UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22235
AQR Funds
(Exact name of registrant as specified in charter)
One Greenwich Plaza, Suite 130
Greenwich,
CT 06830
(Address of principal executive offices) (Zip code)
H.J.
Willcox, Esq.
Principal and Chief Legal Officer
AQR Capital Management, LLC
One Greenwich Plaza, Suite 130
Greenwich,
CT
06830
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 203-742-3600
Date of fiscal year end: September 30
Date of reporting period: October 1, 2022 to
September 30, 2023
Item 1. Reports to Shareholders.
a.) The following is a copy of the report transmitted to shareholders
pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended
(the “1940 Act”) (17 CFR 270.30e-1.)
b.) A copy of the notice transmitted to shareholders
in reliance on Rule 30e-3 under the 1940 Act that contains disclosures
specified by paragraph (c)(3) of that rule is included in the Annual Report. Not
applicable.
Annual
Report
September
30,
2023
AQR
Large
Cap
Multi-Style
Fund
AQR
Small
Cap
Multi-Style
Fund
AQR
International
Multi-Style
Fund
AQR
Emerging
Multi-Style
II
Fund
AQR
Large
Cap
Momentum
Style
Fund
AQR
Small
Cap
Momentum
Style
Fund
AQR
International
Momentum
Style
Fund
AQR
Large
Cap
Defensive
Style
Fund
AQR
International
Defensive
Style
Fund
AQR
Global
Equity
Fund
Go
Paperless,
Choose
E-Delivery
The
Securities
and
Exchange
Commission
has
adopted
new
regulations
that
will
result
in
changes
to
the
design
and
delivery
of
annual
and
semi-
annual
reports
beginning
in
July
2024.
If
you
have
previously
elected
to
receive
shareholder
reports
electronically,
you
will
continue
to
do
so
and
need
not
take
any
action.
Otherwise,
paper
copies
of
the
Fund’s
new,
streamlined
shareholder
reports
will
be
mailed
to
you
beginning
in
July
2024.
If
you
would
like
to
receive
shareholder
reports
and
other
communications
from
the
fund
electronically
instead
of
by
mail,
you
may
make
that
request
at
any
time
by
contacting
your
financial
intermediary
(such
as
a
broker-dealer
or
bank)
or,
if
you
are
a
direct
investor,
logging
into
your
account
at
https://funds.aqr.com
.
Table
of
Contents
Shareholder
Letters
(Unaudited)
AQR
Large
Cap
Multi-Style
Fund
....................................................................
2
AQR
Small
Cap
Multi-Style
Fund
....................................................................
4
AQR
International
Multi-Style
Fund
..................................................................
6
AQR
Emerging
Multi-Style
II
Fund
...................................................................
8
AQR
Large
Cap
Momentum
Style
Fund
...............................................................
10
AQR
Small
Cap
Momentum
Style
Fund
...............................................................
12
AQR
International
Momentum
Style
Fund
..............................................................
14
AQR
Large
Cap
Defensive
Style
Fund
................................................................
16
AQR
International
Defensive
Style
Fund
...............................................................
18
AQR
Global
Equity
Fund
..........................................................................
20
Schedule
of
Investments
AQR
Large
Cap
Multi-Style
Fund
....................................................................
23
AQR
Small
Cap
Multi-Style
Fund
....................................................................
27
AQR
International
Multi-Style
Fund
..................................................................
35
AQR
Emerging
Multi-Style
II
Fund
...................................................................
39
AQR
Large
Cap
Momentum
Style
Fund
...............................................................
44
AQR
Small
Cap
Momentum
Style
Fund
...............................................................
50
AQR
International
Momentum
Style
Fund
..............................................................
60
AQR
Large
Cap
Defensive
Style
Fund
................................................................
65
AQR
International
Defensive
Style
Fund
...............................................................
69
AQR
Global
Equity
Fund
..........................................................................
73
Financial
Statements
and
Notes
........................................................................
82
Report
of
Independent
Registered
Public
Accounting
Firm
.....................................................
130
Other
Federal
Tax
Information
(Unaudited)
................................................................
131
Fund
Expense
Examples
(Unaudited)
....................................................................
132
Trustees
and
Officers
(Unaudited)
.......................................................................
135
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
................................................
137
Liquidity
Risk
Management
Program
(Unaudited)
...........................................................
140
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
2
AQR
Funds
|
Annual
Report
|
September
2023
Dear
Shareholder:
The
AQR
Large
Cap
Multi-Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
attractively
valued
U.S.
large
and
mid-cap
companies
that
have
positive
momentum
and
strong
quality.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value,
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
rank
high
on
a
combined
score
of
Value,
Momentum,
and
Quality
styles.
For
the
one-year
period
ended
September
30,
2023,
the
Fund
returned
22.16%
while
the
Russell
1000®
Total
Return
Index
(the
“Benchmark”)
returned
21.19%.
The
Fund’s
outperformance
was
driven
primarily
by
sector
selection
(2.3%)
while
stock
selection
within
sector
(-1.0%)
detracted.
For
sector
selection,
gains
were
driven
by
an
overweight
to
Information
Technology
(0.7%)
and
underweights
to
Utilities
(0.6%)
and
Real
Estate
(0.6%),
while
losses
due
to
an
underweight
to
Communication
Services
(-0.5%)
slightly
offset
those
gains.
For
stock
selection
within
sector,
losses
from
stock
selection
within
Health
Care
(-0.7%),
Information
Technology
(-0.4%),
and
Communication
Services
(-0.3%)
were
partially
offset
by
gains
from
stock
selection
within
Industrials
(0.9%)
and
Financials
(0.3%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Industrials
(4.4%)
and
Materials
(3.9%),
and
underweights
to
Financials
(-3.8%)
and
Health
Care
(-3.6%).
Global
equity
markets
gained
for
the
one-year
period
ended
September
30,
2023,
with
the
MSCI
World
Index
returning
21.95%.
The
one-year
period
proved
beneficial
for
equities
as
growth
remained
resilient
and
inflation
showed
signs
of
slowing
from
its
mid-2022
peak.
This
stands
in
contrast
to
last
year's
negative
market
sentiment
as
central
banks
raised
interest
rates
rapidly
to
contain
high
inflation.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
over
the
last
year,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
in
a
quickly
changing
macroeconomic
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Laura
Serban
Principal
3
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2023
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I,
N
and
R6
shares
are
0.42%,
0.67%
and
0.32%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
LARGE
CAP
MULTI-STYLE
FUND
VS.
RUSSELL
1000®
TOTAL
RETURN
INDEX
VALUE
OF
$10,000
INVESTED
ON
9/30/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2023
AQR
LARGE
CAP
MULTI-STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QCELX
22.16%
11.16%
7.88%
10.17%
10.73%
3/26/2013
Fund
-
Class
N:
QCENX
21.87%
10.86%
7.60%
9.89%
10.46%
3/26/2013
Fund
-
Class
R6:
QCERX
22.25%
11.26%
7.98%
N/A
8.89%
7/10/2014
Russell
1000®
Total
Return
Index
21.19%
9.53%
9.63%
11.63%
11.96%
3/26/2013
Shareholder
Letter
(Unaudited)
AQR
SMALL
CAP
MULTI-STYLE
FUND
4
AQR
Funds
|
Annual
Report
|
September
2023
Dear
Shareholder:
The
AQR
Small
Cap
Multi-Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
attractively
valued
U.S.
small-cap
companies
that
have
positive
momentum
and
strong
quality.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value,
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
rank
high
on
a
combined
score
of
Value,
Momentum,
and
Quality
styles.
For
the
one-year
period
ended
September
30,
2023,
the
Fund
returned
18.27%
while
the
Russell
2000®
Total
Return
Index
(the
“Benchmark”)
returned
8.93%.
The
Fund’s
outperformance
was
driven
by
stock
selection
within
sector,
while
sector
selection
also
contributed.
For
stock
selection
within
sector,
stock
selection
within
Industrials
(2.5%)
and
Consumer
Discretionary
(2.5%)
drove
gains
while
losses
from
stock
selection
within
Energy
(-0.4%)
and
Consumer
Staples
(-0.4%)
slightly
offset
those
gains.
For
sector
selection,
an
overweight
to
Industrials
(0.5%)
and
underweights
to
Health
Care
(0.4%),
Utilities
(0.4%),
and
Financials
(0.4%)
all
contributed
to
outperformance.
Over
the
course
of
the
period,
the
Fund’s
largest
active
positions
included
sector
overweights
to
Industrials
(3.5%),
Consumer
Staples
(2.4%),
and
Energy
(2.4%),
and
underweights
to
Real
Estate
(-4.3%)
and
Financials
(-3.0%).
Global
equity
markets
gained
for
the
one-year
period
ended
September
30,
2023,
with
the
MSCI
World
Index
returning
21.95%.
The
one-year
period
proved
beneficial
for
equities
as
growth
remained
resilient
and
inflation
showed
signs
of
slowing
from
its
mid-2022
peak.
This
stands
in
contrast
to
last
year's
negative
market
sentiment
as
central
banks
raised
interest
rates
rapidly
to
contain
high
inflation.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
over
the
last
year,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
in
a
quickly
changing
macroeconomic
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Laura
Serban
Principal
5
Shareholder
Letter
(Unaudited)
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2023
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I,
N
and
R6
shares
are
0.75%,
1.00%
and
0.65%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance
AQR
SMALL
CAP
MULTI-STYLE
FUND
VS.
RUSSELL
2000®
TOTAL
RETURN
INDEX
VALUE
OF
$10,000
INVESTED
ON
9/30/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2023
AQR
SMALL
CAP
MULTI-STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QSMLX
18.27%
12.48%
4.90%
7.06%
8.47%
3/26/2013
Fund
-
Class
N:
QSMNX
17.94%
12.18%
4.63%
6.78%
8.19%
3/26/2013
Fund
-
Class
R6:
QSERX
18.35%
12.56%
4.98%
N/A
6.64%
7/10/2014
Russell
2000®
Total
Return
Index
8.93%
7.16%
2.40%
6.65%
7.62%
3/26/2013
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
6
AQR
Funds
|
Annual
Report
|
September
2023
Dear
Shareholder:
The
AQR
International
Multi-Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
attractively
valued
large
and
mid-cap
non-U.S.
companies
that
have
positive
momentum
and
strong
quality.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value,
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
rank
high
on
a
combined
score
of
Value,
Momentum,
and
Quality
styles.
For
the
one-year
period
ended
September
30,
2023,
the
Fund
returned
28.33%
while
the
MSCI
Daily
TR
Net
World
Ex
USA
Index*
(the
“Benchmark”)
returned
24.00%.
The
Fund’s
outperformance
was
driven
by
stock
selection
within
sector,
while
sector
selection
detracted
modestly.
For
stock
selection
within
sector,
gains
from
stock
selection
within
Industrials
(1.7%)
and
Financials
(1.6%)
were
partially
offset
by
losses
from
stock
selection
within
Real
Estate
(-0.1%).
For
sector
selection,
modest
losses
were
driven
by
an
underweight
to
Consumer
Discretionary
(-0.3%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Energy
(3.6%)
and
Materials
(1.9%),
and
underweights
to
Health
Care
(-2.0%)
and
Information
Technology
(-1.4%).
Global
equity
markets
gained
for
the
one-year
period
ended
September
30,
2023,
with
the
MSCI
World
Index
returning
21.95%.
The
one-year
period
proved
beneficial
for
equities
as
growth
remained
resilient
and
inflation
showed
signs
of
slowing
from
its
mid-2022
peak.
This
stands
in
contrast
to
last
year's
negative
market
sentiment
as
central
banks
raised
interest
rates
rapidly
to
contain
high
inflation.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
over
the
last
year,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
in
a
quickly
changing
macroeconomic
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Laura
Serban
Principal
7
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2023
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I,
N
and
R6
shares
are
0.62%,
0.87%
and
0.52%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
INTERNATIONAL
MULTI-STYLE
FUND
VS.
MSCI
DAILY
TR
NET
WORLD
EX
USA
INDEX*
VALUE
OF
$10,000
INVESTED
ON
9/30/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
*
MSCI
makes
no
express
or
implied
warranties
or
representations
and
shall
have
no
liability
whatsoever
with
respect
to
any
MSCI
data
contained
herein.
The
MSCI
data
may
not
be
further
redistributed
or
used
as
a
basis
for
other
indices
or
any
securities
or
financial
products.
This
report
is
not
approved,
reviewed,
or
produced
by
MSCI.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2023
AQR
INTERNATIONAL
MULTI-STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QICLX
28.33%
7.00%
3.54%
3.18%
4.21%
3/26/2013
Fund
-
Class
N:
QICNX
27.88%
6.71%
3.28%
2.90%
3.94%
3/26/2013
Fund
-
Class
R6:
QICRX
28.42%
7.12%
3.66%
N/A
2.82%
7/10/2014
MSCI
Daily
TR
Net
World
Ex
USA
Index*
24.00%
6.07%
3.44%
3.84%
4.54%
3/26/2013
Shareholder
Letter
(Unaudited)
AQR
EMERGING
MULTI-STYLE
II
FUND
8
AQR
Funds
|
Annual
Report
|
September
2023
Dear
Shareholder:
The
AQR
Emerging
Multi-Style
II
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
attractively
valued
large
and
mid-cap
emerging
countries’
companies
that
have
positive
momentum
and
strong
quality.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value,
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
rank
high
on
a
combined
score
of
Value,
Momentum,
and
Quality
styles.
For
the
one-year
period
ended
September
30,
2023,
the
Fund
returned
15.47%
while
the
MSCI
Daily
TR
Net
Emerging
Markets
Index*
(the
“Benchmark”)
returned
11.70%.
The
Fund’s
outperformance
was
driven
by
stock
selection
within
sector,
due
to
gains
within
Financials
(1.7%),
Energy
(0.8%),
and
Information
Technology
(0.8%).
These
gains
were
partially
offset
by
losses
from
stock
selection
within
Industrials
(-0.1%)
and
Communication
Services
(-0.1%).
Sector
selection
detracted
from
performance,
due
to
an
underweight
in
Information
Technology
(-0.5%)
and
an
overweight
in
Utilities
(-0.3%),
offset
to
a
degree
by
an
overweight
in
Energy
(0.5%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Energy
(4.7%)
and
Materials
(2.9%),
and
underweights
to
Financials
(-5.2%)
and
Communication
Services
(-4.0%).
Global
equity
markets
gained
for
the
one-year
period
ended
September
30,
2023,
with
the
MSCI
World
Index
returning
21.95%.
The
one-year
period
proved
beneficial
for
equities
as
growth
remained
resilient
and
inflation
showed
signs
of
slowing
from
its
mid-2022
peak.
This
stands
in
contrast
to
last
year's
negative
market
sentiment
as
central
banks
raised
interest
rates
rapidly
to
contain
high
inflation.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
over
the
last
year,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
in
a
quickly
changing
macroeconomic
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Laura
Serban
Principal
9
Shareholder
Letter
(Unaudited)
AQR
EMERGING
MULTI-STYLE
II
FUND
AQR
Funds
|
Annual
Report
|
September
2023
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I,
N
and
R6
shares
are
0.75%,
1.00%
and
0.65%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
EMERGING
MULTI-STYLE
II
FUND
VS.
MSCI
DAILY
TR
NET
EMERGING
MARKETS
INDEX*
VALUE
OF
$10,000
INVESTED
ON
2/11/2015
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
*
MSCI
makes
no
express
or
implied
warranties
or
representations
and
shall
have
no
liability
whatsoever
with
respect
to
any
MSCI
data
contained
herein.
The
MSCI
data
may
not
be
further
redistributed
or
used
as
a
basis
for
other
indices
or
any
securities
or
financial
products.
This
report
is
not
approved,
reviewed,
or
produced
by
MSCI.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2023
AQR
EMERGING
MULTI-STYLE
II
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QTELX
15.47%
-1.18%
0.20%
1.29%
2/11/2015
Fund
-
Class
N:
QTENX
14.96%
-1.46%
-0.08%
1.02%
2/11/2015
Fund
-
Class
R6:
QTERX
15.62%
-1.08%
0.29%
1.38%
2/11/2015
MSCI
Daily
TR
Net
Emerging
Market
Index*
11.70%
-1.73%
0.55%
2.38%
2/11/2015
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
10
AQR
Funds
|
Annual
Report
|
September
2023
Dear
Shareholder:
The
AQR
Large
Cap
Momentum
Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
large
and
mid-cap
U.S.
companies
with
positive
momentum.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
share
the
common
characteristic
of
positive
momentum.
For
the
one-year
period
ended
September
30,
2023,
the
Fund
returned
13.64%
while
the
Russell
1000®
Total
Return
Index
(the
“Benchmark”)
returned
21.19%.
The
Fund’s
underperformance
was
driven
primarily
by
sector
selection
while
stock
selection
within-sector
also
detracted.
For
sector
selection,
losses
were
driven
by
an
underweight
to
Informational
Technology
(-2.1%)
and
an
overweight
to
Energy
(-0.8%),
while
gains
from
an
underweight
to
Real
Estate
(0.4%)
slightly
offset
those
losses.
For
stock
selection
within
sector,
losses
from
stock
selection
within
Consumer
Discretionary
(-1.8%)
and
Communication
Services
(-0.8%)
were
partially
offset
by
gains
from
stock
selection
within
Industrials
(0.7%)
and
Health
Care
(0.5%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Energy
(4.7%)
and
Industrials
(4.0%),
and
underweights
to
Communication
Services
(-4.9%)
and
Information
Technology
(-3.9%).
Global
equity
markets
gained
for
the
one-year
period
ended
September
30,
2023,
with
the
MSCI
World
Index
returning
21.95%.
The
one-year
period
proved
beneficial
for
equities
as
growth
remained
resilient
and
inflation
showed
signs
of
slowing
from
its
mid-2022
peak.
This
stands
in
contrast
to
last
year's
negative
market
sentiment
as
central
banks
raised
interest
rates
rapidly
to
contain
high
inflation.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
over
the
last
year,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
in
a
quickly
changing
macroeconomic
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Laura
Serban
Principal
11
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2023
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I,
N
and
R6
shares
are
0.42%,
0.67%
and
0.32%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
VS.
RUSSELL
1000®
TOTAL
RETURN
INDEX
VALUE
OF
$10,000
INVESTED
ON
9/30/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2023
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
AMOMX
13.64%
6.76%
8.07%
10.71%
13.10%
7/9/2009
Fund
-
Class
N:
AMONX
13.42%
6.50%
7.81%
10.44%
11.71%
12/17/2012
Fund
-
Class
R6:
QMORX
13.74%
6.86%
8.18%
N/A
9.89%
7/10/2014
Russell
1000®
Total
Return
Index
21.19%
9.53%
9.63%
11.63%
13.91%
7/9/2009
Shareholder
Letter
(Unaudited)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
12
AQR
Funds
|
Annual
Report
|
September
2023
Dear
Shareholder:
The
AQR
Small
Cap
Momentum
Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
small-cap
U.S.
companies
with
positive
momentum.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value,
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
share
the
common
characteristic
of
positive
momentum.
For
the
one-year
period
ended
September
30,
2023,
the
Fund
returned
11.61%
while
the
Russell
2000®
Total
Return
Index
(the
“Benchmark”)
returned
8.93%.
The
Fund’s
outperformance
was
driven
by
stock
selection
within
sector,
while
sector
selection
also
contributed.
For
stock
selection
within
sector,
stock
selection
within
Health
Care
(2.0%)
and
Information
Technology
(0.9%)
drove
gains.
For
sector
selection,
gains
from
an
overweight
to
Energy
(0.4%),
in
addition
to
modest
contributions
from
positioning
in
a
broad
set
of
sectors,
were
partially
offset
by
losses
from
underweight
positions
to
Consumer
Discretionary
(-0.4%)
and
Information
Technology
(-0.4%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Energy
(5.1%)
and
Consumer
Staples
(1.8%),
and
underweights
to
Financials
(-3.5%)
and
Real
Estate
(-3.2%).
Global
equity
markets
gained
for
the
one-year
period
ended
September
30,
2023,
with
the
MSCI
World
Index
returning
21.95%.
The
one-year
period
proved
beneficial
for
equities
as
growth
remained
resilient
and
inflation
showed
signs
of
slowing
from
its
mid-2022
peak.
This
stands
in
contrast
to
last
year's
negative
market
sentiment
as
central
banks
raised
interest
rates
rapidly
to
contain
high
inflation.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
over
the
last
year,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
in
a
quickly
changing
macroeconomic
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Laura
Serban
Principal
13
Shareholder
Letter
(Unaudited)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2023
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I,
N
and
R6
shares
are
0.68%,
0.93%
and
0.58%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
VS.
RUSSELL
2000®
TOTAL
RETURN
INDEX
VALUE
OF
$10,000
INVESTED
ON
9/30/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2023
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
ASMOX
11.61%
6.39%
3.16%
6.86%
11.39%
7/9/2009
Fund
-
Class
N:
ASMNX
11.34%
6.14%
2.91%
6.60%
9.10%
12/17/2012
Fund
-
Class
R6:
QSMRX
11.71%
6.49%
3.26%
N/A
6.67%
7/10/2014
Russell
2000®
Total
Return
Index
8.93%
7.16%
2.40%
6.65%
11.17%
7/9/2009
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
14
AQR
Funds
|
Annual
Report
|
September
2023
Dear
Shareholder:
The
AQR
International
Momentum
Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
non-U.S.
companies
with
positive
momentum.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value,
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
share
the
common
characteristic
of
positive
momentum.
For
the
one-year
period
ended
September
30,
2023,
the
Fund
returned
21.13%
while
the
MSCI
Daily
TR
Net
World
Ex
USA
Index*
(the
“Benchmark”)
returned
24.00%.
The
Fund’s
underperformance
was
driven
by
sector
selection,
while
stock
selection
within
sector
also
detracted.
Within
sector
selection,
losses
due
to
an
overweight
in
Energy
(-0.7%)
and
an
underweight
in
Information
Technology
(-0.5%)
were
partially
offset
by
gains
due
to
an
underweight
in
Real
Estate
(0.2%).
For
stock
selection
within
sector,
losses
were
driven
by
stock
selection
within
Materials
(-0.5%)
and
Utilities
(-0.4%).
These
losses
were
partially
offset
by
gains
from
stock
selection
within
Financials
(0.7%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Energy
(4.3%)
and
Industrials
(2.4%),
and
underweights
to
Health
Care
(-1.6%)
and
Real
Estate
(-1.4%).
Global
equity
markets
gained
for
the
one-year
period
ended
September
30,
2023,
with
the
MSCI
World
Index
returning
21.95%.
The
one-year
period
proved
beneficial
for
equities
as
growth
remained
resilient
and
inflation
showed
signs
of
slowing
from
its
mid-2022
peak.
This
stands
in
contrast
to
last
year's
negative
market
sentiment
as
central
banks
raised
interest
rates
rapidly
to
contain
high
inflation.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
over
the
last
year,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
in
a
quickly
changing
macroeconomic
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Laura
Serban
Principal
15
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2023
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I,
N
and
R6
shares
are
0.61%,
0.87%
and
0.52%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
VS.
MSCI
DAILY
TR
NET
WORLD
EX
USA
INDEX*
VALUE
OF
$10,000
INVESTED
ON
9/30/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
*
MSCI
makes
no
express
or
implied
warranties
or
representations
and
shall
have
no
liability
whatsoever
with
respect
to
any
MSCI
data
contained
herein.
The
MSCI
data
may
not
be
further
redistributed
or
used
as
a
basis
for
other
indices
or
any
securities
or
financial
products.
This
report
is
not
approved,
reviewed,
or
produced
by
MSCI.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2023
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
AIMOX
21.13%
1.81%
2.46%
2.72%
5.59%
7/9/2009
Fund
-
Class
N:
AIONX
20.82%
1.57%
2.21%
2.47%
3.85%
12/17/2012
Fund
-
Class
R6:
QIORX
21.21%
1.92%
2.56%
N/A
2.69%
7/10/2014
MSCI
Daily
TR
Net
World
Ex
USA
Index*
24.00%
6.07%
3.44%
3.84%
6.23%
7/9/2009
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
16
AQR
Funds
|
Annual
Report
|
September
2023
Dear
Shareholder:
The
AQR
Large
Cap
Defensive
Style
Fund
(the
“Fund”)
pursues
a
defensive
strategy
in
the
U.S.
market,
meaning
it
seeks
to
participate
in
rising
equity
markets
while
mitigating
downside
risk
in
declining
markets.
In
seeking
this
objective,
the
Fund
invests
in
a
broadly
diversified
set
of
large
and
mid-cap
companies
that
we
believe
to
be
profitable,
stable,
low-risk
businesses.
The
Fund
also
favors
lower
beta
stocks,
which
tend
to
be
less
sensitive
to
fluctuations
in
the
overall
economy
and
the
stock
market.
We
expect
lower
beta
stocks
to
produce
higher
risk-adjusted
returns
than
higher
beta
stocks
over
the
long
term.
For
the
one-year
period
ended
September
30,
2023,
the
Fund
returned
12.30%
while
the
Russell
1000®
Total
Return
Index
(the
“Benchmark”)
returned
21.19%.
The
Fund’s
underperformance
was
driven
primarily
by
sector
selection
while
stock
selection
within
sector
also
detracted.
For
sector
selection,
losses
were
driven
by
an
underweight
to
Information
Technology
(-2.3%)
and
an
overweight
to
Consumer
Staples
(-1.7%),
while
gains
from
an
underweight
to
Real
Estate
(0.5%)
offset
some
of
those
losses.
For
stock
selection
within
sector,
losses
were
driven
by
stock
selection
within
Communication
Services
(-2.0%)
and
Information
Technology
(-0.9%),
while
gains
from
stock
selection
within
Financials
(0.5%)
and
Health
Care
(0.3%)
offset
some
of
those
losses.
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Consumer
Staples
(12.9%)
and
Health
Care
(8.8%),
and
underweights
to
Information
Technology
(-13.9%)
and
Consumer
Discretionary
(-7.1%).
Global
equity
markets
gained
for
the
one-year
period
ended
September
30,
2023,
with
the
MSCI
World
Index
returning
21.95%.
The
one-year
period
proved
beneficial
for
equities
as
growth
remained
resilient
and
inflation
showed
signs
of
slowing
from
its
mid-2022
peak.
This
stands
in
contrast
to
last
year's
negative
market
sentiment
as
central
banks
raised
interest
rates
rapidly
to
contain
high
inflation.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
over
the
last
year,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
in
a
quickly
changing
macroeconomic
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Laura
Serban
Principal
17
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2023
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I,
N
and
R6
shares
are
0.38%,
0.66%
and
0.31%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
VS.
RUSSELL
1000®
TOTAL
RETURN
INDEX
VALUE
OF
$10,000
INVESTED
ON
9/30/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2023
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
AUEIX
12.30%
5.44%
7.20%
11.18%
11.94%
7/9/2012
Fund
-
Class
N:
AUENX
12.02%
5.14%
6.91%
10.89%
11.65%
7/9/2012
Fund
-
Class
R6:
QUERX
12.41%
5.51%
7.29%
N/A
10.56%
9/2/2014
Russell
1000®
Total
Return
Index
21.19%
9.53%
9.63%
11.63%
12.84%
7/9/2012
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
18
AQR
Funds
|
Annual
Report
|
September
2023
Dear
Shareholder:
The
AQR
International
Defensive
Style
Fund
(the
“Fund”)
pursues
a
defensive
strategy
in
developed
markets
outside
of
the
U.S.,
meaning
it
seeks
to
participate
in
rising
equity
markets
while
mitigating
downside
risk
in
declining
markets.
To
achieve
this
objective,
the
Fund
invests
in
a
broadly
diversified
set
of
large
and
mid-cap
companies
that
we
believe
to
be
profitable,
stable,
low-risk
businesses.
The
Fund
also
favors
lower
beta
stocks,
which
tend
to
be
less
sensitive
to
fluctuations
in
the
overall
economy
and
the
stock
market.
We
expect
lower
beta
stocks
to
produce
higher
risk-adjusted
returns
than
higher
beta
stocks
over
the
long
term.
For
the
one-year
period
ended
September
30,
2023,
the
Fund
returned
17.00%
while
the
MSCI
Daily
TR
Net
World
Ex
USA
Index*
(the
“Benchmark”)
returned
24.00%.
The
Fund’s
underperformance
was
driven
primarily
by
sector
selection
(-4.1%),
while
stock
selection
within
sector
also
detracted.
For
sector
selection,
losses
due
to
overweights
in
Consumer
Staples
(-1.9%)
and
Communication
Services
(-0.8%)
were
partially
offset
by
gains
from
underweights
in
Real
Estate
(0.2%)
and
Materials
(0.1%).
For
within
-sector
stock
selection,
losses
from
stock
selection
within
Financials
(-1.0%)
and
Utilities
(-0.8%)
were
partially
offset
by
gains
from
stock
selection
within
Energy
(0.3%)
and
Materials
(0.2%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sectors
overweights
to
Consumer
Staples
(16.0%)
and
Communication
Services
(8.2%),
and
underweights
to
Financials
(-10.2%)
and
Industrials
(-9.2%).
Global
equity
markets
gained
for
the
one-year
period
ended
September
30,
2023,
with
the
MSCI
World
Index
returning
21.95%.
The
one-year
period
proved
beneficial
for
equities
as
growth
remained
resilient
and
inflation
showed
signs
of
slowing
from
its
mid-2022
peak.
This
stands
in
contrast
to
last
year's
negative
market
sentiment
as
central
banks
raised
interest
rates
rapidly
to
contain
high
inflation.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
over
the
last
year,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
in
a
quickly
changing
macroeconomic
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Laura
Serban
Principal
19
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2023
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I,
N
and
R6
shares
are
0.65%,
0.89%
and
0.55%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
VS.
MSCI
DAILY
TR
NET
WORLD
EX
USA
INDEX*
VALUE
OF
$10,000
INVESTED
ON
9/30/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
*
MSCI
makes
no
express
or
implied
warranties
or
representations
and
shall
have
no
liability
whatsoever
with
respect
to
any
MSCI
data
contained
herein.
The
MSCI
data
may
not
be
further
redistributed
or
used
as
a
basis
for
other
indices
or
any
securities
or
financial
products.
This
report
is
not
approved,
reviewed,
or
produced
by
MSCI.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2023
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
ANDIX
17.00%
1.96%
1.85%
3.50%
4.79%
7/9/2012
Fund
-
Class
N:
ANDNX
16.80%
1.69%
1.60%
3.23%
4.52%
7/9/2012
Fund
-
Class
R6:
ANDRX
17.22%
2.06%
1.95%
N/A
2.65%
9/2/2014
MSCI
Daily
TR
Net
World
Ex
USA
Index*
24.00%
6.07%
3.44%
3.84%
5.99%
7/9/2012
Shareholder
Letter
(Unaudited)
AQR
GLOBAL
EQUITY
FUND
20
AQR
Funds
|
Annual
Report
|
September
2023
Dear
Shareholder:
The
AQR
Global
Equity
Fund
(the
“Fund”)
is
actively
managed,
and
it
seeks
to
outperform
its
benchmark
in
three
ways:
by
selecting
stocks
within
each
country
and
by
using
futures
and
forwards
contracts
to
over-
and
under-weight
countries
and
currencies
relative
to
the
benchmark.
For
the
one-year
period
ended
September
30,
2023,
the
Fund
returned
25.68%
while
the
MSCI
World
Index*
(the
“Benchmark”)
returned
21.95%.
The
Fund's
outperformance
was
driven
by
stock
selection
and
country
selection,
while
currency
selection
detracted.
Specifically,
within
the
stock
selection
strategy,
stock
selection
within
sector
contributed
positively,
driven
by
gains
within
Communication
Services
(1.3%)
and
Energy
(0.6%).
These
gains
were
partially
offset
by
losses
from
stock
selection
within
Information
Technology
(-0.2%).
Sector
selection
(1.0%)
also
contributed
to
gains,
driven
by
underweights
to
Health
Care
(0.5%)
and
Utilities
(0.3%),
partially
offset
by
an
underweight
to
Information
Technology
(-0.3%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
within
the
stock
selection
strategy
included
overweights
to
Energy
(4.5%)
and
Materials
(4.1%),
and
underweights
to
Health
Care
(-4.7%)
and
Information
Technology
(-2.6%).
Utilization
of
derivative
instruments
is
inherent
to
the
Fund’s
principal
investment
strategies.
During
the
fiscal
year
ended
September
30,
2023,
the
Fund’s
use
of
derivative
did
not
cause
the
Fund’s
performance
to
materially
deviate
from
AQR’s
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
Global
equity
markets
gained
for
the
one-year
period
ended
September
30,
2023,
with
the
MSCI
World
Index
returning
21.95%.
The
one-year
period
proved
beneficial
for
equities
as
growth
remained
resilient
and
inflation
showed
signs
of
slowing
from
its
mid-2022
peak.
This
stands
in
contrast
to
last
year's
negative
market
sentiment
as
central
banks
raised
interest
rates
rapidly
to
contain
high
inflation.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
over
the
last
year,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
in
a
quickly
changing
macroeconomic
environment.
Cliff
Asness
Managing
&
Founding
Principal
John
Liew
Founding
Principal
Jordan
Brooks
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Laura
Serban
Principal
21
Shareholder
Letter
(Unaudited)
AQR
GLOBAL
EQUITY
FUND
AQR
Funds
|
Annual
Report
|
September
2023
A
privately
offered
fund
managed
by
the
Adviser
with
the
same
investment
objective
and
substantially
similar
investment
strategies
was
reorganized
into
the
AQR
Global
Equity
Fund
on
December
31,
2009,
the
date
the
Fund
commenced
operations.
