734,424

JPMC

12/20/2023

20,053

USD

42,227

HKD

330,000

CITI

12/20/2023

USD

42,227

HKD

330,000

JPMC

12/20/2023

Total

unrealized

appreciation

86,141

AUD

1,268,001

USD

818,391

CITI

12/20/2023

(855)

AUD

1,267,999

USD

818,385

JPMC

12/20/2023

(851)

CAD

4,529,935

USD

3,346,047

CITI

12/20/2023

(6,640)

CAD

4,529,934

USD

3,346,030

JPMC

12/20/2023

(6,623)

CHF

5,021,794

USD

5,700,869

CITI

12/20/2023

(165,109)

CHF

5,021,788

USD

5,700,833

JPMC

12/20/2023

(165,081)

DKK

13,393,722

USD

1,949,294

CITI

12/20/2023

(41,806)

DKK

13,393,721

USD

1,949,285

JPMC

12/20/2023

(41,798)

EUR

15,376,444

USD

16,660,096

CITI

12/20/2023

(341,610)

EUR

15,376,436

USD

16,660,004

JPMC

12/20/2023

(341,525)

GBP

5,856,005

USD

7,359,128

CITI

12/20/2023

(210,148)

GBP

5,855,996

USD

7,359,080

JPMC

12/20/2023

(210,112)

HKD

9,655,000

USD

1,235,618

CITI

12/20/2023

(603)

HKD

9,655,000

USD

1,235,612

JPMC

12/20/2023

(597)

ILS

1,202,000

USD

317,741

CITI

12/20/2023

(1,330)

ILS

1,202,000

USD

317,739

JPMC

12/20/2023

(1,328)

JPY

2,019,797,503

USD

13,981,103

CITI

12/20/2023

(284,332)

JPY

2,019,797,498

USD

13,981,033

JPMC

12/20/2023

(284,260)

NOK

2,073,947

USD

195,341

CITI

12/20/2023

(1,021)

NOK

2,073,945

USD

195,340

JPMC

12/20/2023

(1,021)

SGD

3,268,360

USD

2,420,727

CITI

12/20/2023

(21,121)

SGD

3,268,355

USD

2,420,712

JPMC

12/20/2023

(21,108)

USD

16,330

SEK

179,620

CITI

12/20/2023

(177)

USD

16,330

SEK

179,619

JPMC

12/20/2023

(177)

Total

unrealized

depreciation

(2,149,233)

Net

unrealized

depreciation

(2,063,092)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

Total

return

basket

swap

contracts

outstanding

September

30,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

NOWA

plus

minus

specified

spread

(-0.02%

0.03%),

which

denominated

NOK

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

06/14/2028

$4,670,922

$146,091

$(1,427)

$144,664

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

NIBOR

plus

minus

specified

spread

(-0.30%

0.30%),

which

denominated

NOK

based

the

local

currencies

the

positions

within

the

swap.

20-25

months

maturity

02/21/2024

$8,670,967

$79,155

$(27,023)

$52,132

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

OBFR

plus

minus

specified

spread

(-0.20%

0.20%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

02/26/2024

03/25/2024

$28,994,187

$76,784

$(180,867)

$(104,083)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Berry

Global

Group,

Inc.

14,814

917,135

2,074

(2.0)

Cleveland-Cliffs,

Inc.

17,260

269,774

13,118

(12.6)

Dow,

Inc.

1,972

101,676

927

(0.9)

Eagle

Materials,

Inc.

6,140

1,022,433

18,113

(17.4)

Eastman

Chemical

Co.

23,726

1,820,259

10,439

(10.0)

Greif,

Inc.

802

53,582

273

(0.3)

Huntsman

Corp.

19,651

479,484

3,144

(3.0)

International

Paper

Co.

41,905

1,486,370

27,657

(26.6)

Kroger

Co.

(The)

55,390

2,478,702

(53,174)

51.1

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

United

States

(continued)

Lennar

Corp.

2,942

330,181

(2,471)

2.4

LyondellBasell

Industries

5,771

546,514

(3,289)

3.2

Mattel,

Inc.

22,922

504,972

10,086

(9.7)

Mosaic

Co.

(The)

27,584

981,990

(14,068)

13.5

NewMarket

Corp.

650

295,776

(2,730)

2.6

PulteGroup,

Inc.

3,306

244,809

397

(0.4)

Skechers

USA,

Inc.

53,864

2,636,643

48,478

(46.6)

Taylor

Morrison

Home

Corp.

36,621

1,560,421

(18,677)

17.9

Toll

Brothers,

Inc.

25,729

1,902,917

(257)

0.2

United

States

Steel

Corp.

6,543

212,517

2,813

(2.7)

Foods

Holding

Corp.

7,658

304,023

(6,816)

6.5

Short

Positions

Common

Stocks

United

Kingdom

Linde

plc

(1,965)

(731,668)

8,292

(8.0)

United

States

Air

Products

and

Chemicals,

Inc.

(4,891)

(1,386,109)

30,373

(29.2)

Alcoa

Corp.

(3,238)

(94,096)

(7,868)

7.6

Amcor

plc

(8,549)

(78,309)

256

(0.2)

AptarGroup,

Inc.

(1,469)

(183,684)

(1,469)

1.4

Avery

Dennison

Corp.

(9,589)

(1,751,623)

22,822

(21.9)

Ball

Corp.

(38,417)

(1,912,398)

(18,824)

18.1

Casey's

General

Stores,

Inc.

(1,466)

(398,048)

10,306

(9.9)

Columbia

Sportswear

Co.

(6,007)

(445,119)

(23,668)

22.7

Costco

Wholesale

Corp.

(923)

(521,458)

(5,852)

5.6

Crown

Holdings,

Inc.

(6,448)

(570,519)

(9,027)

8.7

Frontier

Communications

Parent,

Inc.

(32,089)

(502,193)

(11,873)

11.4

Iridium

Communications,

Inc.

(2,804)

(127,554)

5,159

(5.0)

Materials

Corp.

(33,768)

(644,969)

23,638

(22.7)

RPM

International,

Inc.

(5,162)

(489,409)

310

(0.3)

Sensient

Technologies

Corp.

(5,862)

(342,810)

11,431

(11.0)

Tempur

Sealy

International,

Inc.

(96)

(4,161)

(81)

0.1

TopBuild

Corp.

(404)

(101,646)

(16)

0.0

Topgolf

Callaway

Brands

Corp.

(28,424)

(393,388)

6,822

(6.6)

Vulcan

Materials

Co.

(816)

(164,848)

(0.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

BBR

plus

minus

specified

spread

(-0.08%

0.04%),

which

denominated

AUD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

11/19/2026

$76,750,887

$902,076

$(36,787)

$865,289

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

ANZ

Group

Holdings

Ltd.

87,807

1,440,181

(3,497)

(0.4)

Aristocrat

Leisure

Ltd.

28,033

732,403

(2,969)

(0.3)

Aurizon

Holdings

Ltd.

320,758

717,189

(33,493)

(3.9)

BHP

Group

Ltd.

34,101

957,925

(45,373)

(5.2)

BlueScope

Steel

Ltd.

291,288

3,607,165

72,606

8.4

Coles

Group

Ltd.

126,586

1,263,436

(22,846)

(2.6)

Harvey

Norman

Holdings

Ltd.

407,303

1,009,192

(47,331)

(5.5)

Incitec

Pivot

Ltd.

863,471

1,730,185

9,163

1.1

Hi-Fi

Ltd.

76,972

2,235,695

(48,469)

(5.6)

Northern

Star

Resources

Ltd.

92,225

612,397

(27,978)

(3.2)

Origin

Energy

Ltd.

255,118

1,436,554

10,025

1.2

Pilbara

Minerals

Ltd.

370,848

1,011,744

1,316

0.2

Qantas

Airways

Ltd.

1,238,734

4,100,813

(236,930)

(27.4)

QBE

Insurance

Group

Ltd.

69,653

697,731

12,044

1.4

SEEK

Ltd.

38,732

547,170

4,239

0.5

Seven

Group

Holdings

Ltd.

46,516

926,526

64,195

7.4

Sonic

Healthcare

Ltd.

76,205

1,455,130

(63,496)

(7.3)

South32

Ltd.

942,787

2,035,673

(19,226)

(2.2)

Suncorp

Group

Ltd.

89,278

795,434

(5,940)

(0.7)

Telstra

Group

Ltd.

422,587

1,044,062

(9,726)

(1.1)

Westpac

Banking

Corp.

150,334

2,032,148

(59,545)

(6.9)

Whitehaven

Coal

Ltd.

510,395

2,314,784

140,408

16.2

New

Zealand

Xero

Ltd.

12,261

881,785

(44,748)

(5.2)

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(1,301,900)

(791,892)

87,017

10.1

APA

Group

(138,277)

(735,610)

23,653

2.7

carsales.com

Ltd.

(43,222)

(774,295)

39,106

4.5

Cleanaway

Waste

Management

Ltd.

(1,043,137)

(1,624,644)

(1,052)

(0.1)

Commonwealth

Bank

Australia

(81,796)

(5,224,807)

163,479

18.9

Computershare

Ltd.

(30,982)

(516,301)

6,054

0.7

Domino's

Pizza

Enterprises

Ltd.

(46,337)

(1,573,417)

6,411

0.7

Endeavour

Group

Ltd.

(163,464)

(551,900)

12,293

1.4

IDP

Education

Ltd.

(132,104)

(1,807,870)

246,906

28.5

IGO

Ltd.

(84,687)

(679,616)

36,395

4.2

Insurance

Australia

Group

Ltd.

(249,172)

(903,884)

18,840

2.2

Lynas

Rare

Earths

Ltd.

(566,166)

(2,445,087)

113,393

13.1

Macquarie

Group

Ltd.

(6,923)

(741,371)

23,291

2.7

Medibank

Pvt

Ltd.

(316,075)

(697,620)

7,916

0.9

Mineral

Resources

Ltd.

(72,451)

(3,111,174)

155,397

18.0

NEXTDC

Ltd.

(83,413)

(659,995)

19,347

2.2

Pro

Medicus

Ltd.

(23,786)

(1,269,226)

(184,352)

(21.3)

REA

Group

Ltd.

(22,356)

(2,207,933)

66,576

7.7

Reece

Ltd.

(107,385)

(1,278,241)

13,239

1.5

Santos

Ltd.

(160,106)

(807,099)

(14,726)

(1.7)

Transurban

Group

(317,717)

(2,581,660)

110,370

12.8

Treasury

Wine

Estates

Ltd.

(77,781)

(614,209)

(24,916)

(2.9)

Wesfarmers

Ltd.

(41,183)

(1,393,797)

15,660

1.8

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Australia

(continued)

Woodside

Energy

Group

Ltd.

(24,647)

(573,069)

26,573

3.1

Woolworths

Group

Ltd.

(35,694)

(854,557)

12,703

1.5

United

States

CSL

Ltd.

(21,119)

(3,402,335)

194,851

22.5

James

Hardie

Industries

plc

(40,973)

(1,071,577)

56,192

6.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SARON

plus

minus

specified

spread

(-0.03%

0.02%),

which

denominated

CHF

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

06/19/2028

$46,888,628

$187,731

$2,084

$189,815

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams-OSRAM

35,670

166,894

(45,103)

(23.8)

Switzerland

ABB

Ltd.

(Registered)

29,047

1,036,781

(11,367)

(6.0)

Adecco

Group

(Registered)

46,441

1,907,477

5,276

2.8

Baloise

Holding

(Registered)

5,639

816,394

(42,170)

(22.2)

Barry

Callebaut

(Registered)

108,137

(517)

(0.3)

Cie

Financiere

Richemont

(Registered)

6,670

812,294

(38,997)

(20.5)

Clariant

(Registered)

13,752

216,823

(2,073)

(1.1)

DKSH

Holding

2,301

155,644

(3,969)

(2.1)

Dufry

(Registered)

27,990

1,062,666

(77,605)

(40.9)

Galenica

1,456

107,563

(3,146)

(1.7)

Georg

Fischer

(Registered)

27,818

1,562,214

(30,633)

(16.1)

Helvetia

Holding

(Registered)

666

93,033

(984)

(0.5)

Julius

Baer

Group

Ltd.

5,729

366,701

(1,966)

(1.0)

Kuehne

Nagel

International

(Registered)

350

99,446

(2,685)

(1.4)

Novartis

(Registered)

22,986

2,347,529

33,639

17.7

Schindler

Holding

259

51,593

(1,970)

(1.0)

Sonova

Holding

(Registered)

2,435

576,308

(3,801)

(2.0)

Swatch

Group

(The)

2,097

537,088

(11,999)

(6.3)

Temenos

(Registered)

3,912

273,607

(3,155)

(1.7)

United

States

Holcim

55,247

3,536,300

10,705

5.6

Roche

Holding

5,092

1,390,122

(3,898)

(2.1)

Swiss

43,262

4,443,024

(5,253)

(2.8)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Switzerland

Alcon,

Inc.

(21,220)

(1,637,493)

31,982

16.8

Bachem

Holding

(11,961)

(882,231)

13,528

7.1

Belimo

Holding

(Registered)

(718)

(340,759)

(3,673)

(1.9)

BKW

(57)

(10,034)

135

0.1

Chocoladefabriken

Lindt

Spruengli

(334)

(3,711,590)

50,665

26.7

EMS-Chemie

Holding

(Registered)

(960)

(650,543)

17,289

9.1

Flughafen

Zurich

(Registered)

(823)

(156,696)

(3,308)

(1.7)

Geberit

(Registered)

(2,575)

(1,284,095)

(16,978)

(8.9)

Givaudan

(Registered)

(187)

(608,841)

(14,680)

(7.7)

Lonza

Group

(Registered)

(2,931)

(1,355,726)

6,752

3.6

Partners

Group

Holding

(1,454)

(1,632,254)

(8,061)

(4.2)

SGS

(Registered)

(4,280)

(359,202)

16,002

8.4

SIG

Group

(42,694)

(1,051,784)

10,943

5.8

Sika

(Registered)

(18,173)

(4,604,329)

127,408

67.1

Straumann

Holding

(Registered)

(8,733)

(1,111,527)

85,380

45.0

Swiss

Life

Holding

(Registered)

(651)

(405,038)

1,326

0.7

Swisscom

(Registered)

(998)

(592,603)

4,226

2.2

Tecan

Group

(Registered)

(855)

(287,384)

6,460

3.4

UBS

Group

(Registered)

(67,895)

(1,672,403)

52,065

27.4

VAT

Group

(1,569)

(559,887)

(5,003)

(2.6)

Zurich

Insurance

Group

(1,015)

(464,419)

8,290

4.4

United

States

Nestle

(Registered)

(16,274)

(1,842,152)

48,654

25.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

Denmark

Tomorrow/Next

plus

minus

specified

spread

(-0.05%

0.03%),

which

denominated

DKK

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

06/19/2028

$14,083,949

$20,042

$2,083

$22,125

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Moller

Maersk

A/S

1,038

1,867,252

48,244

218.0

Carlsberg

A/S

11,155

1,406,478

(56,671)

(256.1)

Demant

A/S

12,028

496,652

(11,171)

(50.5)

Genmab

A/S

315

111,526

(4,705)

(21.3)

ISS

A/S

57,473

882,873

(11,461)

(51.8)

Pandora

A/S

2,419

249,620

1,928

8.7

ROCKWOOL

A/S

233

56,313

2,458

11.1

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(16,523)

(172,223)

7,378

33.3

Coloplast

A/S

(2,489)

(263,379)

(2)

(0.0)

DSV

A/S

(12,509)

(2,330,936)

(12,661)

(57.2)

Store

Nord

A/S

(4,553)

(81,859)

4,045

18.3

Novo

Nordisk

A/S

(55,362)

(5,040,780)

1,147

5.2

Orsted

A/S

(10,951)

(595,769)

36,349

164.3

Royal

Unibrew

A/S

(1,992)

(153,843)

7,280

32.9

Tryg

A/S

(3,716)

(68,000)

2,678

12.1

Vestas

Wind

Systems

A/S

(14,324)

(306,446)

5,206

23.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

EURIBOR

ESTR

plus

minus

specified

spread

(-0.05%

0.03%),

which

denominated

EUR

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

06/14/2028

06/19/2028

$106,017,409

$250,698

$131,061

$381,759

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

40,146

1,653,471

(29,971)

(7.9)

Solvay

10,956

1,210,740

(38,880)

(10.2)

Finland

Fortum

OYJ

117,903

1,367,327

(128,413)

(33.6)

Orion

OYJ

21,078

828,067

12,623

3.3

Valmet

OYJ

47,137

1,076,164

(34,882)

(9.1)

Germany

Bayerische

Motoren

Werke

20,102

2,041,703

(24,444)

(6.4)

Daimler

Truck

Holding

46,229

1,600,645

(51,592)

(13.5)

Deutsche

Bank

(Registered)

383,731

4,217,309

134,802

35.3

HOCHTIEF

14,776

1,489,919

(24,063)

(6.3)

Mercedes-Benz

Group

75,850

5,278,915

(51,288)

(13.4)

MTU

Aero

Engines

8,771

1,588,512

91,191

23.9

Telefonica

Deutschland

Holding

940,616

1,682,358

(50,795)

(13.3)

thyssenkrupp

159,100

1,209,529

45,658

12.0

Zalando

54,478

1,210,411

(113,295)

(29.7)

Luxembourg

ArcelorMittal

102,726

2,571,854

32,801

8.6

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Netherlands

Koninklijke

Ahold

Delhaize

47,069

1,418,645

(27,521)

(7.2)

Koninklijke

Philips

76,853

1,533,391

(72,128)

(18.9)

Group

47,396

1,519,430

(287,734)

(75.4)

Spain

Banco

Sabadell

1,205,291

1,394,368

17,796

4.7

Banco

Santander

616,323

2,347,000

97,567

25.6

Bankinter

148,044

941,855

33,415

8.8

Enagas

78,944

1,307,273

(43,746)

(11.5)

Repsol

60,611

996,991

(358)

(0.1)

Telefonica

285,392

1,165,924

(35,828)

(9.4)

Short

Positions

Common

Stocks

Belgium

Elia

Group

SA/NV

(10,327)

(1,010,611)

108,294

28.4

China

Prosus

(39,364)

(1,159,901)

43,315

11.3

Finland

Sampo

OYJ

(32,431)

(1,402,041)

7,989

2.1

Stora

Enso

OYJ

(100,990)

(1,265,746)

13,032

3.4

Germany

Beiersdorf

(21,727)

(2,802,547)

30,596

8.0

Continental

(18,034)

(1,267,107)

(24,494)

(6.4)

Hannover

Rueck

(5,185)

(1,137,686)

26,851

7.0

HelloFresh

(30,919)

(918,743)

144,961

38.0

HUGO

BOSS

(14,862)

(939,437)

61,956

16.2

Merck

KGaA

(13,624)

(2,271,221)

27,077

7.1

Puma

(43,820)

(2,709,494)

86,906

22.8

RWE

(30,455)

(1,130,484)

33,494

8.8

Siemens

Healthineers

(64,226)

(3,248,672)

(112,179)

(29.4)

Symrise

(9,188)

(874,687)

2,488

0.7

Wacker

Chemie

(7,137)

(1,019,157)

(1,757)

(0.5)

Netherlands

Adyen

(1,128)

(836,338)

(32,421)

(8.5)

ASM

International

(2,498)

(1,043,147)

(31,248)

(8.2)

Heineken

(16,974)

(1,496,454)

40,199

10.5

Spain

Banco

Bilbao

Vizcaya

Argentaria

(217,438)

(1,759,711)

(80,393)

(21.1)

Cellnex

Telecom

(29,577)

(1,028,747)

93,856

24.6

Corp.

ACCIONA

Energias

Renovables

(43,080)

(1,109,642)

51,258

13.4

Iberdrola

(138,298)

(1,546,787)

46,073

12.1

Naturgy

Energy

Group

(34,793)

(946,550)

40,306

10.6

Switzerland

DSM-Firmenich

(47,811)

(4,040,166)

(83,983)

(22.0)

United

States

Ferrovial

(66,903)

(2,044,355)

72,663

19.0

Preferred

Stocks

Germany

Sartorius

(Preference)

(4,854)

(1,644,020)

87,480

22.9

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SONIA

plus

minus

specified

spread

(-0.02%

0.03%),

which

denominated

GBP

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

11/19/2026

$176,024,610

$(1,066,199)

$160,088

$(906,111)

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Germany

TUI

247,649

1,357,446

(51,646)

5.7

Netherlands

Shell

plc

151,210

4,792,483

7,586

(0.8)

United

Kingdom

BAE

Systems

plc

127,598

1,550,551

(85,274)

9.4

Barclays

plc

2,393,615

4,613,523

(6,281)

0.7

Barratt

Developments

plc

677,351

3,631,707

(61,635)

6.8

plc

624,794

4,027,382

68,228

(7.5)

British

American

Tobacco

plc

249,840

7,844,650

(329,876)

36.4

Group

plc

909,786

1,291,953

(12,880)

1.4

Burberry

Group

plc

112,771

2,613,459

(252,554)

27.9

Centrica

plc

5,648,760

10,624,822

(1,069,213)

118.0

DCC

plc

33,402

1,870,164

20,648

(2.3)

Smith

plc

635,504

2,216,457

(48,423)

5.3

easyJet

plc

491,670

2,548,494

(49,373)

5.4

Howden

Joinery

Group

plc

155,822

1,394,224

4,458

(0.5)

Imperial

Brands

plc

179,042

3,632,122

(176,794)

19.5

InterContinental

Hotels

Group

plc

22,908

1,694,146

(45,465)

5.0

Kingfisher

plc

670,069

1,818,979

(39,426)

4.4

Man

Group

plc

816,675

2,219,741

90,359

(10.0)

Marks

Spencer

Group

plc

1,075,506

3,093,391

173,691

(19.2)

Melrose

Industries

plc

325,925

1,857,902

(10,040)

1.1

Pearson

plc

184,213

1,943,588

(34,166)

3.8

Rolls-Royce

Holdings

plc

1,277,231

3,422,193

(53,405)

5.9

Taylor

Wimpey

plc

1,893,320

2,700,215

25,159

(2.8)

Tesco

plc

524,293

1,686,381

(50,377)

5.6

Vodafone

Group

plc

4,544,674

4,260,181

(147,636)

16.3

WPP

plc

197,950

1,763,599

(33,400)

3.7

United

States

GSK

plc

158,571

2,869,151

(49,422)

5.5

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(35,069)

(2,202,070)

(6,018)

0.7

Burkina

Faso

Endeavour

Mining

plc

(69,972)

(1,350,734)

36,586

(4.0)

Chile

Antofagasta

plc

(244,749)

(4,248,786)

42,988

(4.7)

Hong

Kong

Prudential

plc

(265,649)

(2,855,551)

104,949

(11.6)

South

Africa

Anglo

American

plc

(82,287)

(2,259,569)

569

(0.1)

United

Kingdom

Admiral

Group

plc

(82,037)

(2,370,840)

60,427

(6.7)

Ashtead

Group

plc

(61,720)

(3,742,863)

125,823

(13.9)

AstraZeneca

plc

(38,780)

(5,230,821)

(130,368)

14.4

Croda

International

plc

(33,497)

(2,000,830)

20,994

(2.3)

Diageo

plc

(139,063)

(5,126,992)

199,768

(22.0)

Halma

plc

(55,115)

(1,298,550)

120,337

(13.3)

plc

(21,149)

(1,875,739)

(35,709)

3.9

Ocado

Group

plc

(227,112)

(1,651,306)

465,771

(51.4)

Persimmon

plc

(107,042)

(1,401,875)

(57,328)

6.3

RELX

plc

(79,049)

(2,667,108)

12,678

(1.4)

Rentokil

Initial

plc

(469,928)

(3,489,034)

(62,639)

6.9

Severn

Trent

plc

(92,218)

(2,660,984)

92,262

(10.2)

Spirax-Sarco

Engineering

plc

(20,523)

(2,375,604)

84,336

(9.3)

SSE

plc

(183,686)

(3,599,574)

105,235

(11.6)

Unilever

plc

(33,835)

(1,673,709)

16,051

(1.8)

United

Utilities

Group

plc

(209,939)

(2,425,848)

72,094

(8.0)

Wise

plc

(170,798)

(1,424,346)

17,335

(1.9)

United

States

Experian

plc

(61,938)

(2,025,841)

53,372

(5.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

HIBOR

plus

minus

specified

spread

(-0.03%

0.04%),

which

denominated

HKD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

11/19/2026

$35,668,706

$368,011

$(7,626)

$360,385

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

757,000

2,066,512

(34,804)

(9.7)

SITC

International

Holdings

Co.

Ltd.

574,000

963,062

(16,211)

(4.5)

Hong

Kong

ASMPT

Ltd.

32,200

286,891

(5,876)

(1.6)

Asset

Holdings

Ltd.

442,456

2,324,041

22,241

6.2

CLP

Holdings

Ltd.

88,000

649,782

(9,032)

(2.5)

Hang

Lung

Properties

Ltd.

262,000

358,457

13,781

3.8

Henderson

Land

Development

Co.

Ltd.

500,000

1,312,979

33,871

9.4

HKT

Trust

HKT

Ltd.

242,000

252,350

(5,072)

(1.4)

Man

Wah

Holdings

Ltd.

2,236,000

1,562,832

(98,974)

(27.5)

New

World

Development

Co.

Ltd.

273,000

529,318

(11,735)

(3.3)

Sino

Land

Co.

Ltd.

140,000

157,449

661

0.2

Sun

Hung

Kai

Properties

Ltd.

82,500

880,271

30,865

8.6

Swire

Pacific

Ltd.

126,500

852,043

(40,669)

(11.3)

Group

Ltd.

3,069,500

1,606,632

9,570

2.7

Macau

Sands

China

Ltd.

82,000

249,360

(6,401)

(1.8)

United

Kingdom

Hutchison

Holdings

Ltd.

929,500

4,934,799

22,412

6.2

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(945,200)

(1,857,519)

170,271

47.2

ESR

Group

Ltd.

(1,309,400)

(1,830,499)

(66,664)

(18.5)

Xinyi

Glass

Holdings

Ltd.

(763,000)

(983,184)

88,873

24.7

Hong

Kong

AIA

Group

Ltd.

(230,200)

(1,861,661)

54,327

15.1

Hang

Seng

Bank

Ltd.

(46,700)

(579,430)

(5,441)

(1.5)

Hong

Kong

China

Gas

Co.

Ltd.

(1,568,045)

(1,091,025)

14,469

4.0

MTR

Corp.

Ltd.

(297,619)

(1,175,719)

(12,766)

(3.5)

Power

Assets

Holdings

Ltd.

(140,500)

(678,546)

10,946

3.0

Swire

Properties

Ltd.

(51,800)

(107,729)

(3,541)

(1.0)

Techtronic

Industries

Co.

Ltd.

(170,000)

(1,641,110)

6,583

1.8

Wharf

Real

Estate

Investment

Co.

Ltd.

(894,000)

(3,445,421)

67,688

18.8

Macau

Galaxy

Entertainment

Group

Ltd.

(239,000)

(1,430,085)

138,639

38.5

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

MUTSC

plus

minus

specified

spread

(-0.40%

0.03%),

which

denominated

JPY

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

11/10/2026

$631,018,526

$437,380

$942,151

$1,379,532

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

ANA

Holdings,

Inc.

226,900

4,750,845

(219,482)

(15.9)

Dai-ichi

Life

Holdings,

Inc.

204,300

4,217,634

(101,389)

(7.3)

Fujitsu

Ltd.

35,300

4,151,671

(256,165)

(18.6)

IHI

Corp.

211,700

4,437,063

(102,415)

(7.4)

Japan

Airlines

Co.

Ltd.

227,900

4,427,910

(166,907)

(12.1)

Japan

Post

Bank

Co.

Ltd.

1,105,500

9,619,892

(155,172)

(11.2)

Japan

Tobacco,

Inc.

188,100

4,327,812

62,167

4.5

JFE

Holdings,

Inc.

441,600

6,466,924

(363,349)

(26.3)

Mazda

Motor

Corp.

382,700

4,345,365

(398,691)

(28.9)

Mitsubishi

Corp.

102,400

4,879,394

(388,614)

(28.2)

Mitsubishi

Motors

Corp.

1,786,400

7,785,672

(131,790)

(9.6)

Mizuho

Financial

Group,

Inc.

583,900

9,913,428

(567,876)

(41.2)

NIPPON

EXPRESS

HOLDINGS,

Inc.

75,600

3,944,795

480

0.0

Niterra

Co.

Ltd.

165,900

3,754,892

(227,197)

(16.5)

NSK

Ltd.

650,400

3,657,070

(178,304)

(12.9)

Obayashi

Corp.

524,500

4,615,536

(322,350)

(23.4)

Panasonic

Holdings

Corp.

375,400

4,237,430

(244,058)

(17.7)

SCREEN

Holdings

Co.

Ltd.

90,800

4,412,527

140,856

10.2

Shimamura

Co.

Ltd.

53,000

5,238,130

(54,599)

(4.0)

Shionogi

Co.

Ltd.

114,800

5,120,593

(53,503)

(3.9)

Sojitz

Corp.

252,200

5,524,597

(408,853)

(29.6)

Subaru

Corp.

421,100

8,188,072

(491,183)

(35.6)

Toyo

Suisan

Kaisha

Ltd.

136,400

5,349,188

(57,660)

(4.2)

Short

Positions

Common

Stocks

Japan

Advantest

Corp.

(171,200)

(4,775,370)

(184,323)

(13.4)

Aeon

Co.

Ltd.

(213,500)

(4,229,031)

105,875

7.7

Ajinomoto

Co.,

Inc.

(149,600)

(5,768,371)

91,489

6.6

Asahi

Intecc

Co.

Ltd.

(249,800)

(4,478,509)

342,995

24.9

Chugai

Pharmaceutical

Co.

Ltd.

(132,100)

(4,073,178)

(132,454)

(9.6)

Daiichi

Sankyo

Co.

Ltd.

(172,400)

(4,719,851)

(1,547)

(0.1)

Daikin

Industries

Ltd.

(29,700)

(4,656,120)

254,446

18.4

Denso

Corp.

(327,600)

(5,256,630)

377,217

27.3

Eisai

Co.

Ltd.

(80,500)

(4,461,615)

320,326

23.2

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Japan

(continued)

Kansai

Electric

Power

Co.,

Inc.

(The)

(342,600)

(4,743,140)

580,452

42.1

Keio

Corp.

(107,300)

(3,688,776)

144,466

10.5

Keyence

Corp.

(18,600)

(6,878,762)

182,087

13.2

Kikkoman

Corp.

(72,400)

(3,794,684)

282,650

20.5

Kobe

Bussan

Co.

Ltd.

(205,500)

(4,811,056)

190,044

13.8

Kubota

Corp.

(266,200)

(3,916,021)

368,937

26.7

Lasertec

Corp.

(24,500)

(3,810,056)

(223,760)

(16.2)

Mitsubishi

UFJ

Financial

Group,

Inc.

(959,700)

(8,132,647)

351,373

25.5

Nissan

Chemical

Corp.

(118,300)

(5,028,871)

226,351

16.4

NTT

Data

Group

Corp.

(491,000)

(6,570,245)

494,035

35.8

Resonac

Holdings

Corp.

(266,100)

(4,451,583)

64,586

4.7

SMC

Corp.

(12,000)

(5,379,148)

189,985

13.8

Sumitomo

Mitsui

Financial

Group,

Inc.

(77,400)

(3,802,356)

119,196

8.6

T&D

Holdings,

Inc.

(268,000)

(4,407,261)

237,684

17.2

Takeda

Pharmaceutical

Co.

Ltd.

(143,100)

(4,435,602)

161,250

11.7

Tokio

Marine

Holdings,

Inc.

(193,400)

(4,477,926)

166,244

12.1

Toyota

Motor

Corp.

(505,500)

(9,068,836)

638,184

46.3

Yaskawa

Electric

Corp.

(150,800)

(5,430,467)

344,292

25.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

STIBOR

plus

minus

specified

spread

(-0.02%

0.03%),

which

denominated

SEK

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

06/14/2028

$33,308,673

$(356,836)

$(13,213)

$(370,049)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

14,668

160,816

(1,723)

0.5

Guatemala

Millicom

International

Cellular

6,403

99,258

(3,914)

1.1

Sweden

Billerud

Aktiebolag

40,354

373,535

50,814

(13.7)

Electrolux

51,182

527,433

(16,036)

4.3

Elekta

89,036

604,672

(8,266)

2.2

Embracer

Group

781,405

1,558,545

(265,284)

71.7

Essity

30,557

659,030

(4,545)

1.2

Evolution

754

76,086

(148)

0.0

Getinge

91,077

1,600,440

(75,167)

20.3

Hennes

Mauritz

48,861

692,859

(11,877)

3.2

Saab

3,360

171,009

(18,925)

5.1

Sandvik

12,336

226,987

(7,414)

2.0

Skanska

684

11,232

(0.0)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Sweden

(continued)

SKF

171,531

2,847,680

(33,928)

9.2

SSAB

248,313

1,362,237

52,639

(14.2)

Svenska

Handelsbanken

86,077

765,904

7,485

(2.0)

Swedbank

60,283

1,108,086

19,460

(5.3)

Telefonaktiebolaget

Ericsson

–

0.0

Trelleborg

93,438

2,321,547

(47,029)

12.7

Volvo

28,733

591,832

(12,128)

3.3

Volvo

Car

196,741

795,785

21,489

(5.8)

United

States

Sinch

209,291

365,113

(9,305)

2.5

Short

Positions

Common

Stocks

Sweden

AddTech

(17,030)

(271,786)

3,094

(0.8)

Alfa

Laval

(18,819)

(644,699)

(10,101)

2.7

Atlas

Copco

(171,338)

(2,301,186)

281

(0.1)

Axfood

(26,644)

(610,647)

36,174

(9.8)

Beijer

Ref

(51,722)

(544,180)

28,165

(7.6)

Boliden

(15,576)

(446,982)

(18,977)

5.1

Epiroc

(104,281)

(1,980,011)

46,816

(12.7)

EQT

(107,542)

(2,118,899)

(78,639)

21.3

Hexagon

(208,473)

(1,774,260)

57,921

(15.7)

Holmen

(4,394)

(170,796)

(1,367)

0.4

Indutrade

(17,151)

(316,759)

9,357

(2.5)

Lifco

(49,244)

(861,441)

14,194

(3.8)

Nibe

Industrier

(180,426)

(1,179,579)

(43,723)

11.8

Securitas

(12,893)

(101,947)

(1,498)

0.4

Skandinaviska

Enskilda

Banken

(54,695)

(652,066)

(3,030)

0.8

Svenska

Cellulosa

SCA

(38,420)

(526,051)

(3,671)

1.0

Swedish

Orphan

Biovitrum

(43,006)

(878,730)

(10,924)

3.0

Tele2

(115,287)

(881,656)

(17,729)

4.8

Telia

Co.

(61,525)

(126,907)

529

(0.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

ESTR

plus

minus

specified

spread

(-0.03%

0.03%),

which

denominated

EUR

based

the

local

currencies

the

positions

within

the

swap.

16-53

months

maturity

ranging

from

01/13/2025

01/03/2028

$44,847,506

$843,284

$42,836

$886,120

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

France-KLM

57,399

718,368

(84,860)

(9.6)

Amundi

5,819

326,835

(5,381)

(0.6)

Arkema

6,447

634,647

(4,566)

(0.5)

Bouygues

47,696

1,667,672

54,021

6.1

Cie

Saint-Gobain

51,018

3,053,448

(41,020)

(4.6)

Dassault

Aviation

9,887

1,862,216

(38,145)

(4.3)

Eiffage

35,784

3,396,532

(58,344)

(6.6)

Ipsen

16,621

2,177,715

25,077

2.8

Francaise

des

Jeux

SAEM

27,959

908,099

(43,722)

(4.9)

Orange

96,131

1,102,648

(6,794)

(0.8)

Publicis

Groupe

6,693

506,611

(17,450)

(2.0)

Rexel

119,997

2,688,650

(116,376)

(13.1)

Rubis

SCA

31,444

704,236

(51,071)

(5.8)

Safran

1,184

185,544

(2,324)

(0.3)

Sodexo

11,215

1,154,557

(41,820)

(4.7)

TotalEnergies

10,815

711,079

16,569

1.9

Luxembourg

SES

12,522

81,860

(4,987)

(0.6)

Singapore

STMicroelectronics

42,760

1,843,943

(13,202)

(1.5)

United

States

Sanofi

10,483

1,125,615

(2,872)

(0.3)

Short

Positions

Common

Stocks

France

Accor

(10,077)

(338,934)

24,684

2.8

Aeroports

Paris

(10,158)

(1,197,945)

52,138

5.9

Air

Liquide

(15,941)

(2,684,968)

125,542

14.2

Airbus

(4,861)

(650,637)

36,280

4.1

Alstom

(87,206)

(2,072,642)

155,796

17.6

Bollore

(185,130)

(993,631)

46,667

5.3

Bureau

Veritas

(15,160)

(375,909)

9,081

1.0

Cie

Generale

des

Etablissements

Michelin

SCA

(14,825)

(453,748)

14,740

1.7

EssilorLuxottica

(10,110)

(1,758,590)

103,826

11.7

L'Oreal

(5,170)

(2,142,511)

82,964

9.4

Pernod

Ricard

(4,858)

(808,808)

81,795

9.2

Remy

Cointreau

(7,347)

(895,719)

158,735

17.9

Sartorius

Stedim

Biotech

(8,586)

(2,042,639)

324,785

36.7

SEB

(2,036)

(189,933)

6,381

0.7

SOITEC

(5,335)

(885,377)

19,348

2.2

Veolia

Environnement

(7,669)

(221,681)

12,803

1.4

Luxembourg

Eurofins

Scientific

(6,878)

(387,625)

6,360

0.7

United

States

Schneider

Electric

(11,505)

(1,895,934)

18,626

2.1

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

OBFR

plus

minus

specified

spread

(-0.63%

0.02%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

16-61

months

maturity

ranging

from

01/13/2025

09/27/2028

$974,710,725

$5,388,807

$1,265,358

$6,654,165

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Adobe,

Inc.

9,716

4,954,188

(338,530)

(5.1)

Altria

Group,

Inc.

86,637

3,643,086

(179,857)

(2.7)

Archer-Daniels-Midland

Co.

64,511

4,865,420

(183,799)

(2.8)

Black

Hills

Corp.

68,121

3,446,241

(247,915)

(3.7)

Boston

Beer

Co.,

Inc.

(The)

9,314

3,628,082

84,351

1.3

Caesars

Entertainment,

Inc.

76,418

3,541,974

(433,987)

(6.5)

Citigroup,

Inc.

185,151

7,615,261

91,529

1.4

Citizens

Financial

Group,

Inc.

210,118

5,631,162

(102,018)

(1.5)

Concentrix

Corp.

48,885

3,916,177

350,759

5.3

Crown

Castle,

Inc.

41,886

3,854,769

(210,423)

(3.2)

Discover

Financial

Services

42,780

3,706,031

(70,940)

(1.1)

DocuSign,

Inc.

93,535

3,928,470

(199,378)

(3.0)

First

Horizon

Corp.

331,748

3,655,863

(209,311)

(3.1)

General

Motors

Co.

181,535

5,985,209

51,893

0.8

Healthpeak

Properties,

Inc.

199,672

3,665,978

(264,424)

(4.0)

Kraft

Heinz

Co.

(The)

137,679

4,631,522

(14,923)

(0.2)

Microsoft

Corp.

14,516

4,583,427

(265,017)

(4.0)

Molson

Coors

Beverage

Co.

123,410

7,847,642

(106,937)

(1.6)

PayPal

Holdings,

Inc.

70,681

4,132,011

(179,892)

(2.7)

Texas

Roadhouse,

Inc.

42,876

4,120,384

(158,987)

(2.4)

Travel

Leisure

Co.

103,713

3,809,378

(155,294)

(2.3)

TripAdvisor,

Inc.

335,875

5,568,808

378,052

5.7

United

Airlines

Holdings,

Inc.

85,615

3,621,514

(461,465)

(6.9)

Unum

Group

87,007

4,279,874

41,522

0.6

VeriSign,

Inc.

16,915

3,425,795

11,549

0.2

Western

Union

Co.

(The)

445,874

5,876,619

137,137

2.1

Short

Positions

Common

Stocks

United

States

Aflac,

Inc.

(55,700)

(4,274,975)

(62,526)

(0.9)

Ceridian

HCM

Holding,

Inc.

(57,795)

(3,921,391)

226,043

3.4

Choice

Hotels

International,

Inc.

(31,659)

(3,878,544)

179,823

2.7

Churchill

Downs,

Inc.

(61,306)

(7,113,948)

65,751

1.0

Constellation

Brands,

Inc.

(14,762)

(3,710,133)

115,271

1.7

GameStop

Corp.

(292,654)

(4,817,085)

190,818

2.9

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

United

States

(continued)

JPMorgan

Chase

Co.

(27,804)

(4,032,136)

(15,570)

(0.2)

Lamb

Weston

Holdings,

Inc.

(39,815)

(3,681,295)

181,864

2.7

Marriott

International,

Inc.

(25,906)

(5,092,083)

23,719

0.4

Morgan

Stanley

(43,034)

(3,514,587)

70,046

1.1

News

Corp.

(241,642)

(4,847,339)

180,641

2.7

Philip

Morris

International,

Inc.

(51,420)

(4,760,464)

96,838

1.5

Procter

Gamble

Co.

(The)

(24,519)

(3,576,341)

217,974

3.3

Progressive

Corp.

(The)

(35,401)

(4,931,359)

(72,218)

(1.1)

Prologis,

Inc.

(33,732)

(3,785,068)

238,893

3.6

ROBLOX

Corp.

(125,103)

(3,622,983)

(130,763)

(2.0)

Southern

Co.

(The)

(82,528)

(5,341,212)

295,501

4.4

Southwest

Gas

Holdings,

Inc.

(66,200)

(3,999,142)

80,165

1.2

Tesla,

Inc.

(15,463)

(3,869,152)

236,099

3.5

Tractor

Supply

Co.

(32,473)

(6,593,643)

395,825

5.9

Visa,

Inc.

(17,623)

(4,053,466)

228,063

3.4

Waste

Management,

Inc.

(23,997)

(3,658,103)

116,267

1.7

Wells

Fargo

Co.

(91,958)

(3,757,404)

43,894

0.7

Welltower,

Inc.

(54,436)

(4,459,397)

94,710

1.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

CDOR

plus

minus

specified

spread

(-0

.95%

0.20%),

which

denominated

CAD

based

the

local

currencies

the

positions

within

the

swap.

16-62

months

maturity

ranging

from

01/21/2025

09/27/2028

$108,814,392

$736,072

$38,596

$774,668

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

43,955

1,997,351

(140,079)

(18.1)

Air

Canada

313,202

4,468,879

(90,617)

(11.7)

ARC

Resources

Ltd.

94,920

1,515,086

14,676

1.9

Atco

Ltd.

73,569

1,863,261

(141,657)

(18.3)

Bank

Nova

Scotia

(The)

55,369

2,481,770

(169,615)

(21.9)

Bombardier,

Inc.

34,291

1,195,672

(39,810)

(5.1)

Canadian

Imperial

Bank

Commerce

64,041

2,472,056

(120,370)

(15.5)

Capital

Power

Corp.

36,052

1,006,510

(112,011)

(14.5)

Empire

Co.

Ltd.

73,829

2,008,453

(15,339)

(2.0)

Fairfax

Financial

Holdings

Ltd.

2,981

2,433,457

(71,364)

(9.2)

Finning

International,

Inc.

68,536

2,021,389

(115,936)

(15.0)

George

Weston

Ltd.

14,950

1,657,956

(49,901)

(6.4)

Financial

Corp.,

Inc.

17,832

1,118,562

(34,301)

(4.4)

Imperial

Oil

Ltd.

45,000

2,771,728

137,166

17.7

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Canada

(continued)

Magna

International,

Inc.

19,313

1,035,003

(44,079)

(5.7)

Manulife

Financial

Corp.

140,250

2,562,860

(120,897)

(15.6)

Northland

Power,

Inc.

74,039

1,205,774

(89,981)

(11.6)

Nutrien

Ltd.

44,088

2,722,696

(18,460)

(2.4)

Open

Text

Corp.

47,195

1,656,386

(138,854)

(17.9)

Parkland

Corp.

63,305

1,851,727

5,477

0.7

Pembina

Pipeline

Corp.

48,399

1,455,266

(18,157)

(2.3)

Suncor

Energy,

Inc.

84,735

2,914,023

796

0.1

TFI

International,

Inc.

8,907

1,143,926

(31,149)

(4.0)

West

Fraser

Timber

Co.

Ltd.

15,818

1,148,399

(2,562)

(0.3)

Whitecap

Resources,

Inc.

208,934

1,764,383

(28,678)

(3.7)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(33,313)

(1,351,896)

108,118

14.0

Canada

Algonquin

Power

Utilities

Corp.

(249,611)

(1,477,543)

287,526

37.1

Alimentation

Couche-Tard,

Inc.

(20,488)

(1,040,502)

35,459

4.6

Brookfield

Corp.

(83,892)

(2,623,150)

324,388

41.9

Cameco

Corp.

(57,890)

(2,296,847)

30,542

3.9

Canadian

Natural

Resources

Ltd.

(21,122)

(1,365,990)

(23,335)

(3.0)

Canadian

Pacific

Kansas

City

Ltd.

(39,198)

(2,913,624)

147,371

19.0

Dollarama,

Inc.

(25,573)

(1,761,915)

33,426

4.3

Element

Fleet

Management

Corp.

(105,448)

(1,513,110)

28,659

3.7

Emera,

Inc.

(27,358)

(955,138)

90,072

11.6

Enbridge,

Inc.