This
privately
offered
fund
was
not
subject
to
certain
investment
limitations,
diversification
requirements,
liquidity
requirements,
and
other
restrictions
imposed
by
the
Investment
Company
Act
of
1940
and
the
Internal
Revenue
Code
which,
if
applicable,
might
have
adversely
affected
its
performance.
The
Fund’s
performance
for
periods
prior
to
December
31,
2009
is
that
of
the
privately
offered
fund
and
has
been
restated
to
reflect
the
net
expense
ratio
as
of
December
31,
2009
for
the
Class
I
Shares
of
the
Fund.
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I,
N
and
R6
shares
are
0.83%,
1.08%
and
0.73%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
GLOBAL
EQUITY
FUND
VS.
MSCI
WORLD
INDEX*
VALUE
OF
$10,000
INVESTED
ON
9/30/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
*
MSCI
makes
no
express
or
implied
warranties
or
representations
and
shall
have
no
liability
whatsoever
with
respect
to
any
MSCI
data
contained
herein.
The
MSCI
data
may
not
be
further
redistributed
or
used
as
a
basis
for
other
indices
or
any
securities
or
financial
products.
This
report
is
not
approved,
reviewed,
or
produced
by
MSCI.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2023
AQR
GLOBAL
EQUITY
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:AQGIX
25.68%
8.83%
5.28%
7.46%
6.03%
6/30/2006
Fund
-
Class
N:AQGNX
25.33%
8.53%
4.97%
7.17%
8.15%
12/31/2009
Fund
-
Class
R6:AQGRX
25.80%
8.97%
5.37%
N/A
6.89%
1/8/2014
MSCI
World
Index*
21.95%
8.08%
7.26%
8.26%
6.61%
6/30/2006
22
Shareholder
Letter
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
DEFINITIONS:
The
MSCI
Daily
TR
Net
Emerging
Markets
Index
:
is
a
free
float-adjusted
market
capitalization
index
that
is
designed
to
measure
the
performance
of
equities
in
23
global
emerging
markets.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
The
MSCI
D
aily
TR
Net
World
Ex
USA
Index
:
captures
large
and
mid-cap
securities
exhibiting
overall
growth
style
characteristics
across
22
developed
markets
countries
and
23
emerging
markets
countries.
The
growth
investment
style
characteristics
for
index
construction
are
defined
using
five
variables:
long-term
forward
EPS
growth
rate,
short-term
forward
EPS
growth
rate,
current
internal
growth
rate
and
long-term
historical
EPS
growth
trend
and
long-
term
historical
sales
per
share
growth
trend.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
The
MSCI
World
Index
:
is
a
free
float-adjusted
market
capitalization
index
that
is
designed
to
measure
the
performance
of
equities
in
developed
markets,
including
the
United
States
and
Canada.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
The
Russell
1000®
Total
Return
Index
:
measures
the
performance
of
the
large
and
mid-cap
segment
of
the
U.S.
equity
universe.
It
is
a
subset
of
the
Russell
3000
®
Index
and
includes
approximately
1,000
of
the
largest
securities
based
on
a
combination
of
their
market
cap
and
current
index
membership.
The
Russell
1000
®
Index
Total
Return
represents
approximately
90%
of
the
U.S.
market.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
The
Russell
2000®
Total
Return
Index
:
measures
the
performance
of
the
small-cap
segment
of
the
U.S.
equity
universe.
The
Russell
2000
®
Total
Return
Index
is
a
subset
of
the
Russell
3000
®
Index
representing
approximately
8%
of
the
total
market
capitalization
of
that
index.
It
includes
approximately
2,000
of
the
smallest
securities
based
on
a
combination
of
their
market
cap
and
current
index
membership.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
23
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
94.9%
Aerospace
&
Defense
-
2.3%
Curtiss-Wright
Corp.
6,990
1,367,454
General
Dynamics
Corp.
10,268
2,268,920
Howmet
Aerospace,
Inc.
40,076
1,853,515
Huntington
Ingalls
Industries,
Inc.
17,346
3,548,645
Lockheed
Martin
Corp.
15,213
6,221,508
Textron,
Inc.
107,934
8,433,963
23,694,005
Automobile
Components
-
0.5%
BorgWarner,
Inc.
87,097
3,516,106
Lear
Corp.
7,986
1,071,721
4,587,827
Automobiles
-
1.6%
General
Motors
Co.
345,758
11,399,641
Tesla,
Inc.
*
17,382
4,349,324
15,748,965
Banks
-
2.0%
Citigroup,
Inc.
249,257
10,251,940
Citizens
Financial
Group,
Inc.
39,769
1,065,809
FNB
Corp.
30,369
327,682
JPMorgan
Chase
&
Co.
14,700
2,131,794
Popular,
Inc.
107,169
6,752,719
20,529,944
Beverages
-
0.5%
Molson
Coors
Beverage
Co.,
Class
B
76,255
4,849,055
Biotechnology
-
2.4%
AbbVie,
Inc.
3,580
533,635
Amgen,
Inc.
10,707
2,877,613
Biogen,
Inc.
*
12,413
3,190,265
Gilead
Sciences,
Inc.
137,865
10,331,603
Horizon
Therapeutics
plc
*
5,383
622,759
United
Therapeutics
Corp.
*
30,911
6,981,868
24,537,743
Broadline
Retail
-
1.8%
Amazon.com,
Inc.
*
125,799
15,991,569
Macy's,
Inc.
171,660
1,992,972
17,984,541
Building
Products
-
2.2%
Builders
FirstSource,
Inc.
*
88,360
10,999,937
Masterbrand,
Inc.
*
49,775
604,766
Owens
Corning
77,276
10,541,219
Trane
Technologies
plc
1,767
358,542
22,504,464
Capital
Markets
-
0.2%
Ameriprise
Financial,
Inc.
2,618
863,102
State
Street
Corp.
18,416
1,233,136
2,096,238
INVESTMENTS
SHARES
VALUE
($)
Chemicals
-
2.1%
CF
Industries
Holdings,
Inc.
84,451
7,240,829
Huntsman
Corp.
52,903
1,290,833
LyondellBasell
Industries
NV,
Class
A
63,492
6,012,692
Mosaic
Co.
(The)
152,454
5,427,362
Westlake
Corp.
11,610
1,447,419
21,419,135
Commercial
Services
&
Supplies
-
0.3%
Cintas
Corp.
611
293,897
Waste
Management,
Inc.
18,849
2,873,342
3,167,239
Communications
Equipment
-
1.7%
Cisco
Systems,
Inc.
315,942
16,985,042
Construction
&
Engineering
-
0.5%
EMCOR
Group,
Inc.
24,144
5,079,656
Valmont
Industries,
Inc.
1,231
295,699
5,375,355
Construction
Materials
-
0.1%
Eagle
Materials,
Inc.
6,584
1,096,368
Consumer
Finance
-
0.6%
SLM
Corp.
39,709
540,837
Synchrony
Financial
194,267
5,938,742
6,479,579
Consumer
Staples
Distribution
&
Retail
-
1.6%
Albertsons
Cos.,
Inc.,
Class
A
4,409
100,305
Kroger
Co.
(The)
147,970
6,621,657
Walmart,
Inc.
56,207
8,989,186
15,711,148
Containers
&
Packaging
-
0.5%
Berry
Global
Group,
Inc.
60,902
3,770,443
International
Paper
Co.
45,354
1,608,706
5,379,149
Distributors
-
0.0%
†
LKQ
Corp.
8,234
407,665
Diversified
Consumer
Services
-
1.0%
H&R
Block,
Inc.
226,171
9,738,923
Electric
Utilities
-
0.4%
Hawaiian
Electric
Industries,
Inc.
299,506
3,686,919
Electrical
Equipment
-
0.8%
Acuity
Brands,
Inc.
46,630
7,941,555
Electronic
Equipment,
Instruments
&
Components
-
3.1%
Arrow
Electronics,
Inc.
*
98,191
12,297,441
Avnet,
Inc.
71,990
3,469,198
CDW
Corp.
1,804
363,975
Crane
NXT
Co.
17,290
960,805
Jabil,
Inc.
104,568
13,268,634
TD
SYNNEX
Corp.
11,568
1,155,180
31,515,233
24
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Energy
Equipment
&
Services
-
0.3%
Baker
Hughes
Co.,
Class
A
73,962
2,612,338
Entertainment
-
0.4%
Activision
Blizzard,
Inc.
21,255
1,990,106
Playtika
Holding
Corp.
*
228,501
2,200,464
4,190,570
Financial
Services
-
2.7%
Berkshire
Hathaway,
Inc.,
Class
B
*
43,607
15,275,532
MGIC
Investment
Corp.
193,256
3,225,443
Visa,
Inc.,
Class
A
8,619
1,982,456
Western
Union
Co.
(The)
544,934
7,182,230
27,665,661
Food
Products
-
0.2%
Archer-Daniels-Midland
Co.
25,428
1,917,780
Tyson
Foods,
Inc.,
Class
A
5,703
287,944
2,205,724
Ground
Transportation
-
1.0%
Avis
Budget
Group,
Inc.
*
4,702
844,902
Landstar
System,
Inc.
2,004
354,588
Ryder
System,
Inc.
53,612
5,733,803
Schneider
National,
Inc.,
Class
B
126,122
3,492,318
U-Haul
Holding
Co.
*
1,585
86,494
10,512,105
Health
Care
Providers
&
Services
-
3.4%
Cardinal
Health,
Inc.
25,720
2,233,010
Cigna
Group
(The)
5,449
1,558,796
CVS
Health
Corp.
66,540
4,645,823
Elevance
Health,
Inc.
24,456
10,648,632
McKesson
Corp.
9,346
4,064,108
Molina
Healthcare,
Inc.
*
25,826
8,468,087
UnitedHealth
Group,
Inc.
5,781
2,914,722
Universal
Health
Services,
Inc.,
Class
B
2,230
280,378
34,813,556
Hotels,
Restaurants
&
Leisure
-
1.0%
Booking
Holdings,
Inc.
*
2,089
6,442,371
Darden
Restaurants,
Inc.
10,869
1,556,658
Expedia
Group,
Inc.
*
22,069
2,274,652
Texas
Roadhouse,
Inc.,
Class
A
3,198
307,328
10,581,009
Household
Durables
-
3.5%
Lennar
Corp.,
Class
A
93,102
10,448,838
NVR,
Inc.
*
485
2,892,201
PulteGroup,
Inc.
144,808
10,723,032
Toll
Brothers,
Inc.
153,364
11,342,801
35,406,872
Household
Products
-
0.5%
Procter
&
Gamble
Co.
(The)
33,720
4,918,399
Industrial
Conglomerates
-
1.1%
General
Electric
Co.
97,482
10,776,635
INVESTMENTS
SHARES
VALUE
($)
Insurance
-
4.1%
American
International
Group,
Inc.
105,669
6,403,541
Assurant,
Inc.
2,455
352,489
Assured
Guaranty
Ltd.
8,238
498,564
Axis
Capital
Holdings
Ltd.
27,534
1,552,092
CNA
Financial
Corp.
9,156
360,289
Everest
Group
Ltd.
30,124
11,196,187
First
American
Financial
Corp.
8,007
452,315
MetLife,
Inc.
10,090
634,762
Old
Republic
International
Corp.
38,754
1,044,033
Reinsurance
Group
of
America,
Inc.
33,145
4,812,322
RenaissanceRe
Holdings
Ltd.
17,453
3,454,298
Travelers
Cos.,
Inc.
(The)
1,930
315,188
Unum
Group
215,570
10,603,888
41,679,968
Interactive
Media
&
Services
-
4.2%
Alphabet,
Inc.,
Class
A
*
103,646
13,563,115
Alphabet,
Inc.,
Class
C
*
118,248
15,590,999
Meta
Platforms,
Inc.,
Class
A
*
45,013
13,513,353
42,667,467
IT
Services
-
0.7%
Accenture
plc,
Class
A
4,736
1,454,473
Cognizant
Technology
Solutions
Corp.,
Class
A
9,464
641,092
DXC
Technology
Co.
*
129,111
2,689,382
VeriSign,
Inc.
*
9,225
1,868,339
6,653,286
Machinery
-
4.2%
AGCO
Corp.
45,464
5,377,482
Allison
Transmission
Holdings,
Inc.
209,176
12,353,935
Caterpillar,
Inc.
1,663
453,999
Crane
Co.
11,636
1,033,742
Cummins,
Inc.
5,311
1,213,351
Donaldson
Co.,
Inc.
11,100
662,004
Gates
Industrial
Corp.
plc
*
74,195
861,404
Oshkosh
Corp.
28,905
2,758,404
PACCAR,
Inc.
132,207
11,240,239
Snap-on,
Inc.
16,004
4,081,981
Timken
Co.
(The)
36,576
2,687,970
42,724,511
Metals
&
Mining
-
2.3%
Nucor
Corp.
11,793
1,843,835
Reliance
Steel
&
Aluminum
Co.
28,142
7,379,677
Steel
Dynamics,
Inc.
70,482
7,557,080
United
States
Steel
Corp.
199,118
6,467,353
23,247,945
Oil,
Gas
&
Consumable
Fuels
-
6.3%
Chesapeake
Energy
Corp.
49,149
4,238,118
Chevron
Corp.
47,430
7,997,647
Coterra
Energy,
Inc.
84,626
2,289,133
EOG
Resources,
Inc.
8,269
1,048,179
Exxon
Mobil
Corp.
159,567
18,761,888
25
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
6.3%
(continued)
HF
Sinclair
Corp.
188,611
10,737,624
Marathon
Petroleum
Corp.
41,232
6,240,051
Pioneer
Natural
Resources
Co.
5,852
1,343,327
Valero
Energy
Corp.
80,509
11,408,930
64,064,897
Passenger
Airlines
-
0.0%
†
United
Airlines
Holdings,
Inc.
*
6,245
264,164
Pharmaceuticals
-
1.0%
Johnson
&
Johnson
19,883
3,096,777
Viatris,
Inc.
726,762
7,165,874
10,262,651
Professional
Services
-
1.0%
Booz
Allen
Hamilton
Holding
Corp.,
Class
A
39,385
4,303,599
Concentrix
Corp.
18,225
1,460,005
ManpowerGroup,
Inc.
54,035
3,961,846
9,725,450
Semiconductors
&
Semiconductor
Equipment
-
7.2%
Applied
Materials,
Inc.
50,413
6,979,680
Broadcom,
Inc.
12,487
10,371,452
Cirrus
Logic,
Inc.
*
44,636
3,301,279
Lam
Research
Corp.
14,075
8,821,788
Microchip
Technology,
Inc.
51,379
4,010,131
NVIDIA
Corp.
55,273
24,043,202
ON
Semiconductor
Corp.
*
72,168
6,708,016
QUALCOMM,
Inc.
19,055
2,116,248
Skyworks
Solutions,
Inc.
26,635
2,625,945
Teradyne,
Inc.
12,312
1,236,863
Texas
Instruments,
Inc.
20,600
3,275,606
73,490,210
Software
-
10.1%
Adobe,
Inc.
*
25,341
12,921,376
AppLovin
Corp.,
Class
A
*
41,142
1,644,034
Cadence
Design
Systems,
Inc.
*
32,463
7,606,081
Dropbox,
Inc.,
Class
A
*
23,734
646,277
Fortinet,
Inc.
*
7,915
464,452
Intuit,
Inc.
600
306,564
Manhattan
Associates,
Inc.
*
4,944
977,231
Microsoft
Corp.
207,875
65,636,531
NCR
Corp.
*
177,027
4,774,418
RingCentral,
Inc.,
Class
A
*
34,513
1,022,620
Teradata
Corp.
*
79,635
3,585,168
VMware,
Inc.,
Class
A
*
6,693
1,114,251
Zoom
Video
Communications,
Inc.,
Class
A
*
20,914
1,462,725
102,161,728
Specialty
Retail
-
3.7%
AutoNation,
Inc.
*
73,895
11,187,703
Best
Buy
Co.,
Inc.
49,064
3,408,476
Dick's
Sporting
Goods,
Inc.
5,679
616,626
Home
Depot,
Inc.
(The)
1,055
318,779
Murphy
USA,
Inc.
12,078
4,127,415
INVESTMENTS
SHARES
VALUE
($)
Specialty
Retail
-
3.7%
(continued)
Penske
Automotive
Group,
Inc.
57,670
9,634,350
Williams-Sonoma,
Inc.
54,708
8,501,623
37,794,972
Technology
Hardware,
Storage
&
Peripherals
-
7.9%
Apple,
Inc.
386,980
66,254,846
Hewlett
Packard
Enterprise
Co.
482,469
8,380,486
HP,
Inc.
214,628
5,515,940
80,151,272
Textiles,
Apparel
&
Luxury
Goods
-
0.1%
Capri
Holdings
Ltd.
*
21,374
1,124,486
Tobacco
-
0.6%
Altria
Group,
Inc.
136,459
5,738,101
Trading
Companies
&
Distributors
-
1.2%
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
56,329
5,528,691
United
Rentals,
Inc.
14,863
6,607,644
12,136,335
TOTAL
COMMON
STOCKS
(Cost
$598,959,345)
963,006,404
SHORT-TERM
INVESTMENTS
-
4.6%
INVESTMENT
COMPANIES
-
4.6%
Limited
Purpose
Cash
Investment
Fund,
5.36%
(a)
(Cost
$47,297,471)
47,316,836
47,302,640
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.5%
(Cost
$646,256,816)
1,010,309,044
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.5%
‡
4,783,891
NET
ASSETS
-
100.0%
1,015,092,935
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
46,858,037
4.6
%
Consumer
Discretionary
133,375,262
13.1
Consumer
Staples
33,422,428
3.3
Energy
66,677,234
6.6
Financials
98,451,390
9.7
Health
Care
69,613,950
6.9
Industrials
148,821,816
14.7
Information
Technology
310,956,771
30.6
Materials
51,142,597
5.0
Utilities
3,686,919
0.4
Investment
Companies
47,302,640
4.6
Total
Investments
In
Securities
At
Value
1,010,309,044
99.5
Other
Assets
in
Excess
of
Liabilities
‡
4,783,891
0.5
Net
Assets
$
1,015,092,935
100.0%
26
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
†
Represents
less
than
0.05%
of
net
assets.
‡
Includes
appreciation/(depreciation)
on
futures
contracts.
(a)
Represents
7-day
effective
yield
as
of
September
30,
2023.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
4).
Futures
contracts
outstanding
as
of
September
30,
2023:
Exchange-Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
179
12/2023
USD
$
38,713,225
$
(1,611,355)
$
(1,611,355)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2023
was
as
follows:
COUNTERPARTY
OVER-THE-COUNTER
EXCHANGE-
TRADED
TOTAL
GSCO
Cash
$
–
$
3,709,798
$
3,709,798
27
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.5%
Aerospace
&
Defense
-
0.4%
AAR
Corp.
*
1,965
116,976
Ducommun,
Inc.
*
1,921
83,583
Moog,
Inc.,
Class
A
1,353
152,835
National
Presto
Industries,
Inc.
468
33,911
Terran
Orbital
Corp.
*
24,142
20,096
V2X,
Inc.
*
673
34,767
442,168
Air
Freight
&
Logistics
-
0.5%
Hub
Group,
Inc.,
Class
A
*
6,511
511,374
Automobile
Components
-
1.5%
Adient
plc
*
2,404
88,227
American
Axle
&
Manufacturing
Holdings,
Inc.
*
14,102
102,381
Cooper-Standard
Holdings,
Inc.
*
2,034
27,296
Dana,
Inc.
16,488
241,879
Goodyear
Tire
&
Rubber
Co.
(The)
*
14,856
184,660
LCI
Industries
1,295
152,059
Modine
Manufacturing
Co.
*
6,937
317,368
Patrick
Industries,
Inc.
5,106
383,256
XPEL,
Inc.
*(a)
738
56,907
1,554,033
Automobiles
-
0.1%
Winnebago
Industries,
Inc.
1,070
63,612
Banks
-
5.7%
1st
Source
Corp.
4,426
186,290
Amalgamated
Financial
Corp.
1,721
29,636
Associated
Banc-Corp.
15,697
268,576
Axos
Financial,
Inc.
*
5,587
211,524
Bancorp,
Inc.
(The)
*
7,871
271,549
Bridgewater
Bancshares,
Inc.
*
12,387
117,429
Cathay
General
Bancorp
9,115
316,837
Community
Trust
Bancorp,
Inc.
984
33,712
CrossFirst
Bankshares,
Inc.
*
10,893
109,910
Customers
Bancorp,
Inc.
*
10,047
346,119
Eagle
Bancorp,
Inc.
1,727
37,044
Financial
Institutions,
Inc.
9,782
164,631
First
Financial
Corp.
3,792
128,208
First
Foundation,
Inc.
3,857
23,451
First
Merchants
Corp.
4,786
133,147
Fulton
Financial
Corp.
5,753
69,669
Great
Southern
Bancorp,
Inc.
7,773
372,482
Hancock
Whitney
Corp.
1,620
59,924
Hanmi
Financial
Corp.
5,324
86,409
Heartland
Financial
USA,
Inc.
9,631
283,440
Hope
Bancorp,
Inc.
10,754
95,173
Horizon
Bancorp,
Inc.
2,744
29,306
Independent
Bank
Corp.
4,928
90,379
International
Bancshares
Corp.
10,172
440,854
Lakeland
Bancorp,
Inc.
1,943
24,521
Mercantile
Bank
Corp.
3,684
113,872
Midland
States
Bancorp,
Inc.
7,733
158,836
INVESTMENTS
SHARES
VALUE
($)
Banks
-
5.7%
(continued)
NBT
Bancorp,
Inc.
4,174
132,274
OceanFirst
Financial
Corp.
8,560
123,863
OFG
Bancorp
3,824
114,185
Provident
Financial
Services,
Inc.
13,062
199,718
Renasant
Corp.
2,620
68,618
S&T
Bancorp,
Inc.
4,271
115,659
Sandy
Spring
Bancorp,
Inc.
1,714
36,731
Simmons
First
National
Corp.,
Class
A
3,766
63,871
Southern
Missouri
Bancorp,
Inc.
2,777
107,442
TrustCo
Bank
Corp.
9,243
252,241
Valley
National
Bancorp
16,126
138,039
Veritex
Holdings,
Inc.
1,642
29,474
WesBanco,
Inc.
1,938
47,326
WSFS
Financial
Corp.
3,787
138,225
5,770,594
Beverages
-
1.2%
Coca-Cola
Consolidated,
Inc.
971
617,867
MGP
Ingredients,
Inc.
2,083
219,715
National
Beverage
Corp.
*
2,361
111,014
Primo
Water
Corp.
2,336
32,237
Vita
Coco
Co.,
Inc.
(The)
*
8,955
233,188
1,214,021
Biotechnology
-
4.7%
ACADIA
Pharmaceuticals,
Inc.
*
4,832
100,699
ADMA
Biologics,
Inc.
*
38,552
138,016
Alkermes
plc
*
11,207
313,908
Amicus
Therapeutics,
Inc.
*
15,837
192,578
Arcellx,
Inc.
*
2,836
101,756
Arcturus
Therapeutics
Holdings,
Inc.
*
8,059
205,907
Atara
Biotherapeutics,
Inc.
*
27,554
40,780
CareDx,
Inc.
*
4,842
33,894
Catalyst
Pharmaceuticals,
Inc.
*
51,087
597,207
Cytokinetics,
Inc.
*
3,638
107,176
Eagle
Pharmaceuticals,
Inc.
*
5,674
89,479
Fate
Therapeutics,
Inc.
*
11,998
25,436
Halozyme
Therapeutics,
Inc.
*
6,000
229,200
Insmed,
Inc.
*
6,637
167,584
Kiniksa
Pharmaceuticals
Ltd.,
Class
A
*
21,322
370,363
MacroGenics,
Inc.
*
40,305
187,821
Madrigal
Pharmaceuticals,
Inc.
*
595
86,894
Mersana
Therapeutics,
Inc.
*
51,727
65,693
Organogenesis
Holdings,
Inc.,
Class
A
*
74,852
238,029
PDL
BioPharma,
Inc.
(3)*(b)
32,677
2,663
Point
Biopharma
Global,
Inc.
*
34,206
228,154
Poseida
Therapeutics,
Inc.
*
80,134
190,719
Prothena
Corp.
plc
(Ireland)
*
1,573
75,897
PTC
Therapeutics,
Inc.
*
785
17,592
Sutro
Biopharma,
Inc.
*
6,563
22,774
TG
Therapeutics,
Inc.
*
5,550
46,398
Vaxcyte,
Inc.
*
607
30,945
28
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Biotechnology
-
4.7%
(continued)
Veracyte,
Inc.
*
6,150
137,330
Vericel
Corp.
*
4,139
138,739
Voyager
Therapeutics,
Inc.
*
31,347
242,939
Zymeworks,
Inc.
*
55,411
351,306
4,777,876
Building
Products
-
2.4%
Apogee
Enterprises,
Inc.
12,449
586,099
Insteel
Industries,
Inc.
7,233
234,783
JELD-WEN
Holding,
Inc.
*
2,571
34,349
PGT
Innovations,
Inc.
*
3,778
104,840
Quanex
Building
Products
Corp.
5,172
145,695
UFP
Industries,
Inc.
13,298
1,361,715
2,467,481
Capital
Markets
-
0.6%
Brightsphere
Investment
Group,
Inc.
4,263
82,660
Diamond
Hill
Investment
Group,
Inc.
178
30,005
Donnelley
Financial
Solutions,
Inc.
*
4,172
234,800
StoneX
Group,
Inc.
*
1,990
192,871
Virtus
Investment
Partners,
Inc.
373
75,342
615,678
Chemicals
-
1.5%
AdvanSix,
Inc.
8,642
268,593
FutureFuel
Corp.
46,715
334,947
Koppers
Holdings,
Inc.
3,235
127,944
Livent
Corp.
*
7,025
129,330
LSB
Industries,
Inc.
*
17,798
182,074
Orion
SA
(Germany)
2,359
50,200
Rayonier
Advanced
Materials,
Inc.
*
65,319
231,229
Stepan
Co.
2,573
192,898
1,517,215
Commercial
Services
&
Supplies
-
0.7%
ACCO
Brands
Corp.
35,378
203,070
Deluxe
Corp.
2,272
42,918
Ennis,
Inc.
9,779
207,510
Interface,
Inc.,
Class
A
14,577
143,000
Steelcase,
Inc.,
Class
A
9,708
108,438
VSE
Corp.
1,051
53,013
757,949
Communications
Equipment
-
0.9%
Aviat
Networks,
Inc.
*
1,159
36,161
Calix,
Inc.
*
4,311
197,616
CommScope
Holding
Co.,
Inc.
*
23,636
79,417
Digi
International,
Inc.
*
3,152
85,104
Extreme
Networks,
Inc.
*
18,579
449,798
NetScout
Systems,
Inc.
*
3,078
86,245
934,341
INVESTMENTS
SHARES
VALUE
($)
Construction
&
Engineering
-
2.8%
API
Group
Corp.
*
6,084
157,758
Arcosa,
Inc.
3,429
246,545
Comfort
Systems
USA,
Inc.
2,375
404,724
Fluor
Corp.
*
4,056
148,855
Limbach
Holdings,
Inc.
*
4,425
140,405
MYR
Group,
Inc.
*
6,743
908,687
Northwest
Pipe
Co.
*
4,034
121,706
Sterling
Infrastructure,
Inc.
*
7,551
554,847
Tutor
Perini
Corp.
*
21,078
165,041
2,848,568
Construction
Materials
-
0.1%
Knife
River
Corp.
*
2,158
105,375
Consumer
Finance
-
0.5%
Bread
Financial
Holdings,
Inc.
8,491
290,392
Enova
International,
Inc.
*
2,470
125,649
Navient
Corp.
2,234
38,470
World
Acceptance
Corp.
*
287
36,466
490,977
Consumer
Staples
Distribution
&
Retail
-
1.1%
Ingles
Markets,
Inc.,
Class
A
7,717
581,322
SpartanNash
Co.
1,939
42,658
Sprouts
Farmers
Market,
Inc.
*
5,381
230,307
United
Natural
Foods,
Inc.
*
10,304
145,698
Weis
Markets,
Inc.
2,014
126,882
1,126,867
Containers
&
Packaging
-
0.1%
O-I
Glass,
Inc.
*
6,568
109,883
Pactiv
Evergreen,
Inc.
3,933
31,975
141,858
Diversified
Consumer
Services
-
1.4%
2U,
Inc.
*
26,083
64,425
Adtalem
Global
Education,
Inc.
*
1,456
62,390
Chegg,
Inc.
*
9,556
85,240
Coursera,
Inc.
*
1,623
30,334
Duolingo,
Inc.,
Class
A
*
798
132,364
Perdoceo
Education
Corp.
45,080
770,868
Stride,
Inc.
*
3,904
175,797
WW
International,
Inc.
*
9,362
103,637
1,425,055
Diversified
REITs
-
0.1%
American
Assets
Trust,
Inc.,
REIT
1,543
30,011
Global
Net
Lease,
Inc.,
REIT
3,654
35,115
65,126
Diversified
Telecommunication
Services
-
0.2%
Bandwidth,
Inc.,
Class
A
*
5,082
57,274
EchoStar
Corp.,
Class
A
*
6,781
113,582
IDT
Corp.,
Class
B
*
1,383
30,495
201,351
29
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Electric
Utilities
-
0.2%
ALLETE,
Inc.
1,018
53,751
PNM
Resources,
Inc.
4,384
195,570
249,321
Electrical
Equipment
-
2.4%
Array
Technologies,
Inc.
*
8,486
188,304
Atkore,
Inc.
*
7,045
1,051,044
Encore
Wire
Corp.
5,463
996,779
Energy
Vault
Holdings,
Inc.
*
10,456
26,663
Shoals
Technologies
Group,
Inc.,
Class
A
*
5,471
99,846
TPI
Composites,
Inc.
*
21,008
55,671
Vicor
Corp.
*
472
27,796
2,446,103
Electronic
Equipment,
Instruments
&
Components
-
4.3%
Advanced
Energy
Industries,
Inc.
496
51,147
Arlo
Technologies,
Inc.
*
22,031
226,919
Bel
Fuse,
Inc.,
Class
B
628
29,968
Belden,
Inc.
917
88,536
Benchmark
Electronics,
Inc.
5,152
124,988
ePlus,
Inc.
*
6,394
406,147
Fabrinet
(Thailand)
*
3,546
590,835
Insight
Enterprises,
Inc.
*
8,323
1,210,996
Kimball
Electronics,
Inc.
*
3,423
93,722
Methode
Electronics,
Inc.
5,235
119,620
PC
Connection,
Inc.
6,519
347,984
Sanmina
Corp.
*
10,765
584,324
ScanSource,
Inc.
*
1,900
57,589
TTM
Technologies,
Inc.
*
7,610
98,017
Vishay
Intertechnology,
Inc.
13,050
322,596
4,353,388
Energy
Equipment
&
Services
-
3.4%
ChampionX
Corp.
2,257
80,394
DMC
Global,
Inc.
*
1,740
42,578
Forum
Energy
Technologies,
Inc.
*
1,213
29,136
Helmerich
&
Payne,
Inc.
5,356
225,809
KLX
Energy
Services
Holdings,
Inc.
*
10,250
121,462
Liberty
Energy,
Inc.,
Class
A
38,022
704,167
Noble
Corp.
plc
3,503
177,427
Oil
States
International,
Inc.
*
4,729
39,582
Patterson-UTI
Energy,
Inc.
23,178
320,784
ProPetro
Holding
Corp.
*
54,165
575,774
Ranger
Energy
Services,
Inc.
19,178
271,944
RPC,
Inc.
33,182
296,647
Seadrill
Ltd.
(Norway)
*
2,196
98,359
Select
Water
Solutions,
Inc.,
Class
A
5,766
45,840
Tidewater,
Inc.
*
1,154
82,015
US
Silica
Holdings,
Inc.
*
5,809
81,558
Weatherford
International
plc
*
3,184
287,611
3,481,087
INVESTMENTS
SHARES
VALUE
($)
Financial
Services
-
1.9%
Banco
Latinoamericano
de
Comercio
Exterior
SA,
Class
E
(Panama)
5,279
111,915
Cass
Information
Systems,
Inc.
864
32,184
Jackson
Financial,
Inc.,
Class
A
8,666
331,214
Mr
Cooper
Group,
Inc.
*
16,899
905,110
Paysafe
Ltd.
*
5,825
69,842
Radian
Group,
Inc.
1,181
29,655
StoneCo
Ltd.,
Class
A
(Brazil)
*
44,398
473,727
1,953,647
Food
Products
-
1.4%
Calavo
Growers,
Inc.
2,110
53,235
Cal-Maine
Foods,
Inc.
9,265
448,611
Fresh
Del
Monte
Produce,
Inc.
3,900
100,776
John
B
Sanfilippo
&
Son,
Inc.
6,589
650,993
Seneca
Foods
Corp.,
Class
A
*
1,860
100,124
Vital
Farms,
Inc.
*
2,601
30,120
1,383,859
Gas
Utilities
-
0.1%
ONE
Gas,
Inc.
1,517
103,581
Ground
Transportation
-
1.1%
ArcBest
Corp.
6,458
656,456
Covenant
Logistics
Group,
Inc.,
Class
A
6,993
306,643
Universal
Logistics
Holdings,
Inc.
5,905
148,688
1,111,787
Health
Care
Equipment
&
Supplies
-
1.7%
Avanos
Medical,
Inc.
*
2,762
55,848
Axonics,
Inc.
*
912
51,181
Haemonetics
Corp.
*
2,309
206,840
Integer
Holdings
Corp.
*
369
28,941
iRhythm
Technologies,
Inc.
*
400
37,704
Lantheus
Holdings,
Inc.
*
3,142
218,306
LeMaitre
Vascular,
Inc.
1,376
74,965
Merit
Medical
Systems,
Inc.
*
3,172
218,931
OraSure
Technologies,
Inc.
*
38,439
227,943
Semler
Scientific,
Inc.
*
3,784
96,000
Tactile
Systems
Technology,
Inc.
*
10,052
141,231
Zimvie,
Inc.
*
21,643
203,661
Zynex,
Inc.
*
15,669
125,352
1,686,903
Health
Care
Providers
&
Services
-
2.7%
AdaptHealth
Corp.,
Class
A
*
10,193
92,756
Addus
HomeCare
Corp.
*
875
74,541
AMN
Healthcare
Services,
Inc.
*
3,616
308,011
Community
Health
Systems,
Inc.
*
5,081
14,735
CorVel
Corp.
*
2,593
509,914
Cross
Country
Healthcare,
Inc.
*
13,685
339,251
Ensign
Group,
Inc.
(The)
4,930
458,145
Hims
&
Hers
Health,
Inc.
*
4,436
27,902
Joint
Corp.
(The)
*
3,300
29,667
National
Research
Corp.
2,904
128,851
30
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Providers
&
Services
-
2.7%
(continued)
Owens
&
Minor,
Inc.
*
18,023
291,252
Patterson
Cos.,
Inc.
5,749
170,400
Pediatrix
Medical
Group,
Inc.
*
4,721
60,004
PetIQ,
Inc.,
Class
A
*
2,653
52,264
Select
Medical
Holdings
Corp.
5,422
137,014
2,694,707
Health
Care
REITs
-
0.1%
Diversified
Healthcare
Trust,
REIT
12,425
24,105
National
Health
Investors,
Inc.,
REIT
586
30,097
Physicians
Realty
Trust,
REIT
2,207
26,903
81,105
Health
Care
Technology
-
0.3%
Simulations
Plus,
Inc.
1,686
70,306
Veradigm,
Inc.
*
14,475
190,202
260,508
Hotel
&
Resort
REITs
-
0.1%
DiamondRock
Hospitality
Co.,
REIT
5,516
44,293
Service
Properties
Trust,
REIT
13,352
102,677
146,970
Hotels,
Restaurants
&
Leisure
-
1.2%
Bally's
Corp.
*
3,364
44,102
Bloomin'
Brands,
Inc.
11,605
285,367
Brinker
International,
Inc.
*
2,169
68,519
Hilton
Grand
Vacations,
Inc.
*
2,439
99,267
Inspired
Entertainment,
Inc.
*
6,510
77,860
International
Game
Technology
plc
1,324
40,144
Monarch
Casino
&
Resort,
Inc.
2,244
139,352
RCI
Hospitality
Holdings,
Inc.
2,387
144,795
Red
Robin
Gourmet
Burgers,
Inc.
*
2,923
23,501
Red
Rock
Resorts,
Inc.,
Class
A
2,270
93,070
Target
Hospitality
Corp.
*
10,245
162,691
1,178,668
Household
Durables
-
2.9%
Beazer
Homes
USA,
Inc.
*
17,973
447,707
Cavco
Industries,
Inc.
*
459
121,938
Century
Communities,
Inc.
659
44,008
Ethan
Allen
Interiors,
Inc.
2,815
84,169
Green
Brick
Partners,
Inc.
*
3,118
129,428
Hovnanian
Enterprises,
Inc.,
Class
A
*
2,806
285,258
KB
Home
7,991
369,823
M/I
Homes,
Inc.
*
3,649
306,662
MDC
Holdings,
Inc.
4,307
177,578
Meritage
Homes
Corp.
1,424
174,283
Taylor
Morrison
Home
Corp.,
Class
A
*
14,483
617,121
Tri
Pointe
Homes,
Inc.
*
6,166
168,640
2,926,615
INVESTMENTS
SHARES
VALUE
($)
Industrial
REITs
-
0.1%
Innovative
Industrial
Properties,
Inc.,
REIT
1,034
78,232
Insurance
-
2.1%
Ambac
Financial
Group,
Inc.
*
20,900
252,054
American
Equity
Investment
Life
Holding
Co.
702
37,655
Argo
Group
International
Holdings
Ltd.
1,247
37,211
eHealth,
Inc.
*
5,314
39,324
Employers
Holdings,
Inc.
13,872
554,186
Genworth
Financial,
Inc.,
Class
A
*
80,234
470,171
James
River
Group
Holdings
Ltd.
2,131
32,711
Selective
Insurance
Group,
Inc.
4,313
444,972
Selectquote,
Inc.
*
33,649
39,369
Stewart
Information
Services
Corp.
3,125
136,875
Universal
Insurance
Holdings,
Inc.
3,251
45,579
2,090,107
Interactive
Media
&
Services
-
0.7%
Cargurus,
Inc.,
Class
A
*
11,002
192,755
EverQuote,
Inc.,
Class
A
*
23,441
169,478
fuboTV,
Inc.
*
22,843
60,991
Yelp,
Inc.,
Class
A
*
5,558
231,157
Ziff
Davis,
Inc.
*
469
29,871
684,252
IT
Services
-
0.4%
Hackett
Group,
Inc.
(The)
9,556
225,426
Perficient,
Inc.
*
680
39,345
Squarespace,
Inc.,
Class
A
*
3,885
112,548
Unisys
Corp.
*
10,500
36,225
413,544
Leisure
Products
-
1.3%
Acushnet
Holdings
Corp.
2,580
136,843
JAKKS
Pacific,
Inc.
*
6,796
126,338
Johnson
Outdoors,
Inc.,
Class
A
997
54,526
Malibu
Boats,
Inc.,
Class
A
*
4,386
215,002
MasterCraft
Boat
Holdings,
Inc.
*
14,443
320,923
Sturm
Ruger
&
Co.,
Inc.
604
31,480
Vista
Outdoor,
Inc.
*
14,217
470,867
1,355,979
Life
Sciences
Tools
&
Services
-
0.0%
†
Singular
Genomics
Systems,
Inc.
*
7,564
2,882
Machinery
-
3.8%
Blue
Bird
Corp.
*
4,990
106,537
CIRCOR
International,
Inc.
*
722
40,251
Commercial
Vehicle
Group,
Inc.
*
9,466
73,456
Federal
Signal
Corp.
2,937
175,427
Greenbrier
Cos.,
Inc.
(The)
1,095
43,800
Kennametal,
Inc.
4,258
105,939
Manitowoc
Co.,
Inc.
(The)
*
31,390
472,420
Mayville
Engineering
Co.,
Inc.
*
2,567
28,160
Mueller
Industries,
Inc.
16,679
1,253,594
Proto
Labs,
Inc.
*
3,501
92,426
31
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Machinery
-
3.8%
(continued)
REV
Group,
Inc.
13,034
208,544
Shyft
Group,
Inc.
(The)
5,801
86,841
Standex
International
Corp.
367
53,468
Terex
Corp.
4,626
266,550
Titan
International,
Inc.
*
26,696
358,527
Wabash
National
Corp.
23,105
487,978
3,853,918
Marine
Transportation
-
0.2%
Eagle
Bulk
Shipping,
Inc.
748
31,438
Genco
Shipping
&
Trading
Ltd.
4,361
61,010
Safe
Bulkers,
Inc.
(Greece)
40,665
131,755
224,203
Media
-
0.3%
AMC
Networks,
Inc.,
Class
A
*
2,906
34,233
Gray
Television,
Inc.
9,452
65,408
TEGNA,
Inc.
6,503
94,749
Thryv
Holdings,
Inc.
*
3,467
65,075
259,465
Metals
&
Mining
-
3.9%
Alpha
Metallurgical
Resources,
Inc.
1,957
508,292
Arch
Resources,
Inc.
1,759
300,191
Commercial
Metals
Co.
18,692
923,572
Constellium
SE,
Class
A
*
11,805
214,851
Olympic
Steel,
Inc.
9,392
527,924
Ramaco
Resources,
Inc.,
Class
A
6,707
73,710
Ryerson
Holding
Corp.
10,496
305,329
Schnitzer
Steel
Industries,
Inc.,
Class
A
1,790
49,851
SunCoke
Energy,
Inc.
15,698
159,335
TimkenSteel
Corp.
*
18,757
407,402
Warrior
Met
Coal,
Inc.
9,207
470,293
Worthington
Industries,
Inc.
778
48,096
3,988,846
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.6%
Apollo
Commercial
Real
Estate
Finance,
Inc.
10,665
108,037
Arbor
Realty
Trust,
Inc.
6,322
95,968
Blackstone
Mortgage
Trust,
Inc.,
Class
A
9,163
199,295
Chimera
Investment
Corp.
12,242
66,841
Hannon
Armstrong
Sustainable
Infrastructure
Capital,
Inc.
4,604
97,605
567,746
Office
REITs
-
0.2%
Brandywine
Realty
Trust,
REIT
6,507
29,542
City
Office
REIT,
Inc.,
REIT
8,431
35,832
Equity
Commonwealth,
REIT
8,265
151,828
Piedmont
Office
Realty
Trust,
Inc.,
Class
A,
REIT
6,312
35,473
252,675
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
6.4%
Amplify
Energy
Corp.
*
14,729
108,258
Ardmore
Shipping
Corp.
(Ireland)
26,597
346,027
California
Resources
Corp.
1,663
93,145
Callon
Petroleum
Co.
*
2,328
91,071
Centrus
Energy
Corp.,
Class
A
*
1,603
90,986
Chord
Energy
Corp.
2,175
352,502
Civitas
Resources,
Inc.
6,310
510,290
CONSOL
Energy,
Inc.
5,557
582,985
Denbury,
Inc.
*
2,131
208,859
Dorian
LPG
Ltd.
7,586
217,946
Evolution
Petroleum
Corp.
15,674
107,210
Gevo,
Inc.
*
21,754
25,887
Gulfport
Energy
Corp.
*
2,017
239,337
International
Seaways,
Inc.
5,076
228,420
Matador
Resources
Co.
1,065
63,346
Murphy
Oil
Corp.
948
42,992
Northern
Oil
and
Gas,
Inc.
2,977
119,765
Par
Pacific
Holdings,
Inc.
*
1,930
69,364
PBF
Energy,
Inc.,
Class
A
16,430
879,498
Peabody
Energy
Corp.
16,215
421,428
REX
American
Resources
Corp.
*
1,748
71,178
Ring
Energy,
Inc.
*
43,404
84,638
SandRidge
Energy,
Inc.
1,822
28,532
Scorpio
Tankers,
Inc.
(Monaco)
2,747
148,668
Sitio
Royalties
Corp.,
Class
A
3,114
75,390
SM
Energy
Co.
7,503
297,494
Talos
Energy,
Inc.
*
4,498
73,947
Teekay
Corp.
*
14,874
91,773
Teekay
Tankers
Ltd.,
Class
A
(Canada)
9,571
398,441
Vertex
Energy,
Inc.
*
13,077
58,193
Vital
Energy,
Inc.
*
3,408
188,871
W&T
Offshore,
Inc.
*
24,226
106,110
World
Kinect
Corp.
1,719
38,557
6,461,108
Paper
&
Forest
Products
-
0.1%
Clearwater
Paper
Corp.
*
1,941
70,361
Passenger
Airlines
-
0.3%
Allegiant
Travel
Co.
806
61,949
JetBlue
Airways
Corp.
*
18,825
86,595
SkyWest,
Inc.
*
1,956
82,035
Spirit
Airlines,
Inc.
4,469
73,738
304,317
Personal
Care
Products
-
1.3%
BellRing
Brands,
Inc.
*
1,124
46,343
Edgewell
Personal
Care
Co.
2,995
110,695
elf
Beauty,
Inc.
*
4,472
491,160
Herbalife
Ltd.
*
4,065
56,869
Medifast,
Inc.
4,609
344,984
USANA
Health
Sciences,
Inc.
*
5,386
315,673
1,365,724
32
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Pharmaceuticals
-
2.3%
Amneal
Pharmaceuticals,
Inc.
*
92,030
388,367
Amphastar
Pharmaceuticals,
Inc.
*
4,194
192,882
Assertio
Holdings,
Inc.
*
96,691
247,529
Axsome
Therapeutics,
Inc.
*
366
25,580
Corcept
Therapeutics,
Inc.
*
15,134
412,326
EyePoint
Pharmaceuticals,
Inc.
*
3,457
27,621
Harmony
Biosciences
Holdings,
Inc.
*
1,998
65,474
Innoviva,
Inc.
*
29,500
383,205
Intra-Cellular
Therapies,
Inc.
*
2,214
115,327
Ligand
Pharmaceuticals,
Inc.
*
1,036
62,077
Omeros
Corp.
*
12,940
37,785
Phibro
Animal
Health
Corp.,
Class
A
8,567
109,401
Prestige
Consumer
Healthcare,
Inc.
*
2,551
145,892
Supernus
Pharmaceuticals,
Inc.
*
5,371
148,078
Xeris
Biopharma
Holdings,
Inc.
*
13,909
25,871
2,387,415
Professional
Services
-
1.7%
Barrett
Business
Services,
Inc.
2,851
257,274
CSG
Systems
International,
Inc.
749
38,289
ExlService
Holdings,
Inc.
*
1,860
52,154
Heidrick
&
Struggles
International,
Inc.
5,697
142,539
IBEX
Holdings
Ltd.
*
2,860
44,187
Insperity,
Inc.
1,101
107,458
Kelly
Services,
Inc.,
Class
A
5,221
94,970
Kforce,
Inc.
6,692
399,245
Legalzoom.com,
Inc.
*
16,265
177,939
Maximus,
Inc.
771
57,578
Resources
Connection,
Inc.
13,735
204,789
TrueBlue,
Inc.
*
8,666
127,130
1,703,552
Real
Estate
Management
&
Development
-
0.3%
Compass,
Inc.,
Class
A
*
10,923
31,677
Forestar
Group,
Inc.
*
10,063
271,097
Opendoor
Technologies,
Inc.
*
8,037
21,218
323,992
Residential
REITs
-
0.1%
BRT
Apartments
Corp.,
REIT
3,812
65,833
Semiconductors
&
Semiconductor
Equipment
-
4.5%
ACM
Research,
Inc.,
Class
A
*
15,592
282,293
Alpha
&
Omega
Semiconductor
Ltd.
*
3,246
96,861
Amkor
Technology,
Inc.
30,674
693,232
Axcelis
Technologies,
Inc.
*
2,645
431,267
Diodes,
Inc.
*
6,970
549,515
FormFactor,
Inc.
*
6,297
220,017
Kulicke
&
Soffa
Industries,
Inc.
(Singapore)
4,641
225,692
MaxLinear,
Inc.,
Class
A
*
2,465
54,846
Onto
Innovation,
Inc.
*
1,983
252,872
Photronics,
Inc.
*
24,229
489,668
INVESTMENTS
SHARES
VALUE
($)
Semiconductors
&
Semiconductor
Equipment
-
4.5%
(continued)
Power
Integrations,
Inc.
6,477
494,260
Rambus,
Inc.
*
1,513
84,410
SMART
Global
Holdings,
Inc.
*
7,592
184,865
Synaptics,
Inc.
*
3,549
317,423
Ultra
Clean
Holdings,
Inc.
*
7,195
213,476
4,590,697
Software
-
4.6%
8x8,
Inc.
*
139,805
352,309
A10
Networks,
Inc.
4,144
62,284
Adeia,
Inc.
20,180
215,522
Amplitude,
Inc.,
Class
A
*
10,487
121,335
Appfolio,
Inc.,
Class
A
*
397
72,504
Box,
Inc.,
Class
A
*
3,183
77,060
Cleanspark,
Inc.
*
41,929
159,750
Clear
Secure,
Inc.,
Class
A
2,225
42,364
CommVault
Systems,
Inc.
*
1,485
100,401
Consensus
Cloud
Solutions,
Inc.
*
6,375
160,523
Digital
Turbine,
Inc.
*
18,946
114,623
Ebix,
Inc.
20,388
201,434
Everbridge,
Inc.
*
1,504
33,720
Freshworks,
Inc.,
Class
A
*
9,196
183,184
LivePerson,
Inc.
*
7,460
29,019
LiveRamp
Holdings,
Inc.
*
4,067
117,292
MicroStrategy,
Inc.,
Class
A
*
264
86,666
Mitek
Systems,
Inc.
*
6,033
64,674
ON24,
Inc.
9,969
63,104
PagerDuty,
Inc.
*
2,576
57,934
Progress
Software
Corp.
5,680
298,654
Qualys,
Inc.
*
3,333
508,449
Rimini
Street,
Inc.
*
32,145
70,719
Riot
Platforms,
Inc.
*
6,303
58,807
SolarWinds
Corp.
*
2,812
26,545
Sprinklr,
Inc.,
Class
A
*
3,448
47,720
SPS
Commerce,
Inc.
*
3,897
664,867
Telos
Corp.
*
28,143
67,262
Workiva,
Inc.
*
3,140
318,208
Xperi,
Inc.
*
2,836
27,963
Yext,
Inc.
*
17,848
112,978
Zeta
Global
Holdings
Corp.,
Class
A
*
8,754
73,096
Zuora,
Inc.,
Class
A
*
7,488
61,701
4,652,671
Specialty
Retail
-
4.2%
Academy
Sports
&
Outdoors,
Inc.
4,166
196,927
Asbury
Automotive
Group,
Inc.
*
2,406
553,549
Buckle,
Inc.
(The)
1,724
57,564
Build-A-Bear
Workshop,
Inc.
3,563
104,788
Caleres,
Inc.
5,005
143,944
CarParts.com,
Inc.
*
7,060
29,087
Chico's
FAS,
Inc.
*
29,783
222,777
Designer
Brands,
Inc.,
Class
A
25,966
328,730
Destination
XL
Group,
Inc.
*
34,092
152,732
Foot
Locker,
Inc.
4,623
80,209
Genesco,
Inc.
*
3,420
105,404
33
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Specialty
Retail
-
4.2%
(continued)
Group
1
Automotive,
Inc.
2,771
744,595
Haverty
Furniture
Cos.,
Inc.
2,403
69,158
Hibbett,
Inc.
3,437
163,292
Lands'
End,
Inc.
*
11,121
83,074
ODP
Corp.
(The)
*
7,955
367,123
Sally
Beauty
Holdings,
Inc.
*
9,403
78,797
Signet
Jewelers
Ltd.
4,375
314,169
Sonic
Automotive,
Inc.,
Class
A
4,105
196,055
Stitch
Fix,
Inc.,
Class
A
*
26,180
90,321
Upbound
Group,
Inc.
4,183
123,189
Urban
Outfitters,
Inc.
*
2,394
78,260
4,283,744
Technology
Hardware,
Storage
&
Peripherals
-
1.5%
Avid
Technology,
Inc.
*
1,430
38,424
CPI
Card
Group,
Inc.
*
3,268
60,523
Eastman
Kodak
Co.
*
29,199
122,928
Immersion
Corp.
26,581
175,701
IonQ,
Inc.
*
12,010
178,709
Super
Micro
Computer,
Inc.
*
3,547
972,658
Turtle
Beach
Corp.
*
2,854
25,900
1,574,843
Textiles,
Apparel
&
Luxury
Goods
-
0.5%
Figs,
Inc.,
Class
A
*
17,561
103,610
G-III
Apparel
Group
Ltd.
*
12,955
322,838
Movado
Group,
Inc.
3,160
86,426
Oxford
Industries,
Inc.
361
34,703
547,577
Tobacco
-
0.2%
Universal
Corp.
2,572
121,424
Vector
Group
Ltd.
6,859
72,980
194,404
Trading
Companies
&
Distributors
-
3.6%
BlueLinx
Holdings,
Inc.
*
4,333
355,696
Boise
Cascade
Co.
12,341
1,271,616
GMS,
Inc.
*
7,975
510,161
Hudson
Technologies,
Inc.
*
3,976
52,881
Rush
Enterprises,
Inc.,
Class
A
17,439
712,034
Textainer
Group
Holdings
Ltd.
(China)
7,363
274,272
Titan
Machinery,
Inc.
*
3,784
100,579
Triton
International
Ltd.
(2)
3,107
255,597
Veritiv
Corp.
552
93,233
3,626,069
TOTAL
COMMON
STOCKS
(Cost
$64,802,366)
97,013,924
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
4.2%
INVESTMENT
COMPANIES
-
4.2%
Limited
Purpose
Cash
Investment
Fund,
5.36%
(c)
(Cost
$4,331,824)
4,333,658
4,332,358
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.7%
(Cost
$69,134,190)
101,346,282
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.3%
‡
268,586
NET
ASSETS
-
100.0%
101,614,868
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
1,145,068
1.1
%
Consumer
Discretionary
13,335,283
13.1
Consumer
Staples
5,284,875
5.2
Energy
9,942,195
9.8
Financials
11,488,749
11.3
Health
Care
11,810,290
11.6
Industrials
20,297,489
20.0
Information
Technology
16,519,485
16.3
Materials
5,823,655
5.7
Real
Estate
1,013,933
1.0
Utilities
352,902
0.4
Investment
Companies
4,332,358
4.2
Total
Investments
In
Securities
At
Value
101,346,282
99.7
Other
Assets
in
Excess
of
Liabilities
‡
268,586
0.3
Net
Assets
$
101,614,868
100.0%
34
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
†
Represents
less
than
0.05%
of
net
assets.
‡
Includes
appreciation/(depreciation)
on
futures
contracts.
(a)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$56,907,
which
represents
0.06%
of
net
assets
of
the
Fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2023
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$2,663,
which
represents
0.00%
of
net
assets
of
the
Fund.
(c)
Represents
7-day
effective
yield
as
of
September
30,
2023.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security
(See
Note
4).
(3)
Level
3
security
(See
Note
4).
Futures
contracts
outstanding
as
of
September
30,
2023:
Exchange-Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Russell
2000
E-Mini
Index
44
12/2023
USD
$
3,956,920
$
(173,657)
$
(173,657)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2023
was
as
follows:
COUNTERPARTY
OVER-THE-COUNTER
EXCHANGE-TRADED
TOTAL
JPMS
Cash
$
–
$
423,751
$
423,751
35
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
94.7%
Australia
-
6.1%
Aristocrat
Leisure
Ltd.
5,384
140,665
BHP
Group
Ltd.
306,618
8,613,155
BlueScope
Steel
Ltd.
276,713
3,426,675
Brambles
Ltd.
190,221
1,747,472
Fortescue
Metals
Group
Ltd.
398,925
5,302,930
Orica
Ltd.
57,404
572,359
Pilbara
Minerals
Ltd.
1,168,098
3,186,792
Qantas
Airways
Ltd.
*
207,430
686,694
Rio
Tinto
Ltd.
8,995
648,790
Rio
Tinto
plc
15,868
996,391
Santos
Ltd.
210,305
1,060,154
South32
Ltd.
64,454
139,170
Tabcorp
Holdings
Ltd.
57,040
34,371
WiseTech
Global
Ltd.
54,845
2,276,635
Woodside
Energy
Group
Ltd.
17,156
398,896
29,231,149
—
Belgium
-
0.4%
Ageas
SA/NV
39,977
1,646,510
Groupe
Bruxelles
Lambert
NV
1,467
109,160
1,755,670
—
Brazil
-
0.1%
Wheaton
Precious
Metals
Corp.
(1)
11,328
459,709
Canada
-
9.8%
Agnico
Eagle
Mines
Ltd.
(1)
36,250
1,647,230
Alimentation
Couche-Tard,
Inc.
(1)
21,067
1,069,907
ARC
Resources
Ltd.
(1)
169,106
2,699,222
Bank
of
Montreal
(1)
9,286
783,353
Canadian
Apartment
Properties,
REIT
(1)
3,482
115,567
Canadian
Imperial
Bank
of
Commerce
(1)
3,452
133,251
Canadian
Pacific
Kansas
City
Ltd.
(1)
8,837
656,863
Canadian
Tire
Corp.
Ltd.,
Class
A
(1)
8,795
945,709
CCL
Industries,
Inc.,
Class
B
(1)
4,615
193,706
CGI,
Inc.
(1)*
27,366
2,697,412
Element
Fleet
Management
Corp.
(1)
19,142
274,675
Fairfax
Financial
Holdings
Ltd.
(1)
7,287
5,948,543
Franco-Nevada
Corp.
(1)
1,593
212,670
George
Weston
Ltd.
(1)
2,412
267,491
Great-West
Lifeco,
Inc.
(1)
6,006
171,834
iA
Financial
Corp.,
Inc.
(1)
13,966
876,056
Imperial
Oil
Ltd.
(1)
72,342
4,455,830
Intact
Financial
Corp.
(1)
3,695
538,696
Loblaw
Cos.
Ltd.
(1)
9,400
798,645
Manulife
Financial
Corp.
(1)
97,002
1,772,567
National
Bank
of
Canada
(1)
4,864
323,121
Nutrien
Ltd.
(1)
62,529
3,861,537
Open
Text
Corp.
(1)
10,900
382,553
Parkland
Corp.
(1)
19,869
581,186
Power
Corp.
of
Canada
(1)
5,259
133,890
RB
Global,
Inc.
(1)
8,098
507,016
Restaurant
Brands
International,
Inc.
(1)
79,307
5,281,294
INVESTMENTS
SHARES
VALUE
($)
Canada
-
9.8%
(continued)
Royal
Bank
of
Canada
(1)
23,203
2,027,753
Teck
Resources
Ltd.,
Class
B
(1)
5,196
223,639
TFI
International,
Inc.
(1)
22,950
2,947,468
Thomson
Reuters
Corp.
(1)
12,243
1,497,734
Toronto-Dominion
Bank
(The)
(1)
9,710
584,995
Tourmaline
Oil
Corp.
(1)
18,303
921,046
West
Fraser
Timber
Co.
Ltd.
(1)
24,359
1,768,482
47,300,941
—
China
-
1.2%
BOC
Hong
Kong
Holdings
Ltd.
1,300,500
3,550,197
SITC
International
Holdings
Co.
Ltd.
1,134,000
1,902,635
Wilmar
International
Ltd.
94,500
257,162
5,709,994
—
Denmark
-
3.5%
AP
Moller
-
Maersk
A/S,
Class
B
508
913,838
Genmab
A/S
*
11,178
3,957,578
Novo
Nordisk
A/S,
Class
B
86,044
7,834,416
Pandora
A/S
31,882
3,289,945
ROCKWOOL
A/S,
Class
B
2,355
569,170
16,564,947
—
Finland
-
0.4%
Nokia
OYJ
124,892
469,603
Wartsila
OYJ
Abp
107,581
1,219,316
1,688,919
—
France
-
9.4%
AXA
SA
118,661
3,520,537
BNP
Paribas
SA
65,235
4,148,051
Carrefour
SA
139,187
2,390,552
Cie
de
Saint-Gobain
SA
73,096
4,374,825
Dassault
Aviation
SA
20,054
3,777,169
Eiffage
SA
1,538
145,983
Hermes
International
SCA
1,050
1,913,970
Ipsen
SA
19,499
2,554,796
L'Oreal
SA
1,040
430,989
LVMH
Moet
Hennessy
Louis
Vuitton
SE
184
138,889
Orange
SA
177,488
2,035,835
Publicis
Groupe
SA
55,405
4,193,753
Societe
Generale
SA
56,392
1,364,552
Sodexo
SA
34,557
3,557,559
Thales
SA
3,672
516,075
TotalEnergies
SE
148,521
9,765,160
Unibail-Rodamco-Westfield,
REIT
*
4,856
238,796
45,067,491
—
Germany
-
7.4%
Allianz
SE
(Registered)
3,857
917,874
Bayerische
Motoren
Werke
AG
31,234
3,172,349
Brenntag
SE
37,884
2,931,339
Commerzbank
AG
254,289
2,886,015
Daimler
Truck
Holding
AG
32,664
1,130,967
Deutsche
Bank
AG
(Registered)
584,463
6,423,409
Deutsche
Boerse
AG
5,597
966,584
Deutsche
Lufthansa
AG
(Registered)
*
23,147
183,172
36
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Germany
-
7.4%
(continued)
Deutsche
Post
AG
81,981
3,326,423
Fresenius
SE
&
Co.
KGaA
12,270
381,109
GEA
Group
AG
12,087
445,459
Hannover
Rueck
SE
2,264
496,764
Infineon
Technologies
AG
6,802
225,287
Knorr-Bremse
AG
11,293
715,945
Mercedes-Benz
Group
AG
4,990
347,288
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
11,461
4,463,519
Rational
AG
807
510,592
Rheinmetall
AG
1,633
420,092
SAP
SE
33,966
4,396,628
Siemens
AG
(Registered)
1,815
259,379
Siemens
Energy
AG
*
3,772
49,159
Talanx
AG
9,928
628,343
35,277,696
—
Hong
Kong
-
1.4%
CK
Asset
Holdings
Ltd.
48,439
254,430
Hong
Kong
Exchanges
&
Clearing
Ltd.
32,300
1,198,743
Link,
REIT
39,000
190,692
Sun
Hung
Kai
Properties
Ltd.
13,500
144,044
Swire
Pacific
Ltd.,
Class
A
122,000
821,733
WH
Group
Ltd.
(a)
7,508,000
3,929,824
6,539,466
—
Italy
-
2.2%
Coca-Cola
HBC
AG
79,015
2,160,568
Eni
SpA
66,286
1,064,806
Prysmian
SpA
43,663
1,752,558
UniCredit
SpA
229,344
5,464,440
10,442,372
—
Japan
-
20.2%
Bandai
Namco
Holdings,
Inc.
16,500
335,618
Chubu
Electric
Power
Co.,
Inc.
14,900
189,675
Dai-ichi
Life
Holdings,
Inc.
57,800
1,193,241
Daito
Trust
Construction
Co.
Ltd.
9,500
1,000,670
Disco
Corp.
16,500
3,048,476
Fuji
Electric
Co.
Ltd.
7,100
319,753
Fujitsu
Ltd.
12,400
1,458,377
Hakuhodo
DY
Holdings,
Inc.
114,300
938,867
Iida
Group
Holdings
Co.
Ltd.
117,100
1,943,210
ITOCHU
Corp.
105,100
3,795,575
Japan
Post
Holdings
Co.
Ltd.
562,100
4,496,880
Japan
Post
Insurance
Co.
Ltd.
260,200
4,376,137
Japan
Real
Estate
Investment
Corp.,
REIT
52
202,631
Japan
Tobacco,
Inc.
35,000
805,281
Kajima
Corp.
9,300
151,386
Kao
Corp.
8,400
311,346
M3,
Inc.
12,400
224,920
Marubeni
Corp.
171,700
2,676,502
MatsukiyoCocokara
&
Co.
35,100
628,748
Mazda
Motor
Corp.
105,100
1,193,357
McDonald's
Holdings
Co.
Japan
Ltd.
(1)
48,100
1,837,868
MEIJI
Holdings
Co.
Ltd.
6,900
171,493
INVESTMENTS
SHARES
VALUE
($)
Japan
-
20.2%
(continued)
Mitsui
&
Co.
Ltd.
70,800
2,567,912
Mitsui
OSK
Lines
Ltd.
5,800
159,379
Mizuho
Financial
Group,
Inc.
78,620
1,334,807
MS&AD
Insurance
Group
Holdings,
Inc.
148,300
5,426,939
Nexon
Co.
Ltd.
132,800
2,372,956
NGK
Insulators
Ltd.
98,700
1,308,128
Nippon
Shinyaku
Co.
Ltd.
15,500
654,497
Nippon
Steel
Corp.
42,100
986,325
Nissin
Foods
Holdings
Co.
Ltd.
4,600
382,227
Nitto
Denko
Corp.
5,800
380,337
Obayashi
Corp.
276,800
2,435,806
Oji
Holdings
Corp.
34,800
146,411
Ono
Pharmaceutical
Co.
Ltd.
212,800
4,081,160
Oracle
Corp.
Japan
12,500
925,940
Osaka
Gas
Co.
Ltd.
35,100
577,567
Otsuka
Corp.
25,000
1,057,713
Otsuka
Holdings
Co.
Ltd.
24,200
859,224
Panasonic
Holdings
Corp.
208,700
2,355,758
Renesas
Electronics
Corp.
*
71,700
1,095,215
Resona
Holdings,
Inc.
44,900
248,260
Sekisui
Chemical
Co.
Ltd.
9,500
136,676
Sekisui
House
Ltd.
76,700
1,526,440
Shimizu
Corp.
229,100
1,591,395
Shionogi
&
Co.
Ltd.
73,000
3,256,126
Sompo
Holdings,
Inc.
47,900
2,052,840
Square
Enix
Holdings
Co.
Ltd.
73,100
2,504,799
Subaru
Corp.
18,000
350,001
SUMCO
Corp.
330,200
4,296,885
Sumitomo
Corp.
52,500
1,047,791
Sumitomo
Mitsui
Financial
Group,
Inc.
54,900
2,697,020
Sumitomo
Mitsui
Trust
Holdings,
Inc.
52,900
1,991,529
Suntory
Beverage
&
Food
Ltd.
17,900
544,749
Taisei
Corp.
22,500
791,910
Tokyo
Electron
Ltd.
7,800
1,065,420
Tokyo
Gas
Co.
Ltd.
147,000
3,332,880
TOPPAN
Holdings,
Inc.
104,300
2,494,997
Tosoh
Corp.
231,200
2,964,237
Toyota
Tsusho
Corp.
63,500
3,734,818
Welcia
Holdings
Co.
Ltd.