(54,047)

(1,792,614)

87,542

11.3

Fortis,

Inc.

(38,306)

(1,454,965)

122,881

15.9

Franco-Nevada

Corp.

(8,909)

(1,189,375)

72,065

9.3

GFL

Environmental,

Inc.

(34,364)

(1,091,198)

74,889

9.7

Hydro

One

Ltd.

(61,051)

(1,554,311)

93,266

12.0

Intact

Financial

Corp.

(10,850)

(1,581,827)

14,459

1.9

Metro,

Inc.

(22,888)

(1,188,676)

33,642

4.3

Global,

Inc.

(34,933)

(2,187,154)

61,458

7.9

Rogers

Communications,

Inc.

(52,835)

(2,028,599)

154,173

19.9

Royal

Bank

Canada

(24,219)

(2,116,544)

73,257

9.5

Thomson

Reuters

Corp.

(8,373)

(1,024,302)

59,303

7.7

TMX

Group

Ltd.

(50,538)

(1,086,107)

19,961

2.6

Tourmaline

Oil

Corp.

(20,812)

(1,047,304)

19,144

2.5

WSP

Global,

Inc.

(12,347)

(1,742,625)

15,403

2.0

United

States

Brookfield

Renewable

Corp.

(39,358)

(942,042)

148,924

19.2

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

ESTR

plus

minus

specified

spread

(-0.40%

0.23%),

which

denominated

EUR

based

the

local

currencies

the

positions

within

the

swap.

16-61

months

maturity

ranging

from

01/21/2025

09/27/2028

$134,306,627

$331,800

$(113,553)

$218,247

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

France-KLM

165,838

2,086,103

(37,639)

(17.2)

AXA

63,067

1,871,126

(66,858)

(30.6)

Bouygues

38,744

1,354,669

(9,907)

(4.5)

Cie

Saint-Gobain

30,473

1,823,821

(1,381)

(0.6)

Engie

358,063

5,491,316

(177,577)

(81.4)

Orange

108,493

1,244,444

(23,805)

(10.9)

Safran

9,831

1,540,608

(36,135)

(16.6)

SCOR

40,272

1,250,319

(47,884)

(21.9)

Sodexo

24,537

2,526,024

(105,766)

(48.5)

Teleperformance

10,260

1,288,208

(20,395)

(9.3)

Verallia

35,496

1,396,207

(66,052)

(30.3)

Vinci

11,268

1,246,591

(15,141)

(6.9)

Vivendi

203,422

1,781,594

21,315

9.8

Worldline

SA/France

53,955

1,514,586

(48,330)

(22.1)

Italy

A2A

SpA

632,623

1,124,361

(102,962)

(47.2)

Assicurazioni

Generali

SpA

142,195

2,902,542

(47,613)

(21.8)

Banco

BPM

SpA

1,040,035

4,953,176

68,811

31.5

Buzzi

SpA

85,749

2,343,280

39,751

18.2

Intesa

Sanpaolo

SpA

922,672

2,363,165

(18,260)

(8.4)

Leonardo

SpA

213,454

3,074,563

(30,320)

(13.9)

Pirelli

SpA

543,579

2,607,197

(88,582)

(40.6)

Poste

Italiane

SpA

227,430

2,388,315

(34,533)

(15.8)

Prysmian

SpA

36,288

1,456,538

(30,508)

(14.0)

UniCredit

SpA

178,546

4,254,107

116,123

53.2

Unipol

Gruppo

SpA

620,012

3,346,410

(55,671)

(25.5)

Singapore

STMicroelectronics

39,037

1,683,396

20,053

9.2

United

States

Stellantis

242,720

4,647,707

83,540

38.3

Tenaris

154,193

2,435,626

(38,148)

(17.5)

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Airbus

(14,383)

(1,925,143)

52,301

24.0

Alstom

(47,709)

(1,133,909)

64,553

29.6

Capgemini

(6,814)

(1,189,001)

194

0.1

Edenred

(17,237)

(1,078,278)

(2,536)

(1.2)

EssilorLuxottica

(11,574)

(2,013,246)

53,093

24.3

Hermes

International

SCA

(1,667)

(3,038,654)

121,416

55.6

L'Oreal

(3,455)

(1,431,794)

22,650

10.4

LVMH

Moet

Hennessy

Louis

Vuitton

(3,204)

(2,418,477)

51,650

23.7

Pernod

Ricard

(9,769)

(1,626,441)

65,602

30.1

Sartorius

Stedim

Biotech

(10,441)

(2,483,950)

160,276

73.4

Ubisoft

Entertainment

(36,728)

(1,190,238)

(113,075)

(51.8)

Italy

Davide

Campari-Milano

(158,502)

(1,865,938)

57,837

26.5

DiaSorin

SpA

(12,706)

(1,157,041)

64,863

29.7

Ferrari

(16,892)

(4,979,516)

(22,235)

(10.2)

FinecoBank

Banca

Fineco

SpA

(203,950)

(2,462,752)

53,605

24.6

Infrastrutture

Wireless

Italiane

SpA

(232,408)

(2,761,561)

95,424

43.7

Mediobanca

Banca

Credito

Finanziario

SpA

(112,064)

(1,477,463)

(39,016)

(17.9)

Moncler

SpA

(46,677)

(2,705,167)

147,134

67.4

Recordati

Industria

Chimica

Farmaceutica

SpA

(27,056)

(1,275,023)

67,408

30.9

Snam

SpA

(366,599)

(1,720,183)

82,979

38.0

Telecom

Italia

SpA

(4,775,964)

(1,489,461)

76,355

35.0

Luxembourg

Eurofins

Scientific

(52,306)

(2,947,817)

92,987

42.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SORA

plus

minus

specified

spread

(-0.75%

0.25%),

which

denominated

SGD

based

the

local

currencies

the

positions

within

the

swap.

16-61

months

maturity

ranging

from

01/21/2025

09/27/2028

$15,010,158

$(235,938)

$(198)

$(236,136)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

512,400

1,394,390

(13,422)

5.7

Yangzijiang

Shipbuilding

Holdings

Ltd.

988,400

1,198,130

(31,044)

13.1

Singapore

City

Developments

Ltd.

81,000

390,897

(10,844)

4.6

Genting

Singapore

Ltd.

1,615,400

997,249

(26,626)

11.3

Jardine

Cycle

Carriage

Ltd.

21,000

489,598

(823)

0.3

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Singapore

(continued)

Oversea-Chinese

Banking

Corp.

Ltd.

80,700

754,711

1,098

(0.5)

Singapore

Airlines

Ltd.

593,000

2,797,310

(128,313)

54.3

United

Overseas

Bank

Ltd.

36,800

766,474

(755)

0.3

Venture

Corp.

Ltd.

66,400

599,544

(31,909)

13.5

Short

Positions

Common

Stocks

Singapore

DBS

Group

Holdings

Ltd.

(66,500)

(1,633,217)

13,091

(5.5)

Keppel

Corp.

Ltd.

(77,500)

(384,852)

6,333

(2.7)

Seatrium

Ltd.

(9,734,100)

(951,806)

(3,924)

1.7

Singapore

Technologies

Engineering

Ltd.

(886,900)

(2,531,082)

(8,534)

3.6

Singapore

Telecommunications

Ltd.

(68,300)

(120,898)

(266)

0.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

OBFR

plus

minus

specified

spread

(-1.20%

0.20%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

16-62

months

maturity

ranging

from

01/22/2025

09/27/2028

$713,602,158

$2,159,960

$6,494,340

$8,654,300

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Co.

56,612

5,300,015

(305,329)

(3.5)

AGCO

Corp.

36,982

4,374,231

(110,380)

(1.3)

Allison

Transmission

Holdings,

Inc.

95,558

5,643,655

(96,732)

(1.1)

AT&T,

Inc.

313,185

4,704,039

(17,027)

(0.2)

Baker

Hughes

Co.

109,099

3,853,377

(92,636)

(1.1)

Builders

FirstSource,

Inc.

37,947

4,724,022

(128,237)

(1.5)

Cardinal

Health,

Inc.

51,747

4,492,675

(76,479)

(0.9)

Centene

Corp.

63,048

4,342,746

39,391

0.5

Cheniere

Energy,

Inc.

21,685

3,598,843

56,662

0.7

Cigna

Group

(The)

15,372

4,397,468

(13,588)

(0.2)

Cisco

Systems,

Inc.

167,856

9,023,939

(165,358)

(1.9)

Crocs,

Inc.

48,591

4,287,184

29,641

0.3

CVS

Health

Corp.

81,235

5,671,828

(75,058)

(0.9)

Dell

Technologies,

Inc.

61,748

4,254,437

(30,739)

(0.4)

EMCOR

Group,

Inc.

16,701

3,513,723

(70,562)

(0.8)

EnerSys

36,737

3,477,892

(86,024)

(1.0)

Gates

Industrial

Corp.

plc

441,819

5,129,519

(36,996)

(0.4)

Humana,

Inc.

14,304

6,959,182

32,858

0.4

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

United

States

(continued)

International

Paper

Co.

100,274

3,556,719

118,715

1.4

Home

126,768

5,866,823

(216,651)

(2.5)

Lockheed

Martin

Corp.

15,018

6,141,761

(205,328)

(2.4)

Marathon

Petroleum

Corp.

30,847

4,668,385

(131,974)

(1.5)

Owens

Corning

34,892

4,759,618

(27,058)

(0.3)

PulteGroup,

Inc.

52,287

3,871,852

(83,033)

(1.0)

Sensata

Technologies

Holding

plc

102,577

3,879,462

29,755

0.3

Skechers

USA,

Inc.

71,902

3,519,603

114,649

1.3

SYNNEX

Corp.

47,980

4,791,283

(44,272)

(0.5)

UFP

Industries,

Inc.

35,266

3,611,238

10,407

0.1

Valero

Energy

Corp.

45,194

6,404,442

(211,271)

(2.4)

Walmart,

Inc.

40,380

6,457,973

(140,926)

(1.6)

Short

Positions

Common

Stocks

United

States

agilon

health,

Inc.

(213,557)

(3,792,772)

168,526

1.9

Apple,

Inc.

(35,488)

(6,075,900)

229,810

2.7

BJ's

Wholesale

Club

Holdings,

Inc.

(77,310)

(5,517,615)

57,662

0.7

Carrier

Global

Corp.

(62,785)

(3,465,732)

(55,664)

(0.6)

CDW

Corp.

(19,830)

(4,000,901)

115,511

1.3

Celanese

Corp.

(44,338)

(5,565,306)

99,212

1.1

Chart

Industries,

Inc.

(33,782)

(5,713,212)

68,327

0.8

Eli

Lilly

Co.

(8,574)

(4,605,353)

288,116

3.3

HEICO

Corp.

(24,296)

(3,934,251)

109,036

1.3

NIKE,

Inc.

(62,838)

(6,008,570)

(71,973)

(0.8)

Plug

Power,

Inc.

(480,238)

(3,649,809)

189,029

2.2

Quanta

Services,

Inc.

(27,095)

(5,068,662)

221,218

2.6

Repligen

Corp.

(30,341)

(4,824,522)

90,556

1.0

Seagate

Technology

Holdings

plc

(51,954)

(3,426,366)

(88,486)

(1.0)

Stryker

Corp.

(13,825)

(3,777,958)

238,177

2.8

T-Mobile

US,

Inc.

(27,603)

(3,865,800)

13,211

0.2

Trex

Co.,

Inc.

(60,776)

(3,745,625)

212,802

2.5

Waters

Corp.

(13,139)

(3,602,845)

(20,067)

(0.2)

Watsco,

Inc.

(10,875)

(4,107,705)

(207,033)

(2.4)

Williams

Cos.,

Inc.

(The)

(102,660)

(3,458,615)

68,777

0.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SARON

plus

minus

specified

spread

(-0.28%

0.28%),

which

denominated

CHF

based

the

local

currencies

the

positions

within

the

swap.

24-76

months

maturity

05/14/2024

$42,847,342

$222,301

$889

$223,190

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

84,008

2,998,515

(32,876)

(14.7)

Adecco

Group

(Registered)

16,809

690,398

483

0.2

Barry

Callebaut

(Registered)

147,893

(342)

(0.2)

Clariant

(Registered)

50,374

794,229

(7,595)

(3.4)

DKSH

Holding

19,143

1,294,872

(63,447)

(28.4)

Galenica

10,701

790,544

(23,122)

(10.4)

Georg

Fischer

(Registered)

24,336

1,366,671

(41,087)

(18.4)

Helvetia

Holding

(Registered)

4,705

657,235

(36,680)

(16.4)

Novartis

(Registered)

43,980

4,491,618

70,315

31.5

Sonova

Holding

(Registered)

13,727

(143)

(0.1)

Swatch

Group

(The)

7,944

2,034,634

(73,409)

(32.9)

United

States

Holcim

34,243

2,191,857

9,373

4.2

Roche

Holding

7,230

1,973,798

(63,650)

(28.5)

Short

Positions

Common

Stocks

Switzerland

Bachem

Holding

(18,112)

(1,335,922)

46,197

20.7

Belimo

Holding

(Registered)

(1,367)

(648,771)

2,060

0.9

BKW

(1,600)

(281,667)

3,776

1.7

EMS-Chemie

Holding

(Registered)

(1,758)

(1,191,307)

47,465

21.3

Flughafen

Zurich

(Registered)

(909)

(173,070)

(3,654)

(1.6)

Geberit

(Registered)

(2,911)

(1,451,651)

(11,972)

(5.4)

Givaudan

(Registered)

(351)

(1,142,798)

(52,621)

(23.6)

Logitech

International

(Registered)

(210)

(14,448)

277

0.1

Lonza

Group

(Registered)

(1,763)

(815,471)

1,748

0.8

Partners

Group

Holding

(2,287)

(2,567,375)

4,828

2.2

SGS

(Registered)

(3,328)

(279,305)

16,283

7.3

SIG

Group

(162,603)

(4,005,790)

97,699

43.8

Sika

(Registered)

(8,647)

(2,190,812)

82,999

37.2

Straumann

Holding

(Registered)

(18,393)

(2,341,042)

208,881

93.6

Swiss

Life

Holding

(Registered)

(1,754)

(1,091,302)

553

0.2

Swisscom

(Registered)

(550)

(326,585)

2,808

1.3

Tecan

Group

(Registered)

(1,676)

(563,339)

21,480

9.6

VAT

Group

(6,291)

(2,244,902)

2,497

1.1

Zurich

Insurance

Group

(1,570)

(718,362)

12,823

5.7

United

States

Nestle

(Registered)

(154)

(17,432)

354

0.2

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

CIBOR

plus

minus

specified

spread

(-0.75%

0.30%),

which

denominated

DKK

based

the

local

currencies

the

positions

within

the

swap.

11-25

months

maturity

02/21/2024

$18,042,680

$171,011

$9,696

$180,707

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Moller

Maersk

A/S

921

1,656,782

32,014

17.7

Carlsberg

A/S

9,957

1,255,428

(78,956)

(43.7)

Genmab

A/S

3,469

1,228,202

(51,814)

(28.7)

ISS

A/S

132,058

2,028,613

(38,991)

(21.6)

Pandora

A/S

29,919

3,087,381

(40,893)

(22.6)

ROCKWOOL

A/S

2,298

555,394

19,695

10.9

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(39,339)

(410,038)

17,566

9.7

Coloplast

A/S

(4,992)

(528,239)

18,908

10.5

DSV

A/S

(5,117)

(953,506)

2,879

1.6

Store

Nord

A/S

(20,502)

(368,610)

18,212

10.1

Novozymes

A/S

(63,894)

(2,570,768)

114,711

63.5

Orsted

A/S

(13,388)

(728,350)

44,438

24.6

Royal

Unibrew

A/S

(6,013)

(464,387)

21,975

12.2

Tryg

A/S

(63,442)

(1,160,949)

55,379

30.6

Vestas

Wind

Systems

A/S

(48,894)

(1,046,033)

35,888

19.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

ESTR

plus

minus

specified

spread

(-1.00%

0.28%),

which

denominated

EUR

based

the

local

currencies

the

positions

within

the

swap.

7-73

months

maturity

12/18/2023

$105,597,203

$1,297,092

$(28,875)

$1,268,217

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

21,949

904,001

(23,294)

(1.8)

Proximus

SADP

249,734

2,029,157

14,070

1.1

Solvay

8,318

919,217

(40,671)

(3.2)

Finland

Nokia

OYJ

349,470

1,314,034

(45,458)

(3.6)

Germany

Bayerische

Motoren

Werke

21,779

2,212,032

(16,410)

(1.3)

Deutsche

Bank

(Registered)

193,069

2,121,881

69,637

5.5

Deutsche

Lufthansa

(Registered)

224,377

1,775,586

(120,297)

(9.5)

Freenet

34,851

815,808

(11,022)

(0.9)

GEA

Group

47,233

1,740,743

(58,490)

(4.6)

HOCHTIEF

11,384

1,147,891

(28,000)

(2.2)

Mercedes-Benz

Group

11,044

768,627

(7,145)

(0.6)

Siemens

(Registered)

11,744

1,678,320

(24,954)

(2.0)

TeamViewer

86,183

1,448,524

(1,602)

(0.1)

thyssenkrupp

383,619

2,916,394

59,480

4.7

Luxembourg

ArcelorMittal

30,918

774,065

(2,603)

(0.2)

Netherlands

ASR

Nederland

20,820

779,025

(121,924)

(9.6)

Koninklijke

Ahold

Delhaize

74,710

2,251,736

(54,688)

(4.3)

OCI

32,166

894,443

22,831

1.8

Spain

Acerinox

178,819

1,727,966

15,115

1.2

ACS

Actividades

Construccion

Servicios

28,847

1,037,041

11,681

0.9

Banco

Sabadell

2,580,187

2,984,946

176,571

13.9

Banco

Santander

442,106

1,683,570

73,086

5.8

Mapfre

807,652

1,643,474

(36,128)

(2.8)

Redeia

Corp.

52,847

831,354

(26,009)

(2.1)

Repsol

379,349

6,239,917

69,506

5.5

United

States

Signify

66,374

1,780,996

12,613

1.0

Short

Positions

Common

Stocks

Belgium

D'ieteren

Group

(7,467)

(1,258,889)

281

0.0

UCB

(13,996)

(1,146,403)

80,291

6.3

Finland

Neste

OYJ

(35,524)

(1,203,149)

148,179

11.7

Germany

adidas

(21,205)

(3,719,541)

82,719

6.5

Covestro

(26,168)

(1,407,183)

32,562

2.6

Deutsche

Telekom

(Registered)

(55,947)

(1,173,589)

46,379

3.7

Fraport

Frankfurt

Airport

Services

Worldwide

(30,178)

(1,595,422)

6,881

0.5

Merck

KGaA

(6,184)

(1,030,918)

20,398

1.6

Nemetschek

(19,509)

(1,187,290)

14,375

1.1

Rheinmetall

(5,629)

(1,448,069)

129,015

10.2

Siemens

Healthineers

(43,345)

(2,192,471)

(117,906)

(9.3)

Symrise

(18,201)

(1,732,715)

4,929

0.4

100

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

(Continued)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Netherlands

Adyen

(2,518)

(1,866,931)

(72,372)

(5.7)

Argenx

(2,263)

(1,106,217)

61,830

4.9

ASM

International

(5,949)

(2,484,259)

(54,280)

(4.3)

Koninklijke

KPN

(275,979)

(909,259)

32,311

2.5

Universal

Music

Group

(42,178)

(1,100,685)

(30,014)

(2.4)

South

Korea

Delivery

Hero

(47,855)

(1,366,428)

173,928

13.7

Spain

Acciona

(8,062)

(1,026,736)

52,346

4.1

CaixaBank

(411,430)

(1,639,135)

(93,200)

(7.3)

Cellnex

Telecom

(146,394)

(5,091,876)

464,548

36.6

Grifols

(102,494)

(1,327,492)

85,546

6.7

United

States

Ferrovial

(60,224)

(1,840,265)

88,992

7.0

Preferred

Stocks

Germany

Sartorius

(Preference)

(7,717)

(2,613,701)

139,077

11.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

STIBOR

plus

minus

specified

spread

(-0.30%

0.30%),

which

denominated

SEK

based

the

local

currencies

the

positions

within

the

swap.

14-25

months

maturity

02/21/2024

$28,934,470

$24,813

$17,951

$42,764

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

9,820

107,664

(930)

(2.2)

Guatemala

Millicom

International

Cellular

68,218

1,057,501

(36,429)

(85.2)

Sweden

Assa

Abloy

6,856

148,971

(1,445)

(3.4)

Billerud

Aktiebolag

157,570

1,458,538

203,810

476.6

Elekta

157,519

1,069,762

(27,986)

(65.4)

Essity

18,793

405,313

(11,638)

(27.2)

Getinge

27,437

482,133

(25,143)

(58.8)

Hennes

Mauritz

109,572

1,553,754

(38,446)

(89.9)

Saab

22,115

1,125,555

(124,562)

(291.3)

Skanska

83,693

1,374,285

11,517

26.9

SKF

11,555

191,831

(4,832)

(11.3)

SSAB

97,923

537,202

19,872

46.5

101

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

AQR

LONG-SHORT

EQUITY

FUND

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Sweden

(continued)

Svenska

Handelsbanken

144,490

1,285,657

29,021

67.9

Telefonaktiebolaget

Ericsson

68,205

332,278

(20,809)

(48.7)

Trelleborg

11,256

279,665

(11,070)

(25.9)

Volvo

44,515

916,904

(21,633)

(50.6)

Volvo

Car

74,985

303,302

24,790

58.0

United

States

Sinch

181,839

317,222

(6,493)

(15.2)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

(22,544)

(772,310)

(4,924)

(11.5)

Atlas

Copco

(89,792)

(1,205,968)

16,128

37.7

Beijer

Ref

(116,281)

(1,223,422)

63,321

148.1

Epiroc

(82,681)

(1,569,886)

57,164

133.7

EQT

(183,545)

(3,616,385)

(177,504)

(415.1)

Hexagon

(45,754)

(389,400)

12,712

29.7

Holmen

(30,668)

(1,192,073)

2,024

4.7

Husqvarna

(60,828)

(464,188)

16,287

38.1

Indutrade

(65,362)

(1,207,161)

64,118

149.9

Lifco

(37,760)

(660,548)

23,936

56.0

Nibe

Industrier

(122,125)

(798,422)

22,038

51.5

Securitas

(95,285)

(753,430)

(11,073)

(25.9)

Skandinaviska

Enskilda

Banken

(14,790)

(176,324)

(1,831)

(4.3)

Svenska

Cellulosa

SCA

(99,976)

(1,368,883)

(9,552)

(22.3)

Tele2

(26,569)

(203,186)

(7,230)

(16.9)

Telia

Co.

(186,817)

(385,347)

1,605

3.8

102

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

COMMON

STOCKS

9.6%

Banks

5.8%

ABN

AMRO

Bank

NV,

CVA

(Netherlands)

(a)

10,059

142,159

Banco

Bilbao

Vizcaya

Argentaria

(Spain)

44,089

356,809

Banco

Santander

(Spain)

106,908

407,113

Barclays

plc

(United

Kingdom)

139,041

267,992

BNP

Paribas

(France)

6,806

432,768

CaixaBank

(Spain)

56,069

223,378

Commerzbank

(Germany)

16,378

185,880

Credit

Agricole

(France)

17,694

217,544

DNB

Bank

ASA

(Norway)

7,870

158,122

FinecoBank

Banca

Fineco

SpA

(Italy)

11,403

137,694

HSBC

Holdings

plc

(United

Kingdom)

107,526

841,433

ING

Groep

(Netherlands)

26,262

346,135

Intesa

Sanpaolo

SpA

(Italy)

119,981

307,298

KBC

Group

(Belgium)

3,078

191,626

Lloyds

Banking

Group

plc

(United

Kingdom)

529,751

284,685

Mediobanca

Banca

Credito

Finanziario

SpA

(Italy)

16,044

211,526

NatWest

Group

plc

(United

Kingdom)

63,998

183,070

Nordea

Bank

Abp

(Finland)

27,051

296,580

Skandinaviska

Enskilda

Banken

AB,

Class

(Sweden)

21,080

251,313

Societe

Generale

(France)

8,889

215,093

Standard

Chartered

plc

(United

Kingdom)

28,075

258,221

Svenska

Handelsbanken

AB,

Class

(Sweden)

22,778

202,676

Swedbank

AB,

Class

(Sweden)

12,044

221,386

UniCredit

SpA

(Italy)

14,605

347,984

6,688,485

Oil,

Gas

Consumable

Fuels

3.8%

Antero

Resources

Corp.

(1)*

2,321

58,907

APA

Corp.

(1)

2,126

87,378

Cheniere

Energy,

Inc.

(1)

775

128,619

Chesapeake

Energy

Corp.

(1)

838

72,261

Chevron

Corp.

(1)

3,384

570,610

ConocoPhillips

(1)

2,197

263,201

Coterra

Energy,

Inc.

(1)

3,055

82,638

Devon

Energy

Corp.

(1)

1,856

88,531

Diamondback

Energy,

Inc.

(1)

741

114,766

Midstream,

Inc.

(1)

1,365

72,236

EOG

Resources,

Inc.

(1)

1,245

157,816

EQT

Corp.

(1)

2,229

90,453

Exxon

Mobil

Corp.

(1)

5,932

697,484

Hess

Corp.

(1)

913

139,689

Sinclair

Corp.

(1)

1,475

83,972

Kinder

Morgan,

Inc.

(1)

6,263

103,840

Marathon

Oil

Corp.

(1)

3,613

96,648

Marathon

Petroleum

Corp.

(1)

1,436

217,324

New

Fortress

Energy,

Inc.

(1)

1,553

50,907

INVESTMENTS

VALUE

($)

Oil,

Gas

Consumable

Fuels

3.8%

(continued)

Occidental

Petroleum

Corp.

(1)

1,991

129,176

ONEOK,

Inc.

(1)

1,720

109,100

Ovintiv,

Inc.

(1)

1,770

84,199

Phillips

(1)

1,365

164,005

Pioneer

Natural

Resources

Co.

(1)

542

124,416

Range

Resources

Corp.

(1)

2,702

87,572

Southwestern

Energy

Co.

(1)*

11,217

72,350

Targa

Resources

Corp.

(1)

1,393

119,408

Valero

Energy

Corp.

(1)

1,075

152,338

Williams

Cos.,

Inc.

(The)

(1)

3,452

116,298

4,336,142

TOTAL

COMMON

STOCKS

(Cost

$10,345,057)

11,024,627

SHORT-TERM

INVESTMENTS

68.7%

INVESTMENT

COMPANIES

52.8%

Goldman

Sachs

Financial

Square

Funds

Treasury

Instruments

Fund,

Institutional

Shares,

5.24%

(1)(b)(c)

1,740,278

Limited

Purpose

Cash

Investment

Fund,

5.36%

(1)(b)

58,947,287

58,929,602

TOTAL

INVESTMENT

COMPANIES

(Cost

$60,654,650)

60,669,880

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

15.9%

U.S.

Treasury

Bills

4.80%,

10/5/2023

(d)

1,468,000

1,467,355

4.99%,

10/19/2023

(d)

969,000

966,579

4.96%,

10/26/2023

(d)

234,000

233,176

5.02%,

11/2/2023

(d)

770,000

766,492

5.01%,

11/9/2023

(d)

807,000

802,490

5.44%,

11/30/2023

(d)

476,000

471,842

5.36%,

12/28/2023

(d)

748,000

738,383

5.40%,

1/4/2024

(d)(e)

4,061,000

4,004,747

5.41%,

1/11/2024

(d)(e)

4,217,000

4,154,266

5.39%,

1/18/2024

(d)

606,000

596,356

5.41%,

1/25/2024

(d)

418,000

410,906

5.41%,

2/1/2024

(d)

160,000

157,125

5.41%,

2/8/2024

(d)

139,000

136,359

5.50%,

2/29/2024

(d)(e)

239,000

233,713

5.45%,

3/14/2024

(d)

909,000

887,017

5.45%,

3/21/2024

(d)(e)

2,283,000

2,225,298

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$18,251,883)

18,252,104

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$78,906,533)

78,921,984

TOTAL

INVESTMENTS

SECURITIES

VALUE

78.3%

(Cost

$89,251,590)

89,946,611

OTHER

ASSETS

EXCESS

LIABILITIES

21.7%

‡

24,890,843

NET

ASSETS

100.0%

114,837,454

103

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

SECTOR

VALUE

NET

ASSETS

Energy

4,336,142

3.8

Financials

6,688,485

5.8

Investment

Companies

60,669,880

52.8

U.S.

Treasury

Obligations

18,252,104

15.9

Total

Investments

Securities

Value

89,946,611

78.3

Other

Assets

Excess

Liabilities

‡

24,890,843

21.7

Net

Assets

114,837,454

100.0%

Non-income

producing

security.

‡

Includes

appreciation/(depreciation)

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

Securities

exempt

from

registration

under

Rule

144A

section

4(2),

the

Securities

Act

1933.

Under

procedures

approved

the

Board

Trustees,

such

securities

have

been

determined

liquid

the

investment

adviser

and

may

resold,

normally

qualified

institutional

buyers

transactions

exempt

from

registration.

Total

value

all

such

securities

September

30,

2023

amounted

$142,159,

which

represents

0.12%

net

assets

the

Fund.

(b)

Represents

7-day

effective

yield

September

30,

2023.

(c)

All

portion

the

security

pledged

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(d)

The

rate

shown

was

the

effective

yield

the

date

purchase.

(e)

All

portion

the

security

pledged

collateral

for

swap

contracts.

All

securities

are

Level

with

respect

ASC

820,

unless

otherwise

noted

parentheses.

(1)

Level

security.

Credit

default

swap

contracts

outstanding

buy

protection

September

30,

2023:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Main

Index

Series

40.V1

1.00

Quarterly

12/20/2028

0.79

EUR

24,420,000

(276,837)

18,017

(258,820)

Markit

CDX

North

America

Investment

Grade

Index

Series

41.V1

1.00

Quarterly

12/20/2028

0.74

USD

6,608,000

(86,861)

5,705

(81,156)

(363,698)

23,722

(339,976)

Credit

default

swap

contracts

outstanding

sell

protection

September

30,

2023

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

40.V1

5.00

Quarterly

12/20/2028

4.26

EUR

13,466,000

473,012

(25,591)

447,421

Markit

CDX

North

America

High

Yield

Index

Series

41.V1

5.00

Quarterly

12/20/2028

4.79

USD

2,237,000

12,850

7,975

20,825

485,862

(17,616)

468,246

Markit

CDX

North

America

Emerging

Markets

Index

Series

40.V1

1.00

Quarterly

12/20/2028

2.26

USD

796,000

(40,839)

(2,539)

(43,378)

(40,839)

(2,539)

(43,378)

445,023

(20,155)

424,868

104

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

Forward

effective

interest

rate

swap

contracts

outstanding

September

30,

2023:

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

SARON

Annual

2.00%

Annual

12/22/2025

CHF

6,900,000

27,047

20,388

47,435

Pay

SARON

Annual

2.00%

Annual

3/20/2026

CHF

27,000,000

147,439

48,214

195,653

Pay

SARON

Annual

2.00%

Annual

12/20/2028

CHF

25,600,000

292,030

143,124

435,154

Pay

SARON

Annual

2.00%

Annual

3/20/2029

CHF

7,800,000

91,011

40,922

131,933

Pay

SONIA

Annual

4.75%

Annual

3/20/2029

GBP

300,000

6,871

(2,359)

4,512

Pay

TONAR

Annual

1.50%

Annual

3/22/2044

JPY

1,550,000,000

172,856

(122,254)

50,602

Pay

CD_KSDA

Qtrly

4.00%

Qtrly

3/18/2026

KRW

2,200,000,000

3,943

958

4,901

Pay

STIBOR

Qtrly

3.50%

Annual

3/21/2029

SEK

7,000,000

2,369

(1,514)

855

Pay

STIBOR

Qtrly

3.50%

Annual

3/15/2034

SEK

36,000,000

75,555

(49,363)

26,192

Pay

BBR

Semi

4.50%

Semi

12/07/2028

AUD

7,400,000

25,102

(20,976)

4,126

Pay

NIBOR

Semi

4.50%

Annual

12/20/2028

NOK

21,000,000

8,223

3,431

11,654

Pay

NIBOR

Semi

4.50%

Annual

3/21/2029

NOK

3,000,000

1,550

877

2,427

Receive

CORRA

Semi

3.50%

Semi

12/18/2028

CAD

17,500,000

42,708

389,356

432,064

Receive

CORRA

Semi

4.00%

Semi

12/18/2028

CAD

18,100,000

30,524

124,538

155,062

Receive

CORRA

Semi

4.00%

Semi

3/19/2029

CAD

12,100,000

(59,297)

132,089

72,792

Receive

CORRA

Semi

4.00%

Semi

3/20/2034

CAD

7,400,000

18,868

23,441

42,309

Receive

CORRA

Semi

3.50%

Semi

3/20/2034

CAD

7,200,000

110,756

139,357

250,113

Receive

SARON

Annual

1.50%

Annual

3/20/2034

CHF

2,900,000

80,030

8,659

88,689

Receive

SOFR

Annual

4.19%

Annual

12/22/2025

USD

155,100,000

757,258

1,058,887

1,816,145

Receive

SOFR

Annual

3.50%

Annual

3/20/2026

USD

107,200,000

2,049,253

162,174

2,211,427

Receive

SOFR

Annual

3.14%

Annual

12/22/2053

USD

6,600,000

531,140

419,691

950,831

Receive

SOFR

Annual

3.00%

Annual

3/20/2054

USD

3,100,000

441,618

54,183

495,801

Receive

SONIA

Annual

4.25%

Annual

3/20/2029

GBP

8,000,000

86,338

(27)

86,311

Receive

SONIA

Annual

3.62%

Annual

12/20/2033

GBP

4,600,000

254,429

55,188

309,617

Receive

SONIA

Annual

4.00%

Annual

3/20/2034

GBP

18,400,000

405,277

95,867

501,144

Receive

TONAR

Annual

0.00%

Annual

12/22/2025

JPY

13,977,800,000

340,499

166,597

507,096

Receive

TONAR

Annual

0.00%

Annual

3/23/2026

JPY

10,000,000

491

(35)

456

Receive

TONAR

Annual

1.00%

Annual

3/21/2034

JPY

6,189,500,000

(6,035)

123,841

117,806

Receive

TIIE

Monthly

9.00%

Monthly

3/18/2026

MXN

98,000,000

46,065

52,215

98,280

Receive

BBR

Qtrly

5.00%

Semi

12/10/2025

NZD

4,200,000

(1,018)

31,744

30,726

Receive

BBR

Qtrly

4.00%

Qtrly

12/11/2025

AUD

7,400,000

24,990

1,998

26,988

Receive

BBR

Qtrly

5.50%

Semi

3/11/2026

NZD

200,000

–

Receive

BBR

Qtrly

5.00%

Semi

3/14/2029

NZD

100,000

(823)

1,182

359

Receive

BBR

Qtrly

4.50%

Semi

12/14/2033

NZD

400,000

8,780

3,585

12,365

Receive

STIBOR

Qtrly

3.50%

Annual

12/17/2025

SEK

86,000,000

4,809

58,354

63,163

Receive

STIBOR

Qtrly

3.50%

Annual

3/18/2026

SEK

308,600,000

139,589

24,338

163,927

Receive

STIBOR

Qtrly

3.00%

Annual

12/20/2028

SEK

2,000,000

(114)

4,449

4,335

Receive

STIBOR

Qtrly

3.00%

Annual

12/21/2033

SEK

10,700,000

37,220

759

37,979

Receive

BBR

Semi

4.50%

Semi

12/10/2043

AUD

1,800,000

7,507

48,179

55,686

Receive

BBR

Semi

4.50%

Semi

3/10/2044

AUD

700,000

5,011

16,589

21,600

Receive

BUBOR

Semi

8.00%

Annual

12/17/2025

HUF

510,000,000

4,108

7,145

11,253

Receive

BUBOR

Semi

7.00%

Annual

3/18/2026

HUF

3,228,100,000

49,817

56,978

106,795

Receive

EURIBOR

Semi

3.55%

Annual

12/22/2025

EUR

271,200,000

(515,942)

1,227,987

712,045

Receive

EURIBOR

Semi

3.25%

Annual

3/20/2026

EUR

194,200,000

808,243

336,850

1,145,093

Receive

EURIBOR

Semi

2.60%

Annual

12/22/2053

EUR

1,200,000

83,652

28,601

112,253

Receive

EURIBOR

Semi

2.50%

Annual

3/20/2054

EUR

13,000,000

1,148,867

267,307

1,416,174

Receive

NIBOR

Semi

4.00%

Annual

12/17/2025

NOK

36,600,000

20,576

28,690

49,266

Receive

NIBOR

Semi

4.50%

Annual

12/17/2025

NOK

68,000,000

36,660

(3,895)

32,765

Receive

NIBOR

Semi

4.50%

Annual

3/18/2026

NOK

305,500,000

91,398

(9,813)

81,585

Receive

NIBOR

Semi

3.50%

Annual

12/21/2033

NOK

8,000,000

10,142

31,171

41,313

Receive

PRIBOR

Semi

5.00%

Annual

12/17/2025

CZK

14,800,000

(5,678)

5,834

156

Receive

PRIBOR

Semi

4.50%

Annual

12/17/2025

CZK

169,000,000

14,907

55,448

70,355

Receive

PRIBOR

Semi

4.50%

Annual

3/18/2026

CZK

71,000,000

14,533

5,670

20,203

105

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

WIBOR

Semi

4.00%

Annual

3/18/2026

PLN

7,100,000

4,365

(123)

4,242

7,975,538

5,296,496

13,272,034

Pay

CORRA

Semi

4.00%

Semi

12/18/2025

CAD

19,000,000

(76,138)

(161,567)

(237,705)

Pay

CORRA

Semi

4.50%

Semi

12/18/2025

CAD

43,000,000

(192,398)

(51,103)

(243,501)

Pay

CORRA

Semi

4.50%

Semi

3/18/2026

CAD

90,400,000

(246,470)

(108,273)

(354,743)

Pay

CORRA

Semi

3.50%

Semi

12/19/2033

CAD

3,500,000

(69,750)

(59,874)

(129,624)

Pay

SARON

Annual

1.50%

Annual

12/22/2025

CHF

38,600,000

(282,061)

131,751

(150,310)

Pay

SARON

Annual

1.50%

Annual

3/20/2026

CHF

59,200,000

(277,633)

74,375

(203,258)

Pay

SARON

Annual

1.50%

Annual

12/20/2028

CHF

100,000

(1,221)

295

(926)

Pay

SARON

Annual

1.50%

Annual

3/20/2029

CHF

4,200,000

(43,858)

–

(43,858)

Pay

SOFR

Annual

3.63%

Annual

12/20/2028

USD

13,900,000

(305,490)

(118,584)

(424,074)

Pay

SOFR

Annual

3.25%

Annual

3/20/2029

USD

15,400,000

(507,301)

(158,572)

(665,873)

Pay

SOFR

Annual

3.48%

Annual

12/20/2033

USD

42,600,000

(1,609,646)

(1,005,379)

(2,615,025)

Pay

SOFR

Annual

3.25%

Annual

3/20/2034

USD

22,600,000

(1,569,321)

(116,522)

(1,685,843)

Pay

SONIA

Annual

4.25%

Annual

12/22/2025

GBP

9,100,000

(408,865)

241,645

(167,220)

Pay

SONIA

Annual

4.75%

Annual

3/20/2026

GBP

74,600,000

(993,668)

688,180

(305,488)

Pay

SONIA

Annual

3.82%

Annual

12/20/2028

GBP

4,200,000

(163,977)

4,801

(159,176)

Pay

SONIA

Annual

4.25%

Annual

3/20/2034

GBP

600,000

2,127

(5,246)

(3,119)

Pay

SONIA

Annual

3.45%

Annual

12/22/2053

GBP

1,100,000

(131,767)

(35,470)

(167,237)

Pay

SONIA

Annual

3.75%

Annual

3/20/2054

GBP

5,700,000

(269,350)

(228,897)

(498,247)

Pay

SONIA

Annual

4.00%

Annual

3/20/2054

GBP

1,600,000

6,790

(65,099)

(58,309)

Pay

TONAR

Annual

0.50%

Annual

12/20/2028

JPY

6,731,600,000

(37,224)

(169,364)

(206,588)

Pay

TONAR

Annual

0.50%

Annual

3/21/2029

JPY

8,162,100,000

(350,791)

(56,959)

(407,750)

Pay

TONAR

Annual

0.50%

Annual

12/20/2033

JPY

152,000,000

(39,746)

(7,497)

(47,243)

Pay

TONAR

Annual

1.00%

Annual

12/21/2043

JPY

1,000,000,000

(439,714)

(89,344)

(529,058)

Pay

TIIE

Monthly

8.50%

Monthly

12/17/2025

MXN

35,500,000

(10,437)

(56,247)

(66,684)

Pay

TIIE

Monthly

9.00%

Monthly

12/17/2025

MXN

38,000,000

(8,076)

(44,110)

(52,186)

Pay

TIIE

Monthly

9.50%

Monthly

3/18/2026

MXN

46,000,000

(3,716)

(19,577)

(23,293)

Pay

BBR

Qtrly

5.50%

Semi

12/10/2025

NZD

22,700,000

62,861

(103,837)

(40,976)

Pay

BBR

Qtrly

3.50%

Qtrly

12/11/2025

AUD

8,200,000

(22,046)

(58,006)

(80,052)

Pay

BBR

Qtrly

4.00%

Qtrly

3/12/2026

AUD

3,900,000

(12,080)

(974)

(13,054)

Pay

BBR

Qtrly

4.50%

Semi

12/13/2028

NZD

500,000

(6,204)

(2,686)

(8,890)

Pay

BBR

Qtrly

5.00%

Semi

3/15/2034

NZD

2,100,000

23,656

(38,284)

(14,628)

Pay

CD_KSDA

Qtrly

3.50%

Qtrly

12/17/2025

KRW

8,599,300,000

(5,877)

(38,932)

(44,809)

Pay

CD_KSDA

Qtrly

3.50%

Qtrly

3/18/2026

KRW

24,036,600,000

(84,707)

(30,421)

(115,128)

Pay

HIBOR

Qtrly

4.50%

Qtrly

12/17/2025

HKD

6,800,000

(2,814)

(2,813)

Pay

HIBOR

Qtrly

4.50%

Qtrly

3/18/2026

HKD

55,900,000

20,446

(26,099)

(5,653)

Pay

JIBAR

Qtrly

8.00%

Qtrly

12/17/2025

ZAR

19,000,000

(5,693)

(2,939)

(8,632)

Pay

JIBAR

Qtrly

8.00%

Qtrly

3/18/2026

ZAR

37,000,000

(278)

(16,014)

(16,292)

Pay

STIBOR

Qtrly

3.50%

Annual

12/20/2028

SEK

33,000,000

15,491

(19,295)

(3,804)

Pay

STIBOR

Qtrly

3.00%

Annual

3/15/2034

SEK

31,700,000

(57,029)

(39,539)

(96,568)

Pay

BBR

Semi

4.00%

Semi

12/07/2028

AUD

7,000,000

(44,594)

(51,322)

(95,916)

Pay

BBR

Semi

4.50%

Semi

12/08/2033

AUD

11,400,000

(79,858)

(78,203)

(158,061)

Pay

BBR

Semi

4.00%

Semi

12/08/2033

AUD

2,500,000

(50,566)

(48,327)

(98,893)

Pay

BBR

Semi

4.50%

Semi

3/09/2034

AUD

1,000,000

(1,712)

(13,035)

(14,747)

Pay

EURIBOR

Semi

3.19%

Annual

12/20/2028

EUR

8,900,000

(33,275)

(42,040)

(75,315)

Pay

EURIBOR

Semi

3.00%

Annual

3/20/2029

EUR

87,700,000

(1,069,257)

(218,974)

(1,288,231)

Pay

EURIBOR

Semi

3.13%

Annual

12/20/2033

EUR

56,600,000

(160,266)

(1,052,538)

(1,212,804)

Pay

EURIBOR

Semi

3.00%

Annual

3/20/2034

EUR

16,900,000

(303,966)

(218,074)

(522,040)

Pay

NIBOR

Semi

3.50%

Annual

12/20/2028

NOK

10,500,000

(11,011)

(26,300)

(37,311)

Pay

NIBOR

Semi

4.00%

Annual

3/21/2029

NOK

15,100,000

(14,672)

(3,869)

(18,541)

Pay

NIBOR

Semi

4.00%

Annual

12/21/2033

NOK

5,000,000

(4,000)

(2,933)

(6,933)

Pay

NIBOR

Semi

4.00%

Annual

3/15/2034

NOK

60,500,000

11,680

(77,969)

(66,289)

Receive

SARON

Annual

2.00%

Annual

12/20/2033

CHF

21,000,000

(322,060)

(103,623)

(425,683)

Receive

SARON

Annual

2.00%

Annual

3/20/2034

CHF

14,300,000

(278,796)

4,351

(274,445)

Receive

SONIA

Annual

5.25%

Annual

3/20/2026

GBP

14,200,000

(136,257)

32,279

(103,978)

Receive

TONAR

Annual

0.50%

Annual

3/23/2026

JPY

4,190,200,000

(88,175)

229

(87,946)

106

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

TONAR

Annual

1.00%

Annual

12/20/2033

JPY

2,920,000,000

(224,363)

193,966

(30,397)

Receive

BBR

Qtrly

4.50%

Qtrly

12/11/2025

AUD

43,900,000

(149,742)

41,382

(108,360)

Receive

STIBOR

Qtrly

4.00%

Annual

12/17/2025

SEK

227,000,000

(38,715)

9,016

(29,699)