17,700
305,660
97,342,745
—
Luxembourg
-
0.5%
ArcelorMittal
SA
87,557
2,192,082
Netherlands
-
6.0%
ABN
AMRO
Bank
NV,
CVA
(a)
276,626
3,909,432
Argenx
SE
*
1,626
794,834
ASM
International
NV
5,337
2,228,692
ASML
Holding
NV
5,155
3,035,008
ING
Groep
NV
109,319
1,440,832
Koninklijke
Ahold
Delhaize
NV
186,570
5,623,162
NN
Group
NV
16,388
525,370
OCI
NV
5,123
142,456
Randstad
NV
11,367
627,982
Shell
plc
191,540
6,070,711
37
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Netherlands
-
6.0%
(continued)
Wolters
Kluwer
NV
35,973
4,355,450
28,753,929
—
Singapore
-
1.1%
CapitaLand
Integrated
Commercial
Trust,
REIT
156,096
210,654
Oversea-Chinese
Banking
Corp.
Ltd.
18,800
175,819
Singapore
Airlines
Ltd.
77,400
365,113
STMicroelectronics
NV
90,317
3,894,746
Venture
Corp.
Ltd.
55,000
496,610
5,142,942
—
Spain
-
3.0%
Banco
Bilbao
Vizcaya
Argentaria
SA
500,247
4,048,464
Banco
Santander
SA
501,440
1,909,518
Industria
de
Diseno
Textil
SA
52,218
1,943,139
Repsol
SA
383,670
6,310,994
14,212,115
—
Sweden
-
3.5%
Alfa
Laval
AB
5,091
174,407
Atlas
Copco
AB,
Class
B
42,828
500,876
Evolution
AB
(a)
53,964
5,445,468
Hexagon
AB,
Class
B
16,342
139,083
Investor
AB,
Class
B
44,280
847,719
Saab
AB,
Class
B
18,111
921,770
Securitas
AB,
Class
B
39,331
310,995
SKF
AB,
Class
B
213,945
3,551,818
Swedbank
AB,
Class
A
25,129
461,906
Swedish
Orphan
Biovitrum
AB
*
62,505
1,277,148
Telefonaktiebolaget
LM
Ericsson,
Class
B
67,988
331,221
Volvo
AB,
Class
B
128,723
2,651,390
16,613,801
—
Switzerland
-
5.4%
ABB
Ltd.
(Registered)
130,891
4,671,920
BKW
AG
9,641
1,697,219
Cie
Financiere
Richemont
SA
(Registered)
8,785
1,069,866
Novartis
AG
(Registered)
107,454
10,974,131
Schindler
Holding
AG
7,784
1,550,571
Swatch
Group
AG
(The)
18,741
4,799,985
Temenos
AG
(Registered)
9,207
643,941
UBS
Group
AG
(Registered)
8,620
212,329
25,619,962
—
United
Kingdom
-
9.9%
3i
Group
plc
30,804
775,357
Associated
British
Foods
plc
63,949
1,606,644
AstraZeneca
plc
995
134,210
BAE
Systems
plc
542,942
6,597,747
Barclays
plc
2,994,792
5,772,249
Barratt
Developments
plc
66,145
354,645
BP
plc
868,502
5,598,308
British
American
Tobacco
plc
52,898
1,660,928
BT
Group
plc
2,348,595
3,335,152
Bunzl
plc
3,963
141,137
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
9.9%
(continued)
Burberry
Group
plc
104,038
2,411,073
Centrica
plc
2,485,665
4,675,318
CK
Hutchison
Holdings
Ltd.
188,500
1,000,764
Compass
Group
plc
69,600
1,694,175
Entain
plc
50,256
569,995
Imperial
Brands
plc
24,800
503,103
Kingfisher
plc
52,609
142,813
Lloyds
Banking
Group
plc
937,645
503,885
London
Stock
Exchange
Group
plc
9,002
902,234
NatWest
Group
plc
47,612
136,197
Next
plc
4,263
378,092
Rolls-Royce
Holdings
plc
*
2,177,692
5,834,875
Standard
Chartered
plc
68,720
632,055
Tesco
plc
805,457
2,590,741
47,951,697
—
United
States
-
3.2%
Haleon
plc
130,925
542,696
Holcim
AG
14,221
910,271
Nestle
SA
(Registered)
24,925
2,821,411
Roche
Holding
AG
24,457
6,676,787
Stellantis
NV
218,087
4,176,024
Swiss
Re
AG
2,040
209,509
15,336,698
—
TOTAL
COMMON
STOCKS
(Cost
$384,185,894)
453,204,325
SHORT-TERM
INVESTMENTS
-
4.5%
INVESTMENT
COMPANIES
-
4.5%
Limited
Purpose
Cash
Investment
Fund,
5.36%
(1)(b)
(Cost
$21,490,333)
21,504,460
21,498,009
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.2%
(Cost
$405,676,227)
474,702,334
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.8%
‡
3,883,373
NET
ASSETS
-
100.0%
478,585,707
38
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2023
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
15,381,362
3.2
%
Consumer
Discretionary
51,486,242
10.8
Consumer
Staples
29,803,329
6.2
Energy
38,926,311
8.1
Financials
97,633,958
20.4
Health
Care
43,660,938
9.1
Industrials
89,519,508
18.7
Information
Technology
34,165,447
7.1
Materials
38,975,354
8.2
Real
Estate
3,179,217
0.7
Utilities
10,472,659
2.2
Investment
Companies
21,498,009
4.5
Total
Investments
In
Securities
At
Value
474,702,334
99.2
Other
Assets
in
Excess
of
Liabilities
‡
3,883,373
0.8
Net
Assets
$
478,585,707
100.0%
*
Non-income
producing
security.
‡
Includes
appreciation/(depreciation)
on
futures
contracts.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$13,284,724,
which
represents
2.78%
of
net
assets
of
the
Fund.
(b)
Represents
7-day
effective
yield
as
of
September
30,
2023.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
4).
Futures
contracts
outstanding
as
of
September
30,
2023:
Exchange-Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
185
12/2023
USD
$
18,883,875
$
(650,437)
$
(650,437)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2023
was
as
follows:
COUNTERPARTY
OVER-THE-COUNTER
EXCHANGE-
TRADED
TOTAL
JPMS
Cash
$
–
$
1,173,354
$
1,173,354
39
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
93.1%
Brazil
-
3.7%
Banco
do
Brasil
SA
(1)
651,700
6,116,959
BB
Seguridade
Participacoes
SA
(1)
314,700
1,953,982
Gerdau
SA,
ADR
(1)
1,230,005
5,867,124
PRIO
SA
(1)*
75,000
701,873
Vale
SA,
Class
B,
ADR
(1)
287,494
3,852,420
18,492,358
—
Chile
-
0.6%
Cencosud
SA
(1)
1,443,273
2,736,639
Enel
Chile
SA,
ADR
(1)
94,262
279,016
3,015,655
—
China
-
28.7%
3SBio,
Inc.
*(a)
1,488,500
1,243,160
AAC
Technologies
Holdings,
Inc.
252,500
430,635
Agricultural
Bank
of
China
Ltd.,
Class
A
614,500
303,438
Alibaba
Group
Holding
Ltd.
*
917,504
9,947,749
Anhui
Conch
Cement
Co.
Ltd.,
Class
A
22,200
79,540
Anhui
Conch
Cement
Co.
Ltd.,
Class
A
48,323
173,135
Baidu,
Inc.,
Class
A
*
337,550
5,681,193
Bank
of
Beijing
Co.
Ltd.,
Class
A
197,800
125,606
Bank
of
Beijing
Co.
Ltd.,
Class
A
371,578
235,957
Bank
of
China
Ltd.,
Class
A
609,800
315,478
Bank
of
Communications
Co.
Ltd.,
Class
A
389,700
308,198
Bank
of
Communications
Co.
Ltd.,
Class
H
267,000
161,264
Bank
of
Ningbo
Co.
Ltd.,
Class
A
59,400
219,860
Bank
of
Shanghai
Co.
Ltd.,
Class
A
227,711
192,688
Baoshan
Iron
&
Steel
Co.
Ltd.,
Class
A
742,222
620,773
BOE
Technology
Group
Co.
Ltd.,
Class
A
176,100
93,331
BOE
Technology
Group
Co.
Ltd.,
Class
A
1,508,900
799,696
Bosideng
International
Holdings
Ltd.
344,000
147,672
BYD
Co.
Ltd.,
Class
A
32,300
1,057,275
China
CITIC
Bank
Corp.
Ltd.,
Class
H
4,677,000
2,170,369
China
Communications
Services
Corp.
Ltd.,
Class
H
2,260,000
948,184
China
Construction
Bank
Corp.,
Class
H
17,551,000
9,866,336
China
Everbright
Bank
Co.
Ltd.,
Class
A
538,100
226,723
China
Feihe
Ltd.
(a)
1,644,000
965,995
China
Hongqiao
Group
Ltd.
430,000
418,724
China
Lesso
Group
Holdings
Ltd.
593,000
314,730
China
Literature
Ltd.
*(a)
90,200
328,366
China
Medical
System
Holdings
Ltd.
843,000
1,272,337
China
Merchants
Bank
Co.
Ltd.,
Class
A
16,100
73,308
INVESTMENTS
SHARES
VALUE
($)
China
-
28.7%
(continued)
China
Merchants
Bank
Co.
Ltd.,
Class
A
93,558
425,997
China
Merchants
Securities
Co.
Ltd.,
Class
A
240,200
462,473
China
Merchants
Shekou
Industrial
Zone
Holdings
Co.
Ltd.,
Class
A
82,900
141,348
China
Minsheng
Banking
Corp.
Ltd.,
Class
A
354,355
186,521
China
Minsheng
Banking
Corp.
Ltd.,
Class
H
651,500
222,555
China
National
Building
Material
Co.
Ltd.,
Class
H
2,224,000
1,163,109
China
Overseas
Land
&
Investment
Ltd.
305,500
631,227
China
Pacific
Insurance
Group
Co.
Ltd.,
Class
A
63,000
248,871
China
Pacific
Insurance
Group
Co.
Ltd.,
Class
H
733,800
1,826,780
China
Petroleum
&
Chemical
Corp.,
Class
A
474,800
395,132
China
Resources
Land
Ltd.
592,000
2,350,914
China
Resources
Pharmaceutical
Group
Ltd.
(a)
519,000
343,846
China
State
Construction
Engineering
Corp.
Ltd.,
Class
A
1,145,200
870,866
China
Taiping
Insurance
Holdings
Co.
Ltd.
1,411,600
1,398,003
China
Tourism
Group
Duty
Free
Corp.
Ltd.,
Class
A
35,392
518,634
China
Vanke
Co.
Ltd.,
Class
A
79,800
143,878
China
Yangtze
Power
Co.
Ltd.,
Class
A
99,200
302,976
CITIC
Ltd.
4,638,000
4,245,443
CITIC
Securities
Co.
Ltd.,
Class
A
153,065
457,583
COSCO
SHIPPING
Holdings
Co.
Ltd.,
Class
H
1,192,500
1,218,895
CSPC
Pharmaceutical
Group
Ltd.
1,404,000
1,026,806
Dongfeng
Motor
Group
Co.
Ltd.,
Class
H
1,038,000
408,324
Dongyue
Group
Ltd.
3,404,000
2,549,208
East
Buy
Holding
Ltd.
*(a)
699,000
3,282,294
Far
East
Horizon
Ltd.
1,413,000
1,016,407
Foshan
Haitian
Flavouring
&
Food
Co.
Ltd.,
Class
A
56,967
298,662
GCL
Technology
Holdings
Ltd.
16,938,000
3,140,523
Geely
Automobile
Holdings
Ltd.
1,104,000
1,294,690
Guotai
Junan
Securities
Co.
Ltd.,
Class
A
94,200
188,496
H
World
Group
Ltd.,
ADR
(1)*
15,565
613,728
Haidilao
International
Holding
Ltd.
(a)
1,663,000
4,434,114
Haier
Smart
Home
Co.
Ltd.,
Class
A
225,900
734,926
Haitong
Securities
Co.
Ltd.,
Class
A
186,300
254,977
Hua
Hong
Semiconductor
Ltd.
*(a)
806,000
2,026,634
Huatai
Securities
Co.
Ltd.,
Class
A
136,300
297,112
Huaxia
Bank
Co.
Ltd.,
Class
A
291,300
228,685
Industrial
&
Commercial
Bank
of
China
Ltd.,
Class
A
350,800
225,177
Industrial
Bank
Co.
Ltd.,
Class
A
154,590
346,182
40
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
China
-
28.7%
(continued)
Inner
Mongolia
Yili
Industrial
Group
Co.
Ltd.,
Class
A
158,400
578,375
Jiangsu
Hengrui
Pharmaceuticals
Co.
Ltd.,
Class
A
236,338
1,462,498
Jiangsu
Yanghe
Brewery
Joint-
Stock
Co.
Ltd.,
Class
A
28,800
513,507
Jiangxi
Copper
Co.
Ltd.,
Class
H
124,000
193,421
KE
Holdings,
Inc.,
ADR
(1)
59,358
921,236
Kingboard
Holdings
Ltd.
95,000
212,784
Kuaishou
Technology
*(a)
55,600
442,338
Kunlun
Energy
Co.
Ltd.
2,960,000
2,547,243
Kweichow
Moutai
Co.
Ltd.,
Class
A
6,700
1,663,244
Kweichow
Moutai
Co.
Ltd.,
Class
A
1,100
273,070
Lenovo
Group
Ltd.
2,994,000
3,069,844
Li
Auto,
Inc.,
Class
A
*
42,900
765,578
Longfor
Group
Holdings
Ltd.
(a)
152,500
272,610
Luxshare
Precision
Industry
Co.
Ltd.,
Class
A
276,407
1,134,753
Luzhou
Laojiao
Co.
Ltd.,
Class
A
27,900
835,330
Luzhou
Laojiao
Co.
Ltd.,
Class
A
10,200
305,389
Meituan,
Class
B
*(a)
59,180
856,701
NARI
Technology
Co.
Ltd.,
Class
A
392,649
1,195,800
NetEase,
Inc.
77,900
1,561,993
New
China
Life
Insurance
Co.
Ltd.,
Class
A
38,600
195,780
New
China
Life
Insurance
Co.
Ltd.,
Class
H
901,300
2,161,759
New
Oriental
Education
&
Technology
Group,
Inc.
*
745,200
4,410,049
NIO,
Inc.,
ADR
(1)*
94,422
853,575
PDD
Holdings,
Inc.,
ADR
(1)*
44,199
4,334,596
People's
Insurance
Co.
Group
of
China
Ltd.
(The),
Class
H
547,000
195,680
PetroChina
Co.
Ltd.,
Class
A
448,500
490,605
PICC
Property
&
Casualty
Co.
Ltd.,
Class
H
2,674,000
3,424,029
Ping
An
Bank
Co.
Ltd.,
Class
A
160,985
248,405
Ping
An
Insurance
Group
Co.
of
China
Ltd.,
Class
A
51,900
346,290
Poly
Developments
and
Holdings
Group
Co.
Ltd.,
Class
A
81,400
142,919
SAIC
Motor
Corp.
Ltd.,
Class
A
167,800
341,753
Sany
Heavy
Industry
Co.
Ltd.,
Class
A
238,100
520,529
Sany
Heavy
Industry
Co.
Ltd.,
Class
A
76,600
167,461
Shanghai
Pudong
Development
Bank
Co.
Ltd.,
Class
A
140,963
137,599
Shanghai
Pudong
Development
Bank
Co.
Ltd.,
Class
A
7,800
7,614
Shenwan
Hongyuan
Group
Co.
Ltd.,
Class
A
376,800
224,249
Sinopharm
Group
Co.
Ltd.,
Class
H
1,508,400
4,373,336
Tencent
Holdings
Ltd.
406,800
15,769,180
Tencent
Music
Entertainment
Group,
ADR
(1)*
53,386
340,603
Tongcheng
Travel
Holdings
Ltd.
*(b)
70,000
153,110
Topsports
International
Holdings
Ltd.
(a)
1,109,000
838,451
Wuliangye
Yibin
Co.
Ltd.,
Class
A
30,100
649,228
INVESTMENTS
SHARES
VALUE
($)
China
-
28.7%
(continued)
Wuliangye
Yibin
Co.
Ltd.,
Class
A
11,582
249,812
Xiaomi
Corp.,
Class
B
*(a)
1,327,000
2,078,889
Yihai
International
Holding
Ltd.
542,000
929,922
Yum
China
Holdings,
Inc.
(1)
33,622
1,873,418
Zhongsheng
Group
Holdings
Ltd.
52,500
146,994
ZTO
Express
Cayman,
Inc.,
ADR
(1)
34,228
827,291
143,882,556
—
Hong
Kong
-
0.6%
Orient
Overseas
International
Ltd.
219,500
2,923,599
Hungary
-
0.1%
OTP
Bank
Nyrt.
7,944
286,412
India
-
14.1%
ABB
India
Ltd.
34,510
1,700,013
Aurobindo
Pharma
Ltd.
243,910
2,680,391
Axis
Bank
Ltd.,
GDR
(1)(b)
14,131
886,014
Bajaj
Auto
Ltd.
13,107
797,218
Bharat
Electronics
Ltd.
1,015,704
1,687,536
Bharat
Petroleum
Corp.
Ltd.
33,605
140,182
CG
Power
&
Industrial
Solutions
Ltd.
131,180
697,196
Cipla
Ltd.
48,487
691,521
Coal
India
Ltd.
1,905,763
6,759,033
Dr
Reddy's
Laboratories
Ltd.,
ADR
(1)
42,580
2,847,325
GAIL
India
Ltd.
541,084
809,249
HCL
Technologies
Ltd.
116,635
1,728,698
HDFC
Bank
Ltd.
222,895
4,087,875
Hero
MotoCorp
Ltd.
11,046
405,857
Hindalco
Industries
Ltd.
383,806
2,265,449
Hindustan
Aeronautics
Ltd.
(b)
167,260
3,875,113
Indian
Hotels
Co.
Ltd.,
Class
A
59,169
292,125
Indian
Oil
Corp.
Ltd.
698,698
764,201
InterGlobe
Aviation
Ltd.
*(a)
6,824
195,297
ITC
Ltd.
1,276,122
6,818,355
Jindal
Steel
&
Power
Ltd.
210,747
1,772,304
Larsen
&
Toubro
Ltd.,
GDR
(b)
17,686
640,553
NTPC
Ltd.
2,408,417
7,108,766
Oil
&
Natural
Gas
Corp.
Ltd.
2,929,954
6,745,273
Petronet
LNG
Ltd.
150,418
433,549
Power
Grid
Corp.
of
India
Ltd.
652,206
1,565,489
Reliance
Industries
Ltd.,
GDR
(a)
13,590
757,740
Samvardhana
Motherson
International
Ltd.
717,546
826,573
State
Bank
of
India,
GDR
(b)
4,653
335,275
Tata
Consultancy
Services
Ltd.
38,131
1,614,550
Tata
Steel
Ltd.
2,282,307
3,530,055
United
Spirits
Ltd.
*
28,826
348,812
Varun
Beverages
Ltd.
66,688
757,132
Vedanta
Ltd.
1,446,175
3,854,955
70,419,674
—
Indonesia
-
2.8%
Adaro
Energy
Indonesia
Tbk.
PT
32,669,900
6,009,419
Aneka
Tambang
Tbk.
5,084,700
595,048
Astra
International
Tbk.
PT
578,200
232,240
Bank
Negara
Indonesia
Persero
Tbk.
PT
236,500
157,753
41
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Indonesia
-
2.8%
(continued)
Indofood
Sukses
Makmur
Tbk.
PT
1,590,400
680,820
Sumber
Alfaria
Trijaya
Tbk.
PT
(1)
3,701,600
708,944
Unilever
Indonesia
Tbk.
PT
624,200
151,031
United
Tractors
Tbk.
PT
3,048,400
5,561,791
14,097,046
—
Malaysia
-
0.4%
AMMB
Holdings
Bhd.
186,200
146,600
Genting
Bhd.
669,000
593,529
Public
Bank
Bhd.
226,400
195,605
RHB
Bank
Bhd.
612,800
708,071
Sime
Darby
Plantation
Bhd.
194,400
176,991
1,820,796
—
Mexico
-
2.7%
Alfa
SAB
de
CV,
Class
A
(1)
1,844,200
1,200,013
Arca
Continental
SAB
de
CV
(1)
253,700
2,304,155
Banco
del
Bajio
SA
(1)(a)
498,500
1,567,797
Cemex
SAB
de
CV,
ADR
(1)*
88,200
573,300
Coca-Cola
Femsa
SAB
de
CV,
ADR
(1)
20,280
1,590,764
Controladora
AXTEL
SAB
de
CV
(1)*
692,300
8,739
Fibra
Uno
Administracion
SA
de
CV,
REIT
(1)
170,900
284,874
Fomento
Economico
Mexicano
SAB
de
CV,
ADR
(1)
9,676
1,056,135
Grupo
Aeroportuario
del
Sureste
SAB
de
CV,
ADR
(1)
5,596
1,374,993
Grupo
Bimbo
SAB
de
CV,
Series
A
(1)
155,400
749,201
Grupo
Financiero
Banorte
SAB
de
CV,
Class
O
(1)
127,300
1,067,267
Grupo
Mexico
SAB
de
CV,
Series
B
(1)
213,700
1,011,511
Promotora
y
Operadora
de
Infraestructura
SAB
de
CV
(1)
77,965
696,865
13,485,614
—
Philippines
-
0.3%
BDO
Unibank,
Inc.
276,908
693,065
International
Container
Terminal
Services,
Inc.
132,770
485,043
SM
Prime
Holdings,
Inc.
634,600
339,849
1,517,957
—
Poland
-
1.4%
Bank
Polska
Kasa
Opieki
SA
20,647
474,792
ORLEN
SA
310,869
4,164,956
PGE
Polska
Grupa
Energetyczna
SA
*
1,318,209
2,254,137
Powszechny
Zaklad
Ubezpieczen
SA
35,811
338,253
7,232,138
—
Qatar
-
0.5%
Commercial
Bank
PSQC
(The)
117,149
173,765
Industries
Qatar
QSC
29,520
111,238
Masraf
Al
Rayan
QSC
395,209
242,070
Qatar
Islamic
Bank
SAQ
(1)
115,043
586,593
INVESTMENTS
SHARES
VALUE
($)
Qatar
-
0.5%
(continued)
Qatar
National
Bank
QPSC
351,624
1,487,792
2,601,458
—
Russia
-
0.0%
Gazprom
PJSC
(3)*(c)
863,552
—
LUKOIL
PJSC
(3)*(c)
29,987
—
Magnit
PJSC
(3)*(c)
6,681
—
Magnit
PJSC,
GDR
(3)*(b)(c)
1
—
MMC
Norilsk
Nickel
PJSC
(3)*(c)
6,790
—
MMC
Norilsk
Nickel
PJSC,
ADR
(3)*(c)
2
—
Mobile
TeleSystems
PJSC
(3)*(c)
306,032
—
Novatek
PJSC
(3)*(c)
71,760
—
Novolipetsk
Steel
PJSC
(3)*(c)
326,680
—
PhosAgro
PJSC,
GDR
(3)*(b)(c)
72
—
PhosAgro
PJSC
(3)*(c)
3,717
—
Polyus
PJSC
(3)*(c)
1,291
—
Rosneft
Oil
Co.
PJSC
(3)*(c)
106,000
—
Severstal
PAO,
GDR
(3)*(b)(c)
54,062
—
Surgutneftegas
PJSC
(3)*(c)
1,249,260
—
Tatneft
PJSC
(3)*(c)
134,766
—
—
—
Saudi
Arabia
-
3.0%
Almarai
Co.
JSC
10,472
177,682
Arab
National
Bank
(1)
155,979
998,146
Banque
Saudi
Fransi
37,536
365,519
Bupa
Arabia
for
Cooperative
Insurance
Co.
(1)
3,051
169,208
Elm
Co.
(1)
17,434
3,625,838
Etihad
Etisalat
Co.
(1)
199,823
2,373,613
Jarir
Marketing
Co.
(1)
84,030
324,877
Mobile
Telecommunications
Co.
Saudi
Arabia
(1)
99,548
349,305
Mouwasat
Medical
Services
Co.
5,378
147,427
Nahdi
Medical
Co.
4,815
185,191
Riyad
Bank
235,613
1,744,552
SABIC
Agri-Nutrients
Co.
28,075
996,373
Sahara
International
Petrochemical
Co.
54,957
554,960
Saudi
Arabian
Mining
Co.
*
47,855
515,194
Saudi
Arabian
Oil
Co.
(a)
71,923
670,041
Saudi
Basic
Industries
Corp.
18,068
397,844
Saudi
Electricity
Co.
261,371
1,330,073
Saudi
Research
&
Media
Group
*
1,022
44,822
14,970,665
—
South
Africa
-
3.2%
Absa
Group
Ltd.
140,980
1,299,243
African
Rainbow
Minerals
Ltd.
(1)
225,283
2,023,814
Exxaro
Resources
Ltd.
(1)
342,713
3,120,189
Gold
Fields
Ltd.,
ADR
(1)
68,353
742,314
Harmony
Gold
Mining
Co.
Ltd.,
ADR
(1)
76,853
288,967
Impala
Platinum
Holdings
Ltd.
414,482
2,159,097
Kumba
Iron
Ore
Ltd.
(1)
9,544
229,251
Nedbank
Group
Ltd.
(1)
89,287
954,140
Sanlam
Ltd.
149,472
518,545
Sasol
Ltd.
48,262
662,504
Sibanye
Stillwater
Ltd.
1,444,447
2,217,503
42
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2023
(Continued)
INVESTMENTS
SHARES
VALUE
($)
South
Africa
-
3.2%
(continued)
Standard
Bank
Group
Ltd.
(1)
112,037
1,087,129
Woolworths
Holdings
Ltd.
(1)
218,627
783,229
16,085,925
—
South
Korea
-
12.5%
DB
Insurance
Co.
Ltd.
38,029
2,519,788
Doosan
Bobcat,
Inc.
39,736
1,499,802
GS
Holdings
Corp.
35,642
1,051,611
Hana
Financial
Group,
Inc.
158,426
4,963,248
Hankook
Tire
&
Technology
Co.
Ltd.
15,084
441,223
HMM
Co.
Ltd.
239,002
2,882,892
Hyundai
Engineering
&
Construction
Co.
Ltd.
11,023
295,735
Hyundai
Glovis
Co.
Ltd.
5,422
740,028
Hyundai
Mobis
Co.
Ltd.
9,816
1,747,036
Hyundai
Steel
Co.
45,236
1,272,503
Industrial
Bank
of
Korea
282,346
2,342,851
KB
Financial
Group,
Inc.
33,645
1,372,275
Kia
Corp.
120,025
7,224,337
Korea
Investment
Holdings
Co.
Ltd.
9,250
363,196
Kumho
Petrochemical
Co.
Ltd.
5,995
594,853
LG
Electronics,
Inc.
41,896
3,126,173
LG
Uplus
Corp.
12,221
93,844
Meritz
Financial
Group,
Inc.
9,762
399,510
POSCO
Holdings,
Inc.
10,885
4,288,351
Posco
International
Corp.
80,796
4,244,719
Samsung
Electronics
Co.
Ltd.
288,610
14,590,428
SD
Biosensor,
Inc.
36,661
309,239
Shinhan
Financial
Group
Co.
Ltd.
45,039
1,185,345
Woori
Financial
Group,
Inc.
580,738
5,264,436
62,813,423
—
Taiwan
-
14.5%
Accton
Technology
Corp.
84,000
1,288,743
ASE
Technology
Holding
Co.
Ltd.
1,286,000
4,389,713
Catcher
Technology
Co.
Ltd.
320,000
1,811,010
Compal
Electronics,
Inc.
297,000
283,015
eMemory
Technology,
Inc.
31,000
1,946,297
Evergreen
Marine
Corp.
Taiwan
Ltd.
579,000
2,082,258
Hon
Hai
Precision
Industry
Co.
Ltd.
1,748,000
5,634,217
Inventec
Corp.
327,000
498,537
Lite-On
Technology
Corp.
1,493,000
5,636,685
MediaTek,
Inc.
132,000
3,017,899
Micro-Star
International
Co.
Ltd.
233,000
1,185,345
Nien
Made
Enterprise
Co.
Ltd.
28,000
268,815
Novatek
Microelectronics
Corp.
234,000
3,072,795
Pegatron
Corp.
61,000
144,818
Pou
Chen
Corp.
2,240,000
1,990,340
Quanta
Computer,
Inc.
532,000
3,981,547
Taiwan
Semiconductor
Manufacturing
Co.
Ltd.,
ADR
(1)
307,647
26,734,523
Uni-President
Enterprises
Corp.
398,000
865,037
United
Microelectronics
Corp.
2,507,000
3,520,245
Wistron
Corp.
891,000
2,821,671
Wiwynn
Corp.
18,000
839,352
Zhen
Ding
Technology
Holding
Ltd.
204,000
622,811
72,635,673
—
INVESTMENTS
SHARES
VALUE
($)
Thailand
-
2.3%
Bumrungrad
Hospital
PCL,
NVDR
238,000
1,747,476
Kasikornbank
PCL,
NVDR
109,500
377,952
Krung
Thai
Bank
PCL,
NVDR
5,814,400
3,026,641
PTT
Exploration
&
Production
PCL,
NVDR
1,137,800
5,309,138
SCB
X
PCL,
NVDR
359,000
1,008,486
11,469,693
—
Turkey
-
0.7%
Akbank
TAS
844,564
1,028,769
Haci
Omer
Sabanci
Holding
A/S
70,210
152,721
Turkiye
Is
Bankasi
A/S,
Class
C
230,109
215,503
Yapi
ve
Kredi
Bankasi
A/S
2,977,514
1,998,855
3,395,848
—
United
Arab
Emirates
-
1.0%
Abu
Dhabi
Commercial
Bank
PJSC
101,495
239,020
Aldar
Properties
PJSC
169,128
265,277
Emaar
Properties
PJSC
287,128
628,361
Emirates
NBD
Bank
PJSC
198,616
962,518
Emirates
Telecommunications
Group
Co.
PJSC
285,825
1,590,576
First
Abu
Dhabi
Bank
PJSC
328,386
1,216,018
4,901,770
—
TOTAL
COMMON
STOCKS
(Cost
$420,611,569)
466,048,260
PREFERRED
STOCKS
-
2.0%
Brazil
-
2.0%
Petroleo
Brasileiro
SA
(Preference)
(1)
(Cost
$8,488,391)
1,488,000
10,254,413
NO.
OF
RIGHTS
RIGHTS
-
0.0%
†
South
Korea
-
0.0%
†
CosmoAM&T
Co.
Ltd.,
expiring
11/7/2023
*
(Cost
$–)
282
5,388
SHARES
SHORT-TERM
INVESTMENTS
-
4.9%
INVESTMENT
COMPANIES
-
4.9%
Limited
Purpose
Cash
Investment
Fund,
5.36%
(1)(d)
(Cost
$24,411,923)
24,424,757
24,417,430
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.0%
(Cost
$453,511,883)
500,725,491
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(0.0)%
†‡
(135,661)
NET
ASSETS
-
100.0%
500,589,830
43
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2023
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
28,584,569
5.7
%
Consumer
Discretionary
55,834,964
11.2
Consumer
Staples
26,569,424
5.3
Energy
52,277,535
10.4
Financials
86,206,008
17.2
Health
Care
18,145,361
3.6
Industrials
38,925,943
7.8
Information
Technology
101,981,211
20.4
Materials
45,463,604
9.1
Real
Estate
6,122,494
1.2
Utilities
16,196,948
3.2
Investment
Companies
24,417,430
4.9
Total
Investments
In
Securities
At
Value
500,725,491
100.0
Liabilities
in
Excess
of
Other
Assets
‡
(135,661)
(0.0)†
Net
Assets
$
500,589,830
100.0%
*
Non-income
producing
security.
†
Represents
less
than
0.05%
of
net
assets.
‡
Includes
appreciation/(depreciation)
on
futures
contracts.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$20,304,273,
which
represents
4.06%
of
net
assets
of
the
Fund.
(b)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$5,890,065,
which
represents
1.18%
of
net
assets
of
the
Fund.
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2023
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$0,
which
represents
0.00%
of
net
assets
of
the
Fund.
(d)
Represents
7-day
effective
yield
as
of
September
30,
2023.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
4).
(3)
Level
3
security
(See
Note
4).
Futures
contracts
outstanding
as
of
September
30,
2023:
Exchange-Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
Emerging
Markets
E-Mini
Index
455
12/2023
USD
$
21,737,625
$
(738,700)
$
(738,700)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2023
was
as
follows:
COUNTERPARTY
OVER-THE-COUNTER
EXCHANGE-
TRADED
TOTAL
JPMS
Cash
$
–
$
1,345,610
$
1,345,610
44
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
98.1%
Aerospace
&
Defense
-
2.1%
Axon
Enterprise,
Inc.
*
3,159
628,609
Boeing
Co.
(The)
*
18,554
3,556,431
BWX
Technologies,
Inc.
26,100
1,956,978
Curtiss-Wright
Corp.
6,128
1,198,821
Hexcel
Corp.
4,221
274,956
Howmet
Aerospace,
Inc.
17,600
814,000
Lockheed
Martin
Corp.
5,283
2,160,536
Northrop
Grumman
Corp.
5,286
2,326,844
TransDigm
Group,
Inc.
*
887
747,856
13,665,031
Automobiles
-
0.1%
Tesla,
Inc.
*
3,523
881,525
Banks
-
2.0%
Commerce
Bancshares,
Inc.