Receive

STIBOR

Qtrly

4.00%

Annual

3/18/2026

SEK

355,000,000

(123,226)

7,447

(115,779)

Receive

BUBOR

Semi

9.50%

Annual

12/17/2025

HUF

398,000,000

(6,667)

(12,719)

(19,386)

Receive

NIBOR

Semi

5.00%

Annual

12/17/2025

NOK

148,000,000

(50,890)

(5,703)

(56,593)

Receive

NIBOR

Semi

5.00%

Annual

3/18/2026

NOK

117,000,000

(69,283)

271

(69,012)

Receive

WIBOR

Semi

4.50%

Annual

3/18/2026

PLN

27,800,000

(82,898)

36,063

(46,835)

(11,433,729)

(3,427,102)

(14,860,831)

(3,458,191)

1,869,394

(1,588,797)

Abbreviations:

1D:

Day

1M:

Month

3M:

Month

6M:

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

September

30,

2023

were

follows:

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

5.02%

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.31%

Day

Sterling

Overnight

Index

Average

(''SONIA''):

5.19%

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.71%

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.06%

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.50%

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.14%

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

5.27%

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

8.33%

Month

Korean

Certificate

Deposit

(''CD_KSDA''):

3.83%

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

4.06%

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.40%

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

11.99%

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

4.13%

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

5.03%

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

7.02%

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

5.53%

107

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

Total

return

swap

contracts

outstanding

September

30,

2023

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Amsterdam

Exchange

Index

October

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

termination

GSIN

10/20/2023

EUR

(2,336,800)

28,998

DTOP

Index

December

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

termination

MLIN

12/21/2023

ZAR

(247,620)

353

HSCEI

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

GSIN

10/30/2023

HKD

3,708,600

4,530

HSCEI

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MLIN

10/30/2023

HKD

19,470,150

23,143

Swiss

Market

Index

December

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

Monthly

MLIN

12/15/2023

CHF

(3,520,640)

9,873

MSCI

Canada

Net

Return

Index

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

and

receives

the

CORRA

plus

minus

specified

spread

(-0.40%)

Monthly

GSIN

12/20/2023

CAD

(192,406)

6,243

MSCI

Emerging

Markets

Thailand

Net

Total

Return

Index

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

and

receives

the

OBFR

plus

minus

specified

spread

(-0.20%)

Monthly

GSIN

12/20/2023

USD

(1,250,885)

73,574

MSCI

France

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

ESTR

plus

minus

specified

spread

(0.23%)

Increases

total

return

reference

entity

Monthly

GSIN

12/20/2023

EUR

374,275

3,061

MSCI

Netherlands

Net

Return

Index

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

and

receives

the

ESTR

plus

minus

specified

spread

(-0.11%)

Monthly

GSIN

12/20/2023

EUR

(473,832)

10,718

MSCI

South

Africa

Net

Return

Index

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

and

receives

the

JIBAR

plus

minus

specified

spread

(-0.64%)

Monthly

GSIN

12/20/2023

ZAR

(12,182,320)

18,224

108

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Sweden

Net

Return

Index

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

and

receives

the

STIBOR

plus

minus

specified

spread

(-0.63%)

Monthly

GSIN

12/20/2023

SEK

(2,680,607)

270

Tel

Aviv

Stock

Exchange

Index

Decreases

total

return

reference

entity

and

pays

the

TELBOR

plus

minus

specified

spread

(-0.15%)

Increases

total

return

reference

entity

Monthly

BANA

12/20/2023

ILS

744,535

872

179,859

iBovespa

Index

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MLIN

10/18/2023

BRL

21,686,070

(95,224)

KOSPI

200

Index

December

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

GSIN

12/14/2023

KRW

493,500,000

(6,096)

KOSPI

200

Index

December

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MLIN

12/14/2023

KRW

4,852,750,000

(122,121)

TAIEX

Index

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MLIN

10/18/2023

TWD

58,921,200

(39,527)

WIG20

Index

December

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

GSIN

12/15/2023

PLN

816,480

(4,115)

MSCI

Italy

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

ESTR

plus

minus

specified

spread

(0.20%)

Increases

total

return

reference

entity

Monthly

GSIN

12/20/2023

EUR

3,907,768

(29,315)

MSCI

Japan

Net

Return

Index

Decreases

total

return

reference

entity

and

pays

the

TONAR

plus

minus

specified

spread

(-0.37%)

Increases

total

return

reference

entity

Monthly

GSIN

12/20/2023

JPY

226,324,922

(24,486)

109

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Singapore

Net

Return

Index

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

and

receives

the

SORA

plus

minus

specified

spread

(-0.25%)

Monthly

GSIN

12/20/2023

SGD

(2,956,369)

(20,330)

(341,214)

(161,355)

Futures

contracts

outstanding

September

30,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Hang

Seng

Index

10/2023

HKD

456,879

3,379

LME

Aluminum

Base

Metal

10/2023

USD

58,496

3,402

LME

Aluminum

Base

Metal

10/2023

USD

58,538

3,666

LME

Aluminum

Base

Metal

10/2023

USD

117,136

6,085

LME

Aluminum

Base

Metal

10/2023

USD

175,658

7,537

LME

Aluminum

Base

Metal

10/2023

USD

292,428

19,407

LME

Aluminum

Base

Metal

10/2023

USD

350,400

25,258

LME

Aluminum

Base

Metal

10/2023

USD

468,664

27,620

LME

Aluminum

Base

Metal

10/2023

USD

525,544

33,917

LME

Aluminum

Base

Metal

10/2023

USD

526,151

21,012

LME

Aluminum

Base

Metal

10/2023

USD

525,488

42,598

LME

Aluminum

Base

Metal

10/2023

USD

643,225

23,755

LME

Aluminum

Base

Metal

10/2023

USD

1,224,694

104,729

LME

Copper

Base

Metal

10/2023

USD

205,975

(5,771)

LME

Copper

Base

Metal

10/2023

USD

206,006

(5,999)

LME

Copper

Base

Metal

10/2023

USD

205,463

(1,415)

LME

Copper

Base

Metal

10/2023

USD

205,775

(8,899)

LME

Copper

Base

Metal

10/2023

USD

411,292

(4,564)

LME

Lead

Base

Metal

10/2023

USD

54,738

3,135

LME

Lead

Base

Metal

10/2023

USD

108,706

1,331

LME

Lead

Base

Metal

10/2023

USD

109,588

6,932

LME

Lead

Base

Metal

10/2023

USD

164,100

5,647

LME

Nickel

Base

Metal

10/2023

USD

110,800

(14,341)

LME

Nickel

Base

Metal

10/2023

USD

111,152

(21,047)

LME

Nickel

Base

Metal

10/2023

USD

110,982

(15,315)

LME

Nickel

Base

Metal

10/2023

USD

110,708

(16,676)

LME

Nickel

Base

Metal

10/2023

USD

110,959

(14,834)

LME

Nickel

Base

Metal

10/2023

USD

111,001

(15,118)

LME

Zinc

Base

Metal

10/2023

USD

66,131

7,147

LME

Zinc

Base

Metal

10/2023

USD

132,275

12,836

LME

Zinc

Base

Metal

10/2023

USD

132,263

12,894

LME

Zinc

Base

Metal

10/2023

USD

132,286

12,687

LME

Zinc

Base

Metal

10/2023

USD

132,245

14,275

LME

Zinc

Base

Metal

10/2023

USD

198,416

13,190

LME

Zinc

Base

Metal

10/2023

USD

198,422

12,595

LME

Zinc

Base

Metal

10/2023

USD

330,649

34,013

LME

Zinc

Base

Metal

10/2023

USD

396,551

42,909

110

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

10/2023

USD

529,150

52,638

LME

Zinc

Base

Metal

10/2023

USD

529,050

58,426

Harbor

ULSD

10/2023

USD

2,911,129

21,228

RBOB

Gasoline

10/2023

USD

201,558

(13,703)

SGX

FTSE

China

A50

Index

10/2023

USD

919,654

(1,564)

SGX

FTSE

Taiwan

Index

10/2023

USD

4,731,000

38,434

WTI

Crude

Oil

176

10/2023

USD

15,979,040

(7,787)

LME

Aluminum

Base

Metal

11/2023

USD

58,732

4,479

LME

Aluminum

Base

Metal

11/2023

USD

58,663

3,470

LME

Aluminum

Base

Metal

11/2023

USD

58,663

3,397

LME

Aluminum

Base

Metal

11/2023

USD

117,383

8,877

LME

Aluminum

Base

Metal

11/2023

USD

117,325

5,814

LME

Aluminum

Base

Metal

11/2023

USD

117,406

9,075

LME

Aluminum

Base

Metal

11/2023

USD

117,325

10,103

LME

Aluminum

Base

Metal

11/2023

USD

293,313

24,365

LME

Aluminum

Base

Metal

11/2023

USD

352,425

26,460

LME

Copper

Base

Metal

11/2023

USD

206,435

1,535

LME

Copper

Base

Metal

11/2023

USD

206,454

(1,026)

LME

Copper

Base

Metal

11/2023

USD

206,419

(1,634)

LME

Copper

Base

Metal

11/2023

USD

206,294

(8,384)

LME

Copper

Base

Metal

11/2023

USD

206,398

(7,230)

LME

Copper

Base

Metal

11/2023

USD

206,450

(4,303)

LME

Copper

Base

Metal

11/2023

USD

412,629

(15,324)

LME

Copper

Base

Metal

11/2023

USD

413,088

(6,805)

LME

Copper

Base

Metal

11/2023

USD

412,563

(27,818)

LME

Copper

Base

Metal

11/2023

USD

1,031,969

3,861

LME

Copper

Base

Metal

11/2023

USD

1,859,400

(34,774)

LME

Lead

Base

Metal

11/2023

USD

54,200

1,332

LME

Lead

Base

Metal

11/2023

USD

54,238

667

LME

Lead

Base

Metal

11/2023

USD

108,430

2,417

LME

Lead

Base

Metal

11/2023

USD

108,675

970

LME

Lead

Base

Metal

11/2023

USD

162,752

1,480

LME

Lead

Base

Metal

11/2023

USD

162,615

5,482

LME

Lead

Base

Metal

11/2023

USD

217,400

(1,779)

LME

Lead

Base

Metal

11/2023

USD

271,000

3,740

LME

Nickel

Base

Metal

11/2023

USD

111,717

(12,253)

LME

Nickel

Base

Metal

11/2023

USD

111,504

(9,489)

LME

Nickel

Base

Metal

11/2023

USD

111,354

(16,479)

LME

Nickel

Base

Metal

11/2023

USD

222,816

(20,760)

LME

Nickel

Base

Metal

11/2023

USD

222,492

(46,629)

LME

Nickel

Base

Metal

11/2023

USD

222,780

(24,306)

LME

Nickel

Base

Metal

11/2023

USD

223,473

(22,820)

LME

Nickel

Base

Metal

11/2023

USD

222,990

(19,056)

LME

Nickel

Base

Metal

11/2023

USD

222,744

(26,982)

LME

Nickel

Base

Metal

11/2023

USD

446,472

(56,278)

LME

Nickel

Base

Metal

11/2023

USD

557,370

(46,304)

LME

Zinc

Base

Metal

11/2023

USD

66,218

8,871

LME

Zinc

Base

Metal

11/2023

USD

66,213

9,200

LME

Zinc

Base

Metal

11/2023

USD

66,231

8,447

LME

Zinc

Base

Metal

11/2023

USD

132,531

11,070

LME

Zinc

Base

Metal

11/2023

USD

132,475

15,457

LME

Zinc

Base

Metal

11/2023

USD

132,447

14,941

LME

Zinc

Base

Metal

11/2023

USD

198,631

13,158

LME

Zinc

Base

Metal

11/2023

USD

198,647

16,914

LME

Zinc

Base

Metal

11/2023

USD

397,229

31,407

LME

Zinc

Base

Metal

11/2023

USD

529,434

31,824

111

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

11/2023

USD

530,170

41,726

LME

Zinc

Base

Metal

11/2023

USD

596,120

63,744

LME

Zinc

Base

Metal

11/2023

USD

860,519

118,537

Low

Sulphur

Gasoil

11/2023

USD

2,995,375

78,332

Soybean

11/2023

USD

892,500

(52,795)

Australia

Year

Bond

224

12/2023

AUD

16,144,902

(412,410)

Cocoa

12/2023

GBP

71,962

5,874

Coffee

'C'

12/2023

USD

328,838

(22,251)

Corn

314

12/2023

USD

7,484,975

(165,699)

Cotton

No.

12/2023

USD

435,750

(2,410)

FTSE

100

Index

12/2023

GBP

9,078,605

46,603

FTSE/MIB

Index

12/2023

EUR

5,083,374

(45,779)

Japan

Year

Bond

12/2023

JPY

1,940,578

(16,561)

KOSPI

200

Index

12/2023

KRW

5,424,818

(182,813)

Live

Cattle

12/2023

USD

2,555,780

(6,367)

LME

Aluminum

Base

Metal

12/2023

USD

58,863

3,660

LME

Aluminum

Base

Metal

12/2023

USD

294,375

18,448

LME

Aluminum

Base

Metal

12/2023

USD

293,500

9,967

LME

Aluminum

Base

Metal

12/2023

USD

586,750

4,018

LME

Aluminum

Base

Metal

12/2023

USD

588,438

34,537

LME

Aluminum

Base

Metal

12/2023

USD

647,526

41,419

LME

Aluminum

Base

Metal

12/2023

USD

647,507

43,591

LME

Aluminum

Base

Metal

12/2023

USD

763,913

43,082

LME

Aluminum

Base

Metal

12/2023

USD

881,126

40,801

LME

Aluminum

Base

Metal

12/2023

USD

1,996,506

100,447

LME

Aluminum

Base

Metal

153

12/2023

USD

8,998,313

455,165

LME

Copper

Base

Metal

12/2023

USD

413,400

(5,091)

LME

Copper

Base

Metal

12/2023

USD

619,875

5,943

LME

Copper

Base

Metal

12/2023

USD

620,294

(436)

LME

Copper

Base

Metal

12/2023

USD

826,866

(14,065)

LME

Copper

Base

Metal

12/2023

USD

1,033,408

(18,167)

LME

Copper

Base

Metal

12/2023

USD

1,033,755

15,429

LME

Copper

Base

Metal

12/2023

USD

1,033,784

(20,717)

LME

Copper

Base

Metal

12/2023

USD

1,240,049

2,558

LME

Copper

Base

Metal

12/2023

USD

1,653,664

(20,007)

LME

Copper

Base

Metal

12/2023

USD

1,652,800

(2,321)

LME

Copper

Base

Metal

12/2023

USD

2,274,388

(11,748)

LME

Copper

Base

Metal

12/2023

USD

2,481,012

41,104

LME

Copper

Base

Metal

12/2023

USD

11,164,500

(226,571)

LME

Lead

Base

Metal

12/2023

USD

54,313

(1,757)

LME

Lead

Base

Metal

12/2023

USD

54,231

(601)

LME

Lead

Base

Metal

12/2023

USD

217,397

(9,861)

LME

Lead

Base

Metal

12/2023

USD

217,375

(3,889)

LME

Lead

Base

Metal

12/2023

USD

271,729

(5,383)

LME

Lead

Base

Metal

12/2023

USD

271,726

(9,059)

LME

Lead

Base

Metal

12/2023

USD

271,723

(7,116)

LME

Lead

Base

Metal

12/2023

USD

1,736,800

(46,803)

LME

Nickel

Base

Metal

12/2023

USD

112,164

(1,749)

LME

Nickel

Base

Metal

12/2023

USD

223,822

(14,984)

LME

Nickel

Base

Metal

12/2023

USD

223,982

(7,600)

LME

Nickel

Base

Metal

12/2023

USD

223,678

(20,884)

LME

Nickel

Base

Metal

12/2023

USD

335,862

(23,816)

LME

Nickel

Base

Metal

12/2023

USD

335,708

(24,031)

LME

Nickel

Base

Metal

12/2023

USD

335,558

(28,616)

LME

Nickel

Base

Metal

12/2023

USD

335,880

(17,768)

LME

Nickel

Base

Metal

12/2023

USD

447,864

(15,227)

112

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

12/2023

USD

559,830

(52,784)

LME

Nickel

Base

Metal

12/2023

USD

1,009,044

(15,242)

LME

Zinc

Base

Metal

12/2023

USD

132,626

9,477

LME

Zinc

Base

Metal

12/2023

USD

199,027

12,449

LME

Zinc

Base

Metal

12/2023

USD

331,188

500

LME

Zinc

Base

Metal

12/2023

USD

331,219

18,481

LME

Zinc

Base

Metal

12/2023

USD

331,150

8,498

LME

Zinc

Base

Metal

12/2023

USD

331,698

17,703

LME

Zinc

Base

Metal

12/2023

USD

398,213

23,519

LME

Zinc

Base

Metal

12/2023

USD

398,163

18,506

LME

Zinc

Base

Metal

12/2023

USD

464,450

27,214

LME

Zinc

Base

Metal

12/2023

USD

529,690

18,067

LME

Zinc

Base

Metal

12/2023

USD

1,788,548

91,070

LME

Zinc

Base

Metal

12/2023

USD

6,432,919

309,981

Long

Gilt

12/2023

GBP

4,577,327

(109,255)

MEX

BOLSA

Index

12/2023

MXN

266,656

(4,825)

MSCI

Emerging

Markets

E-Mini

Index

12/2023

USD

429,975

(12,008)

NASDAQ

100

E-Mini

Index

12/2023

USD

1,783,980

(73,393)

Nikkei

225

Index

12/2023

JPY

1,065,980

(34,435)

S&P

Midcap

400

E-Mini

Index

12/2023

USD

22,179,521

(712,519)

Silver

12/2023

USD

2,020,500

(89,664)

Soybean

Meal

139

12/2023

USD

5,298,680

(187,039)

TOPIX

Index

12/2023

JPY

10,417,191

(192,772)

U.S.

Treasury

Year

Note

12/2023

USD

2,635,141

(4,083)

U.S.

Treasury

Year

Note

153

12/2023

USD

16,115,203

(190,584)

Month

SARON

6/2024

CHF

804,733

531

Platinum

8/2024

JPY

247,424

1,408

Month

SARON

9/2024

CHF

536,516

395

Month

SARON

12/2024

CHF

536,707

260

Month

SARON

3/2025

CHF

268,558

119

(976,763)

Short

Contracts

Brent

Crude

Oil

(198)

10/2023

USD

(18,255,600)

150,615

CAC

Euro

Index

(4)

10/2023

EUR

(302,437)

2,650

FTSE

Bursa

Malaysia

KLCI

Index

(38)

10/2023

MYR

(577,456)

6,688

HSCEI

(35)

10/2023

HKD

(1,381,282)

(21,280)

IBEX

Index

(4)

10/2023

EUR

(399,218)

3,018

IFSC

NIFTY

Index

(35)

10/2023

USD

(1,379,735)

5,525

LME

Aluminum

Base

Metal

(1)

10/2023

USD

(58,538)

(3,640)

LME

Aluminum

Base

Metal

(1)

10/2023

USD

(58,496)

(3,287)

LME

Aluminum

Base

Metal

(2)

10/2023

USD

(117,136)

(6,173)

LME

Aluminum

Base

Metal

(3)

10/2023

USD

(175,658)

(7,997)

LME

Aluminum

Base

Metal

(5)

10/2023

USD

(292,428)

(18,555)

LME

Aluminum

Base

Metal

(6)

10/2023

USD

(350,400)

(21,297)

LME

Aluminum

Base

Metal

(8)

10/2023

USD

(468,664)

(27,094)

LME

Aluminum

Base

Metal

(9)

10/2023

USD

(526,151)

(20,912)

LME

Aluminum

Base

Metal

(9)

10/2023

USD

(525,488)

(42,182)

LME

Aluminum

Base

Metal

(9)

10/2023

USD

(525,544)

(36,551)

LME

Aluminum

Base

Metal

(11)

10/2023

USD

(643,225)

(31,056)

LME

Aluminum

Base

Metal

(21)

10/2023

USD

(1,224,694)

(102,893)

LME

Copper

Base

Metal

(1)

10/2023

USD

(205,975)

5,397

LME

Copper

Base

Metal

(1)

10/2023

USD

(205,775)

7,272

LME

Copper

Base

Metal

(1)

10/2023

USD

(206,006)

7,417

LME

Copper

Base

Metal

(1)

10/2023

USD

(205,463)

1,634

LME

Copper

Base

Metal

(2)

10/2023

USD

(411,292)

4,736

LME

Lead

Base

Metal

(1)

10/2023

USD

(54,738)

(3,217)

113

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(2)

10/2023

USD

(108,706)

(1,911)

LME

Lead

Base

Metal

(2)

10/2023

USD

(109,588)

(6,674)

LME

Lead

Base

Metal

(3)

10/2023

USD

(164,100)

(5,858)

LME

Nickel

Base

Metal

(1)

10/2023

USD

(110,982)

14,669

LME

Nickel

Base

Metal

(1)

10/2023

USD

(111,152)

20,545

LME

Nickel

Base

Metal

(1)

10/2023

USD

(110,959)

14,777

LME

Nickel

Base

Metal

(1)

10/2023

USD

(110,800)

13,967

LME

Nickel

Base

Metal

(1)

10/2023

USD

(110,708)

16,051

LME

Nickel

Base

Metal

(1)

10/2023

USD

(111,001)

14,456

LME

Zinc

Base

Metal

(1)

10/2023

USD

(66,131)

(6,469)

LME

Zinc

Base

Metal

(2)

10/2023

USD

(132,263)

(13,454)

LME

Zinc

Base

Metal

(2)

10/2023

USD

(132,245)

(14,650)

LME

Zinc

Base

Metal

(2)

10/2023

USD

(132,286)

(12,941)

LME

Zinc

Base

Metal

(2)

10/2023

USD

(132,275)

(14,341)

LME

Zinc

Base

Metal

(3)

10/2023

USD

(198,422)

(12,969)

LME

Zinc

Base

Metal

(3)

10/2023

USD

(198,416)

(14,824)

LME

Zinc

Base

Metal

(5)

10/2023

USD

(330,649)

(31,182)

LME

Zinc

Base

Metal

(6)

10/2023

USD

(396,551)

(40,768)

LME

Zinc

Base

Metal

(8)

10/2023

USD

(529,150)

(50,814)

LME

Zinc

Base

Metal

(8)

10/2023

USD

(529,050)

(56,028)

MSCI

Singapore

Index

(158)

10/2023

SGD

(3,301,587)

(50,193)

Natural

Gas

(127)

10/2023

USD

(3,719,830)

42,979

OMXS30

Index

(154)

10/2023

SEK

(3,044,606)

25,584

Feeder

Cattle

(10)

11/2023

USD

(1,274,500)

39,242

LME

Aluminum

Base

Metal

(1)

11/2023

USD

(58,663)

(3,520)

LME

Aluminum

Base

Metal

(1)

11/2023

USD

(58,732)

(4,566)

LME

Aluminum

Base

Metal

(1)

11/2023

USD

(58,663)

(3,413)

LME

Aluminum

Base

Metal

(2)

11/2023

USD

(117,325)

(5,707)

LME

Aluminum

Base

Metal

(2)

11/2023

USD

(117,383)

(8,775)

LME

Aluminum

Base

Metal

(2)

11/2023

USD

(117,325)

(10,306)

LME

Aluminum

Base

Metal

(2)

11/2023

USD

(117,406)

(9,238)

LME

Aluminum

Base

Metal

(5)

11/2023

USD

(293,313)

(24,859)

LME

Aluminum

Base

Metal

(6)

11/2023

USD

(352,425)

(24,458)

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,450)

4,387

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,398)

7,061

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,454)

106

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,419)

2,240

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,294)

7,694

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,435)

(756)

LME

Copper

Base

Metal

(2)

11/2023

USD

(413,088)

6,657

LME

Copper

Base

Metal

(2)

11/2023

USD

(412,629)

14,012

LME

Copper

Base

Metal

(2)

11/2023

USD

(412,563)

24,714

LME

Copper

Base

Metal

(5)

11/2023

USD

(1,031,969)

(6,119)

LME

Copper

Base

Metal

(9)

11/2023

USD

(1,859,400)

36,997

LME

Lead

Base

Metal

(1)

11/2023

USD

(54,238)

(478)

LME

Lead

Base

Metal

(1)

11/2023

USD

(54,200)

(1,253)

LME

Lead

Base

Metal

(2)

11/2023

USD

(108,430)

(2,435)

LME

Lead

Base

Metal

(2)

11/2023

USD

(108,675)

(719)

LME

Lead

Base

Metal

(3)

11/2023

USD

(162,615)

(4,981)

LME

Lead

Base

Metal

(3)

11/2023

USD

(162,752)

(1,059)

LME

Lead

Base

Metal

(4)

11/2023

USD

(217,400)

589

LME

Lead

Base

Metal

(5)

11/2023

USD

(271,000)

(4,204)

LME

Nickel

Base

Metal

(1)

11/2023

USD

(111,354)

17,223

LME

Nickel

Base

Metal

(1)

11/2023

USD

(111,504)

9,634

LME

Nickel

Base

Metal

(1)

11/2023

USD

(111,717)

12,336

LME

Nickel

Base

Metal

(2)

11/2023

USD

(222,816)

22,183

114

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(2)

11/2023

USD

(222,780)

25,771

LME

Nickel

Base

Metal

(2)

11/2023

USD

(222,990)

16,923

LME

Nickel

Base

Metal

(2)

11/2023

USD

(222,492)

48,042

LME

Nickel

Base

Metal

(2)

11/2023

USD

(222,744)

28,012

LME

Nickel

Base

Metal

(2)

11/2023

USD

(223,473)

23,170

LME

Nickel

Base

Metal

(4)

11/2023

USD

(446,472)

57,156

LME

Nickel

Base

Metal

(5)

11/2023

USD

(557,370)

47,505

LME

Zinc

Base

Metal

(1)

11/2023

USD

(66,213)

(9,077)

LME

Zinc

Base

Metal

(1)

11/2023

USD

(66,231)

(8,255)

LME

Zinc

Base

Metal

(1)

11/2023

USD

(66,218)

(8,602)

LME

Zinc

Base

Metal

(2)

11/2023

USD

(132,475)

(14,959)

LME

Zinc

Base

Metal

(2)

11/2023

USD

(132,447)

(15,248)

LME

Zinc

Base

Metal

(2)

11/2023

USD

(132,531)

(11,058)

LME

Zinc

Base

Metal

(3)

11/2023

USD

(198,631)

(16,877)

LME

Zinc

Base

Metal

(3)

11/2023

USD

(198,647)

(17,180)

LME

Zinc

Base

Metal

(6)

11/2023

USD

(397,229)

(33,158)

LME

Zinc

Base

Metal

(8)

11/2023

USD

(529,434)

(32,695)

LME

Zinc

Base

Metal

(8)

11/2023

USD

(530,170)

(41,948)

LME

Zinc

Base

Metal

(9)

11/2023

USD

(596,120)

(60,278)

LME

Zinc

Base

Metal

(13)

11/2023

USD

(860,519)

(114,992)

100

Gold

(20)

12/2023

USD

(3,732,200)

115,992

Australia

Year

Bond

(23)

12/2023

AUD

(1,558,625)

11,219

Canada

Year

Bond

(1)

12/2023

CAD

(84,837)

2,107

Cocoa

(15)

12/2023

USD

(512,700)

29,658

Copper

(16)

12/2023

USD

(1,495,000)

(5,066)

DAX

Index

(22)

12/2023

EUR

(9,028,175)

169,512

DJIA

CBOT

E-Mini

Index

(12)

12/2023

USD

(2,023,500)

59,872

Euro

STOXX

Index

(181)

12/2023

EUR

(8,044,869)

45,217

Euro-Bobl

(13)

12/2023

EUR

(1,589,523)

15,554

Euro-BTP

(70)

12/2023

EUR

(8,109,742)

146,513

Euro-Bund

(80)

12/2023

EUR

(10,859,226)

198,668

Euro-Buxl

(2)

12/2023

EUR

(257,419)

23,044

Euro-OAT

(19)

12/2023

EUR

(2,468,584)

61,416

Euro-Schatz

(42)

12/2023

EUR

(4,661,584)

8,634

FTSE/JSE

Top

Index

(30)

12/2023

ZAR

(1,068,726)

28,060

HRW

Wheat

(47)

12/2023

USD

(1,559,813)

269,611

Lean

Hogs

(10)

12/2023

USD

(287,100)

13,511

LME

Aluminum

Base

Metal

(1)

12/2023

USD

(58,863)

(3,835)

LME

Aluminum

Base

Metal

(5)

12/2023

USD

(294,375)

(19,390)

LME

Aluminum

Base

Metal

(5)

12/2023

USD

(293,500)

(12,140)

LME

Aluminum

Base

Metal

(10)

12/2023

USD

(588,438)

(36,567)

LME

Aluminum

Base

Metal

(10)

12/2023

USD

(586,750)

(9,905)

LME

Aluminum

Base

Metal

(11)

12/2023

USD

(647,507)

(44,464)

LME

Aluminum

Base

Metal

(11)

12/2023

USD

(647,526)

(41,733)

LME

Aluminum

Base

Metal

(13)

12/2023

USD

(763,913)

(43,001)

LME

Aluminum

Base

Metal

(15)

12/2023

USD

(881,126)

(42,421)

LME

Aluminum

Base

Metal

(34)

12/2023

USD

(1,996,506)

(99,717)

LME

Aluminum

Base

Metal

(220)

12/2023

USD

(12,938,750)

(871,932)

LME

Copper

Base

Metal

(2)

12/2023

USD

(413,400)

5,469

LME

Copper

Base

Metal

(3)

12/2023

USD

(620,294)

1,620

LME

Copper

Base

Metal

(3)

12/2023

USD

(619,875)

(6,606)

LME

Copper

Base

Metal

(4)

12/2023

USD

(826,866)

12,397

LME

Copper

Base

Metal

(5)

12/2023

USD

(1,033,408)

21,579

LME

Copper

Base

Metal

(5)

12/2023

USD

(1,033,755)

(11,197)

LME

Copper

Base

Metal

(5)

12/2023

USD

(1,033,784)

15,688

LME

Copper

Base

Metal

(6)

12/2023

USD

(1,240,049)

(4,137)

115

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(8)

12/2023

USD

(1,652,800)

(1,063)

LME

Copper

Base

Metal

(8)

12/2023

USD

(1,653,664)

21,825

LME

Copper

Base

Metal

(11)

12/2023

USD

(2,274,388)

10,388

LME

Copper

Base

Metal

(12)

12/2023

USD

(2,481,012)

(40,737)

LME

Copper

Base

Metal

(87)

12/2023

USD

(17,987,250)

57,637

LME

Lead

Base

Metal

(1)

12/2023

USD

(54,313)

1,910

LME

Lead

Base

Metal

(1)

12/2023

USD

(54,231)

604

LME

Lead

Base

Metal

(4)

12/2023

USD

(217,375)

3,814

LME

Lead

Base

Metal

(4)

12/2023

USD

(217,397)

11,892

LME

Lead

Base

Metal

(5)

12/2023

USD

(271,726)

9,261

LME

Lead

Base

Metal

(5)

12/2023

USD

(271,729)

4,883

LME

Lead

Base

Metal

(5)

12/2023

USD

(271,723)

7,764

LME

Nickel

Base

Metal

(1)

12/2023

USD

(112,164)

1,640

LME

Nickel

Base

Metal

(2)

12/2023

USD

(223,678)

22,017

LME

Nickel

Base

Metal

(2)

12/2023

USD

(223,982)

7,959

LME

Nickel

Base

Metal

(2)

12/2023

USD

(223,822)

13,684

LME

Nickel

Base

Metal

(3)

12/2023

USD

(335,880)

19,134

LME

Nickel

Base

Metal

(3)

12/2023

USD

(335,708)

24,511

LME

Nickel

Base

Metal

(3)

12/2023

USD

(335,862)

22,703

LME

Nickel

Base

Metal

(3)

12/2023

USD

(335,558)

30,013

LME

Nickel

Base

Metal

(4)

12/2023

USD

(447,864)

14,466

LME

Nickel

Base

Metal

(9)

12/2023

USD

(1,009,044)

16,224

LME

Nickel

Base

Metal

(51)

12/2023

USD

(5,710,266)

379,311

LME

Zinc

Base

Metal

(2)

12/2023

USD

(132,626)

(10,081)

LME

Zinc

Base

Metal

(3)

12/2023

USD

(199,027)

(13,336)

LME

Zinc

Base

Metal

(5)

12/2023

USD

(331,219)

(19,883)

LME

Zinc

Base

Metal

(5)

12/2023

USD

(331,698)

(17,887)

LME

Zinc

Base

Metal

(5)

12/2023

USD

(331,150)

(16,602)

LME

Zinc

Base

Metal

(5)

12/2023

USD

(331,188)

(252)

LME

Zinc

Base

Metal

(6)

12/2023

USD

(398,213)

(25,180)

LME

Zinc

Base

Metal

(6)

12/2023

USD

(398,163)

(19,481)

LME

Zinc

Base

Metal

(7)

12/2023

USD

(464,450)

(28,721)

LME

Zinc

Base

Metal

(8)

12/2023

USD

(529,690)

(18,238)

LME

Zinc

Base

Metal

(9)

12/2023

USD

(596,869)

(47,470)

LME

Zinc

Base

Metal

(27)

12/2023

USD

(1,788,548)

(88,884)

MSCI

EAFE

E-Mini

Index

(6)

12/2023

USD

(612,450)

20,552

Palladium

(1)

12/2023

USD

(125,600)

(1,742)

Russell

2000

E-Mini

Index

(107)

12/2023

USD

(9,622,510)

338,731

S&P

500

E-Mini

Index

(219)

12/2023

USD

(47,364,224)

1,725,484

S&P/TSX

Index

(16)

12/2023

CAD

(2,771,331)

118,693

SET50

Index

(544)

12/2023

THB

(2,693,967)

44,492

Soybean

Oil

(71)

12/2023

USD

(2,378,358)

205,225

SPI

200

Index

(2)

12/2023

AUD

(227,797)

3,861

U.S.

Treasury

Year

Note

(148)

12/2023

USD

(15,988,625)

246,836

U.S.

Treasury

Long

Bond

(8)

12/2023

USD

(911,000)

49,568

U.S.

Treasury

Ultra

Bond

(6)

12/2023

USD

(713,813)

48,790

Wheat

(157)

12/2023

USD

(4,250,775)

752,651

Aluminum

(1)

1/2024

USD

(58,963)

(3,412)

Platinum

(1)

1/2024

USD

(45,795)

508

Sugar

No.

(17)

2/2024

USD

(504,179)

(1,986)

Month

Canadian

Bankers

Acceptance

(26)

3/2024

CAD

(4,514,467)

396

Month

Euro

Euribor

(10)

3/2024

EUR

(2,538,722)

2,289

90-Day

Australian

Bank

Bill

(7)

3/2024

AUD

(4,452,237)

302

90-Day

New

Zealand

Bill

(6)

3/2024

NZD

(3,543,845)

641

Month

Canadian

Bankers

Acceptance

(22)

6/2024

CAD

(3,822,363)

2,129

Month

Euro

Euribor

(9)

6/2024

EUR

(2,288,180)

2,502

116

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Month

SOFR

(20)

6/2024

USD

(4,731,000)

6,537

Month

SONIA

(2)

6/2024

GBP

(577,138)

(1,758)

90-Day

Australian

Bank

Bill

(12)

6/2024

AUD

(7,631,847)

1,029

90-Day

New

Zealand

Bill

(5)

6/2024

NZD

(2,953,276)

904

Month

Canadian

Bankers

Acceptance

(24)

9/2024

CAD

(4,180,453)

5,588

Month

Euro

Euribor

(9)

9/2024

EUR

(2,292,937)

2,328

Month

SOFR

(17)

9/2024

USD

(4,029,638)

8,802

Month

SONIA

(5)

9/2024

GBP

(1,444,446)

(8,845)

90-Day

Australian

Bank

Bill

(20)

9/2024

AUD

(12,720,676)

2,951

90-Day

New

Zealand

Bill

(6)

9/2024

NZD

(3,545,137)

1,588

Month

Canadian

Bankers

Acceptance

(22)

12/2024

CAD

(3,839,573)

10,061

Month

Euro

Euribor

(7)

12/2024

EUR

(1,787,466)

1,376

Month

SOFR

(15)

12/2024

USD

(3,565,875)

9,960

Month

SONIA

(4)

12/2024

GBP

(1,157,753)

(6,351)

90-Day

Australian

Bank

Bill

(18)

12/2024

AUD

(11,451,122)

5,424

Month

Euro

Euribor

(6)

3/2025

EUR

(1,534,572)

922

Month

SOFR

(13)

3/2025

USD

(3,100,825)

8,469

Month

SONIA

(3)

3/2025

GBP

(870,145)

(5,286)

Month

Euro

Euribor

(6)

6/2025

EUR

(1,536,237)

640

Month

SOFR

(12)

6/2025

USD

(2,870,700)

7,059

Month

SONIA

(4)

6/2025

GBP

(1,162,450)

(7,784)

Month

Euro

Euribor

(5)

9/2025

EUR

(1,280,924)

2,397

Month

SOFR

(12)

9/2025

USD

(2,876,550)

5,891

Month

SONIA

(3)

9/2025

GBP

(873,073)

(5,613)

Month

SOFR

(11)

12/2025

USD

(2,639,725)

9,516

Month

SONIA

(3)

12/2025

GBP

(874,080)

(2,119)

3,576,502

2,599,739

Forward

foreign

currency

exchange

contracts

outstanding

September

30,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

16,712,535

USD

10,726,498

CITI

12/20/2023

48,806

AUD

16,712,529

USD

10,726,441

JPMC

12/20/2023

48,859

CAD

5,771,013

USD

4,238,245

CITI

12/20/2023

16,069

CAD

5,771,010

USD

4,238,222

JPMC

12/20/2023

16,090

CLP

800,000,000

USD

888,469

CITI

12/20/2023

6,297

CLP

800,000,000

USD

888,465

JPMC

12/20/2023

6,301

CNY

12,573,823

USD

1,721,381

CITI

12/20/2023

7,675

CNY

12,573,819

USD

1,721,372

JPMC

12/20/2023

7,684

COP

3,993,871,042

USD

949,494

CITI

12/20/2023

10,129

COP

3,993,871,039

USD

949,489

JPMC

12/20/2023

10,133

CZK

1,000,000

USD

43,210

CITI

12/20/2023

CZK

1,000,000

USD

43,209

JPMC

12/20/2023

EUR

1,504,154

USD

1,592,408

CITI

12/20/2023

3,898

EUR

1,504,154

USD

1,592,400

JPMC

12/20/2023

3,906

HUF

75,000,000

USD

200,047

CITI

12/20/2023

978

HUF

75,000,000

USD

200,046

JPMC

12/20/2023

979

ILS

6,249,500

USD

1,642,290

CITI

12/20/2023

2,810

ILS

6,249,500

USD

1,642,281

JPMC

12/20/2023

2,818

INR

118,124,751

USD

1,415,623

CITI

12/20/2023

267

117

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

INR

118,124,751

USD

1,415,616

JPMC

12/20/2023

273

JPY

105,000,000

USD

711,720

CITI

12/20/2023

312

JPY

105,000,000

USD

711,716

JPMC

12/20/2023

316

MXN

41,286,001

USD

2,311,128

CITI

12/20/2023

26,271

MXN

55,286,000

USD

3,103,721

JPMC

12/20/2023

26,285

NOK

43,165,454

USD

4,032,990

CITI

12/20/2023

11,434

NOK

43,165,449

USD

4,032,970

JPMC

12/20/2023

11,453

NZD

13,649,836

USD

8,091,249

CITI

12/20/2023

90,056

NZD

13,649,833

USD

8,091,207

JPMC

12/20/2023

90,097

PHP

15,408,500

USD

271,009

CITI

12/20/2023

1,101

PHP

15,408,500

USD

271,005

JPMC

12/20/2023

1,105

SEK

13,155,282

USD

1,189,004

CITI

12/20/2023

19,976

SEK

13,155,281

USD

1,188,998

JPMC

12/20/2023

19,982

SGD

91,500

USD

67,057

CITI

12/20/2023

121

SGD

91,500

USD

67,057

JPMC

12/20/2023

122

USD

1,131,429

AUD

1,751,080

CITI

12/20/2023

2,432

USD

1,131,434

AUD

1,751,078

JPMC

12/20/2023

2,437

USD

1,970,606

BRL

9,847,352

CITI

12/20/2023

30,768

USD

1,970,615

BRL

9,847,348

JPMC

12/20/2023

30,778

USD

6,705,593

CAD

9,062,065

CITI

12/20/2023

25,159

USD

6,705,627

CAD

9,062,065

JPMC

12/20/2023

25,193

USD

13,458,724

CHF

11,832,225

CITI

12/20/2023

415,506

USD

13,458,779

CHF

11,832,215

JPMC

12/20/2023

415,573

USD

1,466,167

CLP

1,274,291,625

CITI

12/20/2023

40,926

USD

1,466,174

CLP

1,274,291,625

JPMC

12/20/2023

40,933

USD

3,139,702

CNY

22,709,223

CITI

12/20/2023

16,905

USD

3,139,717

CNY

22,709,219

JPMC

12/20/2023

16,921

USD

787,547

COP

3,262,500,000

CITI

12/20/2023

3,652

USD

787,551

COP

3,262,500,000

JPMC

12/20/2023

3,656

USD

2,920,892

CZK

65,526,967

CITI

12/20/2023

86,797

USD

2,920,906

CZK

65,526,966

JPMC

12/20/2023

86,811

USD

14,308,754

EUR

13,284,494

CITI

12/20/2023

210,380

USD

14,308,810

EUR

13,284,480

JPMC

12/20/2023

210,451

USD

4,631,765

GBP

3,713,364

CITI

12/20/2023

98,510

USD

4,631,764

GBP

3,713,345

JPMC

12/20/2023

98,532

USD

753,425

HUF

275,274,500

CITI

12/20/2023

15,598

USD

753,428

HUF

275,274,500

JPMC

12/20/2023

15,602

USD

1,393,776

IDR

21,408,062,000

CITI

12/20/2023

12,250

USD

1,393,783

IDR

21,408,062,000

JPMC

12/20/2023

12,256

USD

4,153,705

ILS

15,709,374

CITI

12/20/2023

18,415

USD

4,153,725

ILS

15,709,373

JPMC

12/20/2023

18,435

USD

1,443,653

INR

120,000,000

CITI

12/20/2023

5,286

USD

1,443,660

INR

120,000,000

JPMC

12/20/2023

5,294

USD

15,256,785

JPY

2,197,531,004

CITI

12/20/2023

354,758

USD

15,256,861

JPY

2,197,530,996

JPMC

12/20/2023

354,835

USD

5,103,214

KRW

6,738,820,507

CITI

12/20/2023

99,781

USD

5,103,240

KRW

6,738,820,493

JPMC

12/20/2023

99,807

USD

3,318,637

MXN

57,456,834

CITI

12/20/2023

65,731

USD

3,318,654

MXN

57,456,833

JPMC

12/20/2023

65,747

USD

55,866

NOK

592,126

CITI

12/20/2023

387

USD

55,866

NOK

592,122

JPMC

12/20/2023

387

USD

4,658,482

PLN

19,922,000

CITI

12/20/2023

112,470

USD

4,658,505

PLN

19,922,000

JPMC

12/20/2023

112,494

USD

7,460,495

SGD

10,079,500

CITI

12/20/2023

60,195

USD

7,460,532

SGD

10,079,500

JPMC

12/20/2023

60,232

USD

56,768

THB

2,000,000

CITI

12/20/2023

1,446

USD

56,769

THB

2,000,000

JPMC

12/20/2023

1,446

USD

5,293,237

TWD

167,500,000

CITI

12/20/2023

70,901

118

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

5,293,264

TWD

167,500,000

JPMC

12/20/2023

70,928

USD

1,472,321

ZAR

27,876,833

CITI

12/20/2023

10,363

USD

1,472,328

ZAR

27,876,832

JPMC

12/20/2023

10,371

ZAR

43,897,004

USD

2,261,464

CITI

12/20/2023

40,645

ZAR

43,896,998

USD

2,261,452

JPMC

12/20/2023

40,657

Total

unrealized

appreciation

4,091,722

AUD

8,287,677

USD

5,354,824

CITI

12/20/2023

(11,396)

AUD

8,287,676

USD

5,354,797

JPMC

12/20/2023

(11,369)

BRL

3,554,500

USD

722,200

CITI

12/20/2023

(21,996)

BRL

3,554,500

USD

722,196

JPMC

12/20/2023

(21,992)

CAD

5,692,531

USD

4,224,243

CITI

12/20/2023

(27,785)

CAD

5,692,531

USD

4,224,222

JPMC

12/20/2023

(27,763)

CHF

31,000

USD

35,174

CITI

12/20/2023

(1,002)

CHF

31,000

USD

35,174

JPMC

12/20/2023

(1,001)

CLP

2,748,481,994

USD

3,165,060

CITI

12/20/2023

(91,002)

CLP

2,748,481,992

USD

3,165,044

JPMC

12/20/2023

(90,985)

CNY

11,201,227

USD

1,547,303

CITI

12/20/2023

(6,998)

CNY

11,201,223

USD

1,547,295

JPMC

12/20/2023

(6,990)

COP

4,542,401,460

USD

1,096,594

CITI

12/20/2023

(5,173)

COP

4,542,401,459

USD

1,096,588

JPMC

12/20/2023

(5,167)

CZK

103,652,000

USD

4,555,747

CITI

12/20/2023

(72,712)

CZK

103,652,000

USD

4,555,724

JPMC

12/20/2023

(72,689)

EUR

14,231,170

USD

15,445,930

CITI

12/20/2023

(342,881)

EUR

14,231,154

USD

15,445,835

JPMC

12/20/2023

(342,804)

GBP

7,977,102

USD

9,998,855

CITI

12/20/2023

(260,450)

GBP

7,977,096

USD

9,998,797

JPMC

12/20/2023

(260,400)

HUF

1,252,482,995

USD

3,437,859

CITI

12/20/2023

(80,790)

HUF

1,252,482,993

USD

3,437,842

JPMC

12/20/2023

(80,773)

ILS

3,250,500

USD

856,791

CITI

12/20/2023

(1,138)

ILS

3,250,500

USD

856,787

JPMC

12/20/2023

(1,134)

INR

329,374,251

USD

3,966,835

CITI

12/20/2023

(18,827)

INR

329,374,247

USD

3,966,815

JPMC

12/20/2023

(18,807)

JPY

1,811,817,591

USD

12,509,813

CITI

12/20/2023

(223,408)

JPY

1,811,817,579

USD

12,509,750

JPMC

12/20/2023

(223,346)

KRW

6,499,999,998

USD

4,914,021

CITI

12/20/2023

(87,907)

KRW

6,499,999,997

USD

4,914,056

JPMC

12/20/2023

(87,943)

MXN

86,661,000

USD

5,007,453

CITI

12/20/2023

(101,160)

MXN

72,660,999

USD

4,214,823

JPMC

12/20/2023

(101,137)

NOK

70,152,242

USD

6,608,352

CITI

12/20/2023

(35,381)

NOK

70,152,232

USD

6,608,318

JPMC

12/20/2023

(35,346)

NZD

143,000

USD

85,721

CITI

12/20/2023

(11)

NZD

143,000

USD

85,721

JPMC

12/20/2023

(11)

PLN

848,500

USD

204,133

CITI

12/20/2023

(10,514)

PLN

848,500

USD

204,132

JPMC

12/20/2023

(10,513)

SGD

403,000

USD

296,001

CITI

12/20/2023

(121)

SGD

403,000

USD

296,000

JPMC

12/20/2023

(120)

THB

24,000,000

USD

684,624

CITI

12/20/2023

(20,754)

THB

24,000,000

USD

684,620

JPMC

12/20/2023

(20,751)

TWD

140,507,502

USD

4,440,642

CITI

12/20/2023

(59,881)

TWD

140,507,498

USD

4,440,620

JPMC

12/20/2023

(59,859)

USD

5,568,134

AUD

8,680,140

CITI

12/20/2023

(28,333)

USD

5,568,160

AUD

8,680,137

JPMC

12/20/2023

(28,304)

USD

1,708,619

CAD

2,321,792

CITI

12/20/2023

(2,975)

USD

1,708,627

CAD

2,321,792

JPMC

12/20/2023

(2,967)

USD

287,813

CHF

261,500

CITI

12/20/2023

(451)

USD

287,814

CHF

261,500

JPMC

12/20/2023

(450)

USD

1,546,901

CLP

1,400,000,000

CITI

12/20/2023

(18,939)

USD

1,546,908

CLP

1,400,000,000

JPMC

12/20/2023

(18,931)

119

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

2,112,773

CNY

15,413,799

CITI

12/20/2023

(6,815)

USD

2,112,784

CNY

15,413,799

JPMC

12/20/2023

(6,804)

USD

8,904

COP

37,500,000

CITI

12/20/2023

(106)

USD

8,907

COP

37,500,000

JPMC

12/20/2023

(103)

USD

21,625

CZK

500,000

CITI

12/20/2023

(1)

USD

21,625

CZK

500,000

JPMC

12/20/2023

–

USD

442,144

EUR

417,000

CITI

12/20/2023

(404)

USD

442,146

EUR

417,000

JPMC

12/20/2023

(401)

USD

147,726

GBP

121,500

CITI

12/20/2023

(601)

USD

147,727

GBP

121,500

JPMC

12/20/2023

(600)

USD

26,767

HUF

10,000,000

CITI

12/20/2023

(36)

USD

26,767

HUF

10,000,000

JPMC

12/20/2023

(36)

USD

289,870

IDR

4,500,000,000

CITI

12/20/2023

(529)

USD

289,871

IDR

4,500,000,000

JPMC

12/20/2023

(527)

USD

1,653,274

ILS

6,305,627

CITI

12/20/2023

(6,602)

USD

1,653,282

ILS

6,305,626

JPMC

12/20/2023

(6,593)

USD

1,974,836

INR

165,000,000

CITI

12/20/2023

(2,918)

USD

1,974,846

INR

165,000,000

JPMC

12/20/2023

(2,909)

USD

148,400

KRW

200,000,000

CITI

12/20/2023

(96)

USD

148,400

KRW

200,000,000

JPMC

12/20/2023

(95)

USD

2,794,326

MXN

49,790,170

CITI

12/20/2023

(24,534)

USD

2,794,339

MXN

49,790,168

JPMC

12/20/2023

(24,520)

USD

18,467

NOK

197,376

CITI

12/20/2023

(26)

USD

18,468

NOK

197,376

JPMC

12/20/2023

(26)

USD

12,898,334

NZD

21,717,534

CITI

12/20/2023

(118,508)

USD

12,898,392

NZD

21,717,522

JPMC

12/20/2023

(118,444)

USD

175,894

PHP

10,000,000

CITI

12/20/2023

(704)

USD

175,894

PHP

10,000,000

JPMC

12/20/2023

(703)

USD

172,549

PLN

762,000

CITI

12/20/2023

(1,332)

USD

172,550

PLN

762,000

JPMC

12/20/2023

(1,331)

USD

5,560,180

SEK

61,219,000

CITI

12/20/2023

(65,891)

USD

5,560,208

SEK

61,219,000

JPMC

12/20/2023

(65,864)

USD

999,447

SGD

1,361,500

CITI

12/20/2023

(157)

USD

999,452

SGD

1,361,500

JPMC

12/20/2023

(152)

USD

186,718

TWD

6,000,000

CITI

12/20/2023

(351)

USD

186,719

TWD

6,000,000

JPMC

12/20/2023

(350)

USD

1,123,704

ZAR

21,710,169

CITI

12/20/2023

(14,851)

USD

1,123,710

ZAR

21,710,166

JPMC

12/20/2023

(14,846)

ZAR

58,397,001

USD

3,090,875

CITI

12/20/2023

(28,335)

ZAR

58,396,997

USD

3,090,859

JPMC

12/20/2023

(28,321)

Total

unrealized

depreciation

(3,608,959)

Net

unrealized

appreciation

482,763

Non-deliverable

forward

foreign

currency

exchange

contracts.

120

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

‡

Includes

appreciation/(depreciation)

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

Represents

7-day

effective

yield

September

30,

2023.

(b)

All

portion

the

security

pledged

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

September

30,

2023,

transactions

and

earnings

from

issuers

considered

affiliated

issuer

were

follows:

(d)

The

rate

shown

was

the

effective

yield

the

date

purchase.

(e)

All

portion

the

security

pledged

collateral

for

swap

contracts.

INVESTMENTS

VALUE

($)

SHORT-TERM

INVESTMENTS

93.0%

INVESTMENT

COMPANIES

28.7%

BlackRock

Liquidity

Funds

Treasury

Trust

Fund

Portfolio,

5.23%

(1)(a)

22,735,832

Goldman

Sachs

Financial

Square

Funds

Treasury

Instruments

Fund,

Institutional

Shares,

5.24%

(1)(a)(b)

22,862,710

Limited

Purpose

Cash

Investment

Fund,

5.36%

(1)(a)(c)

388,180,767

388,064,312

TOTAL

INVESTMENT

COMPANIES

(Cost

$433,568,444)

433,662,854

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

64.3%

U.S.

Treasury

Bills

4.80%,

10/5/2023

(d)

124,790,000

124,735,196

4.91%,

10/12/2023

(d)

5,400,000

5,392,084

4.99%,

10/19/2023

(d)

65,453,000

65,289,494

4.96%,

10/26/2023

(d)

144,363,000

143,854,522

5.02%,

11/2/2023

(d)

104,873,000

104,395,274

5.01%,

11/9/2023

(d)

64,562,000

64,201,152

5.11%,

11/16/2023

(d)

1,007,000

1,000,335

5.31%,

11/24/2023

(d)

10,462,000

10,380,233

5.44%,

11/30/2023

(d)

5,583,000

5,534,231

5.39%,

12/7/2023

(d)

10,406,000

10,304,602

5.29%,

12/14/2023

(d)(e)

3,582,000

3,543,503

5.36%,

12/28/2023

(d)

5,421,000

5,351,304

5.40%,

1/4/2024

(d)

14,191,000

13,994,427

5.41%,

1/11/2024

(d)(e)

8,152,000

8,030,727

5.39%,

1/18/2024

(d)

17,511,000

17,232,312

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

64.3%

(continued)

5.41%,

2/1/2024

(d)

119,786,000

117,633,496

5.41%,

2/8/2024

(d)

6,885,000

6,754,181

5.44%,

2/15/2024

(d)

1,042,000

1,021,132

5.44%,

2/22/2024

(d)

8,304,000

8,128,930

5.50%,

2/29/2024

(d)

14,559,000

14,236,958

5.45%,

3/7/2024

(d)

81,075,000

79,195,090

5.45%,

3/14/2024

(d)

108,789,000

106,158,013

5.45%,

3/21/2024

(d)(e)

57,559,000

56,104,211

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$972,498,728)

972,471,407

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,406,067,172)

1,406,134,261

TOTAL

INVESTMENTS

SECURITIES

VALUE

93.0%

(Cost

$1,406,067,172)

1,406,134,261

OTHER

ASSETS

EXCESS

LIABILITIES

7.0%

‡

106,288,870

NET

ASSETS

100.0%

1,512,423,131

SECURITY

TYPE

VALUE

NET

ASSETS

Investment

Companies

433,662,854

28.7

U.S.

Treasury

Obligations

972,471,407

64.3

Total

Investments

Securities

Value

1,406,134,261

93.0

Other

Assets

Excess

Liabilities

‡

106,288,870

7.0

Net

Assets

1,512,423,131

100.0%

Affiliate

Value

12/31/2022

Purchases

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

Unrealized

App/Dep

Value

9/30/2023

Held

9/30/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

25.7%

INVESTMENT

COMPANIES

25.7%

Limited

Purpose

Cash

Investment

Fund,

5.36%

(1)(a)

(Cost

$387,969,902)

$304,515,851

$2,164,065,122

$(2,080,548,584)

$10,528

$21,395

$388,064,312

388,180,767

$9,106,960

$–

(1)

Level

security.

(a)

Represents

7-day

effective

yield

September

30,

2023.

All

securities

are

Level

with

respect

ASC

820,

unless

otherwise

noted

parentheses.

(1)

Level

security.

121

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

Credit

default

swap

contracts

outstanding

sell

protection

September

30,

2023

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

40.V1

5.00

Quarterly

12/20/2028

4.26

EUR

2,967,000

104,346

(5,764)

98,582

iTraxx

Europe

Main

Index

Series

40.V1

1.00

Quarterly

12/20/2028

0.79

EUR

23,356,000

274,516

(26,884)

247,632

Markit

CDX

North

America

Investment

Grade

Index

Series

41.V1

1.00

Quarterly

12/20/2028

0.74

USD

15,874,000

209,480

(16,265)

193,215

588,342

(48,913)

539,429

Markit

CDX

North

America

Emerging

Markets

Index

Series

40.V1

1.00

Quarterly

12/20/2028

2.26

USD

4,591,000

(235,453)

(14,732)

(250,185)

Markit

CDX

North

America

High

Yield

Index

Series

41.V1

5.00

Quarterly

12/20/2028

4.79

USD

198,000

1,139

(1,632)

(493)

(234,314)

(16,364)

(250,678)

354,028

(65,277)

288,751

Forward

effective

interest

rate

swap

contracts

outstanding

September

30,

2023:

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

SARON

Annual

2.00%

Annual

3/20/2034

CHF

100,000

2,162

(222)

1,940

Pay

TONAR

Annual

1.00%

Annual

12/20/2033

JPY

5,200,000,000

621,523

(567,391)

54,132

Pay

STIBOR

Qtrly

3.50%

Annual

3/15/2034

SEK

11,000,000

17,125

(9,520)

7,605

Pay

BBR

Semi

4.50%

Semi

3/08/2029

AUD

116,600,000

1,102,942

(1,095,481)

7,461

Pay

BUBOR

Semi

8.50%

Annual

12/17/2025

HUF

540,000,000

13,484

(12,659)

825

Pay

BUBOR

Semi

8.00%

Annual

3/18/2026

HUF

590,000,000

20,800

(12,891)

7,909

Pay

WIBOR

Semi

5.50%

Annual

12/17/2025

PLN

6,600,000

2,884

30,190

33,074

Pay

WIBOR

Semi

5.00%

Annual

12/17/2025

PLN

9,300,000

6,934

20,382

27,316

Pay

WIBOR

Semi

4.50%

Annual

3/18/2026

PLN

19,700,000

10,850

22,339

33,189

Pay

WIBOR

Semi

5.00%

Annual

12/20/2028

PLN

2,700,000

9,133

4,847

13,980

Pay

WIBOR

Semi

5.50%

Annual

12/20/2028

PLN

2,900,000

11,794

17,263

29,057

Pay

WIBOR

Semi

4.50%

Annual

3/21/2029

PLN

11,000,000

25,636

(17,268)

8,368

Receive

CORRA

Semi

4.50%

Semi

12/18/2025

CAD

14,100,000

17,511

62,381

79,892

Receive

CORRA

Semi

4.00%

Semi

12/18/2025

CAD

5,000,000

11,827

50,727

62,554

Receive

CORRA

Semi

4.50%

Semi

3/18/2026

CAD

207,100,000

54,741

755,866

810,607

Receive

CORRA

Semi

3.50%

Semi

12/18/2028

CAD

900,000

4,767

17,453

22,220

Receive

SARON

Annual

1.50%

Annual

12/22/2025

CHF

36,200,000

271,587

(129,623)

141,964

Receive

SARON

Annual

1.50%

Annual

3/20/2026

CHF

38,300,000

181,939

(49,306)

132,633

Receive

SOFR

Annual

4.19%

Annual

12/22/2025

USD

311,100,000

(871,534)

4,515,095

3,643,561

Receive

SOFR

Annual

3.50%

Annual

3/20/2026

USD

383,800,000

6,781,000

1,159,274

7,940,274

Receive

SOFR

Annual

3.48%

Annual

12/20/2033

USD

20,600,000

6,507

1,258,035

1,264,542

Receive

SONIA

Annual

4.75%

Annual

3/20/2026

GBP

58,300,000

688,086

(449,347)

238,739

Receive

SONIA

Annual

3.82%

Annual

12/20/2028

GBP

93,700,000

2,801,770

749,376

3,551,146

Receive

SONIA

Annual

4.25%

Annual

3/20/2029

GBP

22,700,000

553,648

(304,891)

248,757

Receive

TONAR

Annual

0.00%

Annual

12/22/2025

JPY

40,069,000,000

984,927

468,722

1,453,649

Receive

TONAR

Annual

0.50%

Annual

12/20/2033

JPY

882,700,000

87,617

186,739

274,356

Receive

TIIE

Monthly

9.00%

Monthly

12/17/2025

MXN

178,000,000

27,483

216,971

244,454

Receive

TIIE

Monthly

8.50%

Monthly

12/17/2025

MXN

1,087,400,000

258,813

1,783,790

2,042,603

Receive

TIIE

Monthly

9.00%

Monthly

3/18/2026

MXN

164,200,000

61,232

102,706

163,938

122

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

TIIE

Monthly

8.00%

Monthly

12/13/2028

MXN

526,000,000

153,432

1,544,320

1,697,752

Receive

TIIE

Monthly

8.50%

Monthly

3/14/2029

MXN

21,000,000

11,895

24,829

36,724

Receive

BBR

Qtrly

5.50%

Semi

12/10/2025

NZD

500,000

(1,789)

2,794

1,005

Receive

BBR

Qtrly

5.00%

Semi

12/10/2025

NZD

39,100,000

(76,012)

362,403

286,391

Receive

BBR

Qtrly

4.00%

Qtrly

12/11/2025

AUD

35,900,000

72,361

57,428

129,789

Receive

BBR

Qtrly

5.50%

Semi

3/11/2026

NZD

87,100,000

(342,206)

397,989

55,783

Receive

BBR

Qtrly

4.00%

Qtrly

3/12/2026

AUD

285,800,000

64,121

894,963

959,084

Receive

BBR

Qtrly

5.00%

Semi

3/14/2029

NZD

400,000

(3,292)

4,729

1,437

Receive

BBR

Qtrly

4.00%

Semi

12/14/2033

NZD

8,500,000

133,485

325,277

458,762

Receive

BBR

Qtrly

4.50%

Semi

12/14/2033

NZD

300,000

938

8,336

9,274

Receive

CD_KSDA

Qtrly

3.50%

Qtrly

12/17/2025

KRW

11,459,300,000

(8,782)

68,494

59,712

Receive

CD_KSDA

Qtrly

3.50%

Qtrly

3/18/2026

KRW

2,100,000,000

7,527

2,532

10,059

Receive

CD_KSDA

Qtrly

3.50%

Qtrly

12/20/2028

KRW

4,800,000,000

(30,115)

79,382

49,267

Receive

CD_KSDA

Qtrly

3.50%

Qtrly

3/21/2029

KRW

900,000,000

2,494

6,400

8,894

Receive

HIBOR

Qtrly

4.00%

Qtrly

12/17/2025

HKD

98,700,000

7,942

149,040

156,982

Receive

HIBOR

Qtrly

4.50%

Qtrly

12/17/2025

HKD

11,600,000

(2,270)

7,068

4,798

Receive

HIBOR

Qtrly

4.50%

Qtrly

3/18/2026

HKD

26,700,000

(10,594)

13,294

2,700

Receive

HIBOR

Qtrly

4.00%

Qtrly

12/20/2028

HKD

5,000,000

2,338

9,250

11,588

Receive

HIBOR

Qtrly

3.50%

Qtrly

12/20/2028

HKD

45,200,000

73,874

155,410

229,284

Receive

HIBOR

Qtrly

4.00%

Qtrly

3/21/2029

HKD

10,400,000

7,736

13,449

21,185

Receive

JIBAR

Qtrly

8.00%

Qtrly

3/18/2026

ZAR

14,000,000

6,589

3,879

10,468

Receive

STIBOR

Qtrly

3.50%

Annual

12/17/2025

SEK

489,700,000

(65,034)

423,760

358,726

Receive

STIBOR

Qtrly

3.50%

Annual

3/18/2026

SEK

855,300,000

361,580

92,754

454,334

Receive

STIBOR

Qtrly

3.00%

Annual

12/21/2033

SEK

26,600,000

10,214

77,898

88,112

Receive

BBR

Semi

4.00%

Semi

12/08/2033

AUD

2,900,000

115,475

576

116,051

Receive

BBR

Semi

4.50%

Semi

12/08/2033

AUD

5,800,000

(44,099)

124,513

80,414

Receive

EURIBOR

Semi

3.55%

Annual

12/22/2025

EUR

407,100,000

(2,140,129)

3,241,317

1,101,188

Receive

EURIBOR

Semi

3.25%

Annual

3/20/2026

EUR

90,400,000

336,871

183,819

520,690

Receive

EURIBOR

Semi

3.13%

Annual

12/20/2033

EUR

1,100,000

5,055

18,606

23,661

Receive

EURIBOR

Semi

3.00%

Annual

3/20/2034

EUR

2,100,000

27,491

37,202

64,693

Receive

NIBOR

Semi

4.50%

Annual

12/17/2025

NOK

29,000,000

10,448

3,525

13,973

Receive

NIBOR

Semi

3.50%

Annual

12/17/2025

NOK

5,000,000

2,752

8,299

11,051

Receive

NIBOR

Semi

4.00%

Annual

12/17/2025

NOK

794,300,000

75,520

993,644

1,069,164

Receive

NIBOR

Semi

4.50%

Annual

3/18/2026

NOK

955,700,000

309,330

(40,235)

269,095

Receive

NIBOR

Semi

4.00%

Annual

12/20/2028

NOK

2,000,000

(770)

3,768

2,998

Receive

NIBOR

Semi

4.00%

Annual

12/21/2033

NOK

2,000,000

877

1,896

2,773

Receive

NIBOR

Semi

3.50%

Annual

12/21/2033

NOK

153,300,000

43,713

747,955

791,668

Receive

PRIBOR

Semi

4.50%

Annual

3/18/2026

CZK

62,200,000

1,818

4,749

6,567

Receive

PRIBOR

Semi

4.00%

Annual

3/21/2029

CZK

54,000,000

31,586

7,271

38,857

12,919,558

18,836,140

31,755,698

Pay

CORRA

Semi

4.00%

Semi

3/19/2029

CAD

13,600,000

68,333

(150,148)

(81,815)

Pay

CORRA

Semi

3.50%

Semi

12/19/2033

CAD

800,000

(18,946)

(10,683)

(29,629)

Pay

CORRA

Semi

4.00%

Semi

3/20/2034

CAD

8,300,000

56,099

(99,508)

(43,409)

Pay

CORRA

Semi

3.50%

Semi

3/20/2034

CAD

25,900,000

(414,439)

(485,273)

(899,712)

Pay

SARON

Annual

1.50%

Annual

12/20/2028

CHF

31,500,000

(449,111)

157,405

(291,706)

Pay

SARON

Annual

1.50%

Annual

3/20/2029

CHF

9,600,000

(103,534)

15,015

(88,519)

Pay

SARON

Annual

1.50%

Annual

3/20/2034

CHF

3,400,000

(89,867)

(14,113)

(103,980)

Pay

SOFR

Annual

3.63%

Annual

12/20/2028

USD

147,500,000

600,517

(5,100,585)

(4,500,068)

Pay

SOFR

Annual

3.25%

Annual

3/20/2029

USD

155,700,000

(5,150,023)

(1,580,908)

(6,730,931)

Pay

SOFR

Annual

3.25%

Annual

3/20/2034

USD

9,600,000

(518,654)

(209,089)

(727,743)

Pay

SONIA

Annual

4.25%

Annual

12/22/2025

GBP

70,900,000

(1,808,300)

467,799

(1,340,501)

Pay

SONIA

Annual

3.62%

Annual

12/20/2033

GBP

38,400,000

(2,406,126)

(159,361)

(2,565,487)

Pay

SONIA

Annual

4.25%

Annual

3/20/2034

GBP

15,500,000

158,879

(213,060)

(54,181)

Pay

SONIA

Annual

4.00%

Annual

3/20/2034

GBP

19,700,000

(640,515)

105,696

(534,819)

Pay

TONAR

Annual

0.50%

Annual

12/20/2028

JPY

5,638,300,000

373,833

(543,568)

(169,735)

Pay

TONAR

Annual

0.50%

Annual

3/21/2029

JPY

16,159,700,000

(797,005)

25,068

(771,937)

Pay

TONAR

Annual

1.00%

Annual

3/21/2034

JPY

1,920,000,000

(2,648)

(43,815)

(46,463)

123

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

BBR

Qtrly

4.50%

Semi

12/13/2028

NZD

26,200,000

126,053

(591,910)

(465,857)

Pay

BBR

Qtrly

5.00%

Semi

3/15/2034

NZD

18,000,000

299,265

(424,647)

(125,382)

Pay

JIBAR

Qtrly

8.50%

Qtrly

3/22/2029

ZAR

30,000,000

(5,249)

(24,374)

(29,623)

Pay

STIBOR

Qtrly

3.50%

Annual

12/20/2028

SEK

58,000,000

50,096

(56,782)

(6,686)

Pay

STIBOR

Qtrly

3.00%

Annual

12/20/2028

SEK

169,400,000

9,597

(376,752)

(367,155)

Pay

STIBOR

Qtrly

3.00%

Annual

3/15/2034

SEK

170,500,000

(292,892)

(232,695)

(525,587)

Pay

BBR

Semi

4.00%

Semi

12/07/2028

AUD

21,200,000

(71,251)

(219,238)

(290,489)

Pay

BBR

Semi

4.50%

Semi

3/09/2034

AUD

1,500,000

2,998

(23,202)

(20,204)

Pay

BUBOR

Semi

7.00%

Annual

3/18/2026

HUF

1,410,000,000

677

(47,324)

(46,647)

Pay

BUBOR

Semi

6.50%

Annual

12/20/2028

HUF

240,000,000

(2,405)

(17,211)

(19,616)

Pay

BUBOR

Semi

7.00%

Annual

12/20/2028

HUF

240,000,000

12,730

(19,258)

(6,528)

Pay

BUBOR

Semi

6.50%

Annual

3/21/2029

HUF

770,000,000

15,290

(50,385)

(35,095)

Pay

EURIBOR

Semi

3.19%

Annual

12/20/2028

EUR

166,300,000

2,032,588

(3,377,884)

(1,345,296)

Pay

EURIBOR

Semi

3.00%

Annual

3/20/2029

EUR

38,100,000

(207,357)

(339,800)

(547,157)

Pay

NIBOR

Semi

3.50%

Annual

12/20/2028

NOK

516,500,000

(397,480)

(1,437,864)

(1,835,344)

Pay

NIBOR

Semi

4.00%

Annual

3/15/2034

NOK

204,600,000

(104,949)

(132,075)

(237,024)

Pay

WIBOR

Semi

4.00%

Annual

3/18/2026

PLN

6,900,000

(3,215)

–

(3,215)

Pay

WIBOR

Semi

4.00%

Annual

3/21/2029

PLN

2,900,000

(10,341)

(1,321)

(11,662)

Receive

SARON

Annual

2.00%

Annual

12/22/2025

CHF

9,600,000

(34,023)

(32,019)

(66,042)

Receive

SARON

Annual

2.00%

Annual

3/20/2026

CHF

500,000

(2,605)

(1,018)

(3,623)

Receive

SARON

Annual

2.00%

Annual

12/20/2033

CHF

6,000,000

(92,092)

(29,013)

(121,105)

Receive

SONIA

Annual

5.25%

Annual

3/20/2026

GBP

68,100,000

(527,344)

54,078

(473,266)

Receive

TONAR

Annual

0.50%

Annual

3/23/2026

JPY

50,680,000,000

(1,222,961)

165,463

(1,057,498)

Receive

BBR

Qtrly

4.50%

Qtrly

12/11/2025

AUD

4,200,000

(3,489)

(7,487)

(10,976)

Receive

STIBOR

Qtrly

4.00%

Annual

12/17/2025

SEK

115,000,000

(30,221)

16,308

(13,913)

Receive

STIBOR

Qtrly

4.00%

Annual

3/18/2026

SEK

79,000,000

(20,337)

(4,821)

(25,158)

Receive

STIBOR

Qtrly

3.50%

Annual

3/21/2029

SEK

7,100,000

(5,435)

4,568

(867)

Receive

NIBOR

Semi

5.00%

Annual

12/17/2025

NOK

4,000,000

(2,054)

524

(1,530)

Receive

NIBOR

Semi

4.50%

Annual

3/21/2029

NOK

1,000,000

(592)

–

(592)

(11,628,505)

(15,045,267)

(26,673,772)

1,291,053

3,790,873

5,081,926

Abbreviations:

1D:

Day

1M:

Month

3M:

Month

6M:

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

September

30,

2023

were

follows:

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

5.02%

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.31%

Day

Sterling

Overnight

Index

Average

(''SONIA''):

5.19%

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.71%

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.06%

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.50%

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.14%

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

5.27%

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

8.33%

Month

Korean

Certificate

Deposit

(''CD_KSDA''):

3.83%

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

4.06%

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.40%

124

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

11.99%

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

4.13%

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

5.03%

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

7.02%

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

5.53%

Total

return

swap

contracts

outstanding

September

30,

2023

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Amsterdam

Exchange

Index

October

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

termination

MSCS

10/20/2023

EUR

(21,323,300)

252,112

HSCEI

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

GSIN

10/30/2023

HKD

46,048,450

57,442

HSCEI

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MLIN

10/30/2023

HKD

61,500,950

71,211

Swiss

Market

Index

December

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

Monthly

MLIN

12/15/2023

CHF

(19,033,460)

52,846

433,611

Hang

Seng

Index

October

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

termination

MLIN

10/30/2023

HKD

(43,828,050)

(57,228)

iBovespa

Index

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MSCS

10/18/2023

BRL

32,822,160

(226,039)

KOSPI

200

Index

December

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MLIN

12/14/2023

KRW

4,194,750,000

(86,292)

(369,559)

64,052

Futures

contracts

outstanding

September

30,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

10/2023

USD

2,858,200

(44,910)

HSCEI

246

10/2023

HKD

9,708,439

112,855

IFSC

NIFTY

Index

219

10/2023

USD

8,633,199

(39,291)

LME

Aluminum

Base

Metal

10/2023

USD

117,106

5,025

LME

Aluminum

Base

Metal

10/2023

USD

1,581,329

82,142

LME

Aluminum

Base

Metal

10/2023

USD

2,811,984

165,722

LME

Aluminum

Base

Metal

10/2023

USD

4,035,500

268,171

LME

Aluminum

Base

Metal

10/2023

USD

4,502,575

166,285

LME

Aluminum

Base

Metal

10/2023

USD

4,554,225

369,127

125

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

10/2023

USD

4,788,288

309,121

LME

Aluminum

Base

Metal

111

10/2023

USD

6,482,400

466,383

LME

Aluminum

Base

Metal

115

10/2023

USD

6,723,044

265,605

LME

Copper

Base

Metal

10/2023

USD

206,131

(3,394)

LME

Copper

Base

Metal

10/2023

USD

412,438

(18,818)

LME

Copper

Base

Metal

10/2023

USD

824,025

(28,886)

LME

Copper

Base

Metal

10/2023

USD

822,950

(11,656)

LME

Copper

Base

Metal

10/2023

USD

1,647,800

(46,171)

LME

Copper

Base

Metal

10/2023

USD

5,553,677

(130,569)

LME

Copper

Base

Metal

10/2023

USD

10,693,579

(116,032)

LME

Lead

Base

Metal

10/2023

USD

54,256

303

LME

Lead

Base

Metal

10/2023

USD

437,900

25,079

LME

Lead

Base

Metal

10/2023

USD

438,126

28,705

LME

Lead

Base

Metal

10/2023

USD

492,300

17,526

LME

Lead

Base

Metal

10/2023

USD

547,188

31,786

LME

Lead

Base

Metal

10/2023

USD

707,038

16,813

LME

Lead

Base

Metal

10/2023

USD

815,295

9,982

LME

Lead

Base

Metal

10/2023

USD

1,032,151

1,981

LME

Lead

Base

Metal

10/2023

USD

1,465,958

9,225

LME

Nickel

Base

Metal

10/2023

USD

444,909

(84,955)

LME

Nickel

Base

Metal

10/2023

USD

998,633

(133,504)

LME

Nickel

Base

Metal

10/2023

USD

1,111,517

(210,472)

LME

Nickel

Base

Metal

10/2023

USD

1,107,996

(143,407)

LME

Nickel

Base

Metal

10/2023

USD

1,775,712

(245,328)

LME

Zinc

Base

Metal

10/2023

USD

198,413

19,255

LME

Zinc

Base

Metal

10/2023

USD

793,713

76,122

LME

Zinc

Base

Metal

10/2023

USD

793,575

85,765

LME

Zinc

Base

Metal

10/2023

USD

859,589

92,692

LME

Zinc

Base

Metal

10/2023

USD

992,040

72,496

LME

Zinc

Base

Metal

10/2023

USD

1,058,300

105,275

LME

Zinc

Base

Metal

10/2023

USD

3,703,882

235,099

LME

Zinc

Base

Metal

10/2023

USD

3,835,613

373,929

Milk

10/2023

USD

33,760

(4,377)

Natural

Gas

352

10/2023

USD

10,310,080

(211,275)

Harbor

ULSD

10/2023

USD

6,099,509

17,501

RBOB

Gasoline

122

10/2023

USD

12,295,038

(1,224,844)

SGX

FTSE

China

A50

Index

2,705

10/2023

USD

34,077,590

36,414

SGX

FTSE

Taiwan

Index

10/2023

USD

1,026,000

3,533

WTI

Crude

Oil

156

10/2023

USD

14,163,240

583,240

Ethanol

11/2023

USD

4,596,900

(176,381)

Fcoj-a

11/2023

USD

1,101,713

127,278

LME

Aluminum

Base

Metal

11/2023

USD

117,325

9,319

LME

Aluminum

Base

Metal

11/2023

USD

234,650

20,723

LME

Aluminum

Base

Metal

11/2023

USD

293,313

16,898

LME

Aluminum

Base

Metal

11/2023

USD

351,975

30,957

LME

Aluminum

Base

Metal

11/2023

USD

411,163

23,846

LME

Aluminum

Base

Metal

11/2023

USD

528,221

39,381

LME

Aluminum

Base

Metal

11/2023

USD

1,114,588

55,234

LME

Aluminum

Base

Metal

11/2023

USD

1,232,763

93,226

LME

Aluminum

Base

Metal

11/2023

USD

1,644,489

125,406

LME

Aluminum

Base

Metal

11/2023

USD

2,053,188

119,449

LME

Aluminum

Base

Metal

11/2023

USD

2,346,500

195,382

LME

Aluminum

Base

Metal

11/2023

USD

3,050,450

192,897

LME

Copper

Base

Metal

11/2023

USD

825,800

(17,211)

LME

Copper

Base

Metal

11/2023

USD

825,575

3,089

LME

Copper

Base

Metal

11/2023

USD

1,031,990

(36,148)

126

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

11/2023

USD

1,032,397

334

LME

Copper

Base

Metal

11/2023

USD

1,856,531

(111,621)

LME

Copper

Base

Metal

11/2023

USD

2,064,345

15,351

LME

Copper

Base

Metal

11/2023

USD

2,272,394

(40,660)

LME

Copper

Base

Metal

11/2023

USD

2,681,819

(108,990)

LME

Copper

Base

Metal

11/2023

USD

3,094,718

(100,849)

LME

Copper

Base

Metal

11/2023

USD

3,717,788

(57,035)

LME

Copper

Base

Metal

11/2023

USD

5,988,529

(76,039)

LME

Lead

Base

Metal

11/2023

USD

54,245

843

LME

Lead

Base

Metal

11/2023

USD

108,441

2,410

LME

Lead

Base

Metal

11/2023

USD

216,800

2,628

LME

Lead

Base

Metal

11/2023

USD

216,860

3,549

LME

Lead

Base

Metal

11/2023

USD

216,961

2,302

LME

Lead

Base

Metal

11/2023

USD

325,382

2,800

LME

Lead

Base

Metal

11/2023

USD

380,450

(3,707)

LME

Lead

Base

Metal

11/2023

USD

488,138

4,251

LME

Lead

Base

Metal

11/2023

USD

542,000

15,487

LME

Lead

Base

Metal

11/2023

USD

814,125

336

LME

Nickel

Base

Metal

11/2023

USD

222,972

(15,234)

LME

Nickel

Base

Metal

11/2023

USD

1,558,956

(250,109)

LME

Nickel

Base

Metal

11/2023

USD

1,670,850

(181,664)

LME

Nickel

Base

Metal

11/2023

USD

2,118,405

(181,031)

LME

Nickel

Base

Metal

11/2023

USD

3,453,648

(321,973)

LME

Zinc

Base

Metal

11/2023

USD

397,019

13,842

LME

Zinc

Base

Metal

11/2023

USD

1,721,811

194,722

LME

Zinc

Base

Metal

11/2023

USD

2,714,918

365,722

LME

Zinc

Base

Metal

11/2023

USD

3,046,833

310,322

LME

Zinc

Base

Metal

11/2023

USD

3,510,256

447,694

LME

Zinc

Base

Metal

11/2023

USD

3,974,250

463,698

LME

Zinc

Base

Metal

11/2023

USD

4,042,546

331,413

LME

Zinc

Base

Metal

11/2023

USD

4,237,600

588,771

LME

Zinc

Base

Metal

11/2023

USD

4,567,369

619,378

Low

Sulphur

Gasoil

11/2023

USD

8,406,375

322,665

Milk

11/2023

USD

343,400

3,074

Natural

Gas

11/2023

USD

372,750

(520)

Robusta

Coffee

267

11/2023

USD

6,573,540

(148,523)

Rough

Rice

11/2023

USD

509,120

(1,669)

SGX

Iron

Ore

525

11/2023

USD

6,151,425

129,302

White

Sugar

11/2023

USD

3,423,615

(42,376)

100

Gold

12/2023

USD

2,985,760

(117,933)

Cocoa

131

12/2023

GBP

4,713,478

389,696

Cocoa

199

12/2023

USD

6,801,820

(231,055)

DJIA

CBOT

E-Mini

Index

12/2023

USD

10,286,125

(359,983)

ECX

Emission

12/2023

EUR

1,381,530

(72,458)

FTSE/JSE

Top

Index

12/2023

ZAR

71,248

(1,667)

FTSE/MIB

Index

12/2023

EUR

299,022

(2,277)

KOSPI

200

Index

12/2023

KRW

4,266,711

(147,202)

Lean

Hogs

12/2023

USD

1,406,790

(76,109)

Live

Cattle

189

12/2023

USD

14,207,130

(63,777)

LME

Aluminum

Base

Metal

12/2023

USD

293,813

16,570

LME

Aluminum

Base

Metal

12/2023

USD

352,451

16,320

LME

Aluminum

Base

Metal

12/2023

USD

470,750

28,726

LME

Aluminum

Base

Metal

12/2023

USD

646,938

46,030

LME

Aluminum

Base

Metal

12/2023

USD

705,900

53,065

LME

Aluminum

Base

Metal

12/2023

USD

1,236,113

76,861

LME

Aluminum

Base

Metal

12/2023

USD

1,820,343

92,427

127

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

12/2023

USD

2,001,385

137,234

LME

Aluminum

Base

Metal

12/2023

USD

2,470,125

125,057

LME

Aluminum

Base

Metal

106

12/2023

USD

6,240,750

402,487

LME

Copper

Base

Metal

12/2023

USD

620,024

1,116

LME

Copper

Base

Metal

12/2023

USD

827,050

(3,921)

LME

Copper

Base

Metal

12/2023

USD

1,653,664

(20,007)

LME

Copper

Base

Metal

12/2023

USD

1,652,800

(2,271)

LME

Copper

Base

Metal

12/2023

USD

2,272,804

(71,475)

LME

Copper

Base

Metal

12/2023

USD

3,101,471

(2,193)

LME

Copper

Base

Metal

12/2023

USD

3,308,108

(64,597)

LME

Copper

Base

Metal

12/2023

USD

6,407,018

(29,439)

LME

Copper

Base

Metal

12/2023

USD

7,029,534

133,740

LME

Copper

Base

Metal

12/2023

USD

7,236,250

(116,211)

LME

Copper

Base

Metal

12/2023

USD

7,854,591

(98,534)

LME

Lead

Base

Metal

12/2023

USD

54,294

(1,509)

LME

Lead

Base

Metal

12/2023

USD

162,825

(1,151)

LME

Lead

Base

Metal

12/2023

USD

163,048

(7,395)

LME

Lead

Base

Metal

12/2023

USD

163,031

(2,952)

LME

Lead

Base

Metal

12/2023

USD

217,250

(7,028)

LME

Lead

Base

Metal

12/2023

USD

597,812

(15,230)

LME

Lead

Base

Metal

12/2023

USD

1,141,261

(20,619)

LME

Lead

Base

Metal

12/2023

USD

1,195,579

(34,279)

LME

Lead

Base

Metal

12/2023

USD

1,195,596

(40,862)

LME

Lead

Base

Metal

143

12/2023

USD

7,761,325

(192,825)

LME

Nickel

Base

Metal

12/2023

USD

671,724

(47,572)

LME

Nickel

Base

Metal

12/2023

USD

783,720

(40,759)

LME

Nickel

Base

Metal

12/2023

USD

1,007,123

(69,753)

LME

Nickel

Base

Metal

12/2023

USD

1,119,660

(38,067)

LME

Nickel

Base

Metal

12/2023

USD

1,682,460

(26,234)

LME

Nickel

Base

Metal

12/2023

USD

1,679,865

(55,021)

LME

Nickel

Base

Metal

12/2023

USD

1,682,100

(15,142)

LME

Nickel

Base

Metal

12/2023

USD

1,788,096

(189,551)

LME

Nickel

Base

Metal

12/2023

USD

7,063,308

(70,683)

LME

Zinc

Base

Metal

12/2023

USD

729,765

45,645

LME

Zinc

Base

Metal

12/2023

USD

862,550

50,541

LME

Zinc

Base

Metal

12/2023

USD

1,326,375

110,102

LME

Zinc

Base

Metal

12/2023

USD

1,390,830

35,690

LME

Zinc

Base

Metal

12/2023

USD

1,459,931

67,855

LME

Zinc

Base

Metal

12/2023

USD

1,459,469

77,894

LME

Zinc

Base

Metal

12/2023

USD

1,523,606

85,015

LME

Zinc

Base

Metal

12/2023

USD

1,523,463

2,302

LME

Zinc

Base

Metal

12/2023

USD

2,582,239

88,075

LME

Zinc

Base

Metal

12/2023

USD

4,442,954

317,464

LME

Zinc

Base

Metal

143

12/2023

USD

9,472,678

477,653

LME

Zinc

Base

Metal

489

12/2023

USD

32,429,869

1,656,245

MSCI

Emerging

Markets

E-Mini

Index

348

12/2023

USD

16,625,700

(480,082)

Nikkei

225

Index

12/2023

JPY

2,345,155

(24,117)

S&P

500

E-Mini

Index

12/2023

USD

1,730,200

(70,581)

S&P

Midcap

400

E-Mini

Index

12/2023

USD

2,268,360

(73,299)

Silver

12/2023

USD

3,255,250

(347,007)

Soybean

Oil

12/2023

USD

2,813,832

(243,490)

TOPIX

Index

12/2023

JPY

10,417,191

(203,070)

Crude

Oil

271

2/2024

JPY

7,266,441

141,365

Sugar

No.