6,828
327,607
First
Citizens
BancShares,
Inc.,
Class
A
646
891,545
JPMorgan
Chase
&
Co.
79,168
11,480,943
12,700,095
Beverages
-
1.0%
Celsius
Holdings,
Inc.
*
7,195
1,234,662
Constellation
Brands,
Inc.,
Class
A
4,147
1,042,265
Molson
Coors
Beverage
Co.,
Class
B
17,732
1,127,578
Monster
Beverage
Corp.
*
23,264
1,231,829
PepsiCo,
Inc.
9,530
1,614,763
6,251,097
Biotechnology
-
1.5%
AbbVie,
Inc.
4,217
628,586
Alnylam
Pharmaceuticals,
Inc.
*
1,698
300,716
Apellis
Pharmaceuticals,
Inc.
*
4,630
176,125
Biogen,
Inc.
*
3,325
854,558
Exact
Sciences
Corp.
*
14,112
962,721
Karuna
Therapeutics,
Inc.
*
4,063
687,013
Regeneron
Pharmaceuticals,
Inc.
*
682
561,259
Roivant
Sciences
Ltd.
*
106,750
1,246,840
Sarepta
Therapeutics,
Inc.
*
4,808
582,826
United
Therapeutics
Corp.
*
4,751
1,073,108
Vertex
Pharmaceuticals,
Inc.
*
6,713
2,334,378
9,408,130
Building
Products
-
1.2%
A
O
Smith
Corp.
4,045
267,496
AZEK
Co.,
Inc.
(The),
Class
A
*
11,702
348,017
Builders
FirstSource,
Inc.
*
15,066
1,875,566
Fortune
Brands
Innovations,
Inc.
5,581
346,915
Johnson
Controls
International
plc
15,581
829,065
Lennox
International,
Inc.
2,414
903,898
Trane
Technologies
plc
17,060
3,461,645
8,032,602
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
2.7%
Ameriprise
Financial,
Inc.
7,144
2,355,234
BlackRock,
Inc.
365
235,969
CME
Group,
Inc.
4,233
847,531
FactSet
Research
Systems,
Inc.
1,562
683,000
Goldman
Sachs
Group,
Inc.
(The)
1,046
338,454
Intercontinental
Exchange,
Inc.
4,335
476,937
Jefferies
Financial
Group,
Inc.
24,961
914,321
LPL
Financial
Holdings,
Inc.
11,275
2,679,504
MarketAxess
Holdings,
Inc.
2,251
480,904
Moody's
Corp.
2,295
725,610
Morgan
Stanley
39,144
3,196,891
MSCI,
Inc.,
Class
A
5,391
2,766,014
Nasdaq,
Inc.
11,442
555,967
S&P
Global,
Inc.
3,044
1,112,308
17,368,644
Chemicals
-
1.0%
Air
Products
and
Chemicals,
Inc.
1,700
481,780
Albemarle
Corp.
2,733
464,719
Chemours
Co.
(The)
9,696
271,973
Element
Solutions,
Inc.
38,953
763,868
FMC
Corp.
5,265
352,597
Linde
plc
2,543
946,886
Olin
Corp.
20,966
1,047,881
Sherwin-Williams
Co.
(The)
7,860
2,004,693
Westlake
Corp.
2,018
251,584
6,585,981
Commercial
Services
&
Supplies
-
0.9%
Cintas
Corp.
5,774
2,777,352
Clean
Harbors,
Inc.
*
5,043
843,996
Copart,
Inc.
*
34,720
1,496,085
Rollins,
Inc.
19,873
741,859
5,859,292
Communications
Equipment
-
1.8%
Arista
Networks,
Inc.
*
16,813
3,092,415
Cisco
Systems,
Inc.
107,501
5,779,254
Motorola
Solutions,
Inc.
7,807
2,125,377
Ubiquiti,
Inc.
5,003
726,936
11,723,982
Construction
&
Engineering
-
1.1%
AECOM
10,247
850,911
EMCOR
Group,
Inc.
4,817
1,013,448
MasTec,
Inc.
*
3,706
266,721
Quanta
Services,
Inc.
22,005
4,116,475
WillScot
Mobile
Mini
Holdings
Corp.
*
14,176
589,580
6,837,135
Construction
Materials
-
0.1%
Eagle
Materials,
Inc.
4,466
743,678
45
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Consumer
Finance
-
0.1%
Capital
One
Financial
Corp.
3,365
326,573
OneMain
Holdings,
Inc.
11,245
450,812
777,385
Consumer
Staples
Distribution
&
Retail
-
1.8%
Casey's
General
Stores,
Inc.
5,748
1,560,697
Costco
Wholesale
Corp.
6,245
3,528,175
Target
Corp.
6,260
692,168
Walmart,
Inc.
38,021
6,080,699
11,861,739
Containers
&
Packaging
-
0.2%
Avery
Dennison
Corp.
4,365
797,355
Packaging
Corp.
of
America
3,115
478,308
1,275,663
Distributors
-
0.1%
LKQ
Corp.
10,484
519,063
Diversified
Telecommunication
Services
-
0.0%
†
Iridium
Communications,
Inc.
4,138
188,238
Electric
Utilities
-
0.5%
Constellation
Energy
Corp.
16,274
1,775,168
NextEra
Energy,
Inc.
7,476
428,300
PG&E
Corp.
*
75,881
1,223,960
3,427,428
Electrical
Equipment
-
1.8%
AMETEK,
Inc.
5,400
797,904
Eaton
Corp.
plc
20,081
4,282,876
Emerson
Electric
Co.
5,612
541,951
Hubbell,
Inc.,
Class
B
5,747
1,801,167
nVent
Electric
plc
17,295
916,462
Rockwell
Automation,
Inc.
2,569
734,400
Vertiv
Holdings
Co.,
Class
A
73,990
2,752,428
11,827,188
Electronic
Equipment,
Instruments
&
Components
-
0.9%
Amphenol
Corp.,
Class
A
13,224
1,110,684
Avnet,
Inc.
5,803
279,646
Corning,
Inc.
11,812
359,912
Crane
NXT
Co.
4,102
227,948
Jabil,
Inc.
15,290
1,940,148
Keysight
Technologies,
Inc.
*
1,638
216,724
TD
SYNNEX
Corp.
8,953
894,047
Zebra
Technologies
Corp.,
Class
A
*
3,165
748,617
5,777,726
Energy
Equipment
&
Services
-
0.3%
TechnipFMC
plc
(United
Kingdom)
84,183
1,712,282
Entertainment
-
1.1%
Electronic
Arts,
Inc.
6,096
733,958
Madison
Square
Garden
Sports
Corp.,
Class
A
1,861
328,094
Netflix,
Inc.
*
13,192
4,981,299
ROBLOX
Corp.,
Class
A
*
7,286
211,003
INVESTMENTS
SHARES
VALUE
($)
Entertainment
-
1.1%
(continued)
Spotify
Technology
SA
*
6,868
1,062,068
7,316,422
Financial
Services
-
3.6%
Berkshire
Hathaway,
Inc.,
Class
B
*
32,232
11,290,870
Fiserv,
Inc.
*
6,637
749,716
Mastercard,
Inc.,
Class
A
11,061
4,379,160
Shift4
Payments,
Inc.,
Class
A
*
12,030
666,101
Toast,
Inc.,
Class
A
*
26,636
498,892
UWM
Holdings
Corp.,
Class
A
114,882
557,178
Visa,
Inc.,
Class
A
20,234
4,654,022
WEX,
Inc.
*
1,065
200,316
22,996,255
Food
Products
-
0.4%
Archer-Daniels-Midland
Co.
10,287
775,845
Bunge
Ltd.
2,175
235,444
Hershey
Co.
(The)
1,784
356,943
Lamb
Weston
Holdings,
Inc.
14,487
1,339,468
2,707,700
Ground
Transportation
-
2.0%
CSX
Corp.
31,383
965,027
JB
Hunt
Transport
Services,
Inc.
2,681
505,422
Norfolk
Southern
Corp.
2,500
492,325
Old
Dominion
Freight
Line,
Inc.
11,852
4,849,127
Saia,
Inc.
*
1,781
709,996
Uber
Technologies,
Inc.
*
76,032
3,496,712
Union
Pacific
Corp.
5,640
1,148,473
XPO,
Inc.
*
8,105
605,119
12,772,201
Health
Care
Equipment
&
Supplies
-
1.8%
Abbott
Laboratories
6,204
600,857
Boston
Scientific
Corp.
*
17,375
917,400
Dexcom,
Inc.
*
25,996
2,425,427
Edwards
Lifesciences
Corp.
*
9,810
679,637
Hologic,
Inc.
*
8,007
555,686
IDEXX
Laboratories,
Inc.
*
5,192
2,270,306
Inspire
Medical
Systems,
Inc.
*
1,495
296,668
Insulet
Corp.
*
4,343
692,665
Intuitive
Surgical,
Inc.
*
5,164
1,509,385
Penumbra,
Inc.
*
3,320
803,141
Shockwave
Medical,
Inc.
*
867
172,620
Stryker
Corp.
1,647
450,076
11,373,868
Health
Care
Providers
&
Services
-
2.7%
Cardinal
Health,
Inc.
33,833
2,937,381
Cencora,
Inc.
13,268
2,387,842
Elevance
Health,
Inc.
3,564
1,551,837
HCA
Healthcare,
Inc.
6,500
1,598,870
McKesson
Corp.
5,563
2,419,070
Molina
Healthcare,
Inc.
*
2,619
858,744
UnitedHealth
Group,
Inc.
11,735
5,916,670
17,670,414
46
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Technology
-
0.3%
Veeva
Systems,
Inc.,
Class
A
*
10,531
2,142,532
Hotels,
Restaurants
&
Leisure
-
3.9%
Airbnb,
Inc.,
Class
A
*
2,502
343,299
Aramark
9,846
341,656
Booking
Holdings,
Inc.
*
943
2,908,165
Carnival
Corp.
*
13,015
178,566
Chipotle
Mexican
Grill,
Inc.,
Class
A
*
2,068
3,788,224
Domino's
Pizza,
Inc.
1,642
621,973
DraftKings,
Inc.,
Class
A
*
44,970
1,323,917
Hyatt
Hotels
Corp.,
Class
A
2,419
256,608
Las
Vegas
Sands
Corp.
47,268
2,166,765
McDonald's
Corp.
19,626
5,170,273
MGM
Resorts
International
8,360
307,314
Norwegian
Cruise
Line
Holdings
Ltd.
*
16,696
275,150
Royal
Caribbean
Cruises
Ltd.
*
20,267
1,867,401
Starbucks
Corp.
22,493
2,052,936
Texas
Roadhouse,
Inc.,
Class
A
2,506
240,827
Wendy's
Co.
(The)
9,849
201,018
Wingstop,
Inc.
5,621
1,010,881
Wynn
Resorts
Ltd.
10,256
947,757
Yum!
Brands,
Inc.
9,288
1,160,443
25,163,173
Household
Durables
-
1.1%
DR
Horton,
Inc.
7,655
822,683
Garmin
Ltd.
12,279
1,291,751
Lennar
Corp.,
Class
A
4,926
552,845
PulteGroup,
Inc.
16,964
1,256,184
Tempur
Sealy
International,
Inc.
26,961
1,168,490
Toll
Brothers,
Inc.
19,559
1,446,584
TopBuild
Corp.
*
954
240,026
6,778,563
Industrial
Conglomerates
-
1.0%
General
Electric
Co.
46,821
5,176,062
Honeywell
International,
Inc.
5,345
987,435
6,163,497
Insurance
-
2.5%
American
International
Group,
Inc.
17,195
1,042,017
Arch
Capital
Group
Ltd.
*
31,556
2,515,329
Arthur
J
Gallagher
&
Co.
7,060
1,609,186
Assured
Guaranty
Ltd.
21,907
1,325,812
Axis
Capital
Holdings
Ltd.
7,593
428,017
Everest
Group
Ltd.
5,939
2,207,348
Kinsale
Capital
Group,
Inc.
1,744
722,243
Progressive
Corp.
(The)
14,432
2,010,377
Reinsurance
Group
of
America,
Inc.
1,426
207,041
Unum
Group
57,219
2,814,603
White
Mountains
Insurance
Group
Ltd.
1,012
1,513,638
16,395,611
INVESTMENTS
SHARES
VALUE
($)
Interactive
Media
&
Services
-
3.8%
Alphabet,
Inc.,
Class
A
*
39,020
5,106,157
Meta
Platforms,
Inc.,
Class
A
*
64,629
19,402,272
24,508,429
IT
Services
-
1.1%
Accenture
plc,
Class
A
16,271
4,996,987
Cloudflare,
Inc.,
Class
A
*
3,196
201,476
EPAM
Systems,
Inc.
*
1,145
292,765
Gartner,
Inc.
*
1,255
431,230
Kyndryl
Holdings,
Inc.
*
15,869
239,622
MongoDB,
Inc.,
Class
A
*
1,641
567,556
Snowflake,
Inc.,
Class
A
*
1,830
279,569
7,009,205
Leisure
Products
-
0.0%
†
Brunswick
Corp.
2,583
204,057
Life
Sciences
Tools
&
Services
-
1.2%
Agilent
Technologies,
Inc.
4,263
476,689
Danaher
Corp.
5,035
1,249,184
IQVIA
Holdings,
Inc.
*
2,990
588,282
Revvity,
Inc.
3,225
357,007
Thermo
Fisher
Scientific,
Inc.
9,619
4,868,849
7,540,011
Machinery
-
3.4%
AGCO
Corp.
1,552
183,571
Allison
Transmission
Holdings,
Inc.
42,745
2,524,520
Caterpillar,
Inc.
7,159
1,954,407
Cummins,
Inc.
6,259
1,429,931
Deere
&
Co.
9,793
3,695,682
Esab
Corp.
4,268
299,699
Illinois
Tool
Works,
Inc.
7,323
1,686,560
Ingersoll
Rand,
Inc.
12,974
826,703
Lincoln
Electric
Holdings,
Inc.
9,912
1,801,903
PACCAR,
Inc.
33,987
2,889,575
Parker-Hannifin
Corp.
4,198
1,635,205
Snap-on,
Inc.
1,899
484,359
Timken
Co.
(The)
13,438
987,559
Westinghouse
Air
Brake
Technologies
Corp.
6,146
653,135
Xylem,
Inc.
6,645
604,894
21,657,703
Media
-
0.3%
Trade
Desk,
Inc.
(The),
Class
A
*
22,419
1,752,045
Metals
&
Mining
-
1.0%
Freeport-McMoRan,
Inc.
36,034
1,343,708
Nucor
Corp.
15,627
2,443,281
Reliance
Steel
&
Aluminum
Co.
4,895
1,283,616
Steel
Dynamics,
Inc.
12,307
1,319,557
6,390,162
Oil,
Gas
&
Consumable
Fuels
-
2.8%
Cheniere
Energy,
Inc.
4,455
739,352
Devon
Energy
Corp.
4,092
195,189
Diamondback
Energy,
Inc.
3,302
511,414
47
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
2.8%
(continued)
Exxon
Mobil
Corp.
93,035
10,939,055
Marathon
Oil
Corp.
42,078
1,125,587
Marathon
Petroleum
Corp.
10,789
1,632,807
Occidental
Petroleum
Corp.
5,855
379,872
Targa
Resources
Corp.
32,374
2,775,099
18,298,375
Passenger
Airlines
-
0.3%
Delta
Air
Lines,
Inc.
24,324
899,988
United
Airlines
Holdings,
Inc.
*
27,653
1,169,722
2,069,710
Personal
Care
Products
-
0.3%
Coty,
Inc.,
Class
A
*
109,513
1,201,358
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
4,242
613,181
1,814,539
Pharmaceuticals
-
3.6%
Eli
Lilly
&
Co.
31,931
17,151,098
Merck
&
Co.,
Inc.
45,781
4,713,154
Zoetis,
Inc.,
Class
A
6,713
1,167,928
23,032,180
Professional
Services
-
1.1%
Automatic
Data
Processing,
Inc.
3,597
865,366
Booz
Allen
Hamilton
Holding
Corp.,
Class
A
18,188
1,987,403
CACI
International,
Inc.,
Class
A
*
2,930
919,815
Ceridian
HCM
Holding,
Inc.
*
3,060
207,621
Paycom
Software,
Inc.
4,696
1,217,532
Paylocity
Holding
Corp.
*
2,792
507,306
Science
Applications
International
Corp.
2,438
257,307
Verisk
Analytics,
Inc.,
Class
A
4,134
976,616
6,938,966
Real
Estate
Management
&
Development
-
0.4%
CoStar
Group,
Inc.
*
29,300
2,252,877
Zillow
Group,
Inc.,
Class
C
*
12,548
579,216
2,832,093
Semiconductors
&
Semiconductor
Equipment
-
10.4%
Advanced
Micro
Devices,
Inc.
*
23,683
2,435,086
Allegro
MicroSystems,
Inc.
(Japan)
*
32,934
1,051,912
Analog
Devices,
Inc.
3,373
590,579
Applied
Materials,
Inc.
3,864
534,971
Broadcom,
Inc.
11,649
9,675,426
Enphase
Energy,
Inc.
*
2,626
315,514
First
Solar,
Inc.
*
7,577
1,224,367
GLOBALFOUNDRIES,
Inc.
*
8,264
480,882
KLA
Corp.
9,827
4,507,252
Lam
Research
Corp.
3,747
2,348,507
Lattice
Semiconductor
Corp.
*
33,023
2,837,666
Marvell
Technology,
Inc.
8,850
479,051
Microchip
Technology,
Inc.
35,573
2,776,473
INVESTMENTS
SHARES
VALUE
($)
Semiconductors
&
Semiconductor
Equipment
-
10.4%
(continued)
Monolithic
Power
Systems,
Inc.
3,021
1,395,702
NVIDIA
Corp.
67,713
29,454,478
ON
Semiconductor
Corp.
*
38,112
3,542,510
Skyworks
Solutions,
Inc.
3,632
358,079
Teradyne,
Inc.
9,768
981,293
Texas
Instruments,
Inc.
12,751
2,027,537
67,017,285
Software
-
14.3%
Adobe,
Inc.
*
6,121
3,121,098
Autodesk,
Inc.
*
3,076
636,455
Bentley
Systems,
Inc.,
Class
B
7,313
366,820
Cadence
Design
Systems,
Inc.
*
15,781
3,697,488
Confluent,
Inc.,
Class
A
*
9,712
287,572
DoubleVerify
Holdings,
Inc.
*
22,951
641,481
Dynatrace,
Inc.
*
12,005
560,994
Fair
Isaac
Corp.
*
2,362
2,051,468
Fortinet,
Inc.
*
14,380
843,818
HubSpot,
Inc.
*
2,876
1,416,430
Intuit,
Inc.
2,897
1,480,193
Manhattan
Associates,
Inc.
*
7,537
1,489,763
Microsoft
Corp.
149,398
47,172,419
New
Relic,
Inc.
*
8,681
743,267
Nutanix,
Inc.,
Class
A
*
35,692
1,244,937
Oracle
Corp.
79,486
8,419,157
Palantir
Technologies,
Inc.,
Class
A
*
63,626
1,018,016
Palo
Alto
Networks,
Inc.
*
8,911
2,089,095
Procore
Technologies,
Inc.
*
7,604
496,693
Salesforce,
Inc.
*
24,942
5,057,739
ServiceNow,
Inc.
*
4,353
2,433,153
Smartsheet,
Inc.,
Class
A
*
14,973
605,808
Synopsys,
Inc.
*
9,326
4,280,354
Teradata
Corp.
*
7,734
348,185
Workday,
Inc.,
Class
A
*
7,560
1,624,266
92,126,669
Specialized
REITs
-
0.2%
American
Tower
Corp.,
REIT
4,094
673,258
Digital
Realty
Trust,
Inc.,
REIT
3,200
387,264
Iron
Mountain,
Inc.,
REIT
5,659
336,428
1,396,950
Specialty
Retail
-
3.0%
AutoNation,
Inc.
*
15,844
2,398,782
AutoZone,
Inc.
*
568
1,442,714
Best
Buy
Co.,
Inc.
3,192
221,748
Dick's
Sporting
Goods,
Inc.
13,709
1,488,523
Five
Below,
Inc.
*
3,268
525,821
Floor
&
Decor
Holdings,
Inc.,
Class
A
*
3,978
360,009
Home
Depot,
Inc.
(The)
6,141
1,855,565
Lowe's
Cos.,
Inc.
8,816
1,832,317
O'Reilly
Automotive,
Inc.
*
1,446
1,314,212
Penske
Automotive
Group,
Inc.
6,522
1,089,565
Ross
Stores,
Inc.
7,714
871,296
48
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Specialty
Retail
-
3.0%
(continued)
TJX
Cos.,
Inc.
(The)
40,479
3,597,774
Tractor
Supply
Co.
7,711
1,565,719
Ulta
Beauty,
Inc.
*
1,053
420,621
Williams-Sonoma,
Inc.
2,811
436,829
19,421,495
Technology
Hardware,
Storage
&
Peripherals
-
6.8%
Apple,
Inc.
233,293
39,942,095
Hewlett
Packard
Enterprise
Co.
123,213
2,140,210
HP,
Inc.
17,380
446,666
Pure
Storage,
Inc.,
Class
A
*
31,673
1,128,192
43,657,163
Textiles,
Apparel
&
Luxury
Goods
-
0.7%
Crocs,
Inc.
*
10,420
919,357
Deckers
Outdoor
Corp.
*
2,748
1,412,719
Lululemon
Athletica,
Inc.
*
4,362
1,682,031
NIKE,
Inc.,
Class
B
4,315
412,600
PVH
Corp.
4,285
327,845
4,754,552
Trading
Companies
&
Distributors
-
1.4%
Fastenal
Co.
25,858
1,412,881
Ferguson
plc
1,306
214,798
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
3,123
306,522
United
Rentals,
Inc.
6,146
2,732,327
Watsco,
Inc.
3,619
1,366,969
WESCO
International,
Inc.
6,875
988,763
WW
Grainger,
Inc.
2,779
1,922,623
8,944,883
Wireless
Telecommunication
Services
-
0.4%
T-Mobile
US,
Inc.
*
17,442
2,442,752
TOTAL
COMMON
STOCKS
(Cost
$422,435,654)
632,713,364
SHORT-TERM
INVESTMENTS
-
1.9%
INVESTMENT
COMPANIES
-
1.9%
Limited
Purpose
Cash
Investment
Fund,
5.36%
(a)
(Cost
$12,080,902)
12,089,274
12,085,647
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.0%
(Cost
$434,516,556)
644,799,011
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(0.0)%
†‡
(4,968)
NET
ASSETS
-
100.0%
644,794,043
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
36,207,886
5.6
%
Consumer
Discretionary
57,722,427
9.1
Consumer
Staples
22,635,075
3.5
Energy
20,010,657
3.1
Financials
70,237,990
10.9
Health
Care
71,167,135
11.0
Industrials
104,768,209
16.2
Information
Technology
227,312,030
35.3
Materials
14,995,484
2.3
Real
Estate
4,229,043
0.6
Utilities
3,427,428
0.5
Investment
Companies
12,085,647
1.9
Total
Investments
In
Securities
At
Value
644,799,011
100.0
Liabilities
in
Excess
of
Other
Assets
‡
(4,968)
(0.0)†
Net
Assets
$
644,794,043
100.0%
49
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
†
Represents
less
than
0.05%
of
net
assets.
‡
Includes
appreciation/(depreciation)
on
futures
contracts.
(a)
Represents
7-day
effective
yield
as
of
September
30,
2023.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
4).
Futures
contracts
outstanding
as
of
September
30,
2023:
Exchange-Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
58
12/2023
USD
$
12,543,950
$
(522,106)
$
(522,106)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2023
was
as
follows:
COUNTERPARTY
OVER-THE-COUNTER
EXCHANGE-
TRADED
TOTAL
BARC
Cash
$
–
$
1,202,783
$
1,202,783
50
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
98.0%
Aerospace
&
Defense
-
0.9%
AeroVironment,
Inc.
*
2,608
290,870
AerSale
Corp.
*
4,452
66,513
Archer
Aviation,
Inc.,
Class
A
*
10,579
53,530
Astronics
Corp.
*
6,528
103,534
Moog,
Inc.,
Class
A
700
79,072
Parsons
Corp.
*
11,101
603,339
Rocket
Lab
USA,
Inc.
*
39,431
172,708
V2X,
Inc.
*
1,074
55,483
1,425,049
Air
Freight
&
Logistics
-
0.1%
Hub
Group,
Inc.,
Class
A
*
1,409
110,663
Automobile
Components
-
1.6%
Adient
plc
*
7,006
257,120
American
Axle
&
Manufacturing
Holdings,
Inc.
*
8,121
58,958
Cooper-Standard
Holdings,
Inc.
*
8,956
120,189
Dorman
Products,
Inc.
*
617
46,744
Fox
Factory
Holding
Corp.
*
2,191
217,084
Gentherm,
Inc.
*
6,272
340,319
LCI
Industries
631
74,092
Modine
Manufacturing
Co.
*
12,569
575,032
Patrick
Industries,
Inc.
1,211
90,898
Visteon
Corp.
*
3,327
459,359
XPEL,
Inc.
*(a)
3,264
251,687
2,491,482
Banks
-
1.5%
Amerant
Bancorp,
Inc.,
Class
A
2,463
42,955
Bancorp,
Inc.
(The)
*
9,159
315,986
Byline
Bancorp,
Inc.
2,321
45,747
Capital
City
Bank
Group,
Inc.
1,610
48,026
City
Holding
Co.
1,034
93,422
Coastal
Financial
Corp.
*
4,969
213,220
Equity
Bancshares,
Inc.,
Class
A
289
6,956
Esquire
Financial
Holdings,
Inc.
5,363
245,035
Farmers
&
Merchants
Bancorp,
Inc.
473
8,292
First
BanCorp
15,026
202,250
First
Business
Financial
Services,
Inc.
2,889
86,699
Greene
County
Bancorp,
Inc.
5,254
126,359
HomeTrust
Bancshares,
Inc.
2,126
46,070
International
Bancshares
Corp.
2,345
101,632
Lakeland
Financial
Corp.
3,632
172,375
Northeast
Bank
3,021
133,226
OFG
Bancorp
1,958
58,466
ServisFirst
Bancshares,
Inc.
3,023
157,710
Southern
Missouri
Bancorp,
Inc.
164
6,345
Stock
Yards
Bancorp,
Inc.
1,090
42,826
Triumph
Financial,
Inc.
*
2,989
193,657
2,347,254
INVESTMENTS
SHARES
VALUE
($)
Beverages
-
0.9%
Coca-Cola
Consolidated,
Inc.
1,075
684,044
MGP
Ingredients,
Inc.
2,523
266,126
National
Beverage
Corp.
*
4,567
214,740
Vita
Coco
Co.,
Inc.
(The)
*
12,787
332,974
1,497,884
Biotechnology
-
8.7%
4D
Molecular
Therapeutics,
Inc.
*
8,820
112,279
89bio,
Inc.
*
17,299
267,097
ACADIA
Pharmaceuticals,
Inc.
*
13,129
273,608
ADMA
Biologics,
Inc.
*
75,240
269,359
Agios
Pharmaceuticals,
Inc.
*
1,839
45,515
Akero
Therapeutics,
Inc.
*
8,095
409,445
Aldeyra
Therapeutics,
Inc.
*
20,910
139,679
Alkermes
plc
*
7,393
207,078
Allakos,
Inc.
*
18,121
41,135
Amicus
Therapeutics,
Inc.
*
24,605
299,197
AnaptysBio,
Inc.
*
2,388
42,888
Anavex
Life
Sciences
Corp.
*
8,290
54,299
Arcellx,
Inc.
*
9,563
343,120
Arcturus
Therapeutics
Holdings,
Inc.
*
3,836
98,010
Arcus
Biosciences,
Inc.
*
2,241
40,226
Ardelyx,
Inc.
*
52,042
212,331
Arrowhead
Pharmaceuticals,
Inc.
*
2,624
70,507
Astria
Therapeutics,
Inc.
*
12,786
95,384
Avid
Bioservices,
Inc.
*
8,152
76,955
Avita
Medical,
Inc.
*
10,216
149,256
BioCryst
Pharmaceuticals,
Inc.
*
9,695
68,641
Biomea
Fusion,
Inc.
*
10,621
146,145
BioVie,
Inc.
*
14,776
50,386
Bluebird
Bio,
Inc.
*
13,429
40,824
Bridgebio
Pharma,
Inc.
*
21,525
567,614
Cabaletta
Bio,
Inc.
*
14,516
220,934
Catalyst
Pharmaceuticals,
Inc.
*
18,108
211,682
Celldex
Therapeutics,
Inc.
*
5,908
162,588
Cerevel
Therapeutics
Holdings,
Inc.
*
3,007
65,643
Cogent
Biosciences,
Inc.
*
6,997
68,221
Cue
Biopharma,
Inc.
*
23,866
54,892
Cytokinetics,
Inc.
*
5,128
151,071
Day
One
Biopharmaceuticals,
Inc.
*
3,316
40,687
Deciphera
Pharmaceuticals,
Inc.
*
5,427
69,031
Dynavax
Technologies
Corp.
*
4,264
62,979
Dyne
Therapeutics,
Inc.
*
11,612
104,044
Entrada
Therapeutics,
Inc.
*
4,472
70,658
Geron
Corp.
*
75,655
160,389
Halozyme
Therapeutics,
Inc.
*
5,321
203,262
Ideaya
Biosciences,
Inc.
*
10,259
276,788
ImmunoGen,
Inc.
*
33,527
532,073
Immunovant,
Inc.
*
24,925
956,871
Inhibrx,
Inc.
*
6,589
120,908
Inozyme
Pharma,
Inc.
*
19,647
82,517
Insmed,
Inc.
*
3,513
88,703
Intellia
Therapeutics,
Inc.
*
1,577
49,865
51
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Biotechnology
-
8.7%
(continued)
Keros
Therapeutics,
Inc.
*
1,624
51,773
Kiniksa
Pharmaceuticals
Ltd.,
Class
A
*
9,694
168,385
Krystal
Biotech,
Inc.
*
4,005
464,580
Kymera
Therapeutics,
Inc.
*
2,523
35,070
Lexicon
Pharmaceuticals,
Inc.
*
29,461
32,112
MacroGenics,
Inc.
*
27,519
128,239
Madrigal
Pharmaceuticals,
Inc.
*
2,125
310,335
MannKind
Corp.
*
39,025
161,173
MiMedx
Group,
Inc.
*
21,408
156,064
Mirum
Pharmaceuticals,
Inc.
*
8,122
256,655
Morphic
Holding,
Inc.
*
7,211
165,204
Nuvalent,
Inc.,
Class
A
*
9,153
420,763
Olema
Pharmaceuticals,
Inc.
*
10,028
123,846
ORIC
Pharmaceuticals,
Inc.
*
11,169
67,572
PDL
BioPharma,
Inc.
(3)*(b)
34,242
2,791
PDS
Biotechnology
Corp.
*
22,392
113,080
Point
Biopharma
Global,
Inc.
*
7,099
47,350
ProKidney
Corp.
*
5,985
27,411
Protagonist
Therapeutics,
Inc.
*
10,194
170,036
Prothena
Corp.
plc
(Ireland)
*
7,293
351,887
PTC
Therapeutics,
Inc.
*
2,436
54,591
RAPT
Therapeutics,
Inc.
*
4,044
67,211
Recursion
Pharmaceuticals,
Inc.,
Class
A
*
5,689
43,521
Reneo
Pharmaceuticals,
Inc.
*
9,034
68,794
Replimune
Group,
Inc.
*
2,416
41,338
REVOLUTION
Medicines,
Inc.
*
7,395
204,694
Rhythm
Pharmaceuticals,
Inc.
*
10,245
234,867
Rocket
Pharmaceuticals,
Inc.
*
9,050
185,434
Sage
Therapeutics,
Inc.
*
2,299
47,313
Scholar
Rock
Holding
Corp.
*
10,362
73,570
Seres
Therapeutics,
Inc.
*
15,031
35,774
Syndax
Pharmaceuticals,
Inc.
*
6,253
90,794
Tenaya
Therapeutics,
Inc.
*
14,551
37,105
TG
Therapeutics,
Inc.
*
17,128
143,190
UroGen
Pharma
Ltd.
*
4,596
64,390
Vaxcyte,
Inc.
*
11,697
596,313
Veracyte,
Inc.
*
4,860
108,524
Vericel
Corp.
*
1,502
50,347
Viking
Therapeutics,
Inc.
*
19,449
215,300
Viridian
Therapeutics,
Inc.
*
7,390
113,363
Voyager
Therapeutics,
Inc.
*
5,817
45,082
X4
Pharmaceuticals,
Inc.
*
61,275
66,790
13,717,415
Broadline
Retail
-
0.4%
Dillard's,
Inc.,
Class
A
2,085
689,739
Building
Products
-
2.5%
AAON,
Inc.
13,309
756,883
American
Woodmark
Corp.
*
1,146
86,649
CSW
Industrials,
Inc.
2,599
455,449
Gibraltar
Industries,
Inc.
*
4,314
291,238
Griffon
Corp.
13,068
518,408
Janus
International
Group,
Inc.
*
7,069
75,638
INVESTMENTS
SHARES
VALUE
($)
Building
Products
-
2.5%
(continued)
JELD-WEN
Holding,
Inc.
*
3,526
47,107
Masonite
International
Corp.
*
549
51,178
PGT
Innovations,
Inc.
*
3,898
108,169
Simpson
Manufacturing
Co.,
Inc.
4,998
748,750
UFP
Industries,
Inc.