173

2/2024

USD

5,130,765

(73,381)

Rubber

3/2024

JPY

62,982

(330)

Month

SARON

100

6/2024

CHF

26,824,439

15,282

128

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Month

SARON

9/2024

CHF

19,314,579

7,819

Month

SARON

12/2024

CHF

15,296,157

3,700

Month

SARON

3/2025

CHF

13,696,482

3,113

5,209,498

Short

Contracts

CAC

Euro

Index

(183)

10/2023

EUR

(13,836,490)

195,020

CBOE

Volatility

Index

(14)

10/2023

USD

(248,797)

10,377

EURO

STOXX

Volatility

Index

(77)

10/2023

EUR

(144,093)

(2,341)

Hang

Seng

Index

(55)

10/2023

HKD

(6,282,092)

(65,628)

IBEX

Index

(40)

10/2023

EUR

(3,992,176)

13,826

LME

Aluminum

Base

Metal

(2)

10/2023

USD

(117,106)

(5,331)

LME

Aluminum

Base

Metal

(27)

10/2023

USD

(1,581,329)

(83,331)

LME

Aluminum

Base

Metal

(48)

10/2023

USD

(2,811,984)

(162,563)

LME

Aluminum

Base

Metal

(69)

10/2023

USD

(4,035,500)

(256,064)

LME

Aluminum

Base

Metal

(77)

10/2023

USD

(4,502,575)

(217,390)

LME

Aluminum

Base

Metal

(78)

10/2023

USD

(4,554,225)

(365,647)

LME

Aluminum

Base

Metal

(82)

10/2023

USD

(4,788,288)

(333,023)

LME

Aluminum

Base

Metal

(111)

10/2023

USD

(6,482,400)

(393,995)

LME

Aluminum

Base

Metal

(115)

10/2023

USD

(6,723,044)

(267,208)

LME

Copper

Base

Metal

(1)

10/2023

USD

(206,131)

4,529

LME

Copper

Base

Metal

(2)

10/2023

USD

(412,438)

18,289

LME

Copper

Base

Metal

(4)

10/2023

USD

(822,950)

15,629

LME

Copper

Base

Metal

(4)

10/2023

USD

(824,025)

23,310

LME

Copper

Base

Metal

(8)

10/2023

USD

(1,647,800)

43,180

LME

Copper

Base

Metal

(27)

10/2023

USD

(5,553,677)

96,509

LME

Copper

Base

Metal

(52)

10/2023

USD

(10,693,579)

123,127

LME

Lead

Base

Metal

(1)

10/2023

USD

(54,256)

(421)

LME

Lead

Base

Metal

(8)

10/2023

USD

(438,126)

(26,572)

LME

Lead

Base

Metal

(8)

10/2023

USD

(437,900)

(25,738)

LME

Lead

Base

Metal

(9)

10/2023

USD

(492,300)

(17,155)

LME

Lead

Base

Metal

(10)

10/2023

USD

(547,188)

(28,731)

LME

Lead

Base

Metal

(13)

10/2023

USD

(707,038)

(15,672)

LME

Lead

Base

Metal

(15)

10/2023

USD

(815,295)

(14,334)

LME

Lead

Base

Metal

(19)

10/2023

USD

(1,032,151)

2,824

LME

Lead

Base

Metal

(27)

10/2023

USD

(1,465,958)

(8,029)

LME

Nickel

Base

Metal

(4)

10/2023

USD

(444,909)

82,840

LME

Nickel

Base

Metal

(9)

10/2023

USD

(998,633)

132,990

LME

Nickel

Base

Metal

(10)

10/2023

USD

(1,107,996)

139,675

LME

Nickel

Base

Metal

(10)

10/2023

USD

(1,111,517)

205,603

LME

Nickel

Base

Metal

(16)

10/2023

USD

(1,775,712)

234,699

LME

Zinc

Base

Metal

(3)

10/2023

USD

(198,413)

(21,585)

LME

Zinc

Base

Metal

(12)

10/2023

USD

(793,575)

(77,625)

LME

Zinc

Base

Metal

(12)

10/2023

USD

(793,713)

(77,648)

LME

Zinc

Base

Metal

(13)

10/2023

USD

(859,589)

(95,228)

LME

Zinc

Base

Metal

(15)

10/2023

USD

(992,040)

(66,635)

LME

Zinc

Base

Metal

(16)

10/2023

USD

(1,058,300)

(101,627)

LME

Zinc

Base

Metal

(56)

10/2023

USD

(3,703,882)

(241,497)

LME

Zinc

Base

Metal

(58)

10/2023

USD

(3,835,613)

(390,170)

MSCI

Singapore

Index

(590)

10/2023

SGD

(12,328,713)

(187,938)

Natural

Gas

(25)

10/2023

EUR

(796,598)

21,089

OMXS30

Index

(489)

10/2023

SEK

(9,667,614)

98,008

Rapeseed

(160)

10/2023

EUR

(3,742,665)

(13,198)

Canola

(14)

11/2023

CAD

(145,746)

997

CBOE

Volatility

Index

(20)

11/2023

USD

(364,926)

3,788

EURO

STOXX

Volatility

Index

(81)

11/2023

EUR

(157,144)

(7,384)

Feeder

Cattle

(12)

11/2023

USD

(1,529,400)

3,706

129

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

French

Base

Electricity

(7)

11/2023

EUR

(600,153)

6,495

Italian

Base

Electricity

(4)

11/2023

EUR

(390,536)

5,697

LME

Aluminum

Base

Metal

(2)

11/2023

USD

(117,325)

(9,245)

LME

Aluminum

Base

Metal

(4)

11/2023

USD

(234,650)

(20,669)

LME

Aluminum

Base

Metal

(5)

11/2023

USD

(293,313)

(16,805)

LME

Aluminum

Base

Metal

(6)

11/2023

USD

(351,975)

(30,128)

LME

Aluminum

Base

Metal

(7)

11/2023

USD

(411,163)

(23,208)

LME

Aluminum

Base

Metal

(9)

11/2023

USD

(528,221)

(39,773)

LME

Aluminum

Base

Metal

(19)

11/2023

USD

(1,114,588)

(54,214)

LME

Aluminum

Base

Metal

(21)

11/2023

USD

(1,232,763)

(96,544)

LME

Aluminum

Base

Metal

(28)

11/2023

USD

(1,644,489)

(127,856)

LME

Aluminum

Base

Metal

(35)

11/2023

USD

(2,053,188)

(118,655)

LME

Aluminum

Base

Metal

(40)

11/2023

USD

(2,346,500)

(195,361)

LME

Aluminum

Base

Metal

(52)

11/2023

USD

(3,050,450)

(182,507)

LME

Copper

Base

Metal

(4)

11/2023

USD

(825,800)

17,548

LME

Copper

Base

Metal

(4)

11/2023

USD

(825,575)

(4,761)

LME

Copper

Base

Metal

(5)

11/2023

USD

(1,032,397)

(4,129)

LME

Copper

Base

Metal

(5)

11/2023

USD

(1,031,990)

35,306

LME

Copper

Base

Metal

(9)

11/2023

USD

(1,856,531)

123,445

LME

Copper

Base

Metal

(10)

11/2023

USD

(2,064,345)

(7,559)

LME

Copper

Base

Metal

(11)

11/2023

USD

(2,272,394)

40,335

LME

Copper

Base

Metal

(13)

11/2023

USD

(2,681,819)

100,019

LME

Copper

Base

Metal

(15)

11/2023

USD

(3,094,718)

101,191

LME

Copper

Base

Metal

(18)

11/2023

USD

(3,717,788)

57,665

LME

Copper

Base

Metal

(29)

11/2023

USD

(5,988,529)

63,620

LME

Lead

Base

Metal

(1)

11/2023

USD

(54,245)

(719)

LME

Lead

Base

Metal

(2)

11/2023

USD

(108,441)

(2,201)

LME

Lead

Base

Metal

(4)

11/2023

USD

(216,961)

(3,572)

LME

Lead

Base

Metal

(4)

11/2023

USD

(216,860)

(3,417)

LME

Lead

Base

Metal

(4)

11/2023

USD

(216,800)

(2,411)

LME

Lead

Base

Metal

(6)

11/2023

USD

(325,382)

(2,897)

LME

Lead

Base

Metal

(7)

11/2023

USD

(380,450)

3,705

LME

Lead

Base

Metal

(9)

11/2023

USD

(488,138)

(6,661)

LME

Lead

Base

Metal

(10)

11/2023

USD

(542,000)

(15,776)

LME

Lead

Base

Metal

(15)

11/2023

USD

(814,125)

(1,124)

LME

Nickel

Base

Metal

(2)

11/2023

USD

(222,972)

16,173

LME

Nickel

Base

Metal

(14)

11/2023

USD

(1,558,956)

239,204

LME

Nickel

Base

Metal

(15)

11/2023

USD

(1,670,850)

193,282

LME

Nickel

Base

Metal

(19)

11/2023

USD

(2,118,405)

160,772

LME

Nickel

Base

Metal

(31)

11/2023

USD

(3,453,648)

345,690

LME

Zinc

Base

Metal

(6)

11/2023

USD

(397,019)

(11,649)

LME

Zinc

Base

Metal

(26)

11/2023

USD

(1,721,811)

(198,226)

LME

Zinc

Base

Metal

(41)

11/2023

USD

(2,714,918)

(352,676)

LME

Zinc

Base

Metal

(46)

11/2023

USD

(3,046,833)

(302,837)

LME

Zinc

Base

Metal

(53)

11/2023

USD

(3,510,256)

(437,514)

LME

Zinc

Base

Metal

(60)

11/2023

USD

(3,974,250)

(448,758)

LME

Zinc

Base

Metal

(61)

11/2023

USD

(4,042,546)

(331,701)

LME

Zinc

Base

Metal

(64)

11/2023

USD

(4,237,600)

(580,896)

LME

Zinc

Base

Metal

(69)

11/2023

USD

(4,567,369)

(594,928)

Lumber

(2)

11/2023

USD

(27,583)

Mont

Belvieu

Propane

(10)

11/2023

USD

(306,424)

19,901

Phelix

Base

Electricity

(10)

11/2023

EUR

(829,197)

11,743

Soybean

(917)

11/2023

USD

(58,458,750)

1,630,431

Australia

Year

Bond

(771)

12/2023

AUD

(55,570,175)

1,451,399

Australia

Year

Bond

(2,002)

12/2023

AUD

(135,668,107)

970,863

Canada

Year

Bond

(1,026)

12/2023

CAD

(87,042,871)

1,699,715

130

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

CBOE

Volatility

Index

(26)

12/2023

USD

(476,936)

4,639

Coal

(4)

12/2023

USD

(650,000)

1,308

Coal

(4)

12/2023

USD

(511,800)

590

Coffee

'C'

(31)

12/2023

USD

(1,698,994)

176,162

Copper

(481)

12/2023

USD

(44,943,438)

(41,431)

Corn

(1,416)

12/2023

USD

(33,753,900)

447,001

Cotton

No.

(298)

12/2023

USD

(12,985,350)

(832,856)

Crude

Palm

Oil

(34)

12/2023

MYR

(681,955)

5,978

DAX

Index

(81)

12/2023

EUR

(33,240,099)

844,740

Euro

STOXX

Index

(238)

12/2023

EUR

(10,578,336)

209,470

EURO

STOXX

Volatility

Index

(141)

12/2023

EUR

(266,839)

(11,493)

Euro-Bobl

(977)

12/2023

EUR

(119,458,730)

1,209,726

Euro-BTP

(492)

12/2023

EUR

(56,999,900)

2,701,192

Euro-Bund

(422)

12/2023

EUR

(57,282,418)

1,523,206

Euro-Buxl

(170)

12/2023

EUR

(21,880,635)

1,958,734

Euro-OAT

(508)

12/2023

EUR

(66,002,130)

1,851,274

Euro-Schatz

(3,102)

12/2023

EUR

(344,291,306)

665,877

French

Base

Electricity

(3)

12/2023

EUR

(3,589,845)

733,651

French

Base

Electricity

(3)

12/2023

EUR

(934,661)

50,993

FTSE

100

Index

(152)

12/2023

GBP

(14,226,268)

(144,822)

Italian

Base

Electricity

(2)

12/2023

EUR

(2,556,122)

140,471

Italian

Base

Electricity

(5)

12/2023

EUR

(1,627,354)

80,997

Japan

Year

Bond

(69)

12/2023

JPY

(66,949,946)

381,242

HRW

Wheat

(72)

12/2023

USD

(2,389,500)

205,476

LME

Aluminum

Base

Metal

(5)

12/2023

USD

(293,813)

(16,552)

LME

Aluminum

Base

Metal

(6)

12/2023

USD

(352,451)

(17,018)

LME

Aluminum

Base

Metal

(8)

12/2023

USD

(470,750)

(28,008)

LME

Aluminum

Base

Metal

(11)

12/2023

USD

(646,938)

(46,468)

LME

Aluminum

Base

Metal

(12)

12/2023

USD

(705,900)

(52,172)

LME

Aluminum

Base

Metal

(21)

12/2023

USD

(1,236,113)

(80,572)

LME

Aluminum

Base

Metal

(31)

12/2023

USD

(1,820,343)

(90,059)

LME

Aluminum

Base

Metal

(34)

12/2023

USD

(2,001,385)

(135,291)

LME

Aluminum

Base

Metal

(106)

12/2023

USD

(6,240,750)

(392,386)

LME

Aluminum

Base

Metal

(812)

12/2023

USD

(47,755,750)

(3,192,537)

LME

Copper

Base

Metal

(3)

12/2023

USD

(620,024)

(2,069)

LME

Copper

Base

Metal

(4)

12/2023

USD

(827,050)

4,439

LME

Copper

Base

Metal

(8)

12/2023

USD

(1,653,664)

21,825

LME

Copper

Base

Metal

(8)

12/2023

USD

(1,652,800)

(1,063)

LME

Copper

Base

Metal

(11)

12/2023

USD

(2,272,804)

75,136

LME

Copper

Base

Metal

(15)

12/2023

USD

(3,101,471)

8,100

LME

Copper

Base

Metal

(16)

12/2023

USD

(3,308,108)

50,201

LME

Copper

Base

Metal

(31)

12/2023

USD

(6,407,018)

27,362

LME

Copper

Base

Metal

(34)

12/2023

USD

(7,029,534)

(132,170)

LME

Copper

Base

Metal

(38)

12/2023

USD

(7,854,591)

103,913

LME

Copper

Base

Metal

(197)

12/2023

USD

(40,729,750)

185,536

LME

Lead

Base

Metal

(1)

12/2023

USD

(54,294)

1,326

LME

Lead

Base

Metal

(3)

12/2023

USD

(163,048)

8,919

LME

Lead

Base

Metal

(3)

12/2023

USD

(162,825)

1,080

LME

Lead

Base

Metal

(3)

12/2023

USD

(163,031)

2,801

LME

Lead

Base

Metal

(4)

12/2023

USD

(217,250)

7,639

LME

Lead

Base

Metal

(11)

12/2023

USD

(597,812)

15,410

LME

Lead

Base

Metal

(21)

12/2023

USD

(1,141,261)

22,113

LME

Lead

Base

Metal

(22)

12/2023

USD

(1,195,596)

39,342

LME

Lead

Base

Metal

(22)

12/2023

USD

(1,195,579)

30,795

LME

Lead

Base

Metal

(71)

12/2023

USD

(3,853,525)

108,266

LME

Nickel

Base

Metal

(6)

12/2023

USD

(671,724)

45,406

131

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(7)

12/2023

USD

(783,720)

44,646

LME

Nickel

Base

Metal

(9)

12/2023

USD

(1,007,123)

73,533

LME

Nickel

Base

Metal

(10)

12/2023

USD

(1,119,660)

36,166

LME

Nickel

Base

Metal

(15)

12/2023

USD

(1,682,460)

24,601

LME

Nickel

Base

Metal

(15)

12/2023

USD

(1,679,865)

59,692

LME

Nickel

Base

Metal

(15)

12/2023

USD

(1,682,100)

30,478

LME

Nickel

Base

Metal

(16)

12/2023

USD

(1,788,096)

204,052

LME

Nickel

Base

Metal

(63)

12/2023

USD

(7,063,308)

94,490

LME

Nickel

Base

Metal

(322)

12/2023

USD

(36,053,052)

2,474,508

LME

Zinc

Base

Metal

(11)

12/2023

USD

(729,765)

(48,872)

LME

Zinc

Base

Metal

(13)

12/2023

USD

(862,550)

(53,338)

LME

Zinc

Base

Metal

(20)

12/2023

USD

(1,326,375)

(106,434)

LME

Zinc

Base

Metal

(21)

12/2023

USD

(1,390,830)

(70,029)

LME

Zinc

Base

Metal

(22)

12/2023

USD

(1,459,931)

(71,521)

LME

Zinc

Base

Metal

(22)

12/2023

USD

(1,459,469)

(80,409)

LME

Zinc

Base

Metal

(23)

12/2023

USD

(1,523,606)

(91,256)

LME

Zinc

Base

Metal

(23)

12/2023

USD

(1,523,463)

(1,205)

LME

Zinc

Base

Metal

(39)

12/2023

USD

(2,582,239)

(88,934)

LME

Zinc

Base

Metal

(67)

12/2023

USD

(4,442,954)

(337,702)

LME

Zinc

Base

Metal

(143)

12/2023

USD

(9,472,678)

(463,128)

LME

Zinc

Base

Metal

(495)

12/2023

USD

(32,827,781)

(2,697,702)

Long

Gilt

(310)

12/2023

GBP

(35,474,286)

258,664

Milling

Wheat

No.

(398)

12/2023

EUR

(4,954,749)

27,879

MSCI

EAFE

E-Mini

Index

(216)

12/2023

USD

(22,048,200)

742,950

NASDAQ

100

E-Mini

Index

(8)

12/2023

USD

(2,378,640)

(6,597)

Palladium

(27)

12/2023

USD

(3,391,200)

17,869

Phelix

Base

Electricity

(4)

12/2023

EUR

(4,512,311)

44,126

Phelix

Base

Electricity

(6)

12/2023

EUR

(1,679,607)

79,475

Russell

2000

E-Mini

Index

(103)

12/2023

USD

(9,262,790)

327,833

S&P/TSX

Index

(18)

12/2023

CAD

(3,117,747)

27,485

Soybean

Meal

(6)

12/2023

USD

(228,720)

(4,706)

SPI

200

Index

(83)

12/2023

AUD

(9,453,583)

165,684

U.S.

Treasury

Year

Note

(1,137)

12/2023

USD

(122,831,531)

2,200,118

U.S.

Treasury

Year

Note

(2,113)

12/2023

USD

(428,311,701)

733,621

U.S.

Treasury

Year

Note

(1,733)

12/2023

USD

(182,533,641)

1,235,151

U.S.

Treasury

Long

Bond

(617)

12/2023

USD

(70,260,875)

3,793,073

U.S.

Treasury

Ultra

Bond

(479)

12/2023

USD

(56,986,031)

3,806,619

Wheat

(24)

12/2023

USD

(851,100)

26,324

Wheat

(29)

12/2023

ZAR

(474,354)

2,133

Wheat

(588)

12/2023

USD

(15,920,100)

3,757,554

White

Maize

(54)

12/2023

ZAR

(1,172,478)

(118,803)

Yellow

Maize

(97)

12/2023

ZAR

(2,047,201)

(6,814)

Aluminum

(37)

1/2024

USD

(2,181,613)

(117,808)

CBOE

Volatility

Index

(35)

1/2024

USD

(668,490)

11,974

Platinum

(10)

1/2024

USD

(457,950)

5,083

Rapeseed

(81)

1/2024

EUR

(1,964,304)

17,970

CBOE

Volatility

Index

(34)

2/2024

USD

(656,248)

(13,274)

Month

Canadian

Bankers

Acceptance

(877)

3/2024

CAD

(152,276,449)

693,710

Month

Euro

Euribor

(341)

3/2024

EUR

(86,570,405)

158,853

90-Day

Australian

Bank

Bill

(248)

3/2024

AUD

(157,736,379)

(34,228)

90-Day

New

Zealand

Bill

(211)

3/2024

NZD

(124,625,226)

22,115

Month

Canadian

Bankers

Acceptance

(760)

6/2024

CAD

(132,045,279)

980,286

Month

Euro

Euribor

(317)

6/2024

EUR

(80,594,775)

229,207

Month

SOFR

(691)

6/2024

USD

(163,456,050)

506,730

Month

SONIA

(87)

6/2024

GBP

(25,105,494)

(95,726)

90-Day

Australian

Bank

Bill

(414)

6/2024

AUD

(263,298,719)

(19,652)

132

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

90-Day

New

Zealand

Bill

(188)

6/2024

NZD

(111,043,183)

80,044

Month

Canadian

Bankers

Acceptance

(814)

9/2024

CAD

(141,787,024)

817,743

Month

Euro

Euribor

(314)

9/2024

EUR

(79,998,037)

218,272

Month

SOFR

(592)

9/2024

USD

(140,326,200)

667,593

Month

SONIA

(157)

9/2024

GBP

(45,355,601)

(170,331)

90-Day

Australian

Bank

Bill

(664)

9/2024

AUD

(422,326,434)

100,092

90-Day

New

Zealand

Bill

(177)

9/2024

NZD

(104,581,554)

42,460

Month

Canadian

Bankers

Acceptance

(765)

12/2024

CAD

(133,512,424)

320,162

Month

Euro

Euribor

(245)

12/2024

EUR

(62,561,315)

115,805

Month

SOFR

(526)

12/2024

USD

(125,043,350)

825,634

Month

SONIA

(148)

12/2024

GBP

(42,836,857)

(142,679)

90-Day

Australian

Bank

Bill

(626)

12/2024

AUD

(398,244,579)

183,181

Month

Euro

Euribor

(204)

3/2025

EUR

(52,175,446)

78,725

Month

SOFR

(426)

3/2025

USD

(101,611,650)

703,969

Month

SONIA

(116)

3/2025

GBP

(33,645,600)

(63,260)

Month

Euro

Euribor

(185)

6/2025

EUR

(47,367,311)

47,020

Month

SOFR

(425)

6/2025

USD

(101,670,625)

620,712

Month

SONIA

(121)

6/2025

GBP

(35,164,121)

(68,736)

Month

Euro

Euribor

(178)

9/2025

EUR

(45,600,911)

100,491

Month

SOFR

(410)

9/2025

USD

(98,282,125)

525,238

Month

SONIA

(106)

9/2025

GBP

(30,848,581)

(64,870)

Month

SOFR

(385)

12/2025

USD

(92,390,375)

333,097

Month

SONIA

(87)

12/2025

GBP

(25,348,310)

(64,453)

33,292,987

38,502,485

Forward

foreign

currency

exchange

contracts

outstanding

September

30,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

2,419,000

USD

1,558,176

CITI

12/20/2023

1,460

AUD

2,419,000

USD

1,558,168

JPMC

12/20/2023

1,467

CAD

3,568,500

USD

2,616,681

CITI

12/20/2023

13,970

CAD

3,568,500

USD

2,616,668

JPMC

12/20/2023

13,983

CZK

37,000,000

USD

1,598,430

CITI

12/20/2023

1,850

CZK

37,000,000

USD

1,598,422

JPMC

12/20/2023

1,858

INR

1,145,000,000

USD

13,710,771

CITI

12/20/2023

13,645

INR

1,145,000,000

USD

13,710,703

JPMC

12/20/2023

13,714

MXN

86,528,064

USD

4,845,096

CITI

12/20/2023

53,672

MXN

86,528,061

USD

4,845,072

JPMC

12/20/2023

53,696

NOK

213,500,001

USD

19,870,416

CITI

12/20/2023

133,645

NOK

213,499,999

USD

19,870,316

JPMC

12/20/2023

133,743

NZD

97,299,500

USD

57,740,020

CITI

12/20/2023

578,401

NZD

97,299,500

USD

57,739,731

JPMC

12/20/2023

578,690

SGD

3,579,000

USD

2,622,805

CITI

12/20/2023

4,872

SGD

3,579,000

USD

2,622,792

JPMC

12/20/2023

4,885

USD

6,570,996

AUD

10,154,114

CITI

12/20/2023

24,195

USD

6,571,029

AUD

10,154,114

JPMC

12/20/2023

24,227

USD

1,133,981

BRL

5,684,154

CITI

12/20/2023

14,255

USD

1,133,986

BRL

5,684,152

JPMC

12/20/2023

14,260

USD

23,303,520

CAD

31,598,438

CITI

12/20/2023

9,572

USD

23,303,638

CAD

31,598,439

JPMC

12/20/2023

9,688

133

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

55,732,123

CHF

48,807,002

CITI

12/20/2023

1,929,871

USD

55,732,397

CHF

48,806,998

JPMC

12/20/2023

1,930,150

USD

950,223

CLP

842,268,831

CITI

12/20/2023

8,181

USD

950,227

CLP

842,268,825

JPMC

12/20/2023

8,186

USD

180,901

COP

747,822,204

CITI

12/20/2023

1,218

USD

180,902

COP

747,822,204

JPMC

12/20/2023

1,219

USD

4,683,383

CZK

105,066,500

CITI

12/20/2023

139,170

USD

4,683,406

CZK

105,066,500

JPMC

12/20/2023

139,194

USD

150,290,394

EUR

140,454,000

CITI

12/20/2023

1,231,423

USD

150,291,145

EUR

140,454,000

JPMC

12/20/2023

1,232,175

USD

26,914,445

GBP

21,794,500

CITI

12/20/2023

307,832

USD

26,914,579

GBP

21,794,500

JPMC

12/20/2023

307,967

USD

4,537,796

HUF

1,659,584,860

CITI

12/20/2023

89,559

USD

4,537,818

HUF

1,659,584,858

JPMC

12/20/2023

89,582

USD

15,129,350

IDR

231,500,451,647

CITI

12/20/2023

189,931

USD

15,129,426

IDR

231,500,451,641

JPMC

12/20/2023

190,007

USD

324,561

ILS

1,227,394

CITI

12/20/2023

1,466

USD

324,562

ILS

1,227,392

JPMC

12/20/2023

1,468

USD

23,285,491

INR

1,929,408,853

CITI

12/20/2023

158,844

USD

23,285,608

INR

1,929,408,851

JPMC

12/20/2023

158,961

USD

250,589,453

JPY

36,103,239,723

CITI

12/20/2023

5,764,034

USD

250,590,706

JPY

36,103,239,717

JPMC

12/20/2023

5,765,287

USD

9,527,330

KRW

12,664,419,584

CITI

12/20/2023

124,264

USD

9,527,377

KRW

12,664,419,576

JPMC

12/20/2023

124,312

USD

3,487,798

NOK

36,967,124

CITI

12/20/2023

24,132

USD

3,487,815

NOK

36,967,122

JPMC

12/20/2023

24,150

USD

18,861,570

PLN

81,466,500

CITI

12/20/2023

271,688

USD

18,861,664

PLN

81,466,500

JPMC

12/20/2023

271,783

USD

38,104,528

SGD

51,547,007

CITI

12/20/2023

259,066

USD

38,104,708

SGD

51,546,993

JPMC

12/20/2023

259,256

USD

31,513,682

TWD

997,972,028

CITI

12/20/2023

398,782

USD

31,513,839

TWD

997,972,021

JPMC

12/20/2023

398,939

USD

26,855,202

ZAR

506,676,224

CITI

12/20/2023

283,363

USD

26,855,336

ZAR

506,676,224

JPMC

12/20/2023

283,497

Total

unrealized

appreciation

24,068,705

CAD

90,064,000

USD

66,885,862

CITI

12/20/2023

(491,878)

CAD

90,064,000

USD

66,885,527

JPMC

12/20/2023

(491,543)

CZK

317,500,000

USD

13,896,154

CITI

12/20/2023

(164,018)

CZK

317,500,000

USD

13,896,085

JPMC

12/20/2023

(163,948)

EUR

236,826,873

USD

256,867,400

CITI

12/20/2023

(5,531,234)

EUR

236,826,868

USD

256,866,111

JPMC

12/20/2023

(5,529,950)

GBP

111,684,494

USD

140,469,893

CITI

12/20/2023

(4,126,043)

GBP

111,684,490

USD

140,469,185

JPMC

12/20/2023

(4,125,341)

JPY

4,875,000,000

USD

33,537,188

CITI

12/20/2023

(478,551)

JPY

4,875,000,000

USD

33,537,021

JPMC

12/20/2023

(478,383)

MXN

86,528,062

USD

5,038,033

CITI

12/20/2023

(139,266)

MXN

86,528,061

USD

5,038,008

JPMC

12/20/2023

(139,240)

NOK

58,500,000

USD

5,518,972

CITI

12/20/2023

(37,767)

NOK

58,500,000

USD

5,518,944

JPMC

12/20/2023

(37,738)

PLN

35,418,508

USD

8,527,874

CITI

12/20/2023

(445,707)

PLN

35,418,508

USD

8,527,832

JPMC

12/20/2023

(445,664)

SEK

113,500,000

USD

10,502,567

CITI

12/20/2023

(71,832)

SEK

113,500,000

USD

10,502,515

JPMC

12/20/2023

(71,780)

SGD

12,036,500

USD

8,840,723

CITI

12/20/2023

(3,607)

SGD

12,036,500

USD

8,840,679

JPMC

12/20/2023

(3,562)

USD

6,006,053

AUD

9,366,342

CITI

12/20/2023

(32,838)

USD

6,006,083

AUD

9,366,342

JPMC

12/20/2023

(32,807)

USD

7,760,908

CAD

10,539,082

CITI

12/20/2023

(8,363)

134

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

7,760,947

CAD

10,539,082

JPMC

12/20/2023

(8,324)

USD

1,271,527

CLP

1,150,000,000

CITI

12/20/2023

(14,699)

USD

1,271,533

CLP

1,150,000,000

JPMC

12/20/2023

(14,693)

USD

532,535

COP

2,243,466,611

CITI

12/20/2023

(6,511)

USD

532,839

COP

2,243,466,605

JPMC

12/20/2023

(6,208)

USD

15,337,251

EUR

14,463,000

CITI

12/20/2023

(11,831)

USD

15,337,327

EUR

14,463,000

JPMC

12/20/2023

(11,754)

USD

3,315,632

GBP

2,722,000

CITI

12/20/2023

(7,371)

USD

3,315,649

GBP

2,722,000

JPMC

12/20/2023

(7,354)

USD

94,865

ILS

360,608

CITI

12/20/2023

(60)

USD

94,865

ILS

360,606

JPMC

12/20/2023

(60)

USD

2,485,694

KRW

3,350,000,000

CITI

12/20/2023

(1,611)

USD

2,485,706

KRW

3,350,000,000

JPMC

12/20/2023

(1,599)

USD

75,338,905

NZD

126,842,533

CITI

12/20/2023

(686,729)

USD

75,339,280

NZD

126,842,529

JPMC

12/20/2023

(686,352)

USD

2,741,515

PHP

155,753,096

CITI

12/20/2023

(9,043)

USD

2,741,529

PHP

155,753,096

JPMC

12/20/2023

(9,029)

USD

33,673,200

SEK

370,375,376

CITI

12/20/2023

(364,573)

USD

33,673,368

SEK

370,375,375

JPMC

12/20/2023

(364,405)

USD

9,742,783

TWD

313,000,000

CITI

12/20/2023

(15,971)

USD

9,742,832

TWD

313,000,000

JPMC

12/20/2023

(15,922)

USD

36,774,063

ZAR

710,676,224

CITI

12/20/2023

(496,235)

USD

36,774,247

ZAR

710,676,224

JPMC

12/20/2023

(496,051)

Total

unrealized

depreciation

(26,287,445)

Net

unrealized

depreciation

(2,218,740)

Non-deliverable

forward

foreign

currency

exchange

contracts.

135

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

Total

return

basket

swap

contracts

outstanding

September

30,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

HIBOR

plus

minus

specified

spread

(-0.30%

0.23%),

which

denominated

HKD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

01/27/2025

09/29/2025

$11,580,915

$(13,383)

$(80,401)

$(93,784)

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

NIBOR

plus

minus

specified

spread

(-0.23%

0.23%),

which

denominated

NOK

based

the

local

currencies

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

10/27/2025

$9,229,446

$86,870

$(23,598)

$63,272

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SORA

plus

minus

specified

spread

(-0.30%

0.23%),

which

denominated

SGD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

01/27/2025

09/08/2025

$8,498,229

$(9,883)

$(37,434)

$(47,317)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

TONAR

plus

minus

specified

spread

(-0.18%

0.01%),

which

denominated

JPY

based

the

local

currencies

the

positions

within

the

swap.

36-61

months

maturity

ranging

from

09/24/2026

10/03/2028

$144,251,932

$(24,607)

$74,581

$49,974

136

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Amada

Co.

Ltd.

89,700

901,780

(22,291)

(44.6)

Bank

Kyoto

Ltd.

(The)

16,800

953,760

(20,132)

(40.3)

Japan

Post

Bank

Co.

Ltd.

147,000

1,279,172

26,713

53.5

Japan

Tobacco,

Inc.

72,400

1,665,782

87,665

175.4

Kansai

Paint

Co.

Ltd.

81,000

1,157,921

(71,361)

(142.8)

Kyushu

Electric

Power

Co.,

Inc.

159,600

1,038,373

(37,624)

(75.3)

Lawson,

Inc.

19,200

882,677

(17,966)

(35.9)

MISUMI

Group,

Inc.

61,200

953,035

(43,590)

(87.2)

Mitsubishi

Corp.

34,900

1,662,997

(85,273)

(170.6)

Mitsubishi

Motors

Corp.

480,500

2,094,164

243,095

486.4

Mitsui

Co.

Ltd.

40,600

1,472,560

(56,732)

(113.5)

Nitto

Denko

Corp.

13,900

911,498

(25,152)

(50.3)

Ono

Pharmaceutical

Co.

Ltd.

57,500

1,102,757

5,547

11.1

Recruit

Holdings

Co.

Ltd.

31,600

966,803

(118,018)

(236.2)

Renesas

Electronics

Corp.

63,100

963,850

(19,765)

(39.6)

Sega

Sammy

Holdings,

Inc.

60,100

1,108,392

(21,032)

(42.1)

Shionogi

Co.

Ltd.

30,400

1,355,976

30,590

61.2

Sojitz

Corp.

62,400

1,366,911

(3,518)

(7.0)

Subaru

Corp.

46,000

894,446

10,177

20.4

Tokyo

Gas

Co.

Ltd.

52,000

1,178,978

(3,410)

(6.8)

Toyo

Suisan

Kaisha

Ltd.

39,300

1,541,225

845

1.7

Toyota

Tsusho

Corp.

15,200

894,004

(4,529)

(9.1)

Short

Positions

Common

Stocks

Japan

Advantest

Corp.

(33,200)

(926,065)

13,128

26.3

Aeon

Co.

Ltd.

(80,800)

(1,600,495)

13,180

26.4

Asahi

Intecc

Co.

Ltd.

(56,200)

(1,007,575)

123,270

246.7

Daikin

Industries

Ltd.

(5,900)

(924,953)

43,485

87.0

Daiwa

Securities

Group,

Inc.

(162,100)

(934,759)

3,844

7.7

Eisai

Co.

Ltd.

(37,600)

(2,083,934)

99,773

199.6

Fast

Retailing

Co.

Ltd.

(4,100)

(893,042)

27,702

55.4

Ibiden

Co.

Ltd.

(31,900)

(1,691,988)

71,529

143.1

ITOCHU

Corp.

(27,500)

(993,133)

55,967

112.0

KDDI

Corp.

(51,100)

(1,564,195)

(53,832)

(107.7)

Keyence

Corp.

(2,800)

(1,035,513)

40,589

81.2

Kubota

Corp.

(95,900)

(1,410,768)

93,766

187.6

Mitsubishi

UFJ

Financial

Group,

Inc.

(167,600)

(1,420,268)

8,687

17.4

Murata

Manufacturing

Co.

Ltd.

(47,700)

(870,151)

(3,333)

(6.7)

Nintendo

Co.

Ltd.

(43,300)

(1,799,243)

46,454

93.0

Nippon

Telegraph

Telephone

Corp.

(2,078,500)

(2,460,186)

(80,426)

(160.9)

NTT

Data

Group

Corp.

(185,800)

(2,486,256)

(2,563)

(5.1)

Rakuten

Group,

Inc.

(293,800)

(1,207,164)

(73,171)

(146.4)

Resonac

Holdings

Corp.

(60,300)

(1,008,758)

2,228

4.5

Sekisui

House

Ltd.

(92,100)

(1,832,923)

61,586

123.2

Seven

Holdings

Co.

Ltd.

(24,200)

(947,435)

19,820

39.7

SMC

Corp.

(2,500)

(1,120,656)

20,308

40.6

SoftBank

Corp.

(135,800)

(1,537,025)

20,986

42.0

Sumitomo

Mitsui

Financial

Group,

Inc.

(40,800)

(2,004,343)

5,471

10.9

Tokio

Marine

Holdings,

Inc.

(65,400)

(1,514,252)

(4,976)

(10.0)

137

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Japan

(continued)

Tokyo

Electron

Ltd.

(16,700)

(2,281,091)

3,909

7.8

Toyota

Motor

Corp.

(133,300)

(2,391,446)

(42,488)

(85.0)

Yaskawa

Electric

Corp.

(32,900)

(1,184,764)

71,882

143.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

OBFR

plus

minus

specified

spread

(-0.63%

0.02%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

10/03/2028

$813,222,137

$6,163,372

$644,731

$6,808,103

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Co.

38,757

3,628,430

(304,308)

(4.5)

AbbVie,

Inc.

23,049

3,435,684

(2,851)

(0.0)

Allison

Transmission

Holdings,

Inc.

40,538

2,394,174

(39,322)

(0.6)

Alphabet,

Inc.

23,394

3,061,339

(141,768)

(2.1)

Archer-Daniels-Midland

Co.

48,478

3,656,211

(89,535)

(1.3)

AT&T,

Inc.

238,011

3,574,925

106,432

1.6

Booking

Holdings,

Inc.

990

3,053,110

(97,743)

(1.4)

Cardinal

Health,

Inc.

29,619

2,571,522

(86,191)

(1.3)

Centene

Corp.

36,781

2,533,475

61,645

0.9

Cheniere

Energy,

Inc.

20,971

3,480,347

92,482

1.4

Cigna

Group

(The)

11,222

3,210,278

10,121

0.1

Cisco

Systems,

Inc.

92,830

4,990,541

(249,836)

(3.7)

Citigroup,

Inc.

74,320

3,056,782

33,755

0.5

Coca-Cola

Co.

(The)

42,869

2,399,807

(41,902)

(0.6)

CVS

Health

Corp.

42,398

2,960,228

42,167

0.6

Discover

Financial

Services

28,874

2,501,355

(63,757)

(0.9)

Exxon

Mobil

Corp.

31,858

3,745,864

108,954

1.6

Fidelity

National

Information

Services,

Inc.

42,319

2,338,971

(8,103)

(0.1)

Fiserv,

Inc.

21,995

2,484,555

(191,796)

(2.8)

General

Motors

Co.

129,255

4,261,537

40,235

0.6

Humana,

Inc.

7,976

3,880,484

86,196

1.3

KLA

Corp.

5,876

2,695,086

(208,598)

(3.1)

Lennar

Corp.

21,649

2,429,667

(150,277)

(2.2)

Lockheed

Martin

Corp.

8,690

3,553,862

(75,479)

(1.1)

Marathon

Petroleum

Corp.

19,559

2,960,059

(53,396)

(0.8)

MetLife,

Inc.

40,256

2,532,505

(19,725)

(0.3)

Molson

Coors

Beverage

Co.

42,403

2,696,407

(25,251)

(0.4)

PACCAR,

Inc.

28,203

2,397,819

(5,641)

(0.1)

RTX

Corp.

32,193

2,316,930

(94,280)

(1.4)

138

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

United

States

(continued)

Salesforce,

Inc.

12,983

2,632,693

(292,507)

(4.3)

Toll

Brothers,

Inc.

34,962

2,585,790

(281,444)

(4.1)

Valero

Energy

Corp.

22,163

3,140,719

(43,861)

(0.6)

Verizon

Communications,

Inc.

83,359

2,701,665

(85,207)

(1.3)

Western

Union

Co.

(The)

219,877

2,897,979

60,176

0.9

Short

Positions

Common

Stocks

United

States

agilon

health,

Inc.

(159,715)

(2,836,538)

103,648

1.5

Air

Products

and

Chemicals,

Inc.

(8,112)

(2,298,941)

123,593

1.8

Arthur

Gallagher

Co.

(11,592)

(2,642,165)

6,772

0.1

Atmos

Energy

Corp.

(22,838)

(2,419,229)

182,704

2.7

Celanese

Corp.

(22,768)

(2,857,839)

11,427

0.2

Chart

Industries,

Inc.

(18,770)

(3,174,382)

95,342

1.4

Eli

Lilly

Co.

(8,716)

(4,681,625)

279,192

4.1

Procter

Gamble

Co.

(The)

(24,252)

(3,537,397)

215,600

3.2

Progressive

Corp.

(The)

(16,297)

(2,270,172)

(26,240)

(0.4)

Quanta

Services,

Inc.

(14,231)

(2,662,193)

209,101

3.1

Southwest

Airlines

Co.

(105,266)

(2,849,551)

243,218

3.6

Stryker

Corp.

(8,492)

(2,320,609)

148,601

2.2

Tractor

Supply

Co.

(12,222)

(2,481,677)

115,401

1.7

Visa,

Inc.

(10,147)

(2,333,911)

170,302

2.5

Watsco,

Inc.

(6,589)

(2,488,797)

(162,720)

(2.4)

Xylem,

Inc.

(27,712)

(2,522,623)

99,608

1.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

BBR

plus

minus

specified

spread

(-0.59%

0.30%),

which

denominated

AUD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

01/28/2025

09/29/2025

$54,685,000

$236,096

$253,017

$489,113

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Allkem

Ltd.

117,650

879,719

747

0.2

ALS

Ltd.

76,709

563,423

(3,265)

(0.7)

ANZ

Group

Holdings

Ltd.

51,975

852,477

17,712

3.6

Aristocrat

Leisure

Ltd.

60,274

1,574,746

(26,923)

(5.5)

BHP

Group

Ltd.

79,502

2,233,277

(23,486)

(4.8)

BlueScope

Steel

Ltd.

126,635

1,568,185

2,367

0.5

Brambles

Ltd.

117,468

1,079,124

(19,674)

(4.0)

139

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Australia

(continued)

Coles

Group

Ltd.

42,859

427,769

(2,685)

(0.5)

Fortescue

Metals

Group

Ltd.

28,811

382,986

1,768

0.4

IGO

Ltd.

53,354

428,168

3,616

0.7

Incitec

Pivot

Ltd.

562,769

1,127,652

9,590

2.0

Hi-Fi

Ltd.

44,848

1,302,635

(43,384)

(8.9)

Medibank

Pvt

Ltd.

193,805

427,753

(5,879)

(1.2)

New

Hope

Corp.

Ltd.

157,893

640,637

11,230

2.3

Northern

Star

Resources

Ltd.

54,548

362,212

(12,596)

(2.6)

Origin

Energy

Ltd.

457,443

2,575,833

(38,831)

(7.9)

Pilbara

Minerals

Ltd.

451,172

1,230,883

24,145

4.9

Qantas

Airways

Ltd.

885,747

2,932,254

(44,340)

(9.1)

Qube

Holdings

Ltd.

309,758

568,956

1,353

0.3

Sonic

Healthcare

Ltd.

46,944

896,393

(28,101)

(5.7)

South32

Ltd.

385,042

831,385

7,002

1.4

Suncorp

Group

Ltd.

117,538

1,047,221

(16,064)

(3.3)

Telstra

Group

Ltd.

153,289

378,722

(3,679)

(0.8)

Whitehaven

Coal

Ltd.

387,935

1,759,394

16,266

3.3

Woolworths

Group

Ltd.

24,097

576,911

(388)

(0.1)

New

Zealand

Xero

Ltd.

3,609

259,552

(11,936)

(2.4)

Short

Positions

Common

Stocks

Australia

APA

Group

(116,994)

(622,388)

13,943

2.9

carsales.com

Ltd.

(72,715)

(1,302,644)

49,882

10.2

Cleanaway

Waste

Management

Ltd.

(326,277)

(508,163)

3,014

0.6

Commonwealth

Bank

Australia

(37,682)

(2,406,978)

11,673

2.4

Domino's

Pizza

Enterprises

Ltd.

(41,934)

(1,423,908)

25,540

5.2

Endeavour

Group

Ltd.

(171,231)

(578,123)

(1,236)

(0.3)

Evolution

Mining

Ltd.

(207,520)

(433,213)

34,355

7.0

IDP

Education

Ltd.

(161,204)

(2,206,110)

76,784

15.7

Insurance

Australia

Group

Ltd.

(183,061)

(664,063)

13,883

2.8

Lendlease

Corp.

Ltd.

(54,975)

(252,116)

962

0.2

Lynas

Rare

Earths

Ltd.

(163,675)

(706,859)

7,428

1.5

Mineral

Resources

Ltd.

(25,970)

(1,115,198)

24,351

5.0

NEXTDC

Ltd.

(182,260)

(1,442,110)

43,784

9.0

Pro

Medicus

Ltd.

(15,562)

(830,391)

(118,094)

(24.1)

Ramsay

Health

Care

Ltd.

(7,683)

(255,002)

253

0.1

REA

Group

Ltd.

(18,470)

(1,824,142)

72,282

14.8

Reece

Ltd.

(46,040)

(548,030)

12,621

2.6

Seven

Group

Holdings

Ltd.

(27,422)

(546,203)

(19,213)

(3.9)

Transurban

Group

(113,369)

(921,198)

22,735

4.6

Wesfarmers

Ltd.

(41,047)

(1,389,194)

24,053

4.9

WiseTech

Global

Ltd.

(29,325)

(1,217,291)

58,654

12.0

Worley

Ltd.

(30,495)

(338,583)

(1,935)

(0.4)

United

States

CSL

Ltd.

(22,826)

(3,677,338)

32,179

6.6

James

Hardie

Industries

plc

(43,316)

(1,132,854)

25,150

5.1

140

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

CORRA

plus

minus

specified

spread

(-0.95%

0.23%),

which

denominated

CAD

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

07/25/2025

10/27/2025

$70,713,312

$853,646

$(226,728)

$626,918

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

26,279

1,194,139

(31,038)

(5.0)

Air

Canada

130,546

1,862,677

42,263

6.7

Alimentation

Couche-Tard,

Inc.

28,574

1,451,157

(29,452)

(4.7)

ARC

Resources

Ltd.

100,166

1,598,821

38,348

6.1

Atco

Ltd.

25,407

643,476

(27,497)

(4.4)

Bombardier,

Inc.

40,185

1,401,187

31,907

5.1

CCL

Industries,

Inc.

14,394

604,161

4,627

0.7

Empire

Co.

Ltd.

37,749

1,026,928

(1,112)

(0.2)

Fairfax

Financial

Holdings

Ltd.

1,766

1,441,625

(38,798)

(6.2)

Finning

International,

Inc.

35,190

1,037,888

(5,959)

(1.0)

Franco-Nevada

Corp.

4,843

646,553

(16,045)

(2.6)

George

Weston

Ltd.

7,035

780,182

2,279

0.4

Financial

Corp.,

Inc.

11,983

751,667

(11,734)

(1.9)

Imperial

Oil

Ltd.

16,989

1,046,420

31,395

5.0

Loblaw

Cos.

Ltd.

8,221

698,475

19,853

3.2

MEG

Energy

Corp.

52,233

1,016,395

66,914

10.7

Metro,

Inc.

16,444

854,010

(10,412)

(1.7)

National

Bank

Canada

14,991

995,868

(10,596)

(1.7)

Nutrien

Ltd.

53,286

3,290,727

(1,962)

(0.3)

Onex

Corp.

12,785

751,428

(5,177)

(0.8)

Open

Text

Corp.

23,549

826,491

(3,641)

(0.6)

Pembina

Pipeline

Corp.

29,969

901,111

(3,310)

(0.5)

Quebecor,

Inc.

23,607

505,945

(9,159)

(1.5)

Sun

Life

Financial,

Inc.

19,812

966,642

(8,168)

(1.3)

Toromont

Industries

Ltd.

8,331

678,502

(4,416)

(0.7)

West

Fraser

Timber

Co.

Ltd.

18,830

1,367,073

44,086

7.0

Whitecap

Resources,

Inc.

179,901

1,519,208

(6,623)

(1.1)

Short

Positions

Common

Stocks

Canada

Algonquin

Power

Utilities

Corp.

(314,921)

(1,864,138)

245,939

39.2

Bank

Montreal

(17,224)

(1,452,992)

14,330

2.3

Barrick

Gold

Corp.

(34,510)

(501,294)

30,743

4.9

BCE,

Inc.

(29,496)

(1,125,984)

27,145

4.3

Brookfield

Asset

Management

Ltd.

(19,879)

(662,414)

5,344

0.9

141

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Canada

(continued)

CAE,

Inc.

(26,986)

(630,021)

795

0.1

Cameco

Corp.

(39,611)

(1,571,608)

48,078

7.7

Canadian

Imperial

Bank

Commerce

(50,776)

(1,960,012)

60,187

9.6

Canadian

Pacific

Kansas

City

Ltd.

(52,538)

(3,905,199)

94,366

15.1

Emera,

Inc.

(26,022)

(908,495)

49,046

7.8

Fortis,

Inc.

(27,860)

(1,058,198)

48,408

7.7

GFL

Environmental,

Inc.

(26,183)

(831,417)

36,241

5.8

Intact

Financial

Corp.