7,524
770,458
3,909,927
Capital
Markets
-
1.4%
Artisan
Partners
Asset
Management,
Inc.,
Class
A
1,872
70,050
AssetMark
Financial
Holdings,
Inc.
*
2,296
57,584
B
Riley
Financial,
Inc.
5,060
207,409
BGC
Group,
Inc.,
Class
A
27,013
142,629
Brightsphere
Investment
Group,
Inc.
8,653
167,782
Diamond
Hill
Investment
Group,
Inc.
409
68,945
Donnelley
Financial
Solutions,
Inc.
*
10,709
602,702
Hamilton
Lane,
Inc.,
Class
A
1,672
151,216
Piper
Sandler
Cos.
573
83,263
PJT
Partners,
Inc.,
Class
A
4,258
338,255
StoneX
Group,
Inc.
*
2,364
229,119
Virtus
Investment
Partners,
Inc.
748
151,088
2,270,042
Chemicals
-
1.1%
AdvanSix,
Inc.
5,786
179,829
Cabot
Corp.
682
47,242
Core
Molding
Technologies,
Inc.
*
2,986
85,071
Hawkins,
Inc.
8,373
492,751
HB
Fuller
Co.
3,784
259,620
Innospec,
Inc.
2,729
278,904
LSB
Industries,
Inc.
*
5,326
54,485
Orion
SA
(Germany)
2,575
54,796
PureCycle
Technologies,
Inc.
*
8,147
45,705
Quaker
Chemical
Corp.
1,140
182,400
Rayonier
Advanced
Materials,
Inc.
*
20,110
71,189
1,751,992
Commercial
Services
&
Supplies
-
1.0%
ACV
Auctions,
Inc.,
Class
A
*
23,147
351,371
Casella
Waste
Systems,
Inc.,
Class
A
*
5,063
386,307
CECO
Environmental
Corp.
*
7,836
125,141
Cimpress
plc
(Ireland)
*
3,510
245,735
CoreCivic,
Inc.
*
6,129
68,951
Ennis,
Inc.
3,848
81,655
Enviri
Corp.
*
10,232
73,875
GEO
Group,
Inc.
(The)
*
12,167
99,526
Quad/Graphics,
Inc.
*
12,590
63,328
VSE
Corp.
1,211
61,083
1,556,972
52
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Communications
Equipment
-
1.2%
Aviat
Networks,
Inc.
*
3,954
123,365
Calix,
Inc.
*
12,643
579,555
Digi
International,
Inc.
*
7,485
202,095
Extreme
Networks,
Inc.
*
35,272
853,935
Harmonic,
Inc.
*
13,508
130,082
1,889,032
Construction
&
Engineering
-
2.8%
Ameresco,
Inc.,
Class
A
*
6,895
265,871
API
Group
Corp.
*
9,855
255,540
Arcosa,
Inc.
4,266
306,725
Bowman
Consulting
Group
Ltd.
*
2,635
73,859
Comfort
Systems
USA,
Inc.
5,664
965,202
Construction
Partners,
Inc.,
Class
A
*
7,244
264,841
Dycom
Industries,
Inc.
*
1,693
150,677
Fluor
Corp.
*
22,723
833,934
IES
Holdings,
Inc.
*
1,437
94,655
Limbach
Holdings,
Inc.
*
9,483
300,896
MYR
Group,
Inc.
*
3,261
439,452
Primoris
Services
Corp.
1,439
47,099
Sterling
Infrastructure,
Inc.
*
5,639
414,354
4,413,105
Construction
Materials
-
0.2%
Summit
Materials,
Inc.,
Class
A
*
5,792
180,363
United
States
Lime
&
Minerals,
Inc.
312
62,712
243,075
Consumer
Finance
-
0.8%
Enova
International,
Inc.
*
1,569
79,815
FirstCash
Holdings,
Inc.
3,046
305,757
Nelnet,
Inc.,
Class
A
4,502
402,119
NerdWallet,
Inc.,
Class
A
*
5,973
53,100
PROG
Holdings,
Inc.
*
5,946
197,467
Upstart
Holdings,
Inc.
*
6,504
185,624
1,223,882
Consumer
Staples
Distribution
&
Retail
-
0.5%
Andersons,
Inc.
(The)
2,418
124,551
Ingles
Markets,
Inc.,
Class
A
650
48,965
Natural
Grocers
by
Vitamin
Cottage,
Inc.
52
671
Sprouts
Farmers
Market,
Inc.
*
13,587
581,524
United
Natural
Foods,
Inc.
*
4,043
57,168
812,879
Containers
&
Packaging
-
0.3%
Greif,
Inc.,
Class
A
2,141
143,040
O-I
Glass,
Inc.
*
19,223
321,601
464,641
Diversified
Consumer
Services
-
1.5%
Adtalem
Global
Education,
Inc.
*
2,947
126,279
Carriage
Services,
Inc.,
Class
A
4,476
126,447
Duolingo,
Inc.,
Class
A
*
5,107
847,098
Frontdoor,
Inc.
*
1,492
45,640
INVESTMENTS
SHARES
VALUE
($)
Diversified
Consumer
Services
-
1.5%
(continued)
Graham
Holdings
Co.,
Class
B
85
49,555
Laureate
Education,
Inc.,
Class
A
31,435
443,234
Nerdy,
Inc.
*
37,342
138,165
OneSpaWorld
Holdings
Ltd.
(Bahamas)
*
4,450
49,929
Rover
Group,
Inc.
*
7,388
46,249
Strategic
Education,
Inc.
1,623
122,131
Stride,
Inc.
*
2,402
108,162
Universal
Technical
Institute,
Inc.
*
10,821
90,680
WW
International,
Inc.
*
8,121
89,899
2,283,468
Diversified
REITs
-
0.1%
Alexander
&
Baldwin,
Inc.,
REIT
2,809
46,994
Armada
Hoffler
Properties,
Inc.,
REIT
8,436
86,385
CTO
Realty
Growth,
Inc.,
REIT
6,194
100,405
233,784
Diversified
Telecommunication
Services
-
0.1%
Globalstar,
Inc.
*
48,967
64,147
IDT
Corp.,
Class
B
*
4,805
105,950
Ooma,
Inc.
*
4,778
62,162
232,259
Electric
Utilities
-
0.3%
MGE
Energy,
Inc.
1,430
97,969
Otter
Tail
Corp.
5,512
418,471
516,440
Electrical
Equipment
-
2.3%
Allient,
Inc.
1,453
44,927
Array
Technologies,
Inc.
*
17,609
390,744
Atkore,
Inc.
*
6,623
988,085
Babcock
&
Wilcox
Enterprises,
Inc.
*
12,952
54,528
Bloom
Energy
Corp.,
Class
A
*
4,468
59,246
Encore
Wire
Corp.
2,255
411,447
EnerSys
1,543
146,076
Enovix
Corp.
*
7,966
99,973
Eos
Energy
Enterprises,
Inc.
*
30,646
65,889
Fluence
Energy,
Inc.,
Class
A
*
24,611
565,807
LSI
Industries,
Inc.
5,626
89,341
Powell
Industries,
Inc.
2,505
207,665
Preformed
Line
Products
Co.
1,011
164,368
Shoals
Technologies
Group,
Inc.,
Class
A
*
12,237
223,325
Vicor
Corp.
*
937
55,180
3,566,601
Electronic
Equipment,
Instruments
&
Components
-
3.7%
Advanced
Energy
Industries,
Inc.
2,630
271,206
Arlo
Technologies,
Inc.
*
15,963
164,419
Badger
Meter,
Inc.
6,447
927,530
Bel
Fuse,
Inc.,
Class
B
3,458
165,016
Belden,
Inc.
7,770
750,193
Daktronics,
Inc.
*
12,414
110,733
53
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Electronic
Equipment,
Instruments
&
Components
-
3.7%
(continued)
ePlus,
Inc.
*
2,840
180,397
Evolv
Technologies
Holdings,
Inc.
*
35,433
172,204
Fabrinet
(Thailand)
*
3,497
582,670
Insight
Enterprises,
Inc.
*
5,291
769,840
Itron,
Inc.
*
2,891
175,137
Methode
Electronics,
Inc.
2,049
46,820
MicroVision,
Inc.
*
19,742
43,235
Mirion
Technologies,
Inc.
*
6,577
49,130
Napco
Security
Technologies,
Inc.
5,831
129,740
nLight,
Inc.
*
4,329
45,022
Novanta,
Inc.
*
2,619
375,669
OSI
Systems,
Inc.
*
1,508
178,004
PC
Connection,
Inc.
2,647
141,297
Plexus
Corp.
*
546
50,767
Sanmina
Corp.
*
7,794
423,058
ScanSource,
Inc.
*
2,464
74,684
5,826,771
Energy
Equipment
&
Services
-
4.2%
Archrock,
Inc.
18,523
233,390
Borr
Drilling
Ltd.
(Mexico)
*
29,294
207,987
ChampionX
Corp.
15,050
536,081
Core
Laboratories,
Inc.
1,827
43,866
Diamond
Offshore
Drilling,
Inc.
*
31,886
468,087
Expro
Group
Holdings
NV
*
7,297
169,509
Helix
Energy
Solutions
Group,
Inc.
*
30,973
345,968
KLX
Energy
Services
Holdings,
Inc.
*
9,152
108,451
Nabors
Industries
Ltd.
*
884
108,856
Noble
Corp.
plc
14,950
757,218
Oceaneering
International,
Inc.
*
11,664
299,998
Oil
States
International,
Inc.
*
5,639
47,198
Patterson-UTI
Energy,
Inc.
9,247
127,978
RPC,
Inc.
19,789
176,914
Select
Water
Solutions,
Inc.,
Class
A
6,630
52,709
TETRA
Technologies,
Inc.
*
26,845
171,271
Tidewater,
Inc.
*
11,571
822,351
US
Silica
Holdings,
Inc.
*
6,829
95,879
Valaris
Ltd.
*
7,875
590,468
Weatherford
International
plc
*
13,308
1,202,112
6,566,291
Entertainment
-
0.2%
Atlanta
Braves
Holdings,
Inc.,
Class
C
*
6,684
238,819
Lions
Gate
Entertainment
Corp.,
Class
B
*
6,358
50,038
Sphere
Entertainment
Co.
*
1,380
51,281
340,138
Financial
Services
-
2.5%
A-Mark
Precious
Metals,
Inc.
6,483
190,146
AvidXchange
Holdings,
Inc.
*
6,214
58,909
Cantaloupe,
Inc.
*
7,262
45,388
INVESTMENTS
SHARES
VALUE
($)
Financial
Services
-
2.5%
(continued)
Enact
Holdings,
Inc.
5,553
151,208
EVERTEC,
Inc.
3,192
118,679
Federal
Agricultural
Mortgage
Corp.,
Class
C
481
74,218
Flywire
Corp.
*
9,744
310,736
International
Money
Express,
Inc.
*
4,945
83,719
Merchants
Bancorp
7,081
196,285
Mr
Cooper
Group,
Inc.
*
14,627
783,422
Payoneer
Global,
Inc.
*
18,511
113,287
PennyMac
Financial
Services,
Inc.
9,017
600,532
Remitly
Global,
Inc.
*
20,018
504,854
StoneCo
Ltd.,
Class
A
(Brazil)
*
33,320
355,525
Walker
&
Dunlop,
Inc.
2,868
212,920
Waterstone
Financial,
Inc.
6,106
66,861
3,866,689
Food
Products
-
1.1%
Alico,
Inc.
2,522
62,949
Hostess
Brands,
Inc.,
Class
A
*
16,141
537,657
J
&
J
Snack
Foods
Corp.
1,916
313,553
John
B
Sanfilippo
&
Son,
Inc.
2,688
265,574
Lancaster
Colony
Corp.
2,135
352,339
TreeHouse
Foods,
Inc.
*
3,313
144,381
1,676,453
Ground
Transportation
-
0.5%
ArcBest
Corp.
1,589
161,522
Covenant
Logistics
Group,
Inc.,
Class
A
5,720
250,822
Daseke,
Inc.
*
11,915
61,124
Marten
Transport
Ltd.
12,088
238,254
PAM
Transportation
Services,
Inc.
*
1,984
42,755
754,477
Health
Care
Equipment
&
Supplies
-
2.5%
Accuray,
Inc.
*
22,736
61,842
Alphatec
Holdings,
Inc.
*
19,838
257,299
AtriCure,
Inc.
*
3,525
154,395
Axonics,
Inc.
*
983
55,166
CVRx,
Inc.
*
7,084
107,464
Glaukos
Corp.
*
1,936
145,684
Haemonetics
Corp.
*
7,107
636,645
iRadimed
Corp.
2,123
94,197
Lantheus
Holdings,
Inc.
*
8,979
623,861
LeMaitre
Vascular,
Inc.
1,424
77,580
Merit
Medical
Systems,
Inc.
*
3,331
229,906
OraSure
Technologies,
Inc.
*
18,884
111,982
Outset
Medical,
Inc.
*
3,677
40,006
PROCEPT
BioRobotics
Corp.
*
1,353
44,392
RxSight,
Inc.
*
6,668
185,971
SI-BONE,
Inc.
*
5,049
107,241
STAAR
Surgical
Co.
*
1,160
46,609
Tactile
Systems
Technology,
Inc.
*
7,649
107,468
TransMedics
Group,
Inc.
*
6,067
332,168
Treace
Medical
Concepts,
Inc.
*
3,332
43,682
UFP
Technologies,
Inc.
*
2,205
355,997
54
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Equipment
&
Supplies
-
2.5%
(continued)
Zynex,
Inc.
*
6,724
53,792
3,873,347
Health
Care
Providers
&
Services
-
2.0%
Accolade,
Inc.
*
13,757
145,549
Addus
HomeCare
Corp.
*
4,359
371,343
CorVel
Corp.
*
1,621
318,770
Cross
Country
Healthcare,
Inc.
*
7,157
177,422
Ensign
Group,
Inc.
(The)
3,808
353,878
Fulgent
Genetics,
Inc.
*
1,812
48,453
HealthEquity,
Inc.
*
3,318
242,380
Hims
&
Hers
Health,
Inc.
*
26,228
164,974
LifeStance
Health
Group,
Inc.
*
33,523
230,303
NeoGenomics,
Inc.
*
20,064
246,787
Option
Care
Health,
Inc.
*
3,217
104,070
Owens
&
Minor,
Inc.
*
6,906
111,601
Patterson
Cos.,
Inc.
2,949
87,408
Privia
Health
Group,
Inc.
*
1,841
42,343
Progyny,
Inc.
*
6,502
221,198
RadNet,
Inc.
*
2,560
72,166
Select
Medical
Holdings
Corp.
5,844
147,678
3,086,323
Health
Care
Technology
-
0.4%
Evolent
Health,
Inc.,
Class
A
*
11,077
301,627
Phreesia,
Inc.
*
5,379
100,480
Schrodinger,
Inc.
*
5,627
159,075
Veradigm,
Inc.
*
4,242
55,740
616,922
Hotel
&
Resort
REITs
-
0.5%
Apple
Hospitality
REIT,
Inc.,
REIT
6,058
92,930
Chatham
Lodging
Trust,
REIT
12,434
118,993
Ryman
Hospitality
Properties,
Inc.,
REIT
4,056
337,784
Service
Properties
Trust,
REIT
26,328
202,462
752,169
Hotels,
Restaurants
&
Leisure
-
3.5%
BJ's
Restaurants,
Inc.
*
1,716
40,257
Bloomin'
Brands,
Inc.
4,845
119,139
Bowlero
Corp.,
Class
A
*
10,327
99,346
Brinker
International,
Inc.
*
2,817
88,989
Carrols
Restaurant
Group,
Inc.
*
31,347
206,577
Chuy's
Holdings,
Inc.
*
3,214
114,354
Dave
&
Buster's
Entertainment,
Inc.
*
2,169
80,405
Everi
Holdings,
Inc.
*
12,070
159,565
Golden
Entertainment,
Inc.
7,165
244,900
Hilton
Grand
Vacations,
Inc.
*
6,508
264,876
Inspired
Entertainment,
Inc.
*
10,059
120,306
International
Game
Technology
plc
22,009
667,313
Jack
in
the
Box,
Inc.
2,191
151,310
Krispy
Kreme,
Inc.
13,445
167,659
Kura
Sushi
USA,
Inc.,
Class
A
*
3,628
239,883
Life
Time
Group
Holdings,
Inc.
*
21,903
333,145
INVESTMENTS
SHARES
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
3.5%
(continued)
Light
&
Wonder,
Inc.
*
7,068
504,160
Lindblad
Expeditions
Holdings,
Inc.
*
9,072
65,318
Monarch
Casino
&
Resort,
Inc.
1,468
91,163
Papa
John's
International,
Inc.
1,834
125,115
Potbelly
Corp.
*
8,994
70,153
Red
Robin
Gourmet
Burgers,
Inc.
*
10,663
85,731
Red
Rock
Resorts,
Inc.,
Class
A
9,007
369,287
SeaWorld
Entertainment,
Inc.
*
5,300
245,125
Shake
Shack,
Inc.,
Class
A
*
4,056
235,532
Target
Hospitality
Corp.
*
27,017
429,030
Xponential
Fitness,
Inc.,
Class
A
*
10,288
159,464
5,478,102
Household
Durables
-
3.0%
Beazer
Homes
USA,
Inc.
*
8,930
222,446
Cavco
Industries,
Inc.
*
698
185,431
Century
Communities,
Inc.
1,677
111,990
Cricut,
Inc.,
Class
A
18,788
174,540
Dream
Finders
Homes,
Inc.,
Class
A
*
8,795
195,513
Ethan
Allen
Interiors,
Inc.
5,356
160,144
Green
Brick
Partners,
Inc.
*
10,380
430,874
Hovnanian
Enterprises,
Inc.,
Class
A
*
2,002
203,523
Installed
Building
Products,
Inc.
3,931
490,943
KB
Home
8,040
372,091
La-Z-Boy,
Inc.
2,370
73,186
Legacy
Housing
Corp.
*
2,748
53,339
LGI
Homes,
Inc.
*
1,325
131,824
M/I
Homes,
Inc.
*
3,947
331,706
MDC
Holdings,
Inc.
1,812
74,709
Meritage
Homes
Corp.
4,553
557,242
Skyline
Champion
Corp.
*
3,302
210,403
Taylor
Morrison
Home
Corp.,
Class
A
*
13,284
566,031
Tri
Pointe
Homes,
Inc.
*
8,414
230,123
4,776,058
Household
Products
-
0.1%
Central
Garden
&
Pet
Co.,
Class
A
*
3,209
128,649
Independent
Power
and
Renewable
Electricity
Producers
-
0.1%
Altus
Power,
Inc.,
Class
A
*
7,587
39,832
Montauk
Renewables,
Inc.
*
5,370
48,921
Ormat
Technologies,
Inc.
1,068
74,674
163,427
Industrial
REITs
-
0.1%
Terreno
Realty
Corp.,
REIT
2,183
123,994
Insurance
-
2.0%
Ambac
Financial
Group,
Inc.
*
4,724
56,971
American
Coastal
Insurance
Corp.
*
10,722
78,914
American
Equity
Investment
Life
Holding
Co.
3,308
177,441
CNO
Financial
Group,
Inc.
18,395
436,513
55
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Insurance
-
2.0%
(continued)
Donegal
Group,
Inc.,
Class
A
1,460
20,812
Employers
Holdings,
Inc.
1,463
58,447
Genworth
Financial,
Inc.,
Class
A
*
52,814
309,490
Goosehead
Insurance,
Inc.,
Class
A
*
3,983
296,853
HCI
Group,
Inc.
1,322
71,771
MBIA,
Inc.
*
7,570
54,580
National
Western
Life
Group,
Inc.,
Class
A
442
193,371
Oscar
Health,
Inc.,
Class
A
*
33,395
186,010
Safety
Insurance
Group,
Inc.
714
48,688
Selective
Insurance
Group,
Inc.
9,403
970,108
SiriusPoint
Ltd.
*
11,443
116,375
3,076,344
Interactive
Media
&
Services
-
0.1%
Cars.com,
Inc.
*
6,903
116,385
DHI
Group,
Inc.
*
20,383
62,372
178,757
IT
Services
-
0.7%
Fastly,
Inc.,
Class
A
*
14,241
273,000
Hackett
Group,
Inc.
(The)
7,662
180,747
Information
Services
Group,
Inc.
12,398
54,303
Perficient,
Inc.
*
1,821
105,363
Squarespace,
Inc.,
Class
A
*
17,496
506,859
1,120,272
Leisure
Products
-
0.7%
Acushnet
Holdings
Corp.
11,141
590,919
Malibu
Boats,
Inc.,
Class
A
*
1,757
86,128
MasterCraft
Boat
Holdings,
Inc.
*
3,572
79,370
Solo
Brands,
Inc.,
Class
A
*
11,814
60,251
Vista
Outdoor,
Inc.
*
8,213
272,015
1,088,683
Life
Sciences
Tools
&
Services
-
0.3%
BioLife
Solutions,
Inc.
*
3,595
49,647
Harvard
Bioscience,
Inc.
*
11,544
49,639
Pacific
Biosciences
of
California,
Inc.
*
38,186
318,853
Quanterix
Corp.
*
2,531
68,692
486,831
Machinery
-
3.8%
Alamo
Group,
Inc.
1,547
267,414
Blue
Bird
Corp.
*
9,270
197,915
Chart
Industries,
Inc.
*
1,219
206,157
Columbus
McKinnon
Corp.
2,230
77,849
Commercial
Vehicle
Group,
Inc.
*
10,609
82,326
Energy
Recovery,
Inc.
*
12,620
267,670
Enerpac
Tool
Group
Corp.,
Class
A
2,323
61,397
EnPro
Industries,
Inc.
801
97,073
ESCO
Technologies,
Inc.
800
83,552
Federal
Signal
Corp.
4,712
281,448
Franklin
Electric
Co.,
Inc.
3,315
295,797
Greenbrier
Cos.,
Inc.
(The)
3,719
148,760
INVESTMENTS
SHARES
VALUE
($)
Machinery
-
3.8%
(continued)
Hillenbrand,
Inc.
1,075
45,483
Hyster-Yale
Materials
Handling,
Inc.
2,687
119,786
Kadant,
Inc.
1,754
395,615
Lindsay
Corp.
1,842
216,767
Manitowoc
Co.,
Inc.
(The)
*
10,494
157,935
Mayville
Engineering
Co.,
Inc.
*
6,208
68,102
Mueller
Industries,
Inc.
10,394
781,213
Omega
Flex,
Inc.
616
48,498
Shyft
Group,
Inc.
(The)
8,996
134,670
SPX
Technologies,
Inc.
*
5,276
429,466
Standex
International
Corp.
738
107,519
Terex
Corp.
9,890
569,862
Titan
International,
Inc.
*
22,502
302,202
Wabash
National
Corp.
7,723
163,110
Watts
Water
Technologies,
Inc.,
Class
A
2,134
368,798
5,976,384
Media
-
0.4%
Entravision
Communications
Corp.,
Class
A
14,803
54,031
Integral
Ad
Science
Holding
Corp.
*
18,624
221,439
Magnite,
Inc.
*
16,488
124,320
Scholastic
Corp.
1,182
45,081
TechTarget,
Inc.
*
4,019
122,017
566,888
Metals
&
Mining
-
2.6%
Alpha
Metallurgical
Resources,
Inc.
1,337
347,259
ATI,
Inc.
*
18,824
774,608
Carpenter
Technology
Corp.
4,346
292,095
Commercial
Metals
Co.
13,838
683,736
Constellium
SE,
Class
A
*
3,791
68,996
Haynes
International,
Inc.
6,093
283,446
Hecla
Mining
Co.
30,154
117,902
Materion
Corp.
1,695
172,737
Piedmont
Lithium,
Inc.
*
1,093
43,392
Ryerson
Holding
Corp.
11,778
342,622
SunCoke
Energy,
Inc.
12,255
124,388
TimkenSteel
Corp.
*
13,711
297,803
Warrior
Met
Coal,
Inc.
6,274
320,476
Worthington
Industries,
Inc.
3,857
238,440
4,107,900
Multi-Utilities
-
0.0%
†
Unitil
Corp.
1,017
43,436
Oil,
Gas
&
Consumable
Fuels
-
5.4%
Amplify
Energy
Corp.
*
20,218
148,602
Ardmore
Shipping
Corp.
(Ireland)
3,918
50,973
Centrus
Energy
Corp.,
Class
A
*
1,482
84,118
Chord
Energy
Corp.
2,774
449,582
Civitas
Resources,
Inc.
8,480
685,778
CONSOL
Energy,
Inc.
7,233
758,814
CVR
Energy,
Inc.
2,715
92,392
DHT
Holdings,
Inc.
5,516
56,815
56
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
5.4%
(continued)
Dorian
LPG
Ltd.
16,781
482,118
Equitrans
Midstream
Corp.
23,041
215,894
Green
Plains,
Inc.
*
7,657
230,476
Gulfport
Energy
Corp.
*
1,470
174,430
Hallador
Energy
Co.
*
6,304
90,904
International
Seaways,
Inc.
9,686
435,870
Kinetik
Holdings,
Inc.,
Class
A
4,083
137,801
Kosmos
Energy
Ltd.
(Ghana)
*
35,645
291,576
Matador
Resources
Co.
4,228
251,482
Murphy
Oil
Corp.
2,173
98,546
NACCO
Industries,
Inc.,
Class
A
3,074
107,805
NextDecade
Corp.
*
14,833
75,945
Nordic
American
Tankers
Ltd.
30,357
125,071
Northern
Oil
and
Gas,
Inc.
7,827
314,880
Overseas
Shipholding
Group,
Inc.,
Class
A
*
13,178
57,851
Par
Pacific
Holdings,
Inc.
*
4,946
177,759
PBF
Energy,
Inc.,
Class
A
15,576
833,783
Peabody
Energy
Corp.
3,329
86,521
Permian
Resources
Corp.,
Class
A
63,829
891,053
SandRidge
Energy,
Inc.
4,466
69,938
Scorpio
Tankers,
Inc.
(Monaco)
7,784
421,270
Teekay
Corp.
*
20,271
125,072
Teekay
Tankers
Ltd.,
Class
A
(Canada)
4,906
204,237
Uranium
Energy
Corp.
*
35,969
185,240
8,412,596
Paper
&
Forest
Products
-
0.1%
Clearwater
Paper
Corp.
*
1,711
62,024
Sylvamo
Corp.
1,250
54,925
116,949
Passenger
Airlines
-
0.5%
Allegiant
Travel
Co.
921
70,788
Frontier
Group
Holdings,
Inc.
*
7,842
37,955
Joby
Aviation,
Inc.
*
73,053
471,192
SkyWest,
Inc.
*
6,902
289,470
869,405
Personal
Care
Products
-
1.5%
BellRing
Brands,
Inc.
*
15,697
647,187
Edgewell
Personal
Care
Co.
3,716
137,343
elf
Beauty,
Inc.
*
9,110
1,000,551
Inter
Parfums,
Inc.
4,266
573,095
2,358,176
Pharmaceuticals
-
2.3%
Amphastar
Pharmaceuticals,
Inc.
*
6,080
279,619
Amylyx
Pharmaceuticals,
Inc.
*
4,147
75,932
Assertio
Holdings,
Inc.
*
18,185
46,554
Axsome
Therapeutics,
Inc.
*
6,671
466,236
Corcept
Therapeutics,
Inc.
*
7,763
211,503
CorMedix,
Inc.
*
15,584
57,661
Cymabay
Therapeutics,
Inc.
*
25,699
383,172
Enliven
Therapeutics,
Inc.
*
9,481
129,510
INVESTMENTS
SHARES
VALUE
($)
Pharmaceuticals
-
2.3%
(continued)
Evolus,
Inc.
*
5,037
46,038
Harrow,
Inc.
*
5,813
83,533
Intra-Cellular
Therapies,
Inc.
*
7,857
409,271
Liquidia
Corp.
*
32,512
206,126
Marinus
Pharmaceuticals,
Inc.
*
8,522
68,602
Ocular
Therapeutix,
Inc.
*
12,566
39,457
Omeros
Corp.
*
22,461
65,586
Phathom
Pharmaceuticals,
Inc.
*
5,695
59,057
Pliant
Therapeutics,
Inc.
*
6,571
113,941
Prestige
Consumer
Healthcare,
Inc.
*
1,452
83,040
Revance
Therapeutics,
Inc.
*
7,455
85,509
scPharmaceuticals,
Inc.
*
10,805
76,932
Supernus
Pharmaceuticals,
Inc.
*
1,935
53,348
Terns
Pharmaceuticals,
Inc.
*
17,014
85,580
Ventyx
Biosciences,
Inc.
*
7,820
271,589
Verrica
Pharmaceuticals,
Inc.
*
21,967
85,342
WaVe
Life
Sciences
Ltd.
*
10,905
62,704
Xeris
Biopharma
Holdings,
Inc.
*
27,270
50,722
3,596,564
Professional
Services
-
2.9%
Alight,
Inc.,
Class
A
*
24,485
173,599
ASGN,
Inc.
*
4,450
363,476
Asure
Software,
Inc.
*
6,360
60,166
Barrett
Business
Services,
Inc.
1,084
97,820
CBIZ,
Inc.
*
10,987
570,225
CRA
International,
Inc.
1,894
190,839
ExlService
Holdings,
Inc.
*
17,870
501,075
Exponent,
Inc.
1,689
144,578
Franklin
Covey
Co.
*
2,652
113,824
Huron
Consulting
Group,
Inc.
*
5,759
599,858
ICF
International,
Inc.
3,314
400,364
Innodata,
Inc.
*
12,931
110,301
Insperity,
Inc.
1,723
168,165
Kforce,
Inc.
1,447
86,328
Legalzoom.com,
Inc.
*
5,550
60,717
Maximus,
Inc.
6,141
458,610
NV5
Global,
Inc.
*
953
91,707
TriNet
Group,
Inc.
*
426
49,621
TTEC
Holdings,
Inc.
3,887
101,917
Verra
Mobility
Corp.,
Class
A
*
7,464
139,577
4,482,767
Real
Estate
Management
&
Development
-
0.7%
Compass,
Inc.,
Class
A
*
14,122
40,954
eXp
World
Holdings,
Inc.
14,075
228,578
Forestar
Group,
Inc.
*
3,006
80,982
Redfin
Corp.
*
16,164
113,794
St
Joe
Co.
(The)
10,523
571,715
1,036,023
57
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Residential
REITs
-
0.2%
Apartment
Investment
and
Management
Co.,
Class
A,
REIT
*
14,887
101,232
BRT
Apartments
Corp.,
REIT
8,665
149,644
250,876
Retail
REITs
-
0.7%
Kite
Realty
Group
Trust,
REIT
10,352
221,740
Phillips
Edison
&
Co.,
Inc.,
REIT
6,333
212,409
Saul
Centers,
Inc.,
REIT
1,296
45,710
Tanger
Factory
Outlet
Centers,
Inc.,
REIT
19,764
446,666
Whitestone,
REIT
23,784
229,040
1,155,565
Semiconductors
&
Semiconductor
Equipment
-
4.2%
Aehr
Test
Systems
*
5,895
269,401
Alpha
&
Omega
Semiconductor
Ltd.
*
5,537
165,224
Amkor
Technology,
Inc.
26,399
596,617
Axcelis
Technologies,
Inc.
*
5,819
948,788
Cohu,
Inc.
*
3,690
127,084
Credo
Technology
Group
Holding
Ltd.
*
14,036
214,049
Diodes,
Inc.
*
3,126
246,454
FormFactor,
Inc.
*
3,422
119,565
Impinj,
Inc.
*
1,617
88,983
indie
Semiconductor,
Inc.,
Class
A
(China)
*
11,785
74,245
inTEST
Corp.
*
6,234
94,570
MACOM
Technology
Solutions
Holdings,
Inc.
*
13,053
1,064,864
Navitas
Semiconductor
Corp.
*
28,895
200,820
Onto
Innovation,
Inc.
*
2,486
317,015
PDF
Solutions,
Inc.
*
10,306
333,914
Photronics,
Inc.
*
8,662
175,059
Power
Integrations,
Inc.
973
74,250
Rambus,
Inc.
*
19,832
1,106,427
SkyWater
Technology,
Inc.
*
9,142
55,035
Ultra
Clean
Holdings,
Inc.
*
3,328
98,742
Veeco
Instruments,
Inc.
*
8,355
234,859
6,605,965
Software
-
5.8%
A10
Networks,
Inc.
17,600
264,528
Agilysys,
Inc.
*
5,270
348,663
Altair
Engineering,
Inc.,
Class
A
*
8,392
525,003
Appfolio,
Inc.,
Class
A
*
5,314
970,496
Applied
Digital
Corp.
*
29,913
186,657
Asana,
Inc.,
Class
A
*
13,105
239,953
Aurora
Innovation,
Inc.
*
50,985
119,815
Blackbaud,
Inc.
*
2,681
188,528
BlackLine,
Inc.
*
2,194
121,701
Box,
Inc.,
Class
A
*
2,187
52,947
C3.ai,
Inc.,
Class
A
*
15,343
391,553
Cipher
Mining,
Inc.
*
53,238
124,045
Clear
Secure,
Inc.,
Class
A
2,993
56,987
CommVault
Systems,
Inc.
*
980
66,258
INVESTMENTS
SHARES
VALUE
($)
Software
-
5.8%
(continued)
Digimarc
Corp.
*
1,596
51,854
EverCommerce,
Inc.
*
4,740
47,542
Freshworks,
Inc.,
Class
A
*
17,491
348,421
Instructure
Holdings,
Inc.
*
11,478
291,541
Intapp,
Inc.
*
13,603
455,973
InterDigital,
Inc.
2,627
210,790
Marathon
Digital
Holdings,
Inc.
*
16,432
139,672
MicroStrategy,
Inc.,
Class
A
*
1,538
504,895
Model
N,
Inc.
*
4,104
100,179
N-able,
Inc.
*
18,204
234,832
OneSpan,
Inc.
*
4,120
44,290
PagerDuty,
Inc.
*
3,402
76,511
PowerSchool
Holdings,
Inc.,
Class
A
*
27,402
620,929
Progress
Software
Corp.
927
48,742
Qualys,
Inc.
*
861
131,346
Riot
Platforms,
Inc.
*
21,784
203,245
Sprinklr,
Inc.,
Class
A
*
11,168
154,565
Sprout
Social,
Inc.,
Class
A
*
1,058
52,773
SPS
Commerce,
Inc.
*
4,587
782,588
Tenable
Holdings,
Inc.
*
2,534
113,523
Terawulf,
Inc.
*
28,915
36,433
Varonis
Systems,
Inc.,
Class
B
*
2,076
63,401
Weave
Communications,
Inc.
*
19,123
155,852
Workiva,
Inc.
*
2,498
253,147
Yext,
Inc.
*
24,683
156,243
Zeta
Global
Holdings
Corp.,
Class
A
*
27,224
227,320
9,163,741
Specialized
REITs
-
0.1%
Farmland
Partners,
Inc.,
REIT
9,873
101,297
PotlatchDeltic
Corp.,
REIT
1,598
72,533
173,830
Specialty
Retail
-
2.6%
Abercrombie
&
Fitch
Co.,
Class
A
*
6,859
386,642
Academy
Sports
&
Outdoors,
Inc.
8,600
406,522
Asbury
Automotive
Group,
Inc.
*
1,970
453,238
Boot
Barn
Holdings,
Inc.
*
554
44,979
Buckle,
Inc.
(The)
5,074
169,421
Build-A-Bear
Workshop,
Inc.
6,434
189,224
Caleres,
Inc.
7,446
214,147
Carvana
Co.,
Class
A
*
5,683
238,572
Destination
XL
Group,
Inc.
*
26,645
119,370
Group
1
Automotive,
Inc.
884
237,540
ODP
Corp.
(The)
*
8,720
402,428
Shoe
Carnival,
Inc.
5,985
143,819
Signet
Jewelers
Ltd.
2,892
207,674
Sonic
Automotive,
Inc.,
Class
A
5,550
265,068
Upbound
Group,
Inc.
4,054
119,390
Urban
Outfitters,
Inc.
*
7,011
229,190
Winmark
Corp.
586
218,654
4,045,878
58
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Technology
Hardware,
Storage
&
Peripherals
-
1.5%
IonQ,
Inc.
*
31,655
471,026
Super
Micro
Computer,
Inc.
*
6,616
1,814,240
2,285,266
Textiles,
Apparel
&
Luxury
Goods
-
0.3%
Kontoor
Brands,
Inc.
4,214
185,037
Movado
Group,
Inc.
4,038
110,439
Oxford
Industries,
Inc.
2,050
197,066
492,542
Tobacco
-
0.2%
Vector
Group
Ltd.
25,396
270,213
Trading
Companies
&
Distributors
-
3.6%
Alta
Equipment
Group,
Inc.
4,178
50,387
Applied
Industrial
Technologies,
Inc.
5,103
788,975
Beacon
Roofing
Supply,
Inc.
*
4,120
317,941
BlueLinx
Holdings,
Inc.
*
3,458
283,867
Boise
Cascade
Co.
6,317
650,904
Custom
Truck
One
Source,
Inc.
*
11,401
70,686
GATX
Corp.
5,118
556,992
Global
Industrial
Co.
7,404
248,034
GMS,
Inc.
*
2,232
142,781
H&E
Equipment
Services,
Inc.
1,990
85,948
Herc
Holdings,
Inc.
2,377
282,720
Hudson
Technologies,
Inc.
*
25,346
337,102
McGrath
RentCorp
2,855
286,185
MRC
Global,
Inc.
*
9,353
95,868
NOW,
Inc.
*
14,107
167,450
Rush
Enterprises,
Inc.,
Class
A
15,375
627,761
Textainer
Group
Holdings
Ltd.
(China)
12,271
457,095
Titan
Machinery,
Inc.
*
3,576
95,050
Transcat,
Inc.
*
1,499
146,857
5,692,603
Water
Utilities
-
0.1%
American
States
Water
Co.
744
58,538
Artesian
Resources
Corp.,
Class
A
1,379
57,904
Cadiz,
Inc.
*
10,859
35,944
SJW
Group
975
58,607
210,993
Wireless
Telecommunication
Services
-
0.1%
Gogo,
Inc.
*
6,819
81,351
Tingo
Group,
Inc.
*
81,559
83,598
164,949
TOTAL
COMMON
STOCKS
(Cost
$116,992,791)
153,707,791
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
2.2%
INVESTMENT
COMPANIES
-
2.2%
Limited
Purpose
Cash
Investment
Fund,
5.36%
(c)
(Cost
$3,481,239)
3,482,283
3,481,239
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.2%
(Cost
$120,474,030)
157,189,030
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(0.2)%
‡
(237,758)
NET
ASSETS
-
100.0%
156,951,272
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
1,482,990
0.9
%
Consumer
Discretionary
21,345,953
13.6
Consumer
Staples
6,744,254
4.3
Energy
14,978,886
9.5
Financials
12,784,212
8.2
Health
Care
25,377,401
16.2
Industrials
32,757,953
20.9
Information
Technology
26,891,048
17.1
Materials
6,684,557
4.3
Real
Estate
3,726,241
2.4
Utilities
934,296
0.6
Investment
Companies
3,481,239
2.2
Total
Investments
In
Securities
At
Value
157,189,030
100.2
Liabilities
in
Excess
of
Other
Assets
‡
(237,758)
(0.2)
Net
Assets
$
156,951,272
100.0%
59
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
†
Represents
less
than
0.05%
of
net
assets.
‡
Includes
appreciation/(depreciation)
on
futures
contracts.
(a)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$251,687,
which
represents
0.16%
of
net
assets
of
the
Fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2023
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$2,791,
which
represents
0.00%
of
net
assets
of
the
Fund.
(c)
Represents
7-day
effective
yield
as
of
September
30,
2023.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(3)
Level
3
security
(See
Note
4).
Futures
contracts
outstanding
as
of
September
30,
2023:
Exchange-Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Russell
2000
E-Mini
Index
30
12/2023
USD
$
2,697,900
$
(117,599)
$
(117,599)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2023
was
as
follows:
COUNTERPARTY
OVER-THE-COUNTER
EXCHANGE-TRADED
TOTAL
BARC
Cash
$
–
$
307,980
$
307,980
60
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
99.4%
Australia
-
2.9%
BHP
Group
Ltd.
27,134
762,217
Brambles
Ltd.
63,239
580,947
Fortescue
Metals
Group
Ltd.
82,221
1,092,968
Glencore
plc
29,802
169,708
Goodman
Group,
REIT
83,782
1,148,303
Northern
Star
Resources
Ltd.
37,752
250,683
Origin
Energy
Ltd.
49,728
280,015
Pilbara
Minerals
Ltd.
158,496
432,407
REA
Group
Ltd.
5,051
498,849
Rio
Tinto
plc
1,840
115,538
Suncorp
Group
Ltd.
25,244
224,915
Wesfarmers
Ltd.
2,036
68,906
WiseTech
Global
Ltd.
12,826
532,412
Woodside
Energy
Group
Ltd.
23,710
551,283
6,709,151
—
Austria
-
0.1%
Erste
Group
Bank
AG
6,122
211,435
voestalpine
AG
3,925
106,859
318,294
—
Belgium
-
0.0%
†
KBC
Group
NV
1,075
66,926
Brazil
-
0.1%
Wheaton
Precious
Metals
Corp.
(1)
7,921
321,447
Canada
-
7.1%
Air
Canada
(1)*
4,236
60,441
Alimentation
Couche-Tard,
Inc.
(1)
6,391
324,573
AltaGas
Ltd.
(1)
6,848
131,338
Cameco
Corp.
(1)
18,342
727,738
Canadian
Natural
Resources
Ltd.
(1)
1,644
106,320
Canadian
Pacific
Kansas
City
Ltd.
(1)
20,046
1,490,038
Cenovus
Energy,
Inc.
(1)
21,061
438,509
Constellation
Software,
Inc.
(1)
758
1,564,870
Dollarama,
Inc.
(1)
8,369
576,603
Fairfax
Financial
Holdings
Ltd.
(1)
480
391,835
Franco-Nevada
Corp.
(1)
3,210
428,544
Hydro
One
Ltd.
(1)(a)
27,458
699,060
Imperial
Oil
Ltd.
(1)
6,438
396,542
Intact
Financial
Corp.
(1)
8,369
1,220,121
Ivanhoe
Mines
Ltd.,
Class
A
(1)*
17,263
147,941
Kinross
Gold
Corp.
(1)
25,912
118,090
Lumine
Group,
Inc.
(1)*(b)
2,271
33,641
Manulife
Financial
Corp.
(1)
11,369
207,752
National
Bank
of
Canada
(1)
4,807
319,334
Restaurant
Brands
International,
Inc.
(1)
12,429
827,685
Shopify,
Inc.,
Class
A
(1)*
29,412
1,605,452
Teck
Resources
Ltd.,
Class
B
(1)
14,180
610,317
Thomson
Reuters
Corp.
(1)
18,160
2,221,583
WSP
Global,
Inc.
(1)
10,904
1,538,963
16,187,290
—
Chile
-
0.0%
†
Antofagasta
plc
5,711
99,142
INVESTMENTS
SHARES
VALUE
($)
Denmark
-
5.2%
Danske
Bank
A/S
52,781
1,224,836
DSV
A/S
9,210
1,716,197
Genmab
A/S
*
1,500
531,076
Novo
Nordisk
A/S,
Class
B
82,666
7,526,843
Pandora
A/S
6,960
718,212
Tryg
A/S
8,339
152,599
11,869,763
—
Finland
-
1.0%
Metso
OYJ
51,561
540,713
Neste
OYJ
3,303
111,868
Nordea
Bank
Abp
59,272
649,842
UPM-Kymmene
OYJ
13,209
452,288
Wartsila
OYJ
Abp
45,757
518,607
2,273,318
—
France
-
12.7%
Accor
SA
24,619
828,046
Air
Liquide
SA
5,470
921,321
Airbus
SE
12,153
1,626,661
Alstom
SA
4,006
95,211
AXA
SA
31,157
924,393
BNP
Paribas
SA
15,401
979,292
Capgemini
SE
1,728
301,525
Cie
de
Saint-Gobain
SA
11,056
661,706
Dassault
Aviation
SA
2,282
429,814
Dassault
Systemes
SE
9,102
338,070
Edenred
SE
8,170
511,083
Engie
SA
43,048
660,192
Hermes
International
SCA
2,593
4,726,594
Legrand
SA
2,537
233,115
L'Oreal
SA
6,414
2,658,039
LVMH
Moet
Hennessy
Louis
Vuitton
SE
8,859
6,687,046
Orange
SA
58,750
673,878
Publicis
Groupe
SA
12,910
977,193
Renault
SA
22,207
908,632
Safran
SA
10,806
1,693,400
Sartorius
Stedim
Biotech
580
137,984
SEB
SA
1,050
97,951
Sodexo
SA
8,081
831,919
Thales
SA
1,895
266,329
Valeo
SE
9,142
156,876
Veolia
Environnement
SA
10,331
298,630
Vivendi
SE
9,219
80,741
28,705,641
—
Germany
-
9.5%
adidas
AG
529
92,791
Allianz
SE
(Registered)
4,467
1,063,040
Bayerische
Motoren
Werke
AG
12,427
1,262,175
Beiersdorf
AG
858
110,673
Commerzbank
AG
111,176
1,261,775
Continental
AG
3,775
265,239
Covestro
AG
*(a)
3,615
194,396
Daimler
Truck
Holding
AG
9,466
327,753
Deutsche
Lufthansa
AG
(Registered)
*
52,317
414,005
Deutsche
Post
AG
5,668
229,982
E.ON
SE
36,006
425,807
61
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Germany
-
9.5%
(continued)
Hannover
Rueck
SE
2,949
647,066
Heidelberg
Materials
AG
11,040
855,053
Infineon
Technologies
AG
45,406
1,503,881
Mercedes-Benz
Group
AG
23,125
1,609,425
Merck
KGaA
1,699
283,236
MTU
Aero
Engines
AG
805
145,793
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
6,870
2,675,541
Rheinmetall
AG
2,878
740,370
RWE
AG
32,963
1,223,580
SAP
SE
19,120
2,474,931
Siemens
AG
(Registered)
20,308
2,902,192
Siemens
Energy
AG
*
20,262
264,069
Symrise
AG,
Class
A
1,462
139,181
Talanx
AG
8,387
530,813
21,642,767
—
Hong
Kong
-
0.3%
AIA
Group
Ltd.
32,652
264,062
Hong
Kong
Exchanges
&
Clearing
Ltd.
2,886
107,107
Techtronic
Industries
Co.
Ltd.
40,361
389,628
760,797
—
Italy
-
4.3%
Coca-Cola
HBC
AG
12,754
348,743
Davide
Campari-Milano
NV
15,084
177,574
Enel
SpA
102,436
628,214
Ferrari
NV
8,665
2,554,316
Intesa
Sanpaolo
SpA
702,969
1,800,457
Mediobanca
Banca
di
Credito
Finanziario
SpA
34,670
457,093
Moncler
SpA
12,225
708,500
Prysmian
SpA
8,551
343,223
UniCredit
SpA
113,391
2,701,698
9,719,818
—
Japan
-
27.3%
Advantest
Corp.
18,332
511,344
Ajinomoto
Co.,
Inc.
14,088
543,214
Azbil
Corp.
7,400
226,066
Bandai
Namco
Holdings,
Inc.
26,477
538,555
BayCurrent
Consulting,
Inc.
8,300
276,580
Capcom
Co.
Ltd.
12,730
458,175
Chiba
Bank
Ltd.
(The)
71,223
517,442
Chugai
Pharmaceutical
Co.
Ltd.
39,569
1,220,072
Dai
Nippon
Printing
Co.
Ltd.
2,886
75,088
Daiichi
Sankyo
Co.
Ltd.
48,306
1,322,489
Daikin
Industries
Ltd.
4,074
638,688
Denso
Corp.
38,800
622,580
Disco
Corp.
5,452
1,007,290
Eisai
Co.
Ltd.
2,900
160,729
Fast
Retailing
Co.
Ltd.
5,856
1,275,526
Fujitsu
Ltd.
5,008
588,996
Hamamatsu
Photonics
KK
2,122
89,238
Hankyu
Hanshin
Holdings,
Inc.
6,365
217,178
Hikari
Tsushin,
Inc.
1,395
212,452
Hitachi
Construction
Machinery
Co.
Ltd.
12,300
373,253
INVESTMENTS
SHARES
VALUE
($)
Japan
-
27.3%
(continued)
Hitachi
Ltd.
18,461
1,144,168
Honda
Motor
Co.
Ltd.
85,119
957,563
Hoshizaki
Corp.
10,292
357,279
Hoya
Corp.
11,287
1,155,986
Ibiden
Co.
Ltd.
9,600
509,188
Inpex
Corp.
11,054
165,792
Isuzu
Motors
Ltd.
18,670
234,712
ITOCHU
Corp.
76,629
2,767,374
Japan
Tobacco,
Inc.
87,698
2,017,759
JFE
Holdings,
Inc.
30,700
449,580
Kajima
Corp.
12,500
203,475
Kawasaki
Kisen
Kaisha
Ltd.
4,000
136,504
Keyence
Corp.
1,410
521,455
Kikkoman
Corp.
3,395
177,941
Komatsu
Ltd.
12,800
345,231
Konami
Group
Corp.
2,207
116,363
Makita
Corp.
7,000
172,614
Marubeni
Corp.
81,042
1,263,303
MatsukiyoCocokara
&
Co.
12,300
220,330
Mazda
Motor
Corp.
68,992
783,369
Mitsubishi
Corp.
44,552
2,122,917
Mitsubishi
Electric
Corp.
5,500
67,950
Mitsubishi
HC
Capital,
Inc.
328,815
2,190,919
Mitsubishi
Heavy
Industries
Ltd.
14,172
790,470
Mitsubishi
UFJ
Financial
Group,
Inc.
73,900
626,240
Mitsui
&
Co.
Ltd.
32,926
1,194,224
Mitsui
Chemicals,
Inc.
5,500
142,494
Mitsui
OSK
Lines
Ltd.
3,936
108,158
Mizuho
Financial
Group,
Inc.
39,461
669,967
MonotaRO
Co.
Ltd.
9,709
103,510
Nippon
Paint
Holdings
Co.
Ltd.
17,944
120,514
Nippon
Sanso
Holdings
Corp.
18,600
440,383
Nippon
Steel
Corp.
37,339
874,783
Nippon
Yusen
KK
63,401
1,646,197
Nissan
Chemical
Corp.
4,838
205,661
Nissan
Motor
Co.
Ltd.
42,100
185,798
Nissin
Foods
Holdings
Co.
Ltd.
12,715
1,056,526
Nitori
Holdings
Co.
Ltd.
2,207
246,071
Nomura
Research
Institute
Ltd.
24,822
645,166
NTT
Data
Group
Corp.
10,609
141,963
Obic
Co.
Ltd.
7,723
1,170,193
Omron
Corp.
3,400
151,305
Oriental
Land
Co.
Ltd.
28,881
947,518
Pan
Pacific
International
Holdings
Corp.
10,500
220,363
Panasonic
Holdings
Corp.
29,019
327,560
Recruit
Holdings
Co.
Ltd.
13,918
425,822
Renesas
Electronics
Corp.
*
66,951
1,022,674
Resona
Holdings,
Inc.
97,250
537,713
Rohm
Co.
Ltd.
27,460
516,228
Shimadzu
Corp.
10,609
281,407
Shimano,
Inc.
934
125,011
Shin-Etsu
Chemical
Co.
Ltd.
44,509
1,292,793
Shionogi
&
Co.
Ltd.
1,811
80,779
Shiseido
Co.
Ltd.
3,056
107,095
Shizuoka
Financial
Group,
Inc.
62,736
511,266
Sony
Group
Corp.
19,432
1,589,063
Sumitomo
Corp.
9,251
184,631
Sumitomo
Electric
Industries
Ltd.
20,028
241,276
62
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Japan
-
27.3%
(continued)
Sumitomo
Mitsui
Financial
Group,
Inc.
122,721
6,028,797
Suzuki
Motor
Corp.
16,809
676,075
T&D
Holdings,
Inc.
45,000
740,025
Taisei
Corp.
16,022
563,910
Takeda
Pharmaceutical
Co.
Ltd.
16,535
512,527
TDK
Corp.
3,100
114,608
Terumo
Corp.
8,657
229,158
Tobu
Railway
Co.
Ltd.
16,463
423,125
Tokio
Marine
Holdings,
Inc.
21,600
500,120
Tokyo
Electron
Ltd.
10,829
1,479,158
Tokyo
Gas
Co.
Ltd.
11,627
263,615
Toyota
Industries
Corp.
2,200
173,174
Toyota
Motor
Corp.
61,500
1,103,330
Toyota
Tsusho
Corp.
9,978
586,866
Unicharm
Corp.
3,957
139,911
USS
Co.
Ltd.
4,162
68,803
Yamaha
Corp.
4,244
115,911
Yamaha
Motor
Co.
Ltd.
9,081
238,712
Yaskawa
Electric
Corp.
1,900
68,421
Yokogawa
Electric
Corp.
7,400
142,825
62,056,620
—
Macau
-
0.2%
Sands
China
Ltd.
*
119,368
362,996
Netherlands
-
8.4%
ABN
AMRO
Bank
NV,
CVA
(a)
46,877
662,492
ASM
International
NV
2,571
1,073,631
ASML
Holding
NV
8,321
4,898,992
EXOR
NV
2,259
199,805
ING
Groep
NV
115,813
1,526,423
Shell
plc
256,683
8,135,368
Wolters
Kluwer
NV
22,087
2,674,195
19,170,906
—
New
Zealand
-
0.1%
Xero
Ltd.
*
3,682
264,802
Norway
-
0.3%
Kongsberg
Gruppen
ASA
7,733
318,704
Norsk
Hydro
ASA
40,520
253,568
572,272
—
Singapore
-
0.8%
DBS
Group
Holdings
Ltd.
25,112
616,742
Keppel
Corp.
Ltd.
14,300
71,011
Singapore
Exchange
Ltd.
60,675
431,643
STMicroelectronics
NV
17,718
764,055
1,883,451
—
South
Africa
-
0.1%
Anglo
American
plc
9,105
250,020
South
Korea
-
0.0%
†
Delivery
Hero
SE
*(a)
3,470
99,081
INVESTMENTS
SHARES
VALUE
($)
Spain
-
2.3%
ACS
Actividades
de
Construccion
y
Servicios
SA
4,574
164,434
Amadeus
IT
Group
SA
1,028
62,094
Banco
Bilbao
Vizcaya
Argentaria
SA
167,315
1,354,069
Banco
Santander
SA
25,221
96,043
Iberdrola
SA
165,504
1,851,071
Industria
de
Diseno
Textil
SA
43,465
1,617,422
5,145,133
—
Sweden
-
3.2%
Alfa
Laval
AB
20,272
694,476
Atlas
Copco
AB,
Class
A
86,861
1,166,603
Epiroc
AB,
Class
A
5,791
109,955
Evolution
AB
(a)
3,726
375,988
H
&
M
Hennes
&
Mauritz
AB,
Class
B
33,252
471,520
Hexagon
AB,
Class
B
96,475
821,074
Husqvarna
AB,
Class
B
11,417
87,125
Investor
AB,
Class
B
57,517
1,101,135
Lifco
AB,
Class
B
3,834
67,069
Nibe
Industrier
AB,
Class
B
53,339
348,717
Saab
AB,
Class
B
8,631
439,280
Sandvik
AB
10,002
184,040
SKF
AB,
Class
B
4,331
71,901
Swedbank
AB,
Class
A
19,808
364,099
Volvo
AB,
Class
B
43,117
888,108
7,191,090
—
Switzerland
-
4.7%
ABB
Ltd.
(Registered)
41,915
1,496,081
BKW
AG
1,174
206,673
Chocoladefabriken
Lindt
&
Spruengli
AG
14
155,576
Cie
Financiere
Richemont
SA
(Registered)
13,007
1,584,036
Dufry
AG
(Registered)
*
1,586
60,214
EMS-Chemie
Holding
AG
(Registered)
698
472,999
Geberit
AG
(Registered)
251
125,168
Givaudan
SA
(Registered)
101
328,839
Julius
Baer
Group
Ltd.
7,488
479,291
Kuehne
+
Nagel
International
AG
(Registered)
1,898
539,280
Lonza
Group
AG
(Registered)
2,045
945,909
Partners
Group
Holding
AG
1,321
1,482,948
Sika
AG
(Registered)
4,195
1,062,849
UBS
Group
AG
(Registered)
50,350
1,240,231
VAT
Group
AG
(a)
1,550
553,107
10,733,201
—
United
Kingdom
-
6.3%
3i
Group
plc
12,499
314,608
abrdn
plc
246,114
465,006
Ashtead
Group
plc
29,123
1,766,095
Associated
British
Foods
plc
3,595
90,320
AstraZeneca
plc
7,597
1,024,718
Aviva
plc
24,589
116,384
BAE
Systems
plc
120,683
1,466,521
Bunzl
plc
8,838
314,755
63
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
(Continued)
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
6.3%
(continued)
Centrica
plc
39,619
74,520
Compass
Group
plc
31,959
777,933
Croda
International
plc
3,835
229,071
HSBC
Holdings
plc
474,830
3,715,728
Informa
plc
12,271
112,052
J
Sainsbury
plc
21,981
67,691
JD
Sports
Fashion
plc
171,867
312,201
London
Stock
Exchange
Group
plc
2,254
225,909
Rolls-Royce
Holdings
plc
*
480,555
1,287,592
SSE
plc
20,284
397,492
Standard
Chartered
plc
69,576
639,928
Whitbread
plc
10,938
460,412
Wise
plc,
Class
A
*
54,260
452,494
14,311,430
—
United
States
-
2.4%
CSL
Ltd.
3,754
604,781
Experian
plc
4,463
145,974
Ferguson
plc
6,233
1,025,766
Ferrovial
SE
5,734
175,214
Holcim
AG
8,632
552,525
Jackson
Financial,
Inc.,
Class
A
(1)
223
8,523
Schneider
Electric
SE
10,612
1,748,774
Stellantis
NV
52,532
1,005,905
Swiss
Re
AG
2,510
257,778
5,525,240
—
Zambia
-
0.1%
First
Quantum
Minerals
Ltd.
(1)
7,920
187,118
TOTAL
COMMON
STOCKS
(Cost
$162,802,180)
226,427,714
NO.
OF
WARRANTS
WARRANTS
-
0.0%
Canada
-
0.0%
Constellation
Software,
Inc.,
expiring
3/31/2040
(3)*(c)
(Cost
$–)
758
–
SHARES
SHORT-TERM
INVESTMENTS
-
0.1%
INVESTMENT
COMPANIES
-
0.1%
Limited
Purpose
Cash
Investment
Fund,
5.36%
(1)(d)
(Cost
$255,219)
255,322
255,245
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.5%
(Cost
$163,057,399)
226,682,959
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.5%
‡
1,069,524
NET
ASSETS
-
100.0%
227,752,483
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
2,917,251
1.3
%
Consumer
Discretionary
40,608,513
17.8
Consumer
Staples
8,195,965
3.6
Energy
10,633,420
4.7
Financials
46,666,783
20.5
Health
Care
15,736,287
6.9
Industrials
54,003,253
23.7
Information
Technology
25,296,438
11.1
Materials
14,081,295
6.2
Real
Estate
1,148,302
0.5
Utilities
7,140,207
3.1
Investment
Companies
255,245
0.1
Total
Investments
In
Securities
At
Value
226,682,959
99.5
Other
Assets
in
Excess
of
Liabilities
‡
1,069,524
0.5
Net
Assets
$
227,752,483
100.0%
64
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2023
*
Non-income
producing
security.
†
Represents
less
than
0.05%
of
net
assets.
‡
Includes
appreciation/(depreciation)
on
futures
contracts.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$2,584,124,
which
represents
1.13%
of
net
assets
of
the
Fund.
(b)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$33,641,
which
represents
0.01%
of
net
assets
of
the
Fund.
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2023
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$0,
which
represents
0.00%
of
net
assets
of
the
Fund.
(d)
Represents
7-day
effective
yield
as
of
September
30,
2023.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
4).
(3)
Level
3
security
(See
Note
4).
Futures
contracts
outstanding
as
of
September
30,
2023:
Exchange-Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
23
12/2023
USD
$
2,347,725
$
(79,709)
$
(79,709)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2023
was
as
follows:
COUNTERPARTY
OVER-THE-COUNTER
EXCHANGE-
TRADED
TOTAL
BARC
Cash
$
–
$
152,924
$
152,924
65
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
96.4%
Aerospace
&
Defense
-
1.9%
General
Dynamics
Corp.
5,721
1,264,170
L3Harris
Technologies,
Inc.
5,484
954,874
Lockheed
Martin
Corp.
94,347
38,584,149
Northrop
Grumman
Corp.
45,643
20,091,592
60,894,785
Air
Freight
&
Logistics
-
2.1%
CH
Robinson
Worldwide,
Inc.
218,283
18,800,715
Expeditors
International
of
Washington,
Inc.
395,763
45,366,312
64,167,027
Beverages
-
4.1%
Coca-Cola
Co.
(The)
797,351
44,635,709
Keurig
Dr
Pepper,
Inc.
30,802
972,419
Molson
Coors
Beverage
Co.,
Class
B
188,576
11,991,548
Monster
Beverage
Corp.
*
484,178
25,637,225
PepsiCo,
Inc.
257,351
43,605,553
126,842,454
Biotechnology
-
4.8%
AbbVie,
Inc.
60,818
9,065,531
Amgen,
Inc.
41,330
11,107,851
Gilead
Sciences,
Inc.
482,524
36,160,349
Incyte
Corp.
*
51,143
2,954,531
Regeneron
Pharmaceuticals,
Inc.
*
36,501
30,038,863
United
Therapeutics
Corp.
*
69,685
15,739,751
Vertex
Pharmaceuticals,
Inc.
*
133,688
46,488,665
151,555,541
Capital
Markets
-
1.8%
Cboe
Global
Markets,
Inc.
29,331
4,581,796
CME
Group,
Inc.
225,275
45,104,560
Intercontinental
Exchange,
Inc.
61,543
6,770,961
56,457,317
Chemicals
-
0.5%
Air
Products
and
Chemicals,
Inc.
26,761
7,584,067
CF
Industries
Holdings,
Inc.
58,194
4,989,554
Corteva,
Inc.
60,804
3,110,733
NewMarket
Corp.
2,983
1,357,384
17,041,738
Commercial
Services
&
Supplies
-
3.1%
Cintas
Corp.
43,038
20,701,708
Copart,
Inc.
*
109,016
4,697,499
Republic
Services,
Inc.,
Class
A
231,032
32,924,370
Rollins,
Inc.
108,838
4,062,923
Waste
Management,
Inc.
220,458
33,606,618
95,993,118
Communications
Equipment
-
1.5%
Cisco
Systems,
Inc.
828,894
44,561,341
Ubiquiti,
Inc.
5,826
846,518
45,407,859
INVESTMENTS
SHARES
VALUE
($)
Construction
&
Engineering
-
0.0%
†
EMCOR
Group,
Inc.
4,297
904,046
Construction
Materials
-
0.1%
Knife
River
Corp.
*
49,036
2,394,428
Consumer
Staples
Distribution
&
Retail
-
4.5%
Casey's
General
Stores,
Inc.
78,964
21,440,306
Costco
Wholesale
Corp.
71,998
40,675,990
Kroger
Co.
(The)
747,315
33,442,346
Walmart,
Inc.
282,473
45,175,907
140,734,549
Diversified
Consumer
Services
-
0.2%
Grand
Canyon
Education,
Inc.
*
42,175
4,929,414
Diversified
Telecommunication
Services
-
1.0%
AT&T,
Inc.
1,241,833
18,652,332
Verizon
Communications,
Inc.
346,525
11,230,875
29,883,207
Electric
Utilities
-
2.4%
Alliant
Energy
Corp.
24,766
1,199,913
American
Electric
Power
Co.,
Inc.
43,627
3,281,623
Avangrid,
Inc.
234,678
7,080,235
Duke
Energy
Corp.
353,786
31,225,152
Evergy,
Inc.
39,221
1,988,505
Exelon
Corp.
40,444
1,528,379
Hawaiian
Electric
Industries,
Inc.
261,707
3,221,613
IDACORP,
Inc.
46,618
4,365,776
Pinnacle
West
Capital
Corp.
93,921
6,920,099
Xcel
Energy,
Inc.
250,633
14,341,220
75,152,515
Electrical
Equipment
-
0.3%
Eaton
Corp.
plc
30,731
6,554,308
Hubbell,
Inc.,
Class
B
10,449
3,274,821
9,829,129
Electronic
Equipment,
Instruments
&
Components
-
0.4%
Amphenol
Corp.,
Class
A
145,779
12,243,978
Entertainment
-
1.1%
Electronic
Arts,
Inc.
282,959
34,068,264
Financial
Services
-
3.0%
Jack
Henry
&
Associates,
Inc.
28,096
4,246,430
Mastercard,
Inc.,
Class
A
105,242
41,666,360
MGIC
Investment
Corp.
252,523
4,214,609
Visa,
Inc.,
Class
A
193,937
44,607,449
94,734,848
Food
Products
-
5.8%
Archer-Daniels-Midland
Co.
49,290
3,717,452
Flowers
Foods,
Inc.
379,167
8,409,924
General
Mills,
Inc.
256,146
16,390,782
Hershey
Co.
(The)
196,100
39,235,688
Hormel
Foods
Corp.
253,319
9,633,722
J
M
Smucker
Co.
(The)
320,277
39,365,246
Kraft
Heinz
Co.
(The)
960,322
32,305,232
66
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Food
Products
-
5.8%
(continued)
McCormick
&
Co.,
Inc.
(Non-Voting)
54,954
4,156,720
Mondelez
International,
Inc.,
Class
A
401,242
27,846,195
181,060,961
Gas
Utilities
-
0.1%
Atmos
Energy
Corp.
38,449
4,072,903
Ground
Transportation
-
1.9%
JB
Hunt
Transport
Services,
Inc.
36,064
6,798,785
Knight-Swift
Transportation
Holdings,
Inc.,
Class
A
28,781
1,443,367
Landstar
System,
Inc.
113,538
20,089,414
Old
Dominion
Freight
Line,
Inc.
66,536
27,222,539
U-Haul
Holding
Co.
*
2,125
115,961
Union
Pacific
Corp.
19,257
3,921,303
59,591,369
Health
Care
Equipment
&
Supplies
-
3.2%
Abbott
Laboratories
216,198
20,938,776
Becton
Dickinson
&
Co.
92,507
23,915,835
Edwards
Lifesciences
Corp.
*
49,906
3,457,488
GE
HealthCare
Technologies,
Inc.
22,372
1,522,191
Hologic,
Inc.
*
102,165
7,090,251
Intuitive
Surgical,
Inc.
*
42,721
12,486,921
Medtronic
plc
212,525
16,653,459
Stryker
Corp.