(3,830)

(558,378)

1,018

0.2

Magna

International,

Inc.

(18,068)

(968,283)

5,483

0.9

Pan

American

Silver

Corp.

(75,111)

(1,087,195)

30,925

4.9

Global,

Inc.

(20,083)

(1,257,396)

2,214

0.4

Rogers

Communications,

Inc.

(92,625)

(3,556,336)

124,802

19.9

Royal

Bank

Canada

(39,263)

(3,431,267)

49,720

7.9

Shopify,

Inc.

(8,951)

(488,590)

(13,378)

(2.1)

Suncor

Energy,

Inc.

(18,390)

(632,429)

(8,801)

(1.4)

Toronto-Dominion

Bank

(The)

(12,105)

(729,286)

5,258

0.8

WSP

Global,

Inc.

(5,902)

(832,993)

1,178

0.2

Zambia

First

Quantum

Minerals

Ltd.

(37,547)

(887,085)

0.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SARON

plus

minus

specified

spread

(-0.23%

0.23%),

which

denominated

CHF

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

02/25/2025

10/27/2025

$50,716,144

$160,699

$817,302

$978,001

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams-OSRAM

18,730

87,635

(14,587)

(1.5)

Switzerland

ABB

Ltd.

(Registered)

124,263

4,435,346

27,393

2.8

Barry

Callebaut

(Registered)

135,171

(592)

(0.1)

Cie

Financiere

Richemont

(Registered)

1,488

181,213

(1,802)

(0.2)

Clariant

(Registered)

35,989

567,426

(4,700)

(0.5)

DKSH

Holding

7,539

509,954

(4,397)

(0.4)

Dufry

(Registered)

11,341

430,572

417

0.0

Galenica

4,327

319,660

(4,622)

(0.5)

Georg

Fischer

(Registered)

15,659

879,384

(8,402)

(0.9)

Helvetia

Holding

(Registered)

5,149

719,256

(6,391)

(0.7)

Julius

Baer

Group

Ltd.

3,187

203,993

(384)

(0.0)

Logitech

International

(Registered)

14,969

1,029,844

268

0.0

Novartis

(Registered)

39,536

4,037,758

42,478

4.3

142

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Switzerland

(continued)

SGS

(Registered)

1,327

111,369

(417)

(0.0)

Swatch

Group

(The)

2,138

547,589

(2,757)

(0.3)

Swisscom

(Registered)

2,510

1,490,414

(4,590)

(0.5)

Zurich

Insurance

Group

1,007

460,759

(1,849)

(0.2)

United

States

Holcim

65,664

4,203,081

(20,797)

(2.1)

Roche

Holding

1,925

525,527

(1,834)

(0.2)

Swiss

31,259

3,210,311

(19,286)

(2.0)

Short

Positions

Common

Stocks

Switzerland

Adecco

Group

(Registered)

(12,778)

(524,832)

(2,321)

(0.2)

Alcon,

Inc.

(6,502)

(501,743)

3,422

0.3

Bachem

Holding

(12,428)

(916,676)

(10,748)

(1.1)

Baloise

Holding

(Registered)

(989)

(143,184)

2,030

0.2

Banque

Cantonale

Vaudoise

(Registered)

(7,574)

(792,560)

4,268

0.4

Belimo

Holding

(Registered)

(420)

(199,330)

(1,326)

(0.1)

BKW

(1,035)

(182,203)

1,651

0.2

Chocoladefabriken

Lindt

Spruengli

(108)

(1,200,155)

4,573

0.5

EMS-Chemie

Holding

(Registered)

(629)

(426,241)

1,901

0.2

Flughafen

Zurich

(Registered)

(1,866)

(355,279)

(6,073)

(0.6)

Geberit

(Registered)

(4,030)

(2,009,671)

(21,857)

(2.2)

Givaudan

(Registered)

(473)

(1,540,009)

(18,542)

(1.9)

Lonza

Group

(Registered)

(2,832)

(1,309,933)

26,940

2.8

Partners

Group

Holding

(2,097)

(2,354,082)

(14,860)

(1.5)

Schindler

Holding

(1,531)

(304,975)

4,370

0.4

SIG

Group

(75,003)

(1,847,729)

(821)

(0.1)

Sika

(Registered)

(15,845)

(4,014,505)

18,229

1.9

Sonova

Holding

(Registered)

(2,778)

(657,488)

6,246

0.6

Straumann

Holding

(Registered)

(14,046)

(1,787,760)

90,093

9.2

Swiss

Life

Holding

(Registered)

(169)

(105,148)

512

0.1

Tecan

Group

(Registered)

(549)

(184,531)

799

0.1

UBS

Group

(Registered)

(48,401)

(1,192,223)

12,584

1.3

VAT

Group

(3,571)

(1,274,288)

(8,987)

(0.9)

United

States

Nestle

(Registered)

(24,783)

(2,805,337)

95,467

9.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

CIBOR

plus

minus

specified

spread

(-0.99%

0.23%),

which

denominated

DKK

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

02/25/2025

09/25/2025

$20,189,508

$131,410

$732,954

$864,364

143

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Moller

Maersk

A/S

858

1,543,451

28,237

3.3

Carlsberg

A/S

5,472

689,937

(23,844)

(2.8)

Danske

Bank

A/S

77,325

1,794,403

1,445

0.2

Genmab

A/S

2,904

1,028,163

(9,619)

(1.1)

ISS

A/S

55,500

852,565

(7,744)

(0.9)

Jyske

Bank

A/S

(Registered)

10,544

769,122

5,949

0.7

Pandora

A/S

16,605

1,713,492

18,732

2.2

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(32,781)

(341,683)

8,132

0.9

Coloplast

A/S

(22,827)

(2,415,485)

110

0.0

Demant

A/S

(10,135)

(418,487)

(1,729)

(0.2)

DSV

A/S

(4,024)

(749,835)

1,359

0.2

Novo

Nordisk

A/S

(31,861)

(2,900,984)

14,874

1.7

Novozymes

A/S

(42,420)

(1,706,764)

76,759

8.9

Orsted

A/S

(25,814)

(1,404,364)

4,813

0.6

ROCKWOOL

A/S

(1,116)

(269,721)

(12,729)

(1.5)

Royal

Unibrew

A/S

(7,929)

(612,360)

12,118

1.4

Tryg

A/S

(14,516)

(265,634)

8,864

1.0

Vestas

Wind

Systems

A/S

(33,330)

(713,058)

5,683

0.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

ESTR

plus

minus

specified

spread

(-0.75%

0.23%),

which

denominated

EUR

based

the

local

currencies

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

10/27/2025

$216,253,070

$675,282

$3,621,333

$4,296,615

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Cie

Saint-Gobain

39,405

2,358,405

15,811

0.4

Eiffage

15,004

1,424,144

(8,283)

(0.2)

Getlink

97,421

1,553,076

4,496

0.1

144

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

France

(continued)

Orange

124,411

1,427,028

(14,284)

(0.3)

Renault

41,568

1,700,816

20,693

0.5

Rexel

87,071

1,950,911

(40,257)

(0.9)

Sodexo

13,934

1,434,471

1,664

0.0

Germany

Bayerische

Motoren

Werke

33,443

3,396,711

(39,064)

(0.9)

Commerzbank

199,371

2,262,731

225,829

5.3

Deutsche

Bank

(Registered)

245,466

2,697,739

91,131

2.1

Deutsche

Lufthansa

(Registered)

308,382

2,440,351

(56,443)

(1.3)

Heidelberg

Materials

26,609

2,060,878

24,658

0.6

Mercedes-Benz

Group

53,574

3,728,577

(27,720)

(0.6)

RWE

44,778

1,662,151

(30,692)

(0.7)

thyssenkrupp

222,296

1,689,965

91,313

2.1

Italy

Banco

BPM

SpA

465,120

2,215,138

(107,880)

(2.5)

Leonardo

SpA

119,503

1,721,305

(503)

(0.0)

Prysmian

SpA

59,658

2,394,570

66,530

1.5

UniCredit

SpA

116,831

2,783,661

(71,494)

(1.7)

Luxembourg

ArcelorMittal

93,995

2,353,264

42,798

1.0

Netherlands

ABN

AMRO

Bank

156,815

2,216,197

37,402

0.9

Koninklijke

Ahold

Delhaize

92,585

2,790,483

(38,790)

(0.9)

Wolters

Kluwer

14,750

1,785,864

11,997

0.3

Spain

Industria

Diseno

Textil

50,084

1,863,729

372

0.0

Repsol

302,573

4,977,028

(21,360)

(0.5)

United

States

Sanofi

15,707

1,686,543

(17,920)

(0.4)

Stellantis

82,623

1,582,101

3,481

0.1

Tenaris

210,784

3,329,535

38,978

0.9

Preferred

Stocks

Germany

Volkswagen

(Preference)

14,071

1,616,749

(68,171)

(1.6)

Short

Positions

Common

Stocks

Belgium

UCB

(20,691)

(1,694,785)

48,697

1.1

France

Cie

Generale

des

Etablissements

Michelin

SCA

(60,474)

(1,850,926)

30,715

0.7

EssilorLuxottica

(10,361)

(1,802,250)

13,490

0.3

L'Oreal

(6,629)

(2,747,138)

(1,371)

(0.0)

Sartorius

Stedim

Biotech

(7,382)

(1,756,203)

13,497

0.3

Germany

adidas

(15,829)

(2,776,544)

(72,134)

(1.7)

Fresenius

Medical

Care

Co.

KGaA

(56,243)

(2,417,998)

79,445

1.8

HelloFresh

(52,246)

(1,552,464)

85,867

2.0

Rheinmetall

(9,875)

(2,540,358)

52,583

1.2

Siemens

Healthineers

(69,982)

(3,539,821)

(26,375)

(0.6)

Italy

Ferrari

(5,249)

(1,547,329)

(4,618)

(0.1)

Moncler

SpA

(27,894)

(1,616,597)

36,265

0.8

Luxembourg

Eurofins

Scientific

(43,145)

(2,431,529)

65,438

1.5

145

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Netherlands

Adyen

(3,240)

(2,402,246)

(189,037)

(4.4)

Portugal

EDP

Energias

Portugal

(383,072)

(1,592,793)

53,138

1.2

Spain

Grifols

(124,363)

(1,610,737)

(3,360)

(0.1)

Switzerland

DSM-Firmenich

(30,331)

(2,563,056)

(21,689)

(0.5)

United

States

Ferrovial

(53,621)

(1,638,497)

34,769

0.8

Schneider

Electric

(13,581)

(2,238,043)

(7,017)

(0.2)

Preferred

Stocks

Germany

Henkel

Co.

KGaA

(Preference)

(32,138)

(2,288,531)

(459)

(0.0)

Sartorius

(Preference)

(7,562)

(2,561,204)

(36,407)

(0.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SONIA

plus

minus

specified

spread

(-0.23%

0.30%),

which

denominated

GBP

based

the

local

currencies

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

10/25/2023

09/25/2025

$82,020,391

$(448,835)

$2,669,944

$2,221,109

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Glencore

plc

200,235

1,140,241

33,531

1.5

Netherlands

Shell

plc

123,324

3,908,658

(13,252)

(0.6)

United

Kingdom

Associated

British

Foods

plc

30,764

772,910

0.0

Auto

Trader

Group

plc

103,015

774,052

(5,469)

(0.2)

Aviva

plc

183,040

866,357

(13,775)

(0.6)

BAE

Systems

plc

106,999

1,300,235

(18,314)

(0.8)

Barclays

plc

388,271

748,365

7,666

0.3

plc

440,127

2,837,030

5,435

0.2

British

American

Tobacco

plc

60,673

1,905,053

(31,933)

(1.4)

Burberry

Group

plc

25,574

592,676

(4,922)

(0.2)

Centrica

plc

2,568,755

4,831,603

(386,849)

(17.4)

Smith

plc

342,586

1,194,842

18,621

0.8

easyJet

plc

214,719

1,112,962

5,392

0.2

Howden

Joinery

Group

plc

75,876

678,904

(10,975)

(0.5)

146

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

United

Kingdom

(continued)

HSBC

Holdings

plc

128,064

1,002,150

4,332

0.2

InterContinental

Hotels

Group

plc

32,033

2,368,980

17,719

0.8

Man

Group

plc

368,798

1,002,401

24,504

1.1

Marks

Spencer

Group

plc

278,055

799,747

(348)

(0.0)

Pearson

plc

111,691

1,178,425

199

0.0

Reckitt

Benckiser

Group

plc

20,526

1,447,509

(8,035)

(0.4)

Rightmove

plc

87,924

600,020

(11,883)

(0.5)

Rolls-Royce

Holdings

plc

893,808

2,394,855

(2,141)

(0.1)

Spectris

plc

22,700

938,454

(727)

(0.0)

Standard

Chartered

plc

156,556

1,439,930

9,235

0.4

Tesco

plc

353,598

1,137,343

(22,327)

(1.0)

Vodafone

Group

plc

4,010,187

3,759,152

(141,062)

(6.4)

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(14,572)

(915,012)

(10,935)

(0.5)

Chile

Antofagasta

plc

(98,165)

(1,704,122)

(29,926)

(1.3)

Hong

Kong

Prudential

plc

(128,197)

(1,378,033)

(6,602)

(0.3)

Italy

Coca-Cola

HBC

(30,074)

(822,337)

(7,379)

(0.3)

United

Kingdom

abrdn

plc

(558,869)

(1,055,922)

(5,833)

(0.3)

Ashtead

Group

plc

(12,876)

(780,834)

9,324

0.4

AstraZeneca

plc

(4,716)

(636,115)

4,564

0.2

B&M

European

Value

Retail

(109,023)

(777,643)

(11,188)

(0.5)

Bellway

plc

(22,890)

(635,931)

4,181

0.2

ConvaTec

Group

plc

(276,156)

(731,833)

12,165

0.5

Diageo

plc

(28,166)

(1,038,428)

27,757

1.2

International

Distributions

Services

plc

(235,271)

(747,271)

20,025

0.9

ITV

plc

(1,013,143)

(870,325)

20,187

0.9

Sainsbury

plc

(278,387)

(857,300)

57,743

2.6

Kingfisher

plc

(544,163)

(1,477,193)

(25,171)

(1.1)

Ocado

Group

plc

(95,998)

(697,991)

71,535

3.2

Pennon

Group

plc

(93,060)

(664,391)

23,109

1.0

Persimmon

plc

(84,651)

(1,108,631)

37,806

1.7

Rentokil

Initial

plc

(294,164)

(2,184,054)

(75,820)

(3.4)

Schroders

plc

(165,548)

(818,018)

1,032

0.0

Severn

Trent

plc

(45,235)

(1,305,272)

(9,383)

(0.4)

Smith

Nephew

plc

(62,119)

(770,933)

16,686

0.8

United

Utilities

Group

plc

(58,386)

(674,651)

16,346

0.7

Wise

plc

(193,278)

(1,611,815)

(34,189)

(1.5)

147

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

(Continued)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

STIBOR

plus

minus

specified

spread

(-0.60%

0.23%),

which

denominated

SEK

based

the

local

currencies

the

positions

within

the

swap.

months

maturity

ranging

from

02/25/2025

10/27/2025

$30,175,473

$(32,440)

$211,024

$178,584

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

101,697

1,114,979

(7,459)

(4.2)

Guatemala

Millicom

International

Cellular

5,813

90,112

(342)

(0.2)

Sweden

Assa

Abloy

11,586

251,747

(1,488)

(0.8)

Axfood

25,862

592,725

(9,705)

(5.4)

Billerud

Aktiebolag

58,058

537,411

42,043

23.5

Boliden

15,053

431,973

16,711

9.4

Electrolux

15,469

159,409

(509)

(0.3)

Elekta

13,438

91,262

0.0

Evolution

1,282

129,366

(310)

(0.2)

Getinge

25,504

448,166

(10,800)

(6.0)

Hennes

Mauritz

19,064

270,331

(2,410)

(1.3)

Hexpol

45,328

401,632

(2,958)

(1.7)

Saab

21,672

1,103,009

(670)

(0.4)

Sandvik

18,542

341,179

397

0.2

Skanska

11,650

191,299

689

0.4

SKF

81,564

1,354,089

12,410

6.9

SSAB

350,194

1,921,153

58,998

33.0

Swedbank

78,779

1,448,069

(14,878)

(8.3)

Trelleborg

59,265

1,472,489

16,276

9.1

Volvo

107,521

2,214,679

(35,522)

(19.9)

Volvo

Car

109,817

444,192

2,677

1.5

United

States

Sinch

181,448

316,540

(7,774)

(4.4)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

(11,777)

(403,455)

(9,687)

(5.4)

Atlas

Copco

(81,089)

(1,089,080)

2,038

1.1

Beijer

Ref

(44,890)

(472,299)

3,901

2.2

Epiroc

(30,467)

(578,485)

3,112

1.7

EQT

(103,890)

(2,046,943)

1,275

0.7

Essity

(51,043)

(1,100,857)

(23,051)

(12.9)

Hexagon

(150,744)

(1,282,943)

12,079

6.8

Holmen

(7,467)

(290,244)

(2,446)

(1.4)

148

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Sweden

(continued)

Husqvarna

(57,822)

(441,249)

(9,604)

(5.4)

Lifco

(10,369)

(181,388)

246

0.1

Nibe

Industrier

(179,129)

(1,171,100)

(53,307)

(29.8)

Securitas

(156,259)

(1,235,560)

(32,462)

(18.2)

Svenska

Cellulosa

SCA

(40,642)

(556,475)

(13,369)

(7.5)

Svenska

Handelsbanken

(98,322)

(874,859)

14,449

8.1

Swedish

Orphan

Biovitrum

(50,273)

(1,027,215)

(8,017)

(4.5)

Tele2

(23,781)

(181,865)

(594)

(0.3)

Telefonaktiebolaget

Ericsson

(54,915)

(267,533)

230

0.1

Telia

Co.

(799,008)

(1,648,112)

27,343

15.3

149

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

SHORT-TERM

INVESTMENTS

88.3%

INVESTMENT

COMPANIES

27.5%

Goldman

Sachs

Financial

Square

Funds

Treasury

Instruments

Fund,

Institutional

Shares,

5.24%

(1)(a)(b)

12,627,918

Limited

Purpose

Cash

Investment

Fund,

5.36%

(1)(a)

35,585,127

35,574,451

TOTAL

INVESTMENT

COMPANIES

(Cost

$48,192,379)

48,202,369

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

60.8%

U.S.

Treasury

Bills

4.91%,

10/12/2023

(c)

526,000

525,229

4.99%,

10/19/2023

(c)(d)

18,780,000

18,733,087

4.96%,

10/26/2023

(c)(d)

8,486,000

8,456,110

5.02%,

11/2/2023

(c)(d)

3,227,000

3,212,300

5.01%,

11/9/2023

(c)

565,000

561,842

5.11%,

11/16/2023

(c)

3,559,000

3,535,444

5.31%,

11/24/2023

(c)

470,000

466,327

5.44%,

11/30/2023

(c)(d)

2,566,000

2,543,585

5.36%,

12/28/2023

(c)

15,139,000

14,944,363

5.40%,

1/4/2024

(c)(d)

4,301,000

4,241,423

5.41%,

1/11/2024

(c)(d)

5,446,000

5,364,983

5.41%,

2/8/2024

(c)

4,498,000

4,412,535

5.44%,

2/15/2024

(c)(d)

4,520,000

4,429,478

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

60.8%

(continued)

5.44%,

2/22/2024

(c)(d)

10,604,000

10,380,440

5.50%,

2/29/2024

(c)(d)

7,151,000

6,992,821

5.45%,

3/7/2024

(c)

11,783,000

11,509,784

5.45%,

3/14/2024

(c)(d)

6,649,000

6,488,199

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$106,797,831)

106,797,950

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$154,990,210)

155,000,319

TOTAL

INVESTMENTS

SECURITIES

VALUE

88.3%

(Cost

$154,990,210)

155,000,319

OTHER

ASSETS

EXCESS

LIABILITIES

11.7%

‡

20,497,658

NET

ASSETS

100.0%

175,497,977

SECURITY

TYPE

VALUE

NET

ASSETS

Investment

Companies

48,202,369

27.5

U.S.

Treasury

Obligations

106,797,950

60.8

Total

Investments

Securities

Value

155,000,319

88.3

Other

Assets

Excess

Liabilities

‡

20,497,658

11.7

Net

Assets

175,497,977

100.0%

‡

Includes

appreciation/(depreciation)

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

Represents

7-day

effective

yield

September

30,

2023.

(b)

All

portion

the

security

pledged

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

the

date

purchase.

(d)

All

portion

the

security

pledged

collateral

for

swap

contracts.

All

securities

are

Level

with

respect

ASC

820,

unless

otherwise

noted

parentheses.

(1)

Level

security.

Credit

default

swap

contracts

outstanding

sell

protection

September

30,

2023

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

40.V1

5.00

Quarterly

12/20/2028

4.26

EUR

532,000

19,048

(1,372)

17,676

iTraxx

Europe

Main

Index

Series

40.V1

1.00

Quarterly

12/20/2028

0.79

EUR

4,220,000

49,289

(4,537)

44,752

Markit

CDX

North

America

Investment

Grade

Index

Series

41.V1

1.00

Quarterly

12/20/2028

0.74

USD

2,901,000

38,283

(2,840)

35,443

106,620

(8,749)

97,871

Markit

CDX

North

America

Emerging

Markets

Index

Series

40.V1

1.00

Quarterly

12/20/2028

2.26

USD

795,000

(40,788)

(2,535)

(43,323)

(40,788)

(2,535)

(43,323)

65,832

(11,284)

54,548

150

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

Forward

effective

interest

rate

swap

contracts

outstanding

September

30,

2023:

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

TONAR

Annual

1.00%

Annual

12/20/2033

JPY

890,000,000

106,712

(97,447)

9,265

Pay

STIBOR

Qtrly

3.50%

Annual

3/15/2034

SEK

5,000,000

7,817

(4,361)

3,456

Pay

BBR

Semi

4.50%

Semi

3/08/2029

AUD

19,800,000

187,294

(186,027)

1,267

Pay

BUBOR

Semi

8.50%

Annual

12/17/2025

HUF

90,000,000

2,247

(2,110)

137

Pay

BUBOR

Semi

8.00%

Annual

3/18/2026

HUF

100,000,000

3,526

(2,185)

1,341

Pay

WIBOR

Semi

5.50%

Annual

12/17/2025

PLN

1,000,000

437

4,574

5,011

Pay

WIBOR

Semi

5.00%

Annual

12/17/2025

PLN

1,500,000

1,118

3,287

4,405

Pay

WIBOR

Semi

5.00%

Annual

3/18/2026

PLN

1,100,000

1,849

2,259

4,108

Pay

WIBOR

Semi

4.50%

Annual

3/18/2026

PLN

2,400,000

1,770

2,273

4,043

Pay

WIBOR

Semi

5.50%

Annual

12/20/2028

PLN

500,000

2,033

2,976

5,009

Pay

WIBOR

Semi

5.00%

Annual

12/20/2028

PLN

400,000

1,353

718

2,071

Pay

WIBOR

Semi

4.50%

Annual

3/21/2029

PLN

1,900,000

3,131

(1,686)

1,445

Receive

CORRA

Semi

4.50%

Semi

12/18/2025

CAD

4,100,000

11,423

11,808

23,231

Receive

CORRA

Semi

3.50%

Semi

12/18/2025

CAD

500,000

2,785

6,892

9,677

Receive

CORRA

Semi

4.00%

Semi

12/18/2025

CAD

800,000

3,486

6,523

10,009

Receive

CORRA

Semi

4.50%

Semi

3/18/2026

CAD

34,100,000

13,600

119,673

133,273

Receive

CORRA

Semi

3.50%

Semi

12/18/2028

CAD

200,000

1,173

3,765

4,938

Receive

CORRA

Semi

3.00%

Semi

12/19/2033

CAD

100,000

1,918

4,719

6,637

Receive

SARON

Annual

1.50%

Annual

12/22/2025

CHF

4,300,000

32,260

(15,397)

16,863

Receive

SARON

Annual

1.50%

Annual

3/20/2026

CHF

7,200,000

34,282

(9,348)

24,934

Receive

SOFR

Annual

4.19%

Annual

12/22/2025

USD

57,300,000

(96,010)

767,065

671,055

Receive

SOFR

Annual

3.50%

Annual

3/20/2026

USD

64,200,000

1,133,031

195,176

1,328,207

Receive

SOFR

Annual

3.48%

Annual

12/20/2033

USD

3,700,000

(5,047)

232,173

227,126

Receive

SONIA

Annual

4.75%

Annual

3/20/2026

GBP

10,700,000

128,310

(84,493)

43,817

Receive

SONIA

Annual

3.82%

Annual

12/20/2028

GBP

15,700,000

453,846

141,170

595,016

Receive

SONIA

Annual

4.25%

Annual

3/20/2029

GBP

3,400,000

82,853

(45,595)

37,258

Receive

TONAR

Annual

0.00%

Annual

12/22/2025

JPY

6,659,900,000

163,593

78,019

241,612

Receive

TONAR

Annual

0.50%

Annual

12/20/2033

JPY

138,700,000

13,801

29,309

43,110

Receive

TIIE

Monthly

8.50%

Monthly

12/17/2025

MXN

172,400,000

39,404

284,437

323,841

Receive

TIIE

Monthly

9.00%

Monthly

12/17/2025

MXN

35,000,000

5,122

42,945

48,067

Receive

TIIE

Monthly

9.00%

Monthly

3/18/2026

MXN

37,400,000

12,923

24,418

37,341

Receive

TIIE

Monthly

8.00%

Monthly

12/13/2028

MXN

87,000,000

26,798

254,009

280,807

Receive

TIIE

Monthly

8.50%

Monthly

3/14/2029

MXN

7,000,000

3,965

8,276

12,241

Receive

BBR

Qtrly

5.50%

Semi

12/10/2025

NZD

400,000

(979)

1,701

722

Receive

BBR

Qtrly

5.00%

Semi

12/10/2025

NZD

7,500,000

(14,580)

69,448

54,868

Receive

BBR

Qtrly

4.00%

Qtrly

12/11/2025

AUD

6,000,000

22,085

(262)

21,823

Receive

BBR

Qtrly

5.50%

Semi

3/11/2026

NZD

12,800,000

(48,383)

56,399

8,016

Receive

BBR

Qtrly

4.00%

Qtrly

3/12/2026

AUD

49,100,000

11,282

154,703

165,985

Receive

BBR

Qtrly

4.00%

Semi

12/14/2033

NZD

1,400,000

21,986

53,575

75,561

Receive

CD_KSDA

Qtrly

3.50%

Qtrly

12/17/2025

KRW

1,820,700,000

(1,422)

10,909

9,487

Receive

CD_KSDA

Qtrly

3.50%

Qtrly

3/18/2026

KRW

500,000,000

1,792

603

2,395

Receive

CD_KSDA

Qtrly

3.50%

Qtrly

12/20/2028

KRW

800,000,000

(4,898)

13,109

8,211

Receive

CD_KSDA

Qtrly

3.50%

Qtrly

3/21/2029

KRW

100,000,000

542

446

988

Receive

HIBOR

Qtrly

4.00%

Qtrly

12/17/2025

HKD

18,400,000

2,225

27,197

29,422

Receive

HIBOR

Qtrly

4.50%

Qtrly

12/17/2025

HKD

1,900,000

(372)

1,158

786

Receive

HIBOR

Qtrly

4.50%

Qtrly

3/18/2026

HKD

5,200,000

(2,048)

2,574

526

Receive

HIBOR

Qtrly

3.50%

Qtrly

12/20/2028

HKD

7,000,000

11,408

24,101

35,509

Receive

HIBOR

Qtrly

4.00%

Qtrly

12/20/2028

HKD

1,600,000

450

3,258

3,708

Receive

HIBOR

Qtrly

4.00%

Qtrly

3/21/2029

HKD

1,800,000

753

2,914

3,667

Receive

STIBOR

Qtrly

3.50%

Annual

12/17/2025

SEK

73,300,000

(9,795)

63,487

53,692

Receive

STIBOR

Qtrly

3.50%

Annual

3/18/2026

SEK

146,200,000

61,666

15,996

77,662

Receive

STIBOR

Qtrly

3.00%

Annual

12/21/2033

SEK

3,600,000

2,947

8,978

11,925

Receive

BBR

Semi

4.00%

Semi

12/08/2033

AUD

200,000

7,838

351

8,189

Receive

BBR

Semi

4.50%

Semi

12/08/2033

AUD

1,400,000

(9,104)

28,524

19,420

151

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

EURIBOR

Semi

3.55%

Annual

12/22/2025

EUR

71,200,000

(376,671)

569,290

192,619

Receive

EURIBOR

Semi

3.25%

Annual

3/20/2026

EUR

11,100,000

45,653

18,282

63,935

Receive

EURIBOR

Semi

3.00%

Annual

3/20/2029

EUR

100,000

552

884

1,436

Receive

EURIBOR

Semi

3.13%

Annual

12/20/2033

EUR

1,400,000

(1,618)

31,732

30,114

Receive

NIBOR

Semi

4.50%

Annual

12/17/2025

NOK

5,000,000

1,537

873

2,410

Receive

NIBOR

Semi

3.50%

Annual

12/17/2025

NOK

2,000,000

1,101

3,320

4,421

Receive

NIBOR

Semi

4.00%

Annual

12/17/2025

NOK

121,100,000

12,591

150,415

163,006

Receive

NIBOR

Semi

4.50%

Annual

3/18/2026

NOK

175,400,000

58,768

(9,441)

49,327

Receive

NIBOR

Semi

3.50%

Annual

12/21/2033

NOK

20,200,000

5,496

98,821

104,317

Receive

PRIBOR

Semi

4.50%

Annual

3/18/2026

CZK

10,000,000

360

696

1,056

Receive

PRIBOR

Semi

4.00%

Annual

3/21/2029

CZK

7,000,000

3,647

1,259

4,906

2,187,612

3,183,115

5,370,727

Pay

CORRA

Semi

3.00%

Semi

12/18/2028

CAD

400,000

(3,712)

(12,613)

(16,325)

Pay

CORRA

Semi

4.00%

Semi

3/19/2029

CAD

1,600,000

8,039

(17,664)

(9,625)

Pay

CORRA

Semi

3.50%

Semi

12/19/2033

CAD

300,000

(7,199)

(3,911)

(11,110)

Pay

CORRA

Semi

4.00%

Semi

3/20/2034

CAD

1,800,000

10,082

(19,408)

(9,326)

Pay

CORRA

Semi

3.50%

Semi

3/20/2034

CAD

4,300,000

(68,557)

(80,816)

(149,373)

Pay

SARON

Annual

1.50%

Annual

12/20/2028

CHF

3,900,000

(55,728)

19,612

(36,116)

Pay

SARON

Annual

1.50%

Annual

3/20/2029

CHF

2,600,000

(27,981)

4,007

(23,974)

Pay

SARON

Annual

1.50%

Annual

3/20/2034

CHF

300,000

(8,137)

(1,038)

(9,175)

Pay

SOFR

Annual

3.63%

Annual

12/20/2028

USD

28,200,000

72,832

(933,183)

(860,351)

Pay

SOFR

Annual

3.25%

Annual

3/20/2029

USD

24,500,000

(809,946)

(249,191)

(1,059,137)

Pay

SOFR

Annual

3.25%

Annual

3/20/2034

USD

1,900,000

(105,560)

(38,473)

(144,033)

Pay

SONIA

Annual

4.25%

Annual

12/22/2025

GBP

12,100,000

(295,431)

66,414

(229,017)

Pay

SONIA

Annual

3.62%

Annual

12/20/2033

GBP

6,400,000

(400,996)

(26,747)

(427,743)

Pay

SONIA

Annual

4.25%

Annual

3/20/2034

GBP

2,800,000

31,143

(40,930)

(9,787)

Pay

SONIA

Annual

4.00%

Annual

3/20/2034

GBP

3,400,000

(111,304)

19,000

(92,304)

Pay

TONAR

Annual

0.50%

Annual

12/20/2028

JPY

879,300,000

58,270

(84,740)

(26,470)

Pay

TONAR

Annual

0.50%

Annual

3/21/2029

JPY

3,449,800,000

(170,136)

5,341

(164,795)

Pay

TONAR

Annual

1.00%

Annual

3/21/2034

JPY

230,000,000

(5,847)

(948)

(6,795)

Pay

BBR

Qtrly

4.50%

Semi

12/13/2028

NZD

4,000,000

19,245

(90,368)

(71,123)

Pay

BBR

Qtrly

5.00%

Semi

3/15/2034

NZD

3,000,000

48,097

(68,651)

(20,554)

Pay

JIBAR

Qtrly

8.00%

Qtrly

3/18/2026

ZAR

5,000,000

(245)

(1,441)

(1,686)

Pay

JIBAR

Qtrly

8.50%

Qtrly

3/22/2029

ZAR

5,000,000

(875)

(3,984)

(4,859)

Pay

STIBOR

Qtrly

3.50%

Annual

12/20/2028

SEK

12,000,000

10,365

(11,748)

(1,383)

Pay

STIBOR

Qtrly

3.00%

Annual

12/20/2028

SEK

26,500,000

1,501

(58,937)

(57,436)

Pay

STIBOR

Qtrly

3.00%

Annual

3/15/2034

SEK

27,000,000

(46,569)

(36,662)

(83,231)

Pay

BBR

Semi

4.00%

Semi

12/07/2028

AUD

3,700,000

(27,441)

(23,257)

(50,698)

Pay

BBR

Semi

4.50%

Semi

3/09/2034

AUD

500,000

1,634

(8,884)

(7,250)

Pay

BUBOR

Semi

7.00%

Annual

3/18/2026

HUF

360,000,000

(1,012)

(10,898)

(11,910)

Pay

BUBOR

Semi

7.00%

Annual

12/20/2028

HUF

40,000,000

2,122

(3,210)

(1,088)

Pay

BUBOR

Semi

6.50%

Annual

12/20/2028

HUF

40,000,000

(401)

(2,869)

(3,270)

Pay

BUBOR

Semi

6.50%

Annual

3/21/2029

HUF

180,000,000

3,959

(12,163)

(8,204)

Pay

EURIBOR

Semi

3.19%

Annual

12/20/2028

EUR

32,100,000

297,696

(557,371)

(259,675)

Pay

EURIBOR

Semi

3.00%

Annual

3/20/2034

EUR

1,700,000

(21,366)

(31,005)

(52,371)

Pay

NIBOR

Semi

3.50%

Annual

12/20/2028

NOK

81,200,000

(61,557)

(226,982)

(288,539)

Pay

NIBOR

Semi

4.00%

Annual

3/15/2034

NOK

32,300,000

(18,614)

(18,979)

(37,593)

Pay

WIBOR

Semi

4.00%

Annual

3/18/2026

PLN

1,200,000

(583)

144

(439)

Pay

WIBOR

Semi

4.00%

Annual

3/21/2029

PLN

500,000

(1,783)

(228)

(2,011)

Receive

SARON

Annual

2.00%

Annual

12/22/2025

CHF

2,200,000

(7,636)

(7,488)

(15,124)

Receive

SARON

Annual

2.00%

Annual

3/20/2026

CHF

100,000

(521)

(204)

(725)

Receive

SARON

Annual

2.00%

Annual

12/20/2033

CHF

600,000

(9,646)

(2,464)

(12,110)

Receive

SONIA

Annual

5.25%

Annual

3/20/2026

GBP

12,600,000

(102,089)

14,524

(87,565)

Receive

TONAR

Annual

0.50%

Annual

3/23/2026

JPY

9,960,000,000

(235,524)

27,592

(207,932)

Receive

BBR

Qtrly

3.50%

Qtrly

12/11/2025

AUD

100,000

260

(974)

(714)

Receive

BBR

Qtrly

4.50%

Qtrly

12/11/2025

AUD

900,000

499

(2,721)

(2,222)

Receive

STIBOR

Qtrly

4.00%

Annual

12/17/2025

SEK

22,000,000

(5,216)

2,554

(2,662)

152

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

STIBOR

Qtrly

4.00%

Annual

3/18/2026

SEK

30,000,000

(6,581)

(2,973)

(9,554)

Receive

STIBOR

Qtrly

3.50%

Annual

3/21/2029

SEK

1,000,000

(766)

643

(123)

Receive

NIBOR

Semi

5.00%

Annual

12/17/2025

NOK

1,000,000

(713)

331

(382)

Receive

NIBOR

Semi

4.50%

Annual

3/21/2029

NOK

1,000,000

(466)

(342)

(808)

(2,054,394)

(2,534,303)

(4,588,697)

133,218

648,812

782,030

Abbreviations:

1D:

Day

1M:

Month

3M:

Month

6M:

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

September

30,

2023

were

follows:

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

5.02%

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.31%

Day

Sterling

Overnight

Index

Average

(''SONIA''):

5.19%

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.71%

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.06%

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.50%

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.14%

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

5.27%

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

8.33%

Month

Korean

Certificate

Deposit

(''CD_KSDA''):

3.83%

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

4.06%

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.40%

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

11.99%

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

4.13%

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

5.03%

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

7.02%

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

5.53%

Total

return

swap

contracts

outstanding

September

30,

2023

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Amsterdam

Exchange

Index

October

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

termination

GSIN

10/20/2023

EUR

(3,797,300)

44,806

HSCEI

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

GSIN

10/30/2023

HKD

8,035,300

10,187

HSCEI

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MLIN

10/30/2023

HKD

10,507,700

12,263

153

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

FUND

PAYMENTS

RECEIVED

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Swiss

Market

Index

December

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

Monthly

MLIN

12/15/2023

CHF

(3,190,580)

8,668

75,924

Hang

Seng

Index

October

Futures

Increases

total

return

reference

entity

Decreases

total

return

reference

entity

termination

MLIN

10/30/2023

HKD

(5,366,700)

(8,484)

iBovespa

Index

October

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MLIN

10/18/2023

BRL

5,274,990

(16,755)

KOSPI

200

Index

December

Futures

Decreases

total

return

reference

entity

Increases

total

return

reference

entity

termination

MLIN

12/14/2023

KRW

658,000,000

(13,654)

(38,893)

37,031

Futures

contracts

outstanding

September

30,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

10/2023

USD

553,200

(8,706)

HSCEI

10/2023

HKD

1,775,934

20,462

IFSC

NIFTY

Index

10/2023

USD

1,497,998

(6,815)

LME

Aluminum

Base

Metal

10/2023

USD

234,271

12,169

LME

Aluminum

Base

Metal

10/2023

USD

468,664

27,325

LME

Aluminum

Base

Metal

10/2023

USD

584,855

38,919

LME

Aluminum

Base

Metal

10/2023

USD

700,725

45,165

LME

Aluminum

Base

Metal

10/2023

USD

699,825

58,960

LME

Aluminum

Base

Metal

10/2023

USD

760,175

28,074

LME

Aluminum

Base

Metal

10/2023

USD

759,038

61,492

LME

Aluminum

Base

Metal

10/2023

USD

1,109,600

79,798

LME

Aluminum

Base

Metal

10/2023

USD

1,169,225

46,229

LME

Copper

Base

Metal

10/2023

USD

205,938

(6,018)

LME

Copper

Base

Metal

10/2023

USD

206,006

(7,221)

LME

Copper

Base

Metal

10/2023

USD

205,738

(2,914)

LME

Copper

Base

Metal

10/2023

USD

411,950

(11,543)

LME

Copper

Base

Metal

10/2023

USD

822,767

(19,344)

LME

Copper

Base

Metal

10/2023

USD

1,028,229

(11,244)

LME

Copper

Base

Metal

10/2023

USD

1,643,700

(11,321)

LME

Lead

Base

Metal

10/2023

USD

54,719

3,179

LME

Lead

Base

Metal

10/2023

USD

54,658

1,856

LME

Lead

Base

Metal

10/2023

USD

54,766

3,588

LME

Lead

Base

Metal

10/2023

USD

54,388

1,191

LME

Lead

Base

Metal

10/2023

USD

54,256

303

LME

Lead

Base

Metal

10/2023

USD

109,475

6,270

LME

Lead

Base

Metal

10/2023

USD

163,059

1,996

LME

Lead

Base

Metal

10/2023

USD

162,971

313

LME

Lead

Base

Metal

10/2023

USD

271,474

1,708

LME

Nickel

Base

Metal

10/2023

USD

110,845

(15,416)

154

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

10/2023

USD

110,822

(14,251)

LME

Nickel

Base

Metal

10/2023

USD

110,708

(17,095)

LME

Nickel

Base

Metal

10/2023

USD

111,227

(21,239)

LME

Nickel

Base

Metal

10/2023

USD

221,918

(29,668)

LME

Nickel

Base

Metal

10/2023

USD

222,303

(42,094)

LME

Nickel

Base

Metal

10/2023

USD

332,946

(45,981)

LME

Zinc

Base

Metal

10/2023

USD

66,138

6,418

LME

Zinc

Base

Metal

10/2023

USD

66,122

7,130

LME

Zinc

Base

Metal

10/2023

USD

132,263

14,294

LME

Zinc

Base

Metal

10/2023

USD

132,292

8,221

LME

Zinc

Base

Metal

10/2023

USD

198,428

19,031

LME

Zinc

Base

Metal

10/2023

USD

198,408

14,499

LME

Zinc

Base

Metal

10/2023

USD

198,431

19,739

LME

Zinc

Base

Metal

10/2023

USD

462,642

50,209

LME

Zinc

Base

Metal

10/2023

USD

661,313

64,471

LME

Zinc

Base

Metal

10/2023

USD

661,408

41,982

Natural

Gas

10/2023

USD

1,757,400

(36,762)

Harbor

ULSD

10/2023

USD

1,109,002

RBOB

Gasoline

10/2023

USD

1,612,464

(162,414)

SGX

FTSE

China

A50

Index

476

10/2023

USD

5,996,648

(10,679)

SGX

FTSE

Taiwan

Index

10/2023

USD

171,000

790

WTI

Crude

Oil

10/2023

USD

2,542,120

102,779

Ethanol

11/2023

USD

835,800

(28,366)

Fcoj-a

11/2023

USD

209,850

22,701

LME

Aluminum

Base

Metal

11/2023

USD

58,663

4,660

LME

Aluminum

Base

Metal

11/2023

USD

58,663

5,181

LME

Aluminum

Base

Metal

11/2023

USD

58,663

5,160

LME

Aluminum

Base

Metal

11/2023

USD

117,383

8,751

LME

Aluminum

Base

Metal

11/2023

USD

176,213

10,220

LME

Aluminum

Base

Metal

11/2023

USD

234,812

17,875

LME

Aluminum

Base

Metal

11/2023

USD

234,650

11,628

LME

Aluminum

Base

Metal

11/2023

USD

293,659

22,394

LME

Aluminum

Base

Metal

11/2023

USD

351,975

20,451

LME

Aluminum

Base

Metal

11/2023

USD

469,300

39,076

LME

Aluminum

Base

Metal

11/2023

USD

527,963

33,386

LME

Copper

Base

Metal

11/2023

USD

206,398

(7,230)

LME

Copper

Base

Metal

11/2023

USD

206,450

(4,303)

LME

Copper

Base

Metal

11/2023

USD

206,581

(3,696)

LME

Copper

Base

Metal

11/2023

USD

206,281

(12,402)

LME

Copper

Base

Metal

11/2023

USD

206,394

772

LME

Copper

Base

Metal

11/2023

USD

412,869

3,070

LME

Copper

Base

Metal

11/2023

USD

619,631

(9,506)

LME

Copper

Base

Metal

11/2023

USD

825,258

(24,590)

LME

Copper

Base

Metal

11/2023

USD

1,032,505

(13,110)

LME

Lead

Base

Metal

11/2023

USD

54,230

467

LME

Lead

Base

Metal

11/2023

USD

54,250

(97)

LME

Lead

Base

Metal

11/2023

USD

54,200

657

LME

Lead

Base

Metal

11/2023

USD

54,215

887

LME

Lead

Base

Metal

11/2023

USD

54,240

575

LME

Lead

Base

Metal

11/2023

USD

108,700

(1,135)

LME

Lead

Base

Metal

11/2023

USD

108,400

3,097

LME

Lead

Base

Metal

11/2023

USD

162,825

LME

Nickel

Base

Metal

11/2023

USD

111,486

(7,617)

LME

Nickel

Base

Metal

11/2023

USD

334,170

(36,369)

LME

Nickel

Base

Metal

11/2023

USD

334,062

(53,595)

LME

Nickel

Base

Metal

11/2023

USD

334,485

(28,584)

155

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

11/2023

USD

445,632

(42,750)

LME

Zinc

Base

Metal

11/2023

USD

264,870

35,721

LME

Zinc

Base

Metal

11/2023

USD

397,341

44,936

LME

Zinc

Base

Metal

11/2023

USD

596,081

76,023

LME

Zinc

Base

Metal

11/2023

USD

662,355

67,263

LME

Zinc

Base

Metal

11/2023

USD

728,338

101,195

LME

Zinc

Base

Metal

11/2023

USD

795,255

64,890

LME

Zinc

Base

Metal

11/2023

USD

794,850

92,740

LME

Zinc

Base

Metal

11/2023

USD

794,325

107,752

Low

Sulphur

Gasoil

11/2023

USD

1,449,375

57,134

Milk

11/2023

USD

68,680

615

Robusta

Coffee

11/2023

USD

1,157,140

(26,249)

Rough

Rice

11/2023

USD

95,460

(758)

SGX

Iron

Ore

11/2023

USD

1,089,681

23,500

White

Sugar

11/2023

USD

600,015

(7,499)

100

Gold

12/2023

USD

559,830

(22,139)

Cocoa

12/2023

USD

854,500

(29,024)

Cocoa

12/2023

GBP

935,499

77,321

DJIA

CBOT

E-Mini

Index

12/2023

USD

1,854,875

(65,358)

ECX

Emission

12/2023

EUR

259,037

(13,286)

KOSPI

200

Index

12/2023

KRW

792,389

(26,822)

Lean

Hogs

12/2023

USD

287,100

(15,880)

Live

Cattle

12/2023

USD

2,480,610

(9,189)

LME

Aluminum

Base

Metal

12/2023

USD

58,742

2,720

LME

Aluminum

Base

Metal

12/2023

USD

58,763

3,314

LME

Aluminum

Base

Metal

12/2023

USD

58,825

4,422

LME

Aluminum

Base

Metal

12/2023

USD

58,738

2,660

LME

Aluminum

Base

Metal

12/2023

USD

117,688

7,182

LME

Aluminum

Base

Metal

12/2023

USD

176,438

12,554

LME

Aluminum

Base

Metal

12/2023

USD

235,464

14,952

LME

Aluminum

Base

Metal

12/2023

USD

293,604

14,847

LME

Aluminum

Base

Metal

12/2023

USD

411,688

20,600

LME

Aluminum

Base

Metal

12/2023

USD

647,488

40,261

LME

Aluminum

Base

Metal

12/2023

USD

883,125

56,956

LME

Copper

Base

Metal

12/2023

USD

206,708

(2,295)

LME

Copper

Base

Metal

12/2023

USD

206,675

697

LME

Copper

Base

Metal

12/2023

USD

413,433

(7,032)

LME

Copper

Base

Metal

12/2023

USD

413,529

(326)

LME

Copper

Base

Metal

12/2023

USD

413,237

(13,518)

LME

Copper

Base

Metal

12/2023

USD

413,200

(955)

LME

Copper

Base

Metal

12/2023

USD

620,270

(12,225)

LME

Copper

Base

Metal

12/2023

USD

827,000

(13,498)

LME

Copper

Base

Metal

12/2023

USD

1,033,755

19,428

LME

Copper

Base

Metal

12/2023

USD

1,240,068

(5,698)

LME

Copper

Base

Metal

12/2023

USD

1,240,199

(15,537)

LME

Lead

Base

Metal

12/2023

USD

54,349

(2,465)

LME

Lead

Base

Metal

12/2023

USD

108,693

(2,769)

LME

Lead

Base

Metal

12/2023

USD

163,036

(5,572)

LME

Lead

Base

Metal

12/2023

USD

217,378

(6,233)

LME

Lead

Base

Metal

12/2023

USD

217,383

(3,928)

LME

Lead

Base

Metal

12/2023

USD

1,302,600

(32,532)

LME

Nickel

Base

Metal

12/2023

USD

111,954

(7,959)

LME

Nickel

Base

Metal

12/2023

USD

223,805

(15,631)

LME

Nickel

Base

Metal

12/2023

USD

223,822

(14,984)

LME

Nickel

Base

Metal

12/2023

USD

223,920

(11,705)

LME

Nickel

Base

Metal

12/2023

USD

223,932

(7,613)

156

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

12/2023

USD

224,328

(3,498)

LME

Nickel

Base

Metal

12/2023

USD

335,268

(35,541)

LME

Nickel

Base

Metal

12/2023

USD

335,973

(10,835)

LME

Nickel

Base

Metal

12/2023

USD

336,420

(3,028)

LME

Nickel

Base

Metal

12/2023

USD

1,121,160

(12,299)

LME

Zinc

Base

Metal

12/2023

USD

132,700

7,776

LME

Zinc

Base

Metal

12/2023

USD

198,690

5,099

LME

Zinc

Base

Metal

12/2023

USD

199,106

11,760

LME

Zinc

Base

Metal

12/2023

USD

198,713

300

LME

Zinc

Base

Metal

12/2023

USD

198,956

16,515

LME

Zinc

Base

Metal

12/2023

USD

265,442

12,337

LME

Zinc

Base

Metal

12/2023

USD

265,358

14,163

LME

Zinc

Base

Metal

12/2023

USD

265,369

16,598

LME

Zinc

Base

Metal

12/2023

USD

264,975

14,785

LME

Zinc

Base

Metal

12/2023

USD

397,268

13,550

LME

Zinc

Base

Metal

12/2023

USD

663,128

47,383

LME

Zinc

Base

Metal

12/2023

USD

1,457,335

73,003

LME

Zinc

Base

Metal

12/2023

USD

5,438,138

282,403

MSCI

Emerging

Markets

E-Mini

Index

12/2023

USD

2,914,275

(84,151)

Nikkei

225

Index

12/2023

JPY

426,392

(4,498)

S&P

500

E-Mini

Index

12/2023

USD

216,275

(8,794)

S&P

Midcap

400

E-Mini

Index

12/2023

USD

252,040

(8,391)

Silver

12/2023

USD

561,250

(50,095)

Soybean

Oil

12/2023

USD

368,478

(40,027)

TOPIX

Index

12/2023

JPY

1,865,766

(36,282)

Platinum

1/2024

USD

274,770

(3,412)

Crude

Oil

2/2024

JPY

1,287,045

24,329

Rubber

3/2024

JPY

7,873

(17)

Month

SARON

6/2024

CHF

4,828,399

2,809

Month

SARON

9/2024

CHF

3,487,355

1,598

Month

SARON

12/2024

CHF

2,683,536

976

Month

SARON

3/2025

CHF

2,417,026

1,058

1,042,182

Short

Contracts

CAC

Euro

Index

(31)

10/2023

EUR

(2,343,886)

32,438

CBOE

Volatility

Index

(3)

10/2023

USD

(53,314)

(1,524)

EURO

STOXX

Volatility

Index

(14)

10/2023

EUR

(26,199)

(475)

Hang

Seng

Index

(12)

10/2023

HKD

(1,370,638)

(15,242)

IBEX

Index

(7)

10/2023

EUR

(698,631)

1,348

LME

Aluminum

Base

Metal

(4)

10/2023

USD

(234,271)

(12,345)

LME

Aluminum

Base

Metal

(8)

10/2023

USD

(468,664)

(26,749)

LME

Aluminum

Base

Metal

(10)

10/2023

USD

(584,855)

(37,111)

LME

Aluminum

Base

Metal

(12)

10/2023

USD

(700,725)

(48,735)

LME

Aluminum

Base

Metal

(12)

10/2023

USD

(699,825)

(59,648)

LME

Aluminum

Base

Metal

(13)

10/2023

USD

(759,038)

(60,941)

LME

Aluminum

Base

Metal

(13)

10/2023

USD

(760,175)

(36,702)

LME

Aluminum

Base

Metal

(19)

10/2023

USD

(1,109,600)

(67,441)

LME

Aluminum

Base

Metal

(20)

10/2023

USD

(1,169,225)

(46,471)

LME

Copper

Base

Metal

(1)

10/2023

USD

(205,938)

5,830

LME

Copper

Base

Metal

(1)

10/2023

USD

(205,738)

3,907

LME

Copper

Base

Metal

(1)

10/2023

USD

(206,006)

5,827

LME

Copper

Base

Metal

(2)

10/2023

USD

(411,950)

10,795

LME

Copper

Base

Metal

(4)

10/2023

USD

(822,767)

14,298

LME

Copper

Base

Metal

(5)

10/2023

USD

(1,028,229)

11,839

LME

Copper

Base

Metal

(8)

10/2023

USD

(1,643,700)

10,637

LME

Lead

Base

Metal

(1)

10/2023

USD

(54,388)

(1,040)

157

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(1)

10/2023

USD

(54,658)

(2,132)

LME

Lead

Base

Metal

(1)

10/2023

USD

(54,766)

(3,321)

LME

Lead

Base

Metal

(1)

10/2023

USD

(54,256)

(421)

LME

Lead

Base

Metal

(1)

10/2023

USD

(54,719)

(2,873)

LME

Lead

Base

Metal

(2)

10/2023

USD

(109,475)

(6,434)

LME

Lead

Base

Metal

(3)

10/2023

USD

(163,059)

(2,867)

LME

Lead

Base

Metal

(3)

10/2023

USD

(162,971)

446

LME

Lead

Base

Metal

(5)

10/2023

USD

(271,474)

(1,487)

LME

Nickel

Base

Metal

(1)

10/2023

USD

(111,227)

20,710

LME

Nickel

Base

Metal

(1)

10/2023

USD

(110,822)

13,948

LME

Nickel

Base

Metal

(1)

10/2023

USD

(110,845)

16,934

LME

Nickel

Base

Metal

(1)

10/2023

USD

(110,708)

16,051

LME

Nickel

Base

Metal

(2)

10/2023

USD

(221,918)

29,553

LME

Nickel

Base

Metal

(2)

10/2023

USD

(222,303)

41,121

LME

Nickel

Base

Metal

(3)

10/2023

USD

(332,946)

44,006

LME

Zinc

Base

Metal

(1)

10/2023

USD

(66,122)

(7,325)

LME

Zinc

Base

Metal

(1)

10/2023

USD

(66,138)

(7,244)

LME

Zinc

Base

Metal

(2)

10/2023

USD

(132,263)

(12,938)

LME

Zinc

Base

Metal

(2)

10/2023

USD

(132,292)

(8,297)

LME

Zinc

Base

Metal

(3)

10/2023

USD

(198,408)

(13,327)

LME

Zinc

Base

Metal

(3)

10/2023

USD

(198,428)

(19,412)

LME

Zinc

Base

Metal

(3)

10/2023

USD

(198,431)

(18,888)

LME

Zinc

Base

Metal

(7)

10/2023

USD

(462,642)

(50,450)

LME

Zinc

Base

Metal

(10)

10/2023

USD

(661,313)

(67,271)

LME

Zinc

Base

Metal

(10)

10/2023

USD

(661,408)

(43,125)

MSCI

Singapore

Index

(103)

10/2023

SGD

(2,152,301)

(32,827)

Natural

Gas

(5)

10/2023

EUR

(159,320)

4,218

OMXS30

Index

(82)

10/2023

SEK

(1,621,154)

16,345

Rapeseed

(29)

10/2023

EUR

(678,358)

187

Canola

(3)

11/2023

CAD

(31,231)

214

CBOE

Volatility

Index

(4)

11/2023

USD

(72,985)

948

EURO

STOXX

Volatility

Index

(14)

11/2023

EUR

(27,161)

(1,280)

Feeder

Cattle

(2)

11/2023

USD

(254,900)

533

French

Base

Electricity

(2)

11/2023

EUR

(171,472)

738

Italian

Base

Electricity

(1)

11/2023

EUR

(97,634)

677

LME

Aluminum

Base

Metal

(1)

11/2023

USD

(58,663)

(4,623)

LME

Aluminum

Base

Metal

(1)

11/2023

USD

(58,663)

(5,021)

LME

Aluminum

Base

Metal

(1)

11/2023

USD

(58,663)

(5,167)

LME

Aluminum

Base

Metal

(2)

11/2023

USD

(117,383)

(8,838)

LME

Aluminum

Base

Metal

(3)

11/2023

USD

(176,213)

(9,946)

LME

Aluminum

Base

Metal

(4)

11/2023

USD

(234,650)

(11,413)

LME

Aluminum

Base

Metal

(4)

11/2023

USD

(234,812)

(18,415)

LME

Aluminum

Base

Metal

(5)

11/2023

USD

(293,659)

(22,832)

LME

Aluminum

Base

Metal

(6)

11/2023

USD

(351,975)

(20,378)

LME

Aluminum

Base

Metal

(8)

11/2023

USD

(469,300)

(39,072)

LME

Aluminum

Base

Metal

(9)

11/2023

USD

(527,963)

(31,588)

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,394)

(1,359)

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,281)

13,716

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,581)

3,667

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,450)

4,387

LME

Copper

Base

Metal

(1)

11/2023

USD

(206,398)

7,061

LME

Copper

Base

Metal

(2)

11/2023

USD

(412,869)

(1,512)

LME

Copper

Base

Metal

(3)

11/2023

USD

(619,631)

9,611

LME

Copper

Base

Metal

(4)

11/2023

USD

(825,258)

26,353

LME

Copper

Base

Metal

(5)

11/2023

USD

(1,032,505)

11,057

LME

Lead

Base

Metal

(1)

11/2023

USD

(54,240)

(893)

158

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(1)

11/2023

USD

(54,215)

(854)

LME

Lead

Base

Metal

(1)

11/2023

USD

(54,250)

(3)

LME

Lead

Base

Metal

(1)

11/2023

USD

(54,230)

(483)

LME

Lead

Base

Metal

(1)

11/2023

USD

(54,200)

(603)

LME

Lead

Base

Metal

(2)

11/2023

USD

(108,700)

1,095

LME

Lead

Base

Metal

(2)

11/2023

USD

(108,400)

(3,155)

LME

Lead

Base

Metal

(3)

11/2023

USD

(162,825)

(225)

LME

Nickel

Base

Metal

(1)

11/2023

USD

(111,486)

8,086

LME

Nickel

Base

Metal

(3)

11/2023

USD

(334,062)

51,258

LME

Nickel

Base

Metal

(3)

11/2023

USD

(334,485)

25,385

LME

Nickel

Base

Metal

(3)

11/2023

USD

(334,170)

38,656

LME

Nickel

Base

Metal

(4)

11/2023

USD

(445,632)

45,600

LME

Zinc

Base

Metal

(4)

11/2023

USD

(264,870)

(34,407)

LME

Zinc

Base

Metal

(6)

11/2023

USD

(397,341)

(45,745)

LME

Zinc

Base

Metal

(9)

11/2023

USD

(596,081)

(74,295)

LME

Zinc

Base

Metal

(10)

11/2023

USD

(662,355)

(65,767)

LME

Zinc

Base

Metal

(11)

11/2023

USD

(728,338)

(99,842)

LME

Zinc

Base

Metal

(12)

11/2023

USD

(794,325)

(103,398)

LME

Zinc

Base

Metal

(12)

11/2023

USD

(795,255)

(64,884)

LME

Zinc

Base

Metal

(12)

11/2023

USD

(794,850)

(89,752)

Lumber

(1)

11/2023

USD

(13,791)

Phelix

Base

Electricity

(2)

11/2023

EUR

(165,839)

2,827

Soybean

(161)

11/2023

USD

(10,263,750)

292,872

Australia

Year

Bond

(133)

12/2023

AUD

(9,586,035)

250,668

Australia

Year

Bond

(350)

12/2023

AUD

(23,718,200)

173,321

Canada

Year

Bond

(180)

12/2023

CAD

(15,270,679)

287,397

CBOE

Volatility

Index

(5)

12/2023

USD

(91,719)

(3,396)

Coal

(1)

12/2023

USD

(162,500)

1,481

Coal

(1)

12/2023

USD

(127,950)

386

Coffee

'C'

(19)

12/2023

USD

(1,041,319)

107,926

Copper

(85)

12/2023

USD

(7,942,188)

(5,080)

Corn

(248)

12/2023

USD

(5,911,700)

82,610

Cotton

No.

(48)

12/2023

USD

(2,091,600)

(134,002)

Crude

Palm

Oil

(6)

12/2023

MYR

(120,345)

1,096

DAX

Index

(14)

12/2023

EUR

(5,745,202)

137,952

Euro

STOXX

Index

(42)

12/2023

EUR

(1,866,765)

36,248

EURO

STOXX

Volatility

Index

(27)

12/2023

EUR

(51,097)

(2,527)

Euro-Bobl

(171)

12/2023

EUR

(20,908,335)

206,352

Euro-BTP

(86)

12/2023

EUR

(9,963,397)

457,863

Euro-Bund

(74)

12/2023

EUR

(10,044,784)

266,734

Euro-Buxl

(30)

12/2023

EUR

(3,861,288)

345,659

Euro-OAT

(89)

12/2023

EUR

(11,563,365)

315,133

Euro-Schatz

(542)

12/2023

EUR

(60,156,637)

111,795

French

Base

Electricity

(1)

12/2023

EUR

(311,554)

3,087

French

Base

Electricity

(1)

12/2023

EUR

(1,196,615)

(5,035)

FTSE

100

Index

(26)

12/2023

GBP

(2,433,441)

(24,772)

Italian

Base

Electricity

(1)

12/2023

EUR

(325,471)

20,327

Italian

Base

Electricity

(1)

12/2023

EUR

(1,278,061)

2,325

Japan

Year

Bond

(12)

12/2023

JPY

(11,643,469)

67,252

HRW

Wheat

(13)

12/2023

USD

(431,438)

26,372

LME

Aluminum

Base

Metal

(1)

12/2023

USD

(58,742)

(2,745)

LME

Aluminum

Base

Metal

(1)

12/2023

USD

(58,763)

(3,240)

LME

Aluminum

Base

Metal

(1)

12/2023

USD

(58,825)

(4,348)

LME

Aluminum

Base

Metal

(1)

12/2023

USD

(58,738)

(2,870)

LME

Aluminum

Base

Metal

(2)

12/2023

USD

(117,688)

(7,002)

LME

Aluminum

Base

Metal

(3)

12/2023

USD

(176,438)

(12,673)

159

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(4)

12/2023

USD

(235,464)

(15,508)

LME

Aluminum

Base

Metal

(5)

12/2023

USD

(293,604)

(14,431)

LME

Aluminum

Base

Metal

(11)

12/2023

USD

(647,488)

(42,204)

LME

Aluminum

Base

Metal

(15)

12/2023

USD

(883,125)

(55,526)

LME

Aluminum

Base

Metal

(142)

12/2023

USD

(8,351,375)

(554,226)

LME

Copper

Base

Metal

(1)

12/2023

USD

(206,708)

2,728

LME

Copper

Base

Metal

(1)

12/2023

USD

(206,675)

(690)

LME

Copper

Base

Metal

(2)

12/2023

USD

(413,433)

6,198

LME

Copper

Base

Metal

(2)

12/2023

USD

(413,200)

(266)

LME

Copper

Base

Metal

(2)

12/2023

USD

(413,529)

1,080

LME

Copper

Base

Metal

(2)

12/2023

USD

(413,237)

13,661

LME

Copper

Base

Metal

(3)

12/2023

USD

(620,270)

9,413

LME

Copper

Base

Metal

(5)

12/2023

USD

(1,033,755)

(20,119)

LME

Copper

Base

Metal

(6)

12/2023

USD

(1,240,199)

16,407

LME

Copper

Base

Metal

(6)

12/2023

USD

(1,240,068)

5,296

LME

Copper

Base

Metal

(33)

12/2023

USD

(6,822,750)

30,065

LME

Lead

Base

Metal

(1)

12/2023

USD

(54,349)

2,973

LME

Lead

Base

Metal

(2)

12/2023

USD

(108,693)

2,802

LME

Lead

Base

Metal

(3)

12/2023

USD

(163,036)

5,365

LME

Lead

Base

Metal

(4)

12/2023

USD

(217,378)

5,599

LME

Lead

Base

Metal

(4)

12/2023

USD

(217,383)

4,212

LME

Lead

Base

Metal

(11)

12/2023

USD

(597,025)

16,609

LME

Nickel

Base

Metal

(1)

12/2023

USD

(111,954)

7,568

LME

Nickel

Base

Metal

(2)

12/2023

USD

(223,932)

7,233

LME

Nickel

Base

Metal

(2)

12/2023

USD

(223,805)

16,341

LME

Nickel

Base

Metal

(2)

12/2023

USD

(224,328)

3,280

LME

Nickel

Base

Metal

(2)

12/2023

USD

(223,822)

13,684

LME

Nickel

Base

Metal

(2)

12/2023

USD

(223,920)

12,756

LME

Nickel

Base

Metal

(3)

12/2023

USD

(336,420)

6,096

LME

Nickel

Base

Metal

(3)

12/2023

USD

(335,268)

38,260

LME

Nickel

Base

Metal

(3)

12/2023

USD

(335,973)

11,938

LME

Nickel

Base

Metal

(10)

12/2023

USD

(1,121,160)

16,100

LME

Nickel

Base

Metal

(58)

12/2023

USD

(6,494,028)

447,265

LME

Zinc

Base

Metal

(2)

12/2023

USD

(132,700)

(8,206)

LME

Zinc

Base

Metal

(3)

12/2023

USD

(198,713)

(146)

LME

Zinc

Base

Metal

(3)

12/2023

USD

(198,690)

(9,924)

LME

Zinc

Base

Metal

(3)

12/2023

USD

(199,106)

(12,590)

LME

Zinc

Base

Metal

(3)

12/2023

USD

(198,956)

(15,965)

LME

Zinc

Base

Metal

(4)

12/2023

USD

(264,975)

(15,861)

LME

Zinc

Base

Metal

(4)

12/2023

USD

(265,369)

(17,731)

LME

Zinc

Base

Metal

(4)

12/2023

USD

(265,358)

(14,620)

LME

Zinc

Base

Metal

(4)

12/2023

USD

(265,442)

(13,004)

LME

Zinc

Base

Metal

(6)

12/2023

USD

(397,268)

(13,659)

LME

Zinc

Base

Metal

(10)

12/2023

USD

(663,128)

(50,407)

LME

Zinc

Base

Metal

(22)

12/2023

USD

(1,457,335)

(70,813)

LME

Zinc

Base

Metal

(83)

12/2023

USD

(5,504,456)

(456,197)

Long

Gilt

(54)

12/2023

GBP

(6,179,392)

39,772

Milling

Wheat

No.

(70)

12/2023

EUR

(871,438)

7,291

MSCI

EAFE

E-Mini

Index

(37)

12/2023

USD

(3,776,775)

127,731

NASDAQ

100

E-Mini

Index

(1)

12/2023

USD

(297,330)

(907)

Palladium

(1)

12/2023

USD

(125,600)

(1,742)

Phelix

Base

Electricity

(1)

12/2023

EUR

(279,935)

18,573

Phelix

Base

Electricity

(1)

12/2023

EUR

(1,128,078)

(2,086)

Russell

2000

E-Mini

Index

(18)

12/2023

USD

(1,618,740)

56,430

S&P/TSX

Index

(3)

12/2023

CAD

(519,625)

3,128

Soybean

Meal

(1)

12/2023

USD

(38,120)

(784)

160

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

SPI

200

Index

(15)

12/2023

AUD

(1,708,479)

28,543

U.S.

Treasury

Year

Note

(200)

12/2023

USD

(21,606,250)

378,011

U.S.

Treasury

Year

Note

(372)

12/2023

USD

(75,405,561)

122,136

U.S.

Treasury

Year

Note

(305)

12/2023

USD

(32,125,078)

210,881

U.S.

Treasury

Long

Bond

(108)

12/2023

USD

(12,298,500)

658,566

U.S.

Treasury

Ultra

Bond

(84)

12/2023

USD

(9,993,375)

657,499

Wheat

(5)

12/2023

USD

(177,313)

5,484

Wheat

(5)

12/2023

ZAR

(81,785)

Wheat

(95)

12/2023

USD

(2,572,125)

607,098

White

Maize

(9)

12/2023

ZAR

(195,413)

(20,144)

Yellow

Maize

(16)

12/2023

ZAR

(337,683)

(7,150)

Aluminum

(7)

1/2024

USD

(412,738)

(22,216)

CBOE

Volatility

Index

(6)

1/2024

USD

(114,598)

3,549

Rapeseed

(14)

1/2024

EUR

(339,509)

3,098

CBOE

Volatility

Index

(6)

2/2024

USD

(115,808)

(1,741)

Sugar

No.

(2)

2/2024

USD

(59,315)

1,245

Month

Canadian

Bankers

Acceptance

(153)

3/2024

CAD

(26,565,903)

110,842

Month

Euro

Euribor

(60)

3/2024

EUR

(15,232,329)

25,575

90-Day

Australian

Bank

Bill

(44)

3/2024

AUD

(27,985,487)

(6,367)

90-Day

New

Zealand

Bill

(37)

3/2024

NZD

(21,853,713)

3,849

Month

Canadian

Bankers

Acceptance

(134)

6/2024

CAD

(23,281,668)

155,432

Month

Euro

Euribor

(56)

6/2024

EUR

(14,237,563)

36,075

Month

SOFR

(121)

6/2024

USD

(28,622,550)

80,669

Month

SONIA

(14)

6/2024

GBP

(4,039,965)

(14,269)

90-Day

Australian

Bank

Bill

(73)

6/2024

AUD

(46,427,069)

(3,250)

90-Day

New

Zealand

Bill

(33)

6/2024

NZD

(19,491,623)

14,533

Month

Canadian

Bankers

Acceptance

(143)

9/2024

CAD

(24,908,531)

132,131

Month

Euro

Euribor

(55)

9/2024

EUR

(14,012,395)

32,994

Month

SOFR

(104)

9/2024

USD

(24,651,900)

110,315

Month

SONIA

(27)

9/2024

GBP

(7,800,008)

(32,969)

90-Day

Australian

Bank

Bill

(117)

9/2024

AUD

(74,415,953)

21,013

90-Day

New

Zealand

Bill

(34)

9/2024

NZD

(20,089,112)

8,547

Month

Canadian

Bankers

Acceptance

(134)

12/2024

CAD

(23,386,490)

55,329

Month

Euro

Euribor

(43)

12/2024

EUR

(10,980,149)

17,662

Month

SOFR

(92)

12/2024

USD

(21,870,700)

135,911

Month

SONIA

(26)

12/2024

GBP

(7,525,394)

(28,908)

90-Day

Australian

Bank

Bill

(110)

12/2024

AUD

(69,979,079)

32,012

Month

Euro

Euribor

(36)

3/2025

EUR

(9,207,432)

12,680

Month

SOFR

(75)

3/2025

USD

(17,889,375)

120,817

Month

SONIA

(20)

3/2025

GBP

(5,800,965)

(15,487)

Month

Euro

Euribor

(33)

6/2025

EUR

(8,449,304)

7,319

Month

SOFR

(75)

6/2025

USD

(17,941,875)

104,363

Month

SONIA

(21)

6/2025

GBP

(6,102,864)

(12,520)

Month

Euro

Euribor

(31)

9/2025

EUR

(7,941,732)

16,762

Month

SOFR

(72)

9/2025

USD

(17,259,300)

88,831

Month

SONIA

(18)

9/2025

GBP

(5,238,438)

(14,450)

Month

SOFR

(68)

12/2025

USD

(16,318,300)

57,197

Month

SONIA

(15)

12/2025

GBP

(4,370,398)

(11,277)

5,473,184

6,515,366

161

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

Forward

foreign

currency

exchange

contracts

outstanding

September

30,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

409,000

USD

263,480

CITI

12/20/2023

220

AUD

409,000

USD

263,479

JPMC

12/20/2023

222

CAD

1,583,000

USD

1,163,841

CITI

12/20/2023

3,125

CAD

1,583,000

USD

1,163,835

JPMC

12/20/2023

3,131

CZK

5,000,000

USD

216,048

CITI

12/20/2023

206

CZK

5,000,000

USD

216,047

JPMC

12/20/2023

207

INR

185,000,000

USD

2,215,205

CITI

12/20/2023

2,277

INR

185,000,000

USD

2,215,194

JPMC

12/20/2023

2,288

MXN

13,880,504

USD

777,232

CITI

12/20/2023

8,610

MXN

13,880,501

USD

777,228

JPMC

12/20/2023

8,614

NOK

37,000,002

USD

3,445,815

CITI

12/20/2023

20,931

NOK

36,999,998

USD

3,445,797

JPMC

12/20/2023

20,949

NZD

15,223,000

USD

9,039,135

CITI

12/20/2023

85,078

NZD

15,223,000

USD

9,039,089

JPMC

12/20/2023

85,123

SGD

602,500

USD

441,553

CITI

12/20/2023

798

SGD

602,500

USD

441,551

JPMC

12/20/2023

801

USD

1,116,513

AUD

1,725,126

CITI

12/20/2023

4,248

USD

1,116,517

AUD

1,725,124

JPMC

12/20/2023

4,254

USD

34,524

BRL

173,056

CITI

12/20/2023

434

USD

34,524

BRL

173,054

JPMC

12/20/2023

434

USD

3,911,340

CAD

5,303,586

CITI

12/20/2023

1,607

USD

3,911,359

CAD

5,303,586

JPMC

12/20/2023

1,626

USD

9,601,851

CHF

8,408,503

CITI

12/20/2023

332,763

USD

9,601,892

CHF

8,408,497

JPMC

12/20/2023

332,810

USD

194,184

CLP

171,774,032

CITI

12/20/2023

2,062

USD

194,185

CLP

171,774,032

JPMC

12/20/2023

2,063

USD

35,366

COP

146,199,252

CITI

12/20/2023

238

USD

35,366

COP

146,199,252

JPMC

12/20/2023

238

USD

682,940

CZK

15,321,000

CITI

12/20/2023

20,294

USD

682,943

CZK

15,321,000

JPMC

12/20/2023

20,298

USD

25,012,501

EUR

23,380,500

CITI

12/20/2023

199,585

USD

25,012,626

EUR

23,380,500

JPMC

12/20/2023

199,711

USD

4,275,050

GBP

3,460,500

CITI

12/20/2023

50,489

USD

4,275,071

GBP

3,460,500

JPMC

12/20/2023

50,511

USD

651,179

HUF

238,152,516

CITI

12/20/2023

12,852

USD

651,183

HUF

238,152,516

JPMC

12/20/2023

12,855

USD

2,593,259

IDR

39,685,649,845

CITI

12/20/2023

32,225

USD

2,593,272

IDR

39,685,649,843

JPMC

12/20/2023

32,238

USD

135,915

ILS

513,990

CITI

12/20/2023

614

USD

135,916

ILS

513,990

JPMC

12/20/2023

615

USD

3,896,452

INR

322,908,985

CITI

12/20/2023

25,939

USD

3,896,472

INR

322,908,983

JPMC

12/20/2023

25,959

USD

43,097,486

JPY

6,211,356,576

CITI

12/20/2023

976,669

USD

43,097,702

JPY

6,211,356,572

JPMC

12/20/2023

976,884

USD

1,711,403

KRW

2,274,968,126

CITI

12/20/2023

22,287

USD

1,711,412

KRW

2,274,968,121

JPMC

12/20/2023

22,295

USD

575,043

NOK

6,094,876

CITI

12/20/2023

3,979

USD

575,046

NOK

6,094,872

JPMC

12/20/2023

3,982

USD

3,077,148

PLN

13,281,501

CITI

12/20/2023

46,436

USD

3,077,163

PLN

13,281,499

JPMC

12/20/2023

46,451

USD

6,519,396

SGD

8,826,000

CITI

12/20/2023

39,406

USD

6,519,428

SGD

8,826,000

JPMC

12/20/2023

39,439

USD

5,572,107

TWD

176,520,502

CITI

12/20/2023

68,529

USD

5,572,135

TWD

176,520,498

JPMC

12/20/2023

68,557

USD

4,527,225

ZAR

85,415,000

CITI

12/20/2023

47,770

162

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

4,527,247

ZAR

85,414,998

JPMC

12/20/2023

47,791

Total

unrealized

appreciation

4,020,017

CAD

14,584,000

USD

10,838,866

CITI

12/20/2023

(87,734)

CAD

14,584,000

USD

10,838,812

JPMC

12/20/2023

(87,680)

CZK

54,000,000

USD

2,362,788

CITI

12/20/2023

(27,243)

CZK

54,000,000

USD

2,362,776

JPMC

12/20/2023

(27,231)

EUR

40,386,631

USD

43,799,456

CITI

12/20/2023

(938,522)

EUR

40,386,626

USD

43,799,231

JPMC

12/20/2023

(938,303)

GBP

19,161,002

USD

24,097,333

CITI

12/20/2023

(705,682)

GBP

19,160,996

USD

24,097,205

JPMC

12/20/2023

(705,561)

JPY

705,000,000

USD

4,850,973

CITI

12/20/2023

(70,185)

JPY

705,000,000

USD

4,850,948

JPMC

12/20/2023

(70,161)

MXN

13,880,503

USD

808,182

CITI

12/20/2023

(22,341)

MXN

13,880,500

USD

808,178

JPMC

12/20/2023

(22,337)

NOK

11,000,000

USD

1,037,660

CITI

12/20/2023

(7,005)

NOK

11,000,000

USD

1,037,654

JPMC

12/20/2023

(7,001)

NZD

800,500

USD

479,858

CITI

12/20/2023

(63)

NZD

800,500

USD

479,856

JPMC

12/20/2023

(60)

PLN

5,435,501

USD

1,308,730

CITI

12/20/2023

(68,400)

PLN

5,435,500

USD

1,308,723

JPMC

12/20/2023

(68,394)

SEK

17,000,000

USD

1,573,072

CITI

12/20/2023

(10,759)

SEK

17,000,000

USD

1,573,064

JPMC

12/20/2023

(10,751)

SGD

2,217,002

USD

1,628,629

CITI

12/20/2023

(921)

SGD

2,216,998

USD

1,628,617

JPMC

12/20/2023

(913)

USD

1,024,619

AUD

1,597,876

CITI

12/20/2023

(5,602)

USD

1,024,622

AUD

1,597,874

JPMC

12/20/2023

(5,597)

USD

1,302,616

CAD

1,768,914

CITI

12/20/2023

(1,404)

USD

1,302,623

CAD

1,768,914

JPMC

12/20/2023

(1,397)

USD

220,995

CLP

200,000,000

CITI

12/20/2023

(2,696)

USD

220,996

CLP

200,000,000

JPMC

12/20/2023

(2,695)

USD

104,137

COP

438,597,755

CITI

12/20/2023

(1,246)

USD

104,175

COP

438,597,749

JPMC

12/20/2023

(1,208)

USD

2,781,023

EUR

2,622,500

CITI

12/20/2023

(2,145)

USD

2,781,037

EUR

2,622,500

JPMC

12/20/2023

(2,132)

USD

463,985

GBP

381,000

CITI

12/20/2023

(1,138)

USD

463,987

GBP

381,000

JPMC

12/20/2023

(1,136)

USD

39,726

ILS

151,010

CITI

12/20/2023

(25)

USD

39,726

ILS

151,010

JPMC

12/20/2023

(25)

USD

408,099

KRW

550,000,000

CITI

12/20/2023

(264)

USD

408,101

KRW

550,000,000

JPMC

12/20/2023

(262)

USD

12,539,307

NZD

21,111,502

CITI

12/20/2023

(114,298)

USD

12,539,367

NZD

21,111,498

JPMC

12/20/2023

(114,236)

USD

451,184

PHP

25,633,000

CITI

12/20/2023

(1,488)

USD

451,186

PHP

25,633,000

JPMC

12/20/2023

(1,486)

USD

5,599,951

SEK

61,594,500

CITI

12/20/2023

(60,630)

USD

5,599,979

SEK

61,594,500

JPMC

12/20/2023

(60,602)

USD

1,665,310

TWD

53,500,000

CITI

12/20/2023

(2,720)

USD

1,665,318

TWD

53,500,000

JPMC

12/20/2023

(2,712)

USD

6,645,562

ZAR

128,415,002

CITI

12/20/2023

(88,962)

USD

6,645,596

ZAR

128,415,000

JPMC

12/20/2023

(88,927)

Total

unrealized

depreciation

(4,442,280)

Net

unrealized

depreciation

(422,263)

Non-deliverable

forward

foreign

currency

exchange

contracts.

163

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

Total

return

basket

swap

contracts

outstanding

September

30,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

HONIX

plus

minus

specified

spread

(-0.04%

0.02%),

which

denominated

HKD

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

09/08/2028

$1,466,783

$(10,800)

$(1,043)

$(11,843)

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

NOWA

plus

minus

specified

spread

(-0.04%

0.03%),

which

denominated

NOK

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

09/08/2028

$1,532,002

$1,183

$(50)

$1,133

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SORA

plus

minus

specified

spread

(-1.10%

0.04%),

which

denominated

SGD

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

09/08/2028

$1,183,807

$4,157

$(1,811)

$2,346

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

AOISR

plus

minus

specified

spread

(-0.04%

0.04%),

which

denominated

AUD

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

10/03/2028

$7,764,472

$95,065

$14,681

$109,746

164

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Allkem

Ltd.

17,259

129,053

(15,315)

(14.0)

ALS

Ltd.

9,790

71,907

(1,676)

(1.5)

ANZ

Group

Holdings

Ltd.

3,265

53,551

483

0.4

Aristocrat

Leisure

Ltd.

7,177

187,510

(1,314)

(1.2)

BHP

Group

Ltd.

13,085

367,569

257

0.2

BlueScope

Steel

Ltd.

19,381

240,005

(18,467)

(16.8)

Brambles

Ltd.

11,546

106,068

(4,721)

(4.3)

Coles

Group

Ltd.

5,654

56,432

(242)

(0.2)

Fortescue

Metals

Group

Ltd.

6,186

82,231

3,755

3.4

IGO

Ltd.

10,738

86,173

(5,988)

(5.5)

Incitec

Pivot

Ltd.

69,533

139,327

2,079

1.9

Hi-Fi

Ltd.

7,102

206,282

(3,993)

(3.6)

New

Hope

Corp.

Ltd.

10,212

41,434

2,236

2.0

Northern

Star

Resources

Ltd.

8,718

57,890

(2,629)

(2.4)

Orica

Ltd.

7,358

73,365

(1,430)

(1.3)

Origin

Energy

Ltd.

70,645

397,798

9,446

8.6

Pilbara

Minerals

Ltd.

80,280

219,019

(8,608)

(7.8)

Qantas

Airways

Ltd.

147,381

487,903

(32,083)

(29.2)

QBE

Insurance

Group

Ltd.

3,706

37,124

(451)

(0.4)

Qube

Holdings

Ltd.

33,280

61,128

(3,920)

(3.6)

Sonic

Healthcare

Ltd.

3,893

74,337

(2,884)

(2.6)

South32

Ltd.

49,276

106,397

1,957

1.8

Suncorp

Group

Ltd.

11,261

100,331

(308)

(0.3)

Whitehaven

Coal

Ltd.

16,216

73,544

9,841

9.0

Woodside

Energy

Group

Ltd.

1,593

37,039

(369)

(0.3)

Woolworths

Group

Ltd.

5,973

143,001

(1,193)

(1.1)

New

Zealand

Xero

Ltd.

761

54,729

(4,479)

(4.1)

Short

Positions

Common

Stocks

Australia

APA

Group

(7,860)

(41,814)

1,092

1.0

carsales.com

Ltd.

(9,885)

(177,084)

9,028

8.2

Cleanaway

Waste

Management

Ltd.

(55,758)

(86,841)

3,133

2.9

Commonwealth

Bank

Australia

(5,898)

(376,741)

9,715

8.9

Domino's

Pizza

Enterprises

Ltd.

(7,199)

(244,449)

110

0.1

Endeavour

Group

Ltd.

(24,141)

(81,507)

1,378

1.3

Evolution

Mining

Ltd.

(22,573)

(47,123)

4,924

4.5

IDP

Education

Ltd.

(28,397)

(388,619)

48,472

44.2

Insurance

Australia

Group

Ltd.

(12,039)

(43,672)

1,532

1.4

Lynas

Rare

Earths

Ltd.

(28,735)

(124,097)

5,888

5.4

Mineral

Resources

Ltd.

(3,921)

(168,375)

4,043

3.7

NEXTDC

Ltd.

(29,471)

(233,186)

12,183

11.1

Pro

Medicus

Ltd.

(2,224)

(118,673)

(14,489)

(13.2)

Ramsay

Health

Care

Ltd.

(1,380)

(45,803)

(883)

(0.8)

REA

Group

Ltd.

(2,449)

(241,869)

13,814

12.6

Reece

Ltd.

(7,603)

(90,501)

3,160

2.9

Seven

Group

Holdings

Ltd.

(3,708)

(73,858)

(4,958)

(4.5)

Transurban

Group

(8,116)

(65,948)

2,671

2.4

Washington

Soul

Pattinson

Co.

Ltd.

(6,022)

(125,623)

3,813

3.5

165

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Australia

(continued)

Wesfarmers

Ltd.

(4,264)

(144,311)

1,375

1.3

WiseTech

Global

Ltd.

(5,088)

(211,205)

11,723

10.7

United

States

CSL

Ltd.

(3,643)

(586,898)

36,222

33.0

James

Hardie

Industries

plc

(6,219)

(162,647)

20,564

18.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

CORRA

plus

minus

specified

spread

(-0.05%

0.02%),

which

denominated

CAD

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

10/04/2028

$13,278,647

$113,866

$10,169

$124,035

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

5,234

237,837

(4,248)

(3.4)

Air

Canada

24,237

345,822

(30,108)

(24.3)

Alimentation

Couche-Tard,

Inc.

5,694

289,175

(13,080)

(10.5)

ARC

Resources

Ltd.

17,983

287,040

9,003

7.3

Atco

Ltd.

4,101

103,865

(5,193)

(4.2)

Bank

Nova

Scotia

(The)

4,514

202,328

(10,103)

(8.1)

Bombardier,

Inc.

7,193

250,808

(17,909)

(14.4)

Boralex,

Inc.

4,289

92,143

(9,774)

(7.9)

CCL

Industries,

Inc.

2,483

104,219

(1,698)

(1.4)

Empire

Co.

Ltd.

5,785

157,376

9,200

7.4

Fairfax

Financial

Holdings

Ltd.

337

275,101

(2,786)

(2.2)

Finning

International,

Inc.

5,976

176,255

(11,353)

(9.2)

Franco-Nevada

Corp.

1,003

133,903

(7,702)

(6.2)

George

Weston

Ltd.

1,204

133,524

(1,564)

(1.3)

Imperial

Oil

Ltd.

3,105

191,249

12,505

10.1

Loblaw

Cos.

Ltd.

1,061

90,145

(2,484)

(2.0)

MEG

Energy

Corp.

9,604

186,883

8,344

6.7

Metro,

Inc.

2,426

125,993

(32)

(0.0)

National

Bank

Canada

3,119

207,199

(7,211)

(5.8)

Nutrien

Ltd.

9,247

571,057

(9,599)

(7.7)

Onex

Corp.

1,811

106,440

(7,173)

(5.8)

Open

Text

Corp.

4,923

172,781

(21,312)

(17.2)

Pembina

Pipeline

Corp.

5,869

176,470

(3,284)

(2.6)

Quebecor,

Inc.

4,430

94,944

(939)

(0.8)

Sun

Life

Financial,

Inc.

5,016

244,734

(923)

(0.7)

TFI

International,

Inc.

855

109,808

(3,525)

(2.8)

Toromont

Industries

Ltd.

1,284

104,573

273

0.2

166

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Canada

(continued)

West

Fraser

Timber

Co.

Ltd.

3,225

234,137

6,173

5.0

Whitecap

Resources,

Inc.

28,205

238,182

(1,661)

(1.3)

Short

Positions

Common

Stocks

Canada

Algonquin

Power

Utilities

Corp.

(59,796)

(353,955)

66,813

53.9

Bank

Montreal

(4,461)

(376,323)

3,350

2.7

BCE,

Inc.

(4,967)

(189,611)

13,787

11.1

Brookfield

Asset

Management

Ltd.

(3,094)

(103,099)

2,300

1.9

CAE,

Inc.

(4,202)

(98,101)

2,568

2.1

Cameco

Corp.

(7,149)

(283,644)

(12,862)

(10.4)

Canadian

Imperial

Bank

Commerce

(9,473)

(365,669)

9,973

8.0

Canadian

Natural

Resources

Ltd.

(1,629)

(105,350)

(2,135)

(1.7)

Canadian

Pacific

Kansas

City

Ltd.

(9,369)

(696,407)

28,151

22.7

Emera,

Inc.

(4,555)

(159,027)

10,128

8.2

Fortis,

Inc.

(5,324)

(202,220)

9,251

7.5

GFL

Environmental,

Inc.

(4,102)

(130,255)

5,376

4.3

Magna

International,

Inc.

(3,418)

(183,174)

12,039

9.7

Pan

American

Silver

Corp.

(12,701)

(183,841)

15,411

12.4

Global,

Inc.

(3,314)

(207,489)

8,569

6.9

Rogers

Communications,

Inc.

(16,726)

(642,195)

18,793

15.2

Royal

Bank

Canada

(7,381)

(645,039)

9,238

7.4

Suncor

Energy,

Inc.

(3,329)

(114,484)

(2,181)

(1.8)

Toronto-Dominion

Bank

(The)

(4,771)

(287,437)

176

0.1

WSP

Global,

Inc.

(1,271)

(179,386)

469

0.4

Zambia

First

Quantum

Minerals

Ltd.

(7,139)

(168,666)

11,381

9.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SARON

plus

minus

specified

spread

(-0.04%

0.03%),

which

denominated

CHF

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

10/03/2028

$8,433,734

$140,137

$708

$140,845

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

21,194

756,482

(7,600)

(5.4)

Cie

Financiere

Richemont

(Registered)

298

36,291

(1,272)

(0.9)

Clariant

(Registered)

6,542

103,145

(725)

(0.5)

DKSH

Holding

1,276

86,311

(5,972)

(4.2)

167

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Switzerland

(continued)

Dufry

(Registered)

1,858

70,541

(4,850)

(3.4)

Galenica

691

51,048

(1,267)

(0.9)

Georg

Fischer

(Registered)

2,651

148,876

(6,588)

(4.7)

Helvetia

Holding

(Registered)

571

79,762

(2,954)

(2.1)

Julius

Baer

Group

Ltd.

728

46,598

(676)

(0.5)

Logitech

International

(Registered)

2,677

184,173

(452)

(0.3)

Novartis

(Registered)

6,741

688,449

38,099

27.1

SGS

(Registered)

166

13,932

(892)

(0.6)

Swatch

Group

(The)

374

95,790

(4,928)

(3.5)

Swisscom

(Registered)

346

205,451

501

0.4

Zurich

Insurance

Group

19,217

(79)

(0.1)

United

States

Holcim

11,745

751,785

16,557

11.8

Roche

Holding

366

99,918

(301)

(0.2)

Swiss

5,384

552,939

13,784

9.8

Short

Positions

Common

Stocks

Switzerland

Adecco

Group

(Registered)

(2,065)

(84,816)

(1,661)

(1.2)

Alcon,

Inc.

(1,043)

(80,486)

493

0.4

Bachem

Holding

(2,189)

(161,458)

12,773

9.1

Baloise

Holding

(Registered)

(158)

(22,875)

2,119

1.5

Banque

Cantonale

Vaudoise

(Registered)

(1,087)

(113,746)

(441)

(0.3)

Barry

Callebaut

(Registered)

(12)

(19,083)

297

0.2

Belimo

Holding

(Registered)

(103)

(48,883)

493

0.4

BKW

(174)

(30,631)

297

0.2

Chocoladefabriken

Lindt

Spruengli

(18)

(200,026)

4,410

3.1

EMS-Chemie

Holding

(Registered)

(95)

(64,377)

2,613

1.9

Flughafen

Zurich

(Registered)

(138)

(26,275)

1,119

0.8

Geberit

(Registered)

(686)

(342,093)

(5,307)

(3.8)

Givaudan

(Registered)

(79)

(257,211)

(7,647)

(5.4)

Kuehne

Nagel

International

(Registered)

(67)

(19,037)

0.0

Lonza

Group

(Registered)

(472)

(218,322)

32,902

23.4

Partners

Group

Holding

(370)

(415,360)

(4,146)

(2.9)

Schindler

Holding

(182)

(36,254)

1,683

1.2

SIG

Group

(13,080)

(322,231)

2,715

1.9

Sika

(Registered)

(2,739)

(693,956)

25,614

18.2

Sonova

Holding

(Registered)

(481)

(113,841)

241

0.2

Straumann

Holding

(Registered)

(2,299)

(292,614)

20,540

14.6

Swiss

Life

Holding

(Registered)

(22)

(13,688)

0.0

Tecan

Group

(Registered)

(94)

(31,595)

2,293

1.6

Temenos

(Registered)

(195)

(13,638)

149

0.1

UBS

Group

(Registered)

(7,983)

(196,639)

1,813

1.3

VAT

Group

(614)

(219,102)

6,585

4.7

United

States

Nestle

(Registered)

(3,576)

(404,789)

9,712

6.9

168

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

Denmark

Tomorrow/Next

plus

minus

specified

spread

(-0.04%

0.03%),

which

denominated

DKK

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

09/08/2028

$3,492,244

$60,554

$(747)

$59,807

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Moller

Maersk

A/S

152

273,432

2,434

4.1

Carlsberg

A/S

1,135

143,106

(12,025)

(20.1)

Danske

Bank

A/S

13,836

321,078

16,351

27.3

Genmab

A/S

437

154,720

(5,846)

(9.8)

ISS

A/S

9,226

141,725

(7,889)

(13.2)

Jyske

Bank

A/S

(Registered)

1,898

138,448

6,694

11.2

Pandora

A/S

3,046

314,321

(2,609)

(4.4)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(7,060)

(73,588)

4,774

8.0

Coloplast

A/S

(3,734)

(395,121)

7,664

12.8

Demant

A/S

(1,849)

(76,348)

1,535

2.6

DSV

A/S

(644)

(120,003)

302

0.5

Store

Nord

A/S

(2,005)

(36,048)

1,511

2.5

Novo

Nordisk

A/S

(5,218)

(475,105)

9,131

15.3

Novozymes

A/S

(7,689)

(309,366)

30,045

50.2

Orsted

A/S

(4,359)

(237,144)

257

0.4

ROCKWOOL

A/S

(147)

(35,528)

168

0.3

Royal

Unibrew

A/S

(1,258)

(97,156)

9,127

15.3

Tryg

A/S

(1,786)

(32,683)

1,293

2.2

Vestas

Wind

Systems

A/S

(5,484)

(117,324)

(2,363)

(4.0)

169

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

ESTR

plus

minus

specified

spread

(-0.06%

0.03%),

which

denominated

EUR

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

10/03/2028

$36,717,310

$528,591

$25,051

$553,642

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Cie

Saint-Gobain

6,388

382,324

(5,136)

(0.9)

Eiffage

3,065

290,923

(4,997)

(0.9)

Getlink

16,989

270,837

(4,335)

(0.8)

Orange

22,288

255,649

(1,281)

(0.2)

Renault

6,195

253,478

14,186

2.6

Rexel

14,836

332,415

(14,388)

(2.6)

Sodexo

2,462

253,457

(9,181)

(1.7)

Germany

Bayerische

Motoren

Werke

5,985

607,880

(3,124)

(0.6)

Commerzbank

35,316

400,814

44,619

8.1

Deutsche

Bank

(Registered)

39,467

433,753

23,290

4.2

Deutsche

Lufthansa

(Registered)

51,935

410,983

(37,565)

(6.8)

Heidelberg

Materials

4,689

363,165

3,552

0.6

Mercedes-Benz

Group

9,545

664,301

(3,655)

(0.7)

RWE

7,091

263,217

(10,255)

(1.9)

thyssenkrupp

38,259

290,857

(1,020)

(0.2)

Italy

Banco

BPM

SpA

72,815

346,782

25,067

4.5

Leonardo

SpA

19,830

285,629

(4,832)

(0.9)

Prysmian

SpA

10,258

411,739

(4,937)

(0.9)

UniCredit

SpA

18,840

448,889

28,607

5.2

Luxembourg

ArcelorMittal

15,874

397,422

(8,068)

(1.5)

Netherlands

ABN

AMRO

Bank

26,449

373,792

(868)

(0.2)

Koninklijke

Ahold

Delhaize

13,760

414,722

(4,137)

(0.7)

Wolters

Kluwer

2,132

258,133

2,298

0.4

Spain

Industria

Diseno

Textil

7,954

295,985

(5,071)

(0.9)

Repsol

53,231

875,598

25,253

4.6

United

States

Sanofi

2,874

308,597

(787)

(0.1)

Stellantis

13,406

256,704

9,332

1.7

Tenaris

36,814

581,512

(3,989)

(0.7)

170

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Preferred

Stocks

Germany

Volkswagen

(Preference)

2,317

266,222

1,513

0.3

Short

Positions

Common

Stocks

Belgium

UCB

(3,613)

(295,938)

18,893

3.4

France

Cie

Generale

des

Etablissements

Michelin

SCA

(10,240)

(313,415)

10,181

1.8

EssilorLuxottica

(1,806)

(314,146)

15,928

2.9

L'Oreal

(1,216)

(503,925)

18,239

3.3

Sartorius

Stedim

Biotech

(1,300)

(309,275)

40,293

7.3

Germany

adidas

(2,637)

(462,553)

32,787

5.9

Covestro

(5,781)

(310,873)

16,117

2.9

Fresenius

Medical

Care

Co.

KGaA

(9,415)

(404,769)

(9,595)

(1.7)

HelloFresh

(8,569)

(254,624)

13,449

2.4

Rheinmetall

(1,709)

(439,643)

13,111

2.4

Siemens

Healthineers

(11,868)

(600,306)

(21,385)

(3.9)

Italy

Moncler

SpA

(4,825)

(279,633)

17,139

3.1

Luxembourg

Eurofins

Scientific

(7,212)

(406,448)

6,669

1.2

Netherlands

Adyen

(552)

(409,272)

10,721

1.9

Portugal

EDP

Energias

Portugal

(65,545)

(272,533)

14,428

2.6

Spain

Grifols

(20,380)

(263,960)

6,991

1.3

Switzerland

DSM-Firmenich

(5,374)

(454,118)

(1,176)

(0.2)

United

States

Ferrovial

(9,682)

(295,853)

7,862

1.4

Schneider

Electric

(2,114)

(348,371)

3,422

0.6

Preferred

Stocks

Germany

Henkel

Co.

KGaA

(Preference)

(5,698)

(405,752)

27,028

4.9

Sartorius

(Preference)

(1,284)

(434,883)

23,684

4.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

SONIA

plus

minus

specified

spread

(-0.03%

0.03%),

which

denominated

GBP

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

10/03/2028

$14,895,062

$114,404

$42,283

$156,687

171

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Glencore

plc

36,431

207,457

13,441

8.6

Netherlands

Shell

plc

22,859

724,498

21,944

14.0

United

Kingdom

Associated

British

Foods

plc

6,372

160,089

4,522

2.9

Auto

Trader

Group

plc

17,417

130,871

2,603

1.7

Aviva

plc

32,244

152,616

5,127

3.3

BAE

Systems

plc

15,991

194,320

(8,298)

(5.3)

Barclays

plc

77,572

149,515

4,212

2.7

plc

75,925

489,408

10,201

6.5

British

American

Tobacco

plc

10,966

344,318

(7,942)

(5.1)

Centrica

plc

457,054

859,678

(40,241)

(25.7)

Compass

Group

plc

4,718

114,844

(1,667)

(1.1)

Smith

plc

61,614

214,892

(3,492)

(2.2)

easyJet

plc

39,237

203,379

(7,226)

(4.6)

Howden

Joinery

Group

plc

14,728

131,779

350

0.2

HSBC

Holdings

plc

23,235

181,823

14,564

9.3

Imperial

Brands

plc

6,313

128,068

(6,469)

(4.1)

InterContinental

Hotels

Group

plc

5,818

430,266

(4,306)

(2.7)

Man

Group

plc

49,884

135,586

6,605

4.2

Marks

Spencer

Group

plc

52,823

151,931

8,220

5.2

Pearson

plc

19,721

208,072

(4,104)

(2.6)

Reckitt

Benckiser

Group

plc

4,450

313,817

(2,502)

(1.6)

Rolls-Royce

Holdings

plc

157,663

422,440

(7,612)

(4.9)

Spectris

plc

3,457

142,918

2,723

1.7

Standard

Chartered

plc

29,462

270,978

13,960

8.9

Tesco

plc

70,668

227,303

3,384

2.2

Vodafone

Group

plc

668,728

626,866

11,347

7.2

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(2,294)

(144,046)

(4,073)

(2.6)

Chile

Antofagasta

plc

(16,840)

(292,338)

15,305

9.8

Hong

Kong

Prudential

plc

(22,701)

(244,021)

3,262

2.1

Italy

Coca-Cola

HBC

(5,804)

(158,703)

2,117

1.4

Jordan

Hikma

Pharmaceuticals

plc

(5,283)

(134,152)

(531)

(0.3)

United

Kingdom

abrdn

plc

(97,879)

(184,932)

2,860

1.8

Ashtead

Group

plc

(2,574)

(156,094)

3,037

1.9

AstraZeneca

plc

(1,146)

(154,578)

862

0.6

B&M

European

Value

Retail

(20,719)

(147,785)

(3,643)

(2.3)

ConvaTec

Group

plc

(50,093)

(132,750)

3,896

2.5

Diageo

plc

(5,920)

(218,259)

11,107

7.1

Direct

Line

Insurance

Group

plc

(55,214)

(115,509)

3,056

2.0

International

Distributions

Services

plc

(39,959)

(126,918)

(1,279)

(0.8)

ITV

plc

(139,421)

(119,768)

3,424

2.2

172

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

United

Kingdom

(continued)

Sainsbury

plc

(60,450)

(186,157)

12,317

7.9

Kingfisher

plc

(87,435)

(237,352)

8,010

5.1

Persimmon

plc

(13,181)

(172,625)

(5,853)

(3.7)

Rentokil

Initial

plc

(65,487)

(486,216)

(19,436)

(12.4)

Schroders

plc

(34,940)

(172,648)

474

0.3

Severn

Trent

plc

(5,324)

(153,626)

4,937

3.2

Smith

Nephew

plc

(12,743)

(158,148)

7,196

4.6

Unilever

plc

(3,175)

(157,057)

0.0

United

Utilities

Group

plc

(10,617)

(122,680)

2,765

1.8

Wise

plc

(34,144)

(284,739)

(1,377)

(0.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

STIBOR

plus

minus

specified

spread

(-0.04%

0.03%),

which

denominated

SEK

based

the

local

currencies

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

09/21/2026

10/03/2028

$5,197,149

$6,812

$(1,426)

$5,386

The

following

table

represents

disclosures

associated

with

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

18,261

200,209

(554)

(10.3)

Guatemala

Millicom

International

Cellular

1,001

15,517

(53)

(1.0)

Sweden

Assa

Abloy

1,807

39,264

(1,125)

(20.9)

Axfood

3,957

90,690

(5,396)

(100.2)

Billerud

Aktiebolag

10,349

95,795

13,746

255.2

Boliden

2,535

72,746

3,232

60.0

Electrolux

3,065

31,585

(102)

(1.9)

Elekta

2,806

19,056

(134)

(2.5)

Evolution

304

30,676

(1,670)

(31.0)

Getinge

4,386

77,072

245

4.6

Hennes

Mauritz

4,364

61,882

(3,982)

(73.9)

Hexpol

8,253

73,126

(3,813)

(70.8)

Saab

3,257

165,767

(13,814)

(256.5)

Sandvik

1,441

26,515

(774)

(14.4)

Skanska

2,666

43,777

2,141

39.7

SKF

13,931

231,276

966

17.9

SSAB

60,260

330,584

221

4.1

Swedbank

14,155

260,189

8,847

164.3

Trelleborg

10,685

265,478

(6,486)

(120.4)

Volvo

19,260

396,711

3,156

58.6

Volvo

Car

14,115

57,093

1,189

22.1

173

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

United

States

Sinch

34,723

60,575

(5,340)

(99.1)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

(1,457)

(49,914)

322

6.0

Atlas

Copco

(12,809)

(172,034)

841

15.6

Beijer

Ref

(7,693)

(80,940)

7,921

147.1

Epiroc

(5,733)

(108,854)

1,920

35.6

EQT

(17,575)

(346,280)

1,342

24.9

Essity

(8,601)

(185,500)

8,003

148.6

Hexagon

(23,369)

(198,888)

6,022

111.8

Holmen

(1,771)

(68,839)

(2,104)

(39.1)

Husqvarna

(13,147)

(100,327)

2,269

42.1

Lifco

(1,053)

(18,420)

105

1.9

Nibe

Industrier

(31,228)

(204,161)

11,896

220.9

Securitas

(27,441)

(216,979)

(3,239)

(60.1)

Skandinaviska

Enskilda

Banken

(2,270)

(27,063)

(717)

(13.3)

Svenska

Cellulosa

SCA

(7,603)

(104,101)

(3,649)

(67.8)

Svenska

Handelsbanken

(14,867)

(132,285)

(5,544)

(102.9)

Swedish

Orphan

Biovitrum

(8,856)

(180,952)

(818)

(15.2)

Tele2

(5,633)

(43,078)

(2,884)

(53.5)

Telefonaktiebolaget

Ericsson

(10,307)

(50,213)

1.1

Telia

Co.

(127,376)

(262,738)

(5,434)

(100.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

MUTSC

plus

minus

specified

spread

(-1.75%

0.30%),

which

denominated

JPY

based

the

local

currencies

the

positions

within

the

swap.

1-13

months

maturity

ranging

from

10/04/2023

10/31/2024

$27,929,036

$2,403

$9,857

$12,260

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Amada

Co.

Ltd.

16,600

166,885

(13,123)

(107.0)

Hirose

Electric

Co.

Ltd.

1,400

161,942

(2,232)

(18.2)

Hitachi

Ltd.

3,000

185,933

(13,753)

(112.2)

Japan

Post

Bank

Co.

Ltd.

30,300

263,666

(2,697)

(22.0)

Japan

Tobacco,

Inc.

15,000

345,121

4,418

36.0

Kansai

Paint

Co.

Ltd.

15,200

217,289

(6,706)

(54.7)

MISUMI

Group,

Inc.

11,500

179,083

(8,550)

(69.7)

174

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Japan

(continued)

Mitsubishi

Corp.

7,200

343,082

(27,324)

(222.9)

Mitsubishi

Motors

Corp.

85,500

372,635

(6,398)

(52.2)

Mitsui

Co.

Ltd.

8,500

308,295

(23,424)

(191.1)

Olympus

Corp.

13,700

177,874

(8,552)

(69.8)

Ono

Pharmaceutical

Co.

Ltd.

9,800

187,948

(3,565)

(29.1)

Recruit

Holdings

Co.

Ltd.

6,000

183,570

(17,010)

(138.7)

Renesas

Electronics

Corp.

11,200

171,080

1,363

11.1

Sega

Sammy

Holdings,

Inc.

10,500

193,646

(1,516)

(12.4)

Shionogi

Co.

Ltd.

5,700

254,245

(2,501)

(20.4)

Sojitz

Corp.

12,360

270,753

(19,056)

(155.4)

Subaru

Corp.

10,400

202,223

(8,763)

(71.5)

Tokyo

Gas

Co.

Ltd.

9,200

208,588

(10,700)

(87.3)

Toyo

Suisan

Kaisha

Ltd.

7,000

274,518

(3,264)

(26.6)

Toyota

Tsusho

Corp.

3,000

176,448

(7,960)

(64.9)

Short

Positions

Common

Stocks

Japan

Advantest

Corp.

(6,400)

(178,518)

(7,694)

(62.8)

Aeon

Co.

Ltd.

(13,300)

(263,448)

6,313

51.5

Canon,

Inc.

(8,800)

(211,980)

4,958

40.4

Daikin

Industries

Ltd.

(1,100)

(172,449)

9,023

73.6

Daiwa

Securities

Group,

Inc.

(32,800)

(189,143)

9,518

77.6

Eisai

Co.

Ltd.

(7,000)

(387,967)

17,293

141.1

Fast

Retailing

Co.

Ltd.

(800)

(174,252)

11,722

95.6

Ibiden

Co.

Ltd.

(5,800)

(307,634)

2,932

23.9

ITOCHU

Corp.

(5,500)

(198,627)

13,254

108.1

KDDI

Corp.

(9,200)

(281,616)

9,577

78.1

Keyence

Corp.

(500)

(184,913)

7,840

63.9

Kobe

Bussan

Co.

Ltd.

(6,900)

(161,539)

6,641

54.2

Kubota

Corp.

(15,600)

(229,489)

21,621

176.4

Mitsubishi

UFJ

Financial

Group,

Inc.

(33,200)

(281,342)

3,066

25.0

Murata

Manufacturing

Co.

Ltd.

(9,300)

(169,652)

1,860

15.2

Nintendo

Co.

Ltd.

(7,800)

(324,113)

12,596

102.7

Nippon

Telegraph

Telephone

Corp.

(359,300)

(425,280)

9,900

80.7

NTT

Data

Group

Corp.

(34,900)

(467,009)

30,263

246.8

Rakuten

Group,

Inc.

(52,000)

(213,657)

2,116

17.3

Resonac

Holdings

Corp.

(11,000)

(184,019)

3,572

29.1

Sekisui

House

Ltd.

(17,000)

(338,324)

17,056

139.1

Seven

Holdings

Co.

Ltd.

(4,800)

(187,921)

6,865

56.0

SMC

Corp.

(500)

(224,131)

6,848

55.9

SoftBank

Corp.

(24,500)

(277,298)

11,246

91.7

Sumitomo

Mitsui

Financial

Group,

Inc.

(8,300)

(407,746)

5,912

48.2

Tokio

Marine

Holdings,

Inc.

(11,800)

(273,214)

4,178

34.1

Tokyo

Electron

Ltd.

(3,100)

(423,436)

5,102

41.6

Toyota

Motor

Corp.

(25,300)

(453,890)

20,182

164.6

Yaskawa

Electric

Corp.

(6,400)

(230,471)

15,789

128.8

175

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

portfolio

long

and

short

equity

positions

and

pays

receives

the

OBFR

plus

minus

specified

spread

(-8.57%

0.25%),

which

denominated

USD

based

the

local

currencies

the

positions

within

the

swap.

1-13

months

maturity

ranging

from

10/04/2023

10/31/2024

$143,838,422

$860,634

$120,380

$981,014

The

following

table

represents

disclosures

associated

with

subset

the

underlying

components

the

total

return

basket

swap

contracts

period

end:

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Co.

6,927

648,506

(27,592)

(2.8)

AbbVie,

Inc.

4,061

605,333

(15,482)

(1.6)

Allison

Transmission

Holdings,

Inc.

7,096

419,090

(7,345)

(0.7)

Alphabet,

Inc.

4,206

550,397

(30,032)

(3.1)

Archer-Daniels-Midland

Co.

8,594

648,159

(18,166)

(1.9)

AT&T,

Inc.

40,653

610,608

(2,350)

(0.2)

Booking

Holdings,

Inc.

172

530,439

(12,793)

(1.3)

Cardinal

Health,

Inc.

4,706

408,575

(6,304)

(0.6)

Centene

Corp.

6,463

445,171

3,985

0.4

Cheniere

Energy,

Inc.

3,673

609,571

9,587

1.0

Cigna

Group

(The)

2,020

577,861

867

0.1

Cisco

Systems,

Inc.

16,331

877,955

(32,568)

(3.3)

Citigroup,

Inc.

12,821

527,328

(16,435)

(1.7)

Coca-Cola

Co.

(The)

7,723

432,334

(5,635)

(0.6)

CVS

Health

Corp.

7,337

512,269

(5,912)

(0.6)

Discover

Financial

Services

4,991

432,370

(6,178)

(0.6)

Exxon

Mobil

Corp.

5,704

670,676

(342)

(0.0)

Fidelity

National

Information

Services,

Inc.

7,511

415,133

(9,126)

(0.9)

General

Motors

Co.

22,258

733,846

(7,381)

(0.8)

Humana,

Inc.

1,421

691,345

9,158

0.9

KLA

Corp.

1,033

473,796

2,221

0.2

Lennar

Corp.

3,913

439,156

(17,133)

(1.7)

Lockheed

Martin

Corp.

1,594

651,882

(24,909)

(2.5)

Marathon

Petroleum

Corp.

3,347

506,535

(16,735)

(1.7)

MetLife,

Inc.

6,861

431,626

(23,259)

(2.4)

Molson

Coors

Beverage

Co.

7,779

494,667

(3,028)

(0.3)

PACCAR,

Inc.

4,881

414,983

(6,199)

(0.6)

RTX

Corp.

5,860

421,744

(11,795)

(1.2)

Salesforce,

Inc.

2,267

459,702

(27,703)

(2.8)

Toll

Brothers,

Inc.

5,926

438,287

(23,526)

(2.4)

Valero

Energy

Corp.

3,958

560,888

(17,097)

(1.7)

Verizon

Communications,

Inc.

14,218

460,805

(10,293)

(1.0)

Western

Union

Co.

(The)

34,966

460,852

12,944

1.3

176

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

REFERENCE

ENTITY

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

agilon

health,

Inc.

(28,419)

(504,721)

19,297

2.0

Air

Products

and

Chemicals,

Inc.

(1,503)

(425,950)

19,332

2.0

Arthur

Gallagher

Co.

(2,126)

(484,579)

9,472

1.0

Atmos

Energy

Corp.

(4,147)

(439,292)

35,540

3.6

Celanese

Corp.

(4,056)

(509,109)

12,844

1.3

Chart

Industries,

Inc.

(3,301)

(558,265)

6,606

0.7

Eli

Lilly

Co.

(1,540)

(827,180)

28,530

2.9

Procter

Gamble

Co.

(The)

(4,364)

(636,533)

35,741

3.6

Progressive

Corp.

(The)

(2,981)

(415,253)

3,099

0.3

Quanta

Services,

Inc.

(2,482)

(464,308)

20,622

2.1

Southern

Co.

(The)

(6,680)

(432,330)

40,559

4.1

Southwest

Airlines

Co.

(18,466)

(499,875)

35,992

3.7

Stryker

Corp.

(1,600)

(437,232)

21,047

2.1

Tractor

Supply

Co.

(2,256)

(458,081)

9,740

1.0

Visa,

Inc.

(1,822)

(419,078)

24,298

2.5

Watsco,

Inc.

(1,151)

(434,756)

(19,229)

(2.0)

Xylem,

Inc.

(5,002)

(455,332)

13,962

1.4

177

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

LONG

POSITIONS

103.4%

COMMON

STOCKS

52.0%

Australia

1.2%

Allkem

Ltd.

(2)*

2,096

15,673

BHP

Group

Ltd.

(2)(a)

15,777

443,189

BlueScope

Steel

Ltd.

(2)

54,877

679,568

Incitec

Pivot

Ltd.

(2)

92,319

184,985

Hi-Fi

Ltd.

(2)

13,093

380,293

Northern

Star

Resources

Ltd.

(2)

1,866

12,391

Pilbara

Minerals

Ltd.

(2)

66,110

180,361

Qantas

Airways

Ltd.

(2)*

81,115

268,530

Sonic

Healthcare

Ltd.

(2)

6,158

117,587

South32

Ltd.

(2)

122,298

264,067

Whitehaven

Coal

Ltd.

(2)

63,025

285,836

2,832,480

—

Belgium

0.3%

Ageas

SA/NV

(2)

623

25,659

Proximus

SADP

(2)

71,784

583,265

608,924

—

Brazil

0.0%

†

Yara

International

ASA

(2)

1,952

73,707

Canada

1.7%

Agnico

Eagle

Mines

Ltd.

(a)

3,228

146,683

Air

Canada

45,862

654,376

ARC

Resources

Ltd.

20,850

332,802

CCL

Industries,

Inc.,

Class

272

11,417

Empire

Co.

Ltd.,

Class

5,591

152,098

Fairfax

Financial

Holdings

Ltd.

144

117,550

Imperial

Oil

Ltd.

8,031

494,661

Manulife

Financial

Corp.

(a)

2,750

50,252

Nutrien

Ltd.

(a)

8,526

526,531

Parkland

Corp.

13,063

382,104

Restaurant

Brands

International,

Inc.

499

33,230

Shopify,

Inc.,

Class

2,485

135,644

Suncor

Energy,

Inc.

19,504

670,740

TFI

International,

Inc.

528

67,811

West

Fraser

Timber

Co.

Ltd.

4,057

294,541

4,070,440

—

China

0.1%

BOC

Hong

Kong

Holdings

Ltd.

(2)

10,500

28,664

NXP

Semiconductors

354

70,772

SITC

International

Holdings

Co.

Ltd.

(2)

68,000

114,090

213,526

—

Denmark

0.4%

Moller

Maersk

A/S,

Class

(2)

315

566,651

Danske

Bank

A/S

(2)

5,630

130,650

ISS

A/S

(2)(a)

9,647

148,193

845,494

—

Finland

0.0%

†

Nokia

OYJ

(2)

21,487

80,793

INVESTMENTS

VALUE

($)

France

1.2%

Air

France-KLM

(2)*

8,459

105,867

BNP

Paribas

(2)(a)

836

53,158

Bouygues

(2)

546

19,091

Cie

Saint-Gobain

(2)

11,170

668,530

Dassault

Aviation

(2)

952

179,309

Eiffage

(2)

152

14,427

Ipsen

(2)

244

31,969

Renault

(2)

6,900

282,324

Rexel

(2)

12,461

279,201

Rubis

SCA

(2)

6,737

150,885

SCOR

(2)

11,381

353,344

Societe

Generale

(2)

11,203

271,086

Sodexo

(2)

219

22,546

TotalEnergies

(2)

6,949

456,892

2,888,629

—

Germany

1.6%

Bayer

(Registered)

(2)

2,181

104,741

Bayerische

Motoren

Werke

(2)

9,881

1,003,585

Commerzbank

(2)

14,344

162,795

Deutsche

Bank

(Registered)

(2)

93,657

1,029,317

Deutsche

Lufthansa

(Registered)

(2)*

33,916

268,391

Heidelberg

Materials

(2)(a)

318

24,629

HOCHTIEF

(2)

353

35,594

Mercedes-Benz

Group

(2)(a)

4,911

341,790

TeamViewer

(2)*(b)

8,116

136,410

Telefonica

Deutschland

Holding

(2)(a)

55,383

99,056

thyssenkrupp

(2)

67,583

513,788

TUI

(2)*

7,814

42,831

3,762,927

—

Guatemala

0.1%

Millicom

International

Cellular

SA,

SDR

(2)*

8,016

124,262

Hong

Kong

0.1%

Hang

Lung

Properties

Ltd.

(2)

13,000

17,786

Hong

Kong

Exchanges

Clearing

Ltd.

(2)

800

29,690

New

World

Development

Co.

Ltd.

(2)

3,000

5,817

Group

Ltd.

(2)(b)

136,500

71,447

124,740

—

Italy

1.0%

Banco

BPM

SpA

(2)

67,206

320,069

Eni

SpA

(2)

3,058

49,123

Leonardo

SpA

(2)

28,216

406,419

UniCredit

SpA

(2)

34,884

831,160

Unipol

Gruppo

SpA

(2)

135,081

729,077

2,335,848

—

Japan

3.5%

Dai-ichi

Life

Holdings,

Inc.

(2)

1,800

37,160

Fuji

Electric

Co.

Ltd.

(2)

600

27,021

Fujitsu

Ltd.

(2)

200

23,522

Haseko

Corp.

(2)

1,000

12,748

Hitachi

Construction

Machinery

Co.

Ltd.

(2)

1,400

42,484

178

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Japan

3.5%

(continued)

Idemitsu

Kosan

Co.

Ltd.

(2)

6,400

146,721

IHI

Corp.

(2)

1,900

39,822

Iida

Group

Holdings

Co.

Ltd.

(2)

10,200

169,263

Inpex

Corp.

(2)

3,600

53,994

Japan

Post

Insurance

Co.

Ltd.

(2)

30,200

507,914

JFE

Holdings,

Inc.

(2)

59,100

865,479

JSR

Corp.

(2)

300

8,048

Kao

Corp.

(2)

300

11,120

Kawasaki

Kisen

Kaisha

Ltd.

(2)

7,100

242,294

Kobayashi

Pharmaceutical

Co.

Ltd.

(2)

1,000

44,601

Kose

Corp.

(2)

200

14,496

Kuraray

Co.

Ltd.

(2)

4,600

54,492

Lawson,

Inc.

(2)

300

13,792

Lion

Corp.

(2)

8,900

87,777

Marubeni

Corp.

(2)(a)

1,100

17,147

Mazda

Motor

Corp.

(2)

55,200

626,768

McDonald's

Holdings

Co.

Japan

Ltd.

2,100

80,240

Mitsubishi

Corp.

(2)(a)

16,600

790,997

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)

2,100

28,226

Mitsubishi

Motors

Corp.

(2)

159,700

696,021

Mitsui

Chemicals,

Inc.

(2)

2,600

67,361

Mitsui

OSK

Lines

Ltd.

(2)

2,900

79,689

Mizuho

Financial

Group,

Inc.

(2)

21,600

366,724

MS&AD

Insurance

Group

Holdings,

Inc.

(2)

300

10,978

NGK

Insulators

Ltd.

(2)

800

10,603

Nikon

Corp.

(2)

1,300

13,691

Nippon

Steel

Corp.

(2)(a)

37,200

871,528

Nippon

Yusen

(2)

11,100

288,210

Obayashi

Corp.

(2)

2,300

20,240

Oji

Holdings

Corp.

(2)

2,500

10,518

Oracle

Corp.

Japan

(2)

400

29,630

Panasonic

Holdings

Corp.

(2)(a)

14,100

159,158

Pola

Orbis

Holdings,

Inc.

(2)

2,000

24,002

Renesas

Electronics

Corp.

(2)*

9,000

137,475

Ryohin

Keikaku

Co.

Ltd.

(2)

9,700

125,467

Sega

Sammy

Holdings,

Inc.

(2)

4,500

82,991

Sekisui

Chemical

Co.

Ltd.

(2)

2,600

37,406

Sekisui

House

Ltd.

(2)(a)

1,000

19,901

Shimamura

Co.

Ltd.

(2)

1,700

168,016

Shionogi

Co.

Ltd.

(2)

1,600

71,367

Shiseido

Co.

Ltd.

(2)

4,000

140,177

Sojitz

Corp.

(2)

11,080

242,714

Subaru

Corp.

(2)

8,900

173,056

SUMCO

Corp.

(2)

800

10,410

Sumitomo

Forestry

Co.

Ltd.

(2)

3,000

76,090

Sumitomo

Heavy

Industries

Ltd.

(2)

1,100

27,855

THK

Co.

Ltd.

(2)

1,800

32,858

Tokyo

Gas

Co.

Ltd.

(2)

2,100

47,613

Tosoh

Corp.

(2)

6,700

85,901

Toyota

Tsusho

Corp.

(2)

2,100

123,514

Welcia

Holdings

Co.

Ltd.

(2)

600

10,361

Yamada

Holdings

Co.

Ltd.

(2)

32,900

101,178

Zensho

Holdings

Co.

Ltd.

(2)

500

21,712

8,330,541

—

INVESTMENTS

VALUE

($)

Luxembourg

0.2%

ArcelorMittal

(2)

20,995

525,632

Macau

0.0%

†

Sands

China

Ltd.

(2)*

3,200

9,731

Netherlands

1.0%

ABN

AMRO

Bank

NV,

CVA

(2)(b)

6,017

85,036

ASR

Nederland

(2)

1,862

69,671

Semiconductor

Industries

(2)

101

9,878

ING

Groep

(2)

5,135

67,680

Koninklijke

Vopak

(2)

1,629

55,722

Group

(2)

19,834

635,842

OCI

(2)

3,235

89,956

Shell

plc

(2)

42,029

1,332,075

2,345,860

—

New

Zealand

0.0%

†

Xero

Ltd.

(2)*

577

41,497

Norway

0.2%

Equinor

ASA

(2)

14,728

482,667

Panama

0.1%

Copa

Holdings

SA,

Class

2,939

261,924

Russia

0.0%

Evraz

plc

(3)*(c)

27,473

–

Singapore

0.1%

Grab

Holdings

Ltd.,

Class

47,876

169,481

Singapore

Airlines

Ltd.

(2)

15,200

71,702

STMicroelectronics

(2)

2,103

90,688

331,871

—

Spain

1.0%

Acerinox

(2)

17,928

173,242

Banco

Sabadell

(2)

418,224

483,832

Banco

Santander

(2)

55,244

210,373

Bankinter

(2)

8,791

55,928

Mapfre

(2)

42,909

87,315

Repsol

(2)

80,380

1,322,171

2,332,861

—

Sweden

0.2%

Autoliv,

Inc.

(a)(d)

692

66,764

Billerud

Aktiebolag

(2)

2,576

23,845

Embracer

Group

AB,

Class

(2)*

6,755

13,473

Skanska

AB,

Class

(2)

6,691

109,870

SKF

AB,

Class

(2)

8,445

140,200

Trelleborg

AB,

Class

(2)

630

15,653

Volvo

Car

AB,

Class

(2)*

14,271

57,724

427,529

—

Switzerland

0.7%

ABB

Ltd.

(Registered)

(2)(a)

4,749

169,507

Baloise

Holding

(Registered)

(2)

1,341

194,145

Clariant

(Registered)

(2)

7,573

119,401

DKSH

Holding

(2)(a)

134

9,064

Dufry

(Registered)

(2)*

797

30,259

Georg

Fischer

(Registered)

(2)

215

12,074

Helvetia

Holding

(Registered)

(2)

189

26,401

179

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

Switzerland

0.7%

(continued)

Novartis

(Registered)

(2)(a)

9,663

986,869

Swatch

Group

(The)

(2)(a)

138

35,345

Temenos

(Registered)

(2)

652

45,601

1,628,666

—

United

Kingdom

1.8%

Aviva

plc

(2)

1,998

9,457

Barclays

plc

(2)

249,671

481,223

plc

(2)

136,743

881,436

British

American

Tobacco

plc

(2)

9,253

290,532

Centrica

plc

(2)(a)

326,179

613,513

Hutchison

Holdings

Ltd.

(2)

69,500

368,982

DCC

plc

(2)

1,357

75,978

Direct

Line

Insurance

Group

plc

(2)*

23,503

49,169

Harbour

Energy

plc

(2)

50,069

156,799

HSBC

Holdings

plc

(2)

62,127

486,168

InterContinental

Hotels

Group

plc

(2)

695

51,398

Legal

General

Group

plc

(2)

38,150

102,942

Marks

Spencer

Group

plc

(2)*

155,116

446,148

Rolls-Royce

Holdings

plc

(2)*

59,470

159,343

Travis

Perkins

plc

(2)

2,079

21,256

Vodafone

Group

plc

(2)(a)

148,018

138,752

Whitbread

plc

(2)

386

16,248

4,349,344

—

United

States

35.5%

Co.

(a)

4,069

380,940

AbbVie,

Inc.

(a)

673

100,317

ACI

Worldwide,

Inc.

*(a)(d)

540

12,182

Activision

Blizzard,

Inc.

705

66,009

Adient

plc

583

21,396

Adobe,

Inc.

*(a)

2,512

1,280,869

Advanced

Micro

Devices,

Inc.

1,517

155,978

AGCO

Corp.

1,864

220,474

Akamai

Technologies,

Inc.

*(a)(d)

157

16,727

Align

Technology,

Inc.

*(a)(d)

298

90,985

Allison

Transmission

Holdings,

Inc.

17,876

1,055,757

Ally

Financial,

Inc.

3,319

88,551

Alphabet,

Inc.,

Class

*(a)

13,040

1,706,414

Alphabet,

Inc.,

Class

*(a)

8,780

1,157,643

Altice

USA,

Inc.,

Class

*(a)(d)

123,049

402,370

Altria

Group,

Inc.

15,225

640,211

Amazon.com,

Inc.

*(a)

19,178

2,437,907

Amedisys,

Inc.

*(a)(d)

665

62,111

American

Airlines

Group,

Inc.

*(a)

(d)

23,870

305,775

American

International

Group,

Inc.

15,126

916,636

American

Tower

Corp.,

REIT

725

119,226

Amgen,

Inc.

(a)

205

55,096

Amkor

Technology,

Inc.

3,219

72,749

Analog

Devices,

Inc.

1,444

252,830

APA

Corp.

(a)(d)

1,257

51,663

Apple,

Inc.

(a)

23,588

4,038,500

Applied

Materials,

Inc.

(a)

2,083

288,391

AppLovin

Corp.,

Class

*(a)(d)

5,262

210,270

Archer-Daniels-Midland

Co.

2,011

151,670

Arista

Networks,

Inc.

369

67,870

Arrow

Electronics,

Inc.

*(a)(d)

2,181

273,148

Associated

Banc-Corp.

(a)(d)

684

11,703

INVESTMENTS

VALUE

($)

United

States

35.5%

(continued)

AT&T,

Inc.

(a)

43,153

648,158

Autodesk,

Inc.

590

122,077

AutoNation,

Inc.

1,364

206,510

Avnet,

Inc.

3,008

144,956

Axis

Capital

Holdings

Ltd.

5,579

314,488

Baker

Hughes

Co.,

Class

15,939

562,965

Bank

America

Corp.

(a)

28,730

786,627

Bank

New

York

Mellon

Corp.

(The)

2,208

94,171

Bath

Body

Works,

Inc.

3,328

112,486

Berkshire

Hathaway,

Inc.,

Class

2,232

781,870

Boeing

Co.

(The)

*(a)

2,274

435,880

Booking

Holdings,

Inc.

*(a)

253

780,239

Boston

Beer

Co.,

Inc.

(The),

Class

*(a)(d)

635

247,352

Bristol-Myers

Squibb

Co.

(a)(d)

11,847

687,600

Broadcom,

Inc.

(a)

747

620,443

Brunswick

Corp.

126

9,954

Builders

FirstSource,

Inc.

2,693

335,252

Cadence

Design

Systems,

Inc.

263

61,621

Caesars

Entertainment,

Inc.

*(a)(d)

3,870

179,375

Capital

One

Financial

Corp.

(a)(d)

2,456

238,355

Cardinal

Health,

Inc.

5,883

510,762

Centene

Corp.

6,221

428,502

Industries

Holdings,

Inc.

(a)

5,137

440,446

ChampionX

Corp.

1,517

54,036

Charles

Schwab

Corp.

(The)

(a)

906

49,739

Cheniere

Energy,

Inc.

3,637

603,597

Chevron

Corp.

(a)(d)

2,865

483,096

Chewy,

Inc.,

Class

*(a)(d)

5,846

106,748

Chord

Energy

Corp.

1,584

256,719

Cigna

Group

(The)

(a)

5,464

1,563,086

Cisco

Systems,

Inc.

(a)

16,698

897,684

Citigroup,

Inc.

23,714

975,357

Citizens

Financial

Group,

Inc.

11,699

313,533

Cleveland-Cliffs,

Inc.

*(a)(d)

16,976

265,335

CNO

Financial

Group,

Inc.

1,041

24,703

CNX

Resources

Corp.

*(a)(d)

3,276

73,972

Coca-Cola

Co.

(The)

(a)

5,062

283,371

Coca-Cola

Consolidated,

Inc.

592

376,701

Cognizant

Technology

Solutions

Corp.,

Class

1,320

89,417

Comcast

Corp.,

Class

(a)

12,006

532,346

Commercial

Metals

Co.

257

12,698

Concentrix

Corp.

(a)

4,726

378,600

ConocoPhillips

1,549

185,570

Coterra

Energy,

Inc.

3,061

82,800

Crocs,

Inc.

4,783

422,004

Crown

Castle,

Inc.,

REIT

311

28,621

CVS

Health

Corp.

(a)

24,190

1,688,946

Dell

Technologies,

Inc.,

Class

1,282

88,330

Delta

Air

Lines,

Inc.

(a)(d)

7,110

263,070

Dick's

Sporting

Goods,

Inc.

(a)(d)

4,133

448,761

Digital

Realty

Trust,

Inc.,

REIT

(a)

(d)

191

23,115

Discover

Financial

Services

6,934

600,692

DocuSign,

Inc.,

Class

11,671

490,182

Dropbox,

Inc.,

Class

9,485

258,277

Dun

Bradstreet

Holdings,

Inc.

(a)

957

9,560

East

West

Bancorp,

Inc.

1,877

98,937

180

AQR

Funds

N-PORT

Part

September

2023

See

notes

Schedule

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

Investments

September

30,

2023

(Unaudited)

INVESTMENTS

VALUE

($)

United

States

35.5%

(continued)

Eli

Lilly

Co.

(a)

525

281,993

EnerSys

833

78,860

Enphase

Energy,

Inc.

*(a)(d)

749

89,992

EOG

Resources,

Inc.

(a)(d)

327

41,451

Equinix,

Inc.,

REIT

44,302

Exact

Sciences

Corp.

*(a)(d)

3,217

219,464

Expedia

Group,

Inc.

2,905

299,418

Exxon

Mobil

Corp.

(a)(d)

3,958

465,382

FedEx

Corp.

127

33,645

Fidelity

National

Information

Services,

Inc.

6,911

381,971

First

Citizens

BancShares,

Inc.,

Class

316

436,112

First

Horizon

Corp.

46,595

513,477

Ford

Motor

Co.

15,396

191,218

Fortinet,

Inc.

546

32,039

Gap,

Inc.

(The)

1,334

14,180

Gates

Industrial

Corp.

plc

50,515

586,479

General

Dynamics

Corp.

(a)

1,450

320,407

General

Motors

Co.

37,101

1,223,220

Gilead

Sciences,

Inc.

(a)

1,994

149,430

Global

Payments,

Inc.

(a)(d)

3,022

348,709

Goldman

Sachs

Group,

Inc.

(The)

(a)

554

179,258

H&R

Block,

Inc.

(a)(d)

276

11,885

Hawaiian

Electric

Industries,

Inc.

9,573

117,844

Hertz

Global

Holdings,

Inc.

611

7,485

Hewlett

Packard

Enterprise

Co.

(a)

(d)

15,807

274,568

Sinclair

Corp.

(a)(d)

3,410

194,131

Holcim

(2)(a)

1,393

89,164

Home

Depot,

Inc.

(The)

(a)

647

195,498

Horizon

Therapeutics

plc

257

29,732

HubSpot,

Inc.

17,238

Humana,

Inc.

(a)

1,036

504,035

Huntington

Ingalls

Industries,

Inc.

(a)(d)

2,284

467,261

Incyte

Corp.

1,543

89,139

Intel

Corp.

1,970

70,034

International

Flavors

Fragrances,

Inc.

(a)(d)

395

26,927

International

Paper

Co.

(a)

2,788

98,890

Johnson

(a)

1,591

247,798

JPMorgan

Chase

Co.

(a)

111

16,097

Home

11,512

532,775

Keurig

Pepper,

Inc.

293

9,250

KeyCorp

15,707

169,007

KLA

Corp.

319

146,313

Kraft

Heinz

Co.

(The)

5,087

171,127

Kroger

Co.

(The)

11,092

496,367

L3Harris

Technologies,

Inc.

(a)

512

89,149

Laboratory

Corp.

America

Holdings

(a)(d)

409

82,229

Lam

Research

Corp.

142

89,001

Las

Vegas

Sands

Corp.

(a)(d)

3,804

174,375

Lennar

Corp.,

Class

(a)

607

68,124

Lockheed

Martin

Corp.

(a)

236

96,515

Lululemon

Athletica,

Inc.

*(a)

116

44,731

Lyft,

Inc.,

Class

5,595

58,971

INVESTMENTS

VALUE

($)

United

States

35.5%

(continued)

LyondellBasell

Industries

NV,

Class

(a)

1,227

116,197

Macy's,

Inc.

6,978

81,015

ManpowerGroup,

Inc.

(a)

2,503

183,520

Marathon

Oil

Corp.

4,110

109,943

Marathon

Petroleum

Corp.

3,419

517,431

Maravai

LifeSciences

Holdings,

Inc.,

Class

*(a)(d)

13,562

135,620

Marvell

Technology,

Inc.

304

16,456

Matador

Resources

Co.

(a)(d)

449

26,707

Match

Group,

Inc.

*(a)(d)

577

22,604

Mattel,

Inc.

*(a)(d)

1,494

32,913

McKesson

Corp.

(a)

494

214,816

Medpace

Holdings,

Inc.

*(a)(d)

1,027

248,668

Medtronic

plc

(a)

2,464

193,079

Merck

Co.,

Inc.

(a)

1,109

114,172