46,469
12,698,583
98,763,504
Health
Care
Providers
&
Services
-
5.9%
Centene
Corp.
*
154,942
10,672,405
Chemed
Corp.
23,276
12,096,537
Cigna
Group
(The)
116,579
33,349,755
CVS
Health
Corp.
27,915
1,949,025
Elevance
Health,
Inc.
24,550
10,689,561
Henry
Schein,
Inc.
*
49,406
3,668,396
Humana,
Inc.
99,166
48,246,242
McKesson
Corp.
30,993
13,477,306
Premier,
Inc.,
Class
A
43,105
926,758
Quest
Diagnostics,
Inc.
11,436
1,393,591
UnitedHealth
Group,
Inc.
96,628
48,718,871
185,188,447
Health
Care
Technology
-
0.0%
†
Veeva
Systems,
Inc.,
Class
A
*
7,243
1,473,588
Hotels,
Restaurants
&
Leisure
-
1.6%
Booking
Holdings,
Inc.
*
594
1,831,866
McDonald's
Corp.
163,570
43,090,881
Texas
Roadhouse,
Inc.,
Class
A
46,342
4,453,466
49,376,213
Household
Durables
-
0.8%
Garmin
Ltd.
75,680
7,961,536
NVR,
Inc.
*
1,373
8,187,611
PulteGroup,
Inc.
60,836
4,504,906
INVESTMENTS
SHARES
VALUE
($)
Household
Durables
-
0.8%
(continued)
Toll
Brothers,
Inc.
65,334
4,832,102
25,486,155
Household
Products
-
3.9%
Church
&
Dwight
Co.,
Inc.
317,587
29,100,497
Clorox
Co.
(The)
37,109
4,863,505
Colgate-Palmolive
Co.
515,292
36,642,414
Kimberly-Clark
Corp.
64,247
7,764,250
Procter
&
Gamble
Co.
(The)
301,901
44,035,280
122,405,946
Industrial
Conglomerates
-
1.0%
General
Electric
Co.
210,288
23,247,338
Honeywell
International,
Inc.
44,644
8,247,533
31,494,871
Insurance
-
7.4%
Allstate
Corp.
(The)
45,396
5,057,568
Aon
plc,
Class
A
78,606
25,485,637
Arch
Capital
Group
Ltd.
*
105,355
8,397,847
Arthur
J
Gallagher
&
Co.
96,160
21,917,749
Assurant,
Inc.
42,856
6,153,264
Assured
Guaranty
Ltd.
31,782
1,923,447
Chubb
Ltd.
73,105
15,218,999
CNA
Financial
Corp.
28,962
1,139,655
Erie
Indemnity
Co.,
Class
A
7,737
2,273,053
Everest
Group
Ltd.
56,346
20,942,118
Loews
Corp.
14,461
915,526
Markel
Group,
Inc.
*
3,840
5,654,361
Marsh
&
McLennan
Cos.,
Inc.
135,372
25,761,292
Progressive
Corp.
(The)
280,766
39,110,704
Reinsurance
Group
of
America,
Inc.
43,559
6,324,331
RenaissanceRe
Holdings
Ltd.
43,553
8,620,010
Travelers
Cos.,
Inc.
(The)
155,356
25,371,188
Unum
Group
56,030
2,756,116
W
R
Berkley
Corp.
59,131
3,754,227
White
Mountains
Insurance
Group
Ltd.
2,255
3,372,781
230,149,873
Interactive
Media
&
Services
-
1.6%
Alphabet,
Inc.,
Class
A
*
329,401
43,105,415
Meta
Platforms,
Inc.,
Class
A
*
23,135
6,945,358
50,050,773
IT
Services
-
1.3%
Accenture
plc,
Class
A
35,337
10,852,346
Akamai
Technologies,
Inc.
*
60,052
6,397,940
Amdocs
Ltd.
90,648
7,658,850
International
Business
Machines
Corp.
88,863
12,467,479
VeriSign,
Inc.
*
11,716
2,372,841
39,749,456
67
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Life
Sciences
Tools
&
Services
-
2.8%
Danaher
Corp.
139,886
34,705,717
Mettler-Toledo
International,
Inc.
*
6,964
7,716,599
QIAGEN
NV
*
75,128
3,042,684
Thermo
Fisher
Scientific,
Inc.
58,423
29,571,970
West
Pharmaceutical
Services,
Inc.
34,960
13,117,342
88,154,312
Machinery
-
0.8%
Caterpillar,
Inc.
23,478
6,409,494
Cummins,
Inc.
9,380
2,142,955
IDEX
Corp.
18,610
3,871,252
Illinois
Tool
Works,
Inc.
38,005
8,752,932
Lincoln
Electric
Holdings,
Inc.
17,200
3,126,788
24,303,421
Media
-
0.0%
†
Fox
Corp.,
Class
A
37,769
1,178,393
Metals
&
Mining
-
0.3%
Newmont
Corp.
194,426
7,184,041
Reliance
Steel
&
Aluminum
Co.
3,518
922,525
Royal
Gold,
Inc.
16,946
1,801,868
9,908,434
Multi-Utilities
-
1.3%
Ameren
Corp.
107,298
8,029,109
Consolidated
Edison,
Inc.
244,269
20,892,328
DTE
Energy
Co.
37,159
3,689,146
Public
Service
Enterprise
Group,
Inc.
23,473
1,335,848
WEC
Energy
Group,
Inc.
93,407
7,523,934
41,470,365
Oil,
Gas
&
Consumable
Fuels
-
2.4%
Chevron
Corp.
107,327
18,097,479
ConocoPhillips
38,925
4,663,215
EOG
Resources,
Inc.
128,581
16,298,927
Exxon
Mobil
Corp.
276,886
32,556,256
Marathon
Petroleum
Corp.
21,924
3,317,978
74,933,855
Pharmaceuticals
-
4.3%
Bristol-Myers
Squibb
Co.
120,832
7,013,089
Eli
Lilly
&
Co.
78,430
42,127,106
Johnson
&
Johnson
284,140
44,254,805
Merck
&
Co.,
Inc.
359,964
37,058,294
Pfizer,
Inc.
79,822
2,647,696
133,100,990
Professional
Services
-
2.6%
Automatic
Data
Processing,
Inc.
82,914
19,947,450
Booz
Allen
Hamilton
Holding
Corp.,
Class
A
15,816
1,728,214
CACI
International,
Inc.,
Class
A
*
54,349
17,061,782
FTI
Consulting,
Inc.
*
135,009
24,086,956
Leidos
Holdings,
Inc.
21,905
2,018,765
Paychex,
Inc.
56,042
6,463,324
INVESTMENTS
SHARES
VALUE
($)
Professional
Services
-
2.6%
(continued)
Science
Applications
International
Corp.
11,649
1,229,435
Verisk
Analytics,
Inc.,
Class
A
33,491
7,911,914
80,447,840
Real
Estate
Management
&
Development
-
0.1%
CoStar
Group,
Inc.
*
46,685
3,589,610
Semiconductors
&
Semiconductor
Equipment
-
1.3%
Analog
Devices,
Inc.
25,044
4,384,954
Broadcom,
Inc.
32,808
27,249,669
First
Solar,
Inc.
*
7,400
1,195,766
Texas
Instruments,
Inc.
46,659
7,419,247
40,249,636
Software
-
5.1%
Adobe,
Inc.
*
58,695
29,928,581
ANSYS,
Inc.
*
9,356
2,783,878
Cadence
Design
Systems,
Inc.
*
142,727
33,440,936
Dolby
Laboratories,
Inc.,
Class
A
112,322
8,902,642
Manhattan
Associates,
Inc.
*
33,515
6,624,575
Microsoft
Corp.
98,574
31,124,740
Oracle
Corp.
59,850
6,339,312
Roper
Technologies,
Inc.
64,596
31,282,551
Synopsys,
Inc.
*
16,359
7,508,290
157,935,505
Specialty
Retail
-
2.7%
AutoZone,
Inc.
*
12,409
31,518,736
Lowe's
Cos.,
Inc.
9,305
1,933,951
Murphy
USA,
Inc.
13,019
4,448,983
O'Reilly
Automotive,
Inc.
*
42,868
38,961,010
Ulta
Beauty,
Inc.
*
21,566
8,614,539
85,477,219
Technology
Hardware,
Storage
&
Peripherals
-
1.6%
Apple,
Inc.
256,879
43,980,254
Hewlett
Packard
Enterprise
Co.
257,547
4,473,591
48,453,845
Textiles,
Apparel
&
Luxury
Goods
-
0.7%
Deckers
Outdoor
Corp.
*
22,097
11,359,847
Lululemon
Athletica,
Inc.
*
27,866
10,745,408
22,105,255
Tobacco
-
0.9%
Altria
Group,
Inc.
269,489
11,332,013
Philip
Morris
International,
Inc.
195,842
18,131,052
29,463,065
Trading
Companies
&
Distributors
-
0.5%
Fastenal
Co.
80,827
4,416,387
WW
Grainger,
Inc.
17,520
12,121,037
16,537,424
Water
Utilities
-
0.2%
American
Water
Works
Co.,
Inc.
58,709
7,269,935
68
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Wireless
Telecommunication
Services
-
1.5%
T-Mobile
US,
Inc.
*
325,328
45,562,186
TOTAL
COMMON
STOCKS
(Cost
$2,017,353,885)
3,012,239,566
SHORT-TERM
INVESTMENTS
-
3.6%
INVESTMENT
COMPANIES
-
3.6%
Limited
Purpose
Cash
Investment
Fund,
5.36%
(a)
(Cost
$113,674,133)
113,708,245
113,674,133
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.0%
(Cost
$2,131,028,018)
3,125,913,699
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(0.0)%
†‡
(660,183)
NET
ASSETS
-
100.0%
3,125,253,516
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
160,742,823
5.2
%
Consumer
Discretionary
187,374,257
6.0
Consumer
Staples
600,506,975
19.2
Energy
74,933,855
2.4
Financials
381,342,038
12.2
Health
Care
658,236,381
21.1
Industrials
444,163,030
14.2
Information
Technology
344,040,279
11.0
Materials
29,344,600
0.9
Real
Estate
3,589,610
0.1
Utilities
127,965,718
4.1
Investment
Companies
113,674,133
3.6
Total
Investments
In
Securities
At
Value
3,125,913,699
100.0
Liabilities
in
Excess
of
Other
Assets
‡
(660,183)
(0.0)†
Net
Assets
$
3,125,253,516
100.0%
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
†
Represents
less
than
0.05%
of
net
assets.
‡
Includes
appreciation/(depreciation)
on
futures
contracts.
(a)
Represents
7-day
effective
yield
as
of
September
30,
2023.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
4).
Futures
contracts
outstanding
as
of
September
30,
2023:
Exchange-Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
474
12/2023
USD
$
102,514,350
$
(5,002,830)
$
(5,002,830)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2023
was
as
follows:
COUNTERPARTY
OVER-THE-COUNTER
EXCHANGE-TRADED
TOTAL
GSCO
Cash
$
–
$
10,558,993
$
10,558,993
69
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
92.9%
Australia
-
7.4%
Ampol
Ltd.
13,002
280,715
Aurizon
Holdings
Ltd.
578,038
1,292,446
BHP
Group
Ltd.
41,744
1,172,624
Cochlear
Ltd.
11,807
1,933,789
Coles
Group
Ltd.
64,049
639,264
Computershare
Ltd.
21,044
350,689
Fortescue
Metals
Group
Ltd.
29,644
394,059
Goodman
Group,
REIT
26,881
368,427
Medibank
Pvt
Ltd.
120,650
266,291
Origin
Energy
Ltd.
30,708
172,915
Pilbara
Minerals
Ltd.
107,920
294,426
QBE
Insurance
Group
Ltd.
31,119
311,727
REA
Group
Ltd.
14,635
1,445,388
Santos
Ltd.
109,455
551,766
Sonic
Healthcare
Ltd.
49,762
950,203
Telstra
Group
Ltd.
1,371,473
3,388,419
Treasury
Wine
Estates
Ltd.
68,161
538,244
Vicinity
Ltd.,
REIT
85,795
92,980
Washington
H
Soul
Pattinson
&
Co.
Ltd.
37,810
788,742
Wesfarmers
Ltd.
29,562
1,000,496
WiseTech
Global
Ltd.
14,332
594,926
Woolworths
Group
Ltd.
85,111
2,037,659
18,866,195
—
Belgium
-
0.5%
Ageas
SA/NV
3,447
141,970
Anheuser-Busch
InBev
SA/NV
14,672
813,359
Groupe
Bruxelles
Lambert
NV
354
26,341
UCB
SA
2,856
233,933
1,215,603
—
Brazil
-
1.1%
Wheaton
Precious
Metals
Corp.
(1)
48,259
1,958,429
Yara
International
ASA
20,186
762,216
2,720,645
—
Canada
-
11.2%
Agnico
Eagle
Mines
Ltd.
(1)
2,765
125,644
Alimentation
Couche-Tard,
Inc.
(1)
19,956
1,013,484
Bank
of
Montreal
(1)
1,972
166,355
Bank
of
Nova
Scotia
(The)
(1)
7,201
322,766
Barrick
Gold
Corp.
(1)
17,209
249,979
BCE,
Inc.
(1)
36,079
1,377,284
Canadian
National
Railway
Co.
(1)
8,555
926,453
Canadian
Pacific
Kansas
City
Ltd.
(1)
12,615
937,685
Canadian
Utilities
Ltd.,
Class
A
(1)
38,965
823,336
CGI,
Inc.
(1)*
21,282
2,097,724
Constellation
Software,
Inc.
(1)
883
1,822,929
Emera,
Inc.
(1)
14,915
520,721
Fairfax
Financial
Holdings
Ltd.
(1)
614
501,222
Fortis,
Inc.
(1)
48,097
1,826,854
Franco-Nevada
Corp.
(1)
15,464
2,064,485
George
Weston
Ltd.
(1)
1,315
145,834
Hydro
One
Ltd.
(1)(a)
107,653
2,740,763
Imperial
Oil
Ltd.
(1)
18,089
1,114,173
Intact
Financial
Corp.
(1)
11,764
1,715,080
INVESTMENTS
SHARES
VALUE
($)
Canada
-
11.2%
(continued)
Loblaw
Cos.
Ltd.
(1)
37,753
3,207,581
Lumine
Group,
Inc.
(1)*(b)
2,895
42,884
Manulife
Financial
Corp.
(1)
6,431
117,517
Metro,
Inc.,
Class
A
(1)
43,531
2,260,760
Rogers
Communications,
Inc.,
Class
B
(1)
4,634
177,922
Royal
Bank
of
Canada
(1)
10,211
892,358
Saputo,
Inc.
(1)
15,712
328,526
Sun
Life
Financial,
Inc.
(1)
3,828
186,771
Thomson
Reuters
Corp.
(1)
3,850
470,985
Toronto-Dominion
Bank
(The)
(1)
2,713
163,449
West
Fraser
Timber
Co.
Ltd.
(1)
3,988
289,532
28,631,056
—
China
-
1.0%
BOC
Hong
Kong
Holdings
Ltd.
346,500
945,899
Budweiser
Brewing
Co.
APAC
Ltd.
(a)
461,700
907,339
SITC
International
Holdings
Co.
Ltd.
133,000
223,149
Wilmar
International
Ltd.
155,300
422,617
2,499,004
—
Denmark
-
3.3%
Carlsberg
A/S,
Class
B
10,858
1,369,031
Coloplast
A/S,
Class
B
5,794
613,104
Genmab
A/S
*
8,786
3,110,689
Novo
Nordisk
A/S,
Class
B
25,616
2,332,369
Pandora
A/S
1,478
152,517
ROCKWOOL
A/S,
Class
B
3,028
731,824
8,309,534
—
Finland
-
0.7%
Elisa
OYJ
13,736
636,982
Kone
OYJ,
Class
B
4,560
192,159
Nokia
OYJ
79,412
298,595
Orion
OYJ,
Class
B
13,732
539,473
1,667,209
—
France
-
7.9%
Air
Liquide
SA
8,312
1,400,003
AXA
SA
2,954
87,642
BioMerieux
2,933
283,741
Bouygues
SA
10,793
377,373
Carrefour
SA
20,680
355,181
Danone
SA
24,262
1,338,237
Dassault
Aviation
SA
10,529
1,983,136
Dassault
Systemes
SE
20,125
747,491
Engie
SA
76,996
1,180,824
EssilorLuxottica
SA
1,091
189,775
Hermes
International
SCA
960
1,749,915
Ipsen
SA
8,896
1,165,571
L'Oreal
SA
8,650
3,584,666
Orange
SA
84,827
972,988
Pernod
Ricard
SA
3,852
641,319
Societe
Generale
SA
28,921
699,819
Thales
SA
4,719
663,223
TotalEnergies
SE
37,989
2,497,752
70
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
France
-
7.9%
(continued)
Vivendi
SE
38,148
334,105
20,252,761
—
Germany
-
3.4%
Beiersdorf
AG
27,697
3,572,612
Deutsche
Boerse
AG
1,426
246,266
Hannover
Rueck
SE
2,193
481,185
Rational
AG
1,098
694,708
RWE
AG
22,192
823,763
SAP
SE
18,041
2,335,264
Scout24
SE
(a)
7,776
539,177
Telefonica
Deutschland
Holding
AG
40,328
72,129
8,765,104
—
Hong
Kong
-
2.9%
CK
Asset
Holdings
Ltd.
106,500
559,401
CLP
Holdings
Ltd.
252,000
1,860,739
HKT
Trust
&
HKT
Ltd.
74,000
77,165
Hong
Kong
&
China
Gas
Co.
Ltd.
263,487
183,331
MTR
Corp.
Ltd.
221,000
873,042
Power
Assets
Holdings
Ltd.
534,500
2,581,370
Sino
Land
Co.
Ltd.
125,866
141,553
Sun
Hung
Kai
Properties
Ltd.
52,000
554,838
Swire
Pacific
Ltd.,
Class
A
11,000
74,091
Swire
Properties
Ltd.
144,000
299,480
WH
Group
Ltd.
(a)
192,000
100,496
7,305,506
—
Italy
-
0.7%
Assicurazioni
Generali
SpA
13,836
282,426
Coca-Cola
HBC
AG
37,799
1,033,568
Davide
Campari-Milano
NV
6,229
73,330
Enel
SpA
29,781
182,639
Snam
SpA
40,524
190,150
Terna
-
Rete
Elettrica
Nazionale
13,966
105,044
1,867,157
—
Japan
-
21.7%
Astellas
Pharma,
Inc.
53,600
741,911
Brother
Industries
Ltd.
50,800
818,289
Canon,
Inc.
125,800
3,030,350
Capcom
Co.
Ltd.
27,200
978,975
Chubu
Electric
Power
Co.,
Inc.
8,800
112,023
Chugai
Pharmaceutical
Co.
Ltd.
23,400
721,517
Dai
Nippon
Printing
Co.
Ltd.
4,100
106,674
Daito
Trust
Construction
Co.
Ltd.
7,900
832,136
Disco
Corp.
5,100
942,256
FUJIFILM
Holdings
Corp.
20,000
1,157,012
Fujitsu
Ltd.
4,700
552,772
Hamamatsu
Photonics
KK
4,200
176,626
Hirose
Electric
Co.
Ltd.
2,400
277,615
Hoya
Corp.
25,500
2,611,646
Inpex
Corp.
65,900
988,390
Japan
Post
Bank
Co.
Ltd.
120,000
1,044,222
Japan
Post
Holdings
Co.
Ltd.
44,700
357,606
Japan
Tobacco,
Inc.
137,300
3,159,004
Kajima
Corp.
5,300
86,273
Kao
Corp.
4,000
148,260
KDDI
Corp.
116,100
3,553,876
Keyence
Corp.
2,300
850,600
INVESTMENTS
SHARES
VALUE
($)
Japan
-
21.7%
(continued)
Kikkoman
Corp.
1,400
73,378
Kirin
Holdings
Co.
Ltd.
87,800
1,229,239
Kobayashi
Pharmaceutical
Co.
Ltd.
17,000
758,217
Koei
Tecmo
Holdings
Co.
Ltd.
14,600
207,431
Kyocera
Corp.
11,800
598,233
MatsukiyoCocokara
&
Co.
9,900
177,339
McDonald's
Holdings
Co.
Japan
Ltd.
(1)
4,400
168,121
MEIJI
Holdings
Co.
Ltd.
23,000
571,644
Murata
Manufacturing
Co.
Ltd.
4,500
82,090
Nexon
Co.
Ltd.
61,700
1,102,496
NGK
Insulators
Ltd.
27,500
364,473
Nintendo
Co.
Ltd.
46,100
1,915,592
Nippon
Telegraph
&
Telephone
Corp.
1,537,600
1,819,958
Nippon
Yusen
KK
26,800
695,858
Nissin
Foods
Holdings
Co.
Ltd.
9,800
814,310
Nitto
Denko
Corp.
8,100
531,161
Nomura
Research
Institute
Ltd.
9,861
256,304
Obayashi
Corp.
15,300
134,638
Obic
Co.
Ltd.
13,600
2,060,679
Oji
Holdings
Corp.
179,900
756,879
Ono
Pharmaceutical
Co.
Ltd.
10,700
205,209
Oracle
Corp.
Japan
14,500
1,074,091
Osaka
Gas
Co.
Ltd.
78,500
1,291,709
Otsuka
Corp.
25,400
1,074,636
Otsuka
Holdings
Co.
Ltd.
19,600
695,900
Recruit
Holdings
Co.
Ltd.
18,900
578,246
Renesas
Electronics
Corp.
*
11,700
178,717
Rohm
Co.
Ltd.
3,600
67,677
SCSK
Corp.
41,700
727,032
Secom
Co.
Ltd.
18,300
1,241,487
Seiko
Epson
Corp.
29,100
457,003
Sekisui
Chemical
Co.
Ltd.
20,900
300,687
SG
Holdings
Co.
Ltd.
27,000
345,650
Shin-Etsu
Chemical
Co.
Ltd.
8,800
255,602
Shionogi
&
Co.
Ltd.
4,500
200,720
Shizuoka
Financial
Group,
Inc.
9,600
78,235
SoftBank
Corp.
55,700
630,429
Square
Enix
Holdings
Co.
Ltd.
5,500
188,460
Subaru
Corp.
19,600
381,112
Suntory
Beverage
&
Food
Ltd.
67,900
2,066,396
Sysmex
Corp.
5,400
256,593
TIS,
Inc.
23,500
516,746
Tokyo
Electron
Ltd.
2,200
300,503
Tokyo
Gas
Co.
Ltd.
52,800
1,197,116
TOPPAN
Holdings,
Inc.
17,200
411,447
Tosoh
Corp.
16,900
216,676
Unicharm
Corp.
14,500
512,687
USS
Co.
Ltd.
30,700
507,512
Yakult
Honsha
Co.
Ltd.
72,000
1,748,661
Yamato
Holdings
Co.
Ltd.
4,400
71,615
55,344,627
—
Luxembourg
-
0.0%
†
ArcelorMittal
SA
3,269
81,843
71
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Netherlands
-
3.6%
Argenx
SE
*
2,612
1,276,818
ASML
Holding
NV
778
458,048
BE
Semiconductor
Industries
NV
5,367
524,927
Heineken
NV
11,970
1,055,294
JDE
Peet's
NV
(1)
23,349
652,197
Koninklijke
Ahold
Delhaize
NV
85,044
2,563,199
Koninklijke
KPN
NV
126,925
418,176
Shell
plc
64,890
2,056,638
Wolters
Kluwer
NV
2,280
276,052
9,281,349
—
Norway
-
2.2%
Equinor
ASA
92,988
3,047,407
Gjensidige
Forsikring
ASA
40,033
587,424
Orkla
ASA
241,147
1,801,112
Telenor
ASA
24,368
276,349
5,712,292
—
Portugal
-
0.2%
Jeronimo
Martins
SGPS
SA
25,702
577,221
Singapore
-
3.0%
DBS
Group
Holdings
Ltd.
56,200
1,380,253
Jardine
Cycle
&
Carriage
Ltd.
4,300
100,251
Oversea-Chinese
Banking
Corp.
Ltd.
332,900
3,113,298
Singapore
Telecommunications
Ltd.
865,300
1,531,664
United
Overseas
Bank
Ltd.
70,900
1,476,713
7,602,179
—
Spain
-
1.1%
Endesa
SA
8,628
175,592
Iberdrola
SA
72,838
814,653
Industria
de
Diseno
Textil
SA
37,696
1,402,746
Redeia
Corp.
SA
33,968
534,362
2,927,353
—
Sweden
-
1.2%
Essity
AB,
Class
B
30,372
655,040
Evolution
AB
(a)
1,381
139,356
Industrivarden
AB,
Class
A
8,856
233,526
L
E
Lundbergforetagen
AB,
Class
B
1,772
73,886
Swedish
Orphan
Biovitrum
AB
*
70,849
1,447,639
Tele2
AB,
Class
B
64,296
491,703
3,041,150
—
Switzerland
-
5.7%
Alcon,
Inc.
4,045
312,142
Baloise
Holding
AG
(Registered)
7,254
1,050,207
Barry
Callebaut
AG
(Registered)
168
267,161
BKW
AG
9,238
1,626,274
Chocoladefabriken
Lindt
&
Spruengli
AG
127
1,411,293
EMS-Chemie
Holding
AG
(Registered)
596
403,879
Kuehne
+
Nagel
International
AG
(Registered)
4,123
1,171,471
Novartis
AG
(Registered)
29,656
3,028,727
Schindler
Holding
AG
957
190,634
Sonova
Holding
AG
(Registered)
1,521
359,985
Swisscom
AG
(Registered)
5,815
3,452,892
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
5.7%
(continued)
Zurich
Insurance
Group
AG
2,611
1,194,678
14,469,343
—
United
Kingdom
-
9.9%
Associated
British
Foods
plc
37,789
949,405
AstraZeneca
plc
12,430
1,676,614
Auto
Trader
Group
plc
(a)
275,178
2,067,680
BAE
Systems
plc
107,149
1,302,058
BP
plc
92,756
597,899
British
American
Tobacco
plc
112,722
3,539,325
Centrica
plc
806,418
1,516,801
CK
Hutchison
Holdings
Ltd.
95,000
504,364
Diageo
plc
61,975
2,284,902
Imperial
Brands
plc
78,477
1,592,018
J
Sainsbury
plc
201,897
621,747
National
Grid
plc
71,175
851,207
Next
plc
1,031
91,441
Reckitt
Benckiser
Group
plc
33,113
2,335,153
Sage
Group
plc
(The)
125,322
1,508,113
Smith
&
Nephew
plc
26,029
323,035
Tesco
plc
274,835
884,003
Unilever
plc
34,242
1,693,842
Vodafone
Group
plc
914,650
857,394
25,197,001
—
United
States
-
4.2%
CSL
Ltd.
10,693
1,722,675
Ferguson
plc
3,146
517,738
GSK
plc
20,352
368,245
Holcim
AG
1,641
105,039
Nestle
SA
(Registered)
27,753
3,141,528
QIAGEN
NV
*
32,232
1,300,548
Roche
Holding
AG
7,793
2,127,498
Sanofi
9,982
1,071,820
Swiss
Re
AG
4,603
472,730
10,827,821
—
TOTAL
COMMON
STOCKS
(Cost
$215,065,420)
237,161,953
PREFERRED
STOCKS
-
1.3%
Germany
-
1.3%
Henkel
AG
&
Co.
KGaA
(Preference)
(Cost
$3,488,076)
46,595
3,318,006
NO.
OF
WARRANTS
WARRANTS
-
0.0%
Canada
-
0.0%
Constellation
Software,
Inc.,
expiring
3/31/2040
(3)*(c)
(Cost
$–)
883
–
72
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
1.0%
INVESTMENT
COMPANIES
-
1.0%
Limited
Purpose
Cash
Investment
Fund,
5.36%
(1)(d)
(Cost
$2,488,395)
2,489,986
2,489,239
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
95.2%
(Cost
$221,041,891)
242,969,198
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
4.8%
‡
12,186,298
NET
ASSETS
-
100.0%
255,155,496
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
28,514,633
11.2
%
Consumer
Discretionary
5,893,903
2.3
Consumer
Staples
64,984,686
25.5
Energy
11,134,741
4.4
Financials
19,406,605
7.6
Health
Care
31,801,887
12.5
Industrials
17,815,803
7.0
Information
Technology
25,630,133
10.0
Materials
11,062,476
4.3
Real
Estate
2,922,906
1.1
Utilities
21,312,186
8.3
Investment
Companies
2,489,239
1.0
Total
Investments
In
Securities
At
Value
242,969,198
95.2
Other
Assets
in
Excess
of
Liabilities
‡
12,186,298
4.8
Net
Assets
$
255,155,496
100.0%
*
Non-income
producing
security.
†
Represents
less
than
0.05%
of
net
assets.
‡
Includes
appreciation/(depreciation)
on
futures
contracts.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$6,494,811,
which
represents
2.55%
of
net
assets
of
the
Fund.
(b)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$42,884,
which
represents
0.02%
of
net
assets
of
the
Fund.
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2023
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$0,
which
represents
0.00%
of
net
assets
of
the
Fund.
(d)
Represents
7-day
effective
yield
as
of
September
30,
2023.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
4).
(3)
Level
3
security
(See
Note
4).
Futures
contracts
outstanding
as
of
September
30,
2023:
Exchange-Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
118
12/2023
USD
$
12,044,850
$
28,668
$
28,668
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2023
was
as
follows:
COUNTERPARTY
OVER-THE-COUNTER
EXCHANGE-
TRADED
TOTAL
JPMS
Cash
$
–
$
250,440
$
250,440
73
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
86.9%
Australia
-
1.8%
ASX
Ltd.
(2)
891
32,591
BHP
Group
Ltd.
(2)
14,980
420,801
BlueScope
Steel
Ltd.
(2)
187,720
2,324,630
Dexus,
REIT
(2)
17,949
83,669
Goodman
Group,
REIT
(2)
25,367
347,676
GPT
Group
(The),
REIT
(2)
42,925
106,893
Lendlease
Corp.
Ltd.
(2)
2,927
13,423
Mirvac
Group,
REIT
(2)
95,677
130,043
Pilbara
Minerals
Ltd.
(2)
209,800
572,374
Qantas
Airways
Ltd.
(2)*
167,965
556,046
Scentre
Group,
REIT
(2)
90,560
142,303
Sonic
Healthcare
Ltd.
(2)
11,548
220,508
South32
Ltd.
(2)
341,415
737,186
Stockland,
REIT
(2)
49,658
124,283
Vicinity
Ltd.,
REIT
(2)
97,628
105,805
5,918,231
—
Belgium
-
0.5%
Ageas
SA/NV
(2)
34,074
1,403,387
Solvay
SA
(2)
1,728
190,960
1,594,347
—
Canada
-
2.1%
Agnico
Eagle
Mines
Ltd.
5,475
248,789
Air
Canada
*
76,989
1,098,507
ARC
Resources
Ltd.
60,380
963,768
Bank
of
Montreal
1,384
116,752
Empire
Co.
Ltd.,
Class
A
5,863
159,498
Great-West
Lifeco,
Inc.
1,345
38,481
Imperial
Oil
Ltd.
16,142
994,250
Manulife
Financial
Corp.
4,823
88,133
Nutrien
Ltd.
15,760
973,274
Parkland
Corp.
12,446
364,056
Power
Corp.
of
Canada
7,139
181,753
Restaurant
Brands
International,
Inc.
2,388
159,024
RioCan,
REIT
11,451
152,343
Shopify,
Inc.,
Class
A
*
4,633
252,892
Suncor
Energy,
Inc.
16,037
551,510
West
Fraser
Timber
Co.
Ltd.
3,995
290,040
6,633,070
—
China
-
0.4%
BOC
Hong
Kong
Holdings
Ltd.
(2)
112,500
307,110
NXP
Semiconductors
NV
3,094
618,553
SITC
International
Holdings
Co.
Ltd.
(2)
175,000
293,616
1,219,279
—
Denmark
-
0.7%
AP
Moller
-
Maersk
A/S,
Class
B
(2)
859
1,545,250
Danske
Bank
A/S
(2)
36,460
846,091
2,391,341
—
Finland
-
0.1%
Nokia
OYJ
(2)
99,538
374,270
INVESTMENTS
SHARES
VALUE
($)
France
-
1.9%
BNP
Paribas
SA
(2)
9,012
573,040
Cie
de
Saint-Gobain
SA
(2)
33,762
2,020,670
Dassault
Aviation
SA
(2)
3,170
597,069
Renault
SA
(2)
11,042
451,800
Societe
Generale
SA
(2)
26,315
636,760
Sodexo
SA
(2)
2,483
255,619
TotalEnergies
SE
(2)
20,036
1,317,354
Unibail-Rodamco-Westfield,
REIT
(2)*
3,473
170,786
6,023,098
—
Germany
-
2.4%
Bayerische
Motoren
Werke
AG
(2)
24,683
2,506,982
Commerzbank
AG
(2)
48,581
551,363
Daimler
Truck
Holding
AG
(2)
3,236
112,044
Deutsche
Bank
AG
(Registered)
(2)
246,455
2,708,607
Deutsche
Lufthansa
AG
(Registered)
(2)*
27,854
220,420
E.ON
SE
(2)
10,502
124,197
Fresenius
SE
&
Co.
KGaA
(2)
1,365
42,397
GEA
Group
AG
(2)
2,949
108,684
Heidelberg
Materials
AG
(2)
1,176
91,082
Mercedes-Benz
Group
AG
(2)
12,641
879,773
Telefonica
Deutschland
Holding
AG
(2)
202,608
362,379
7,707,928
—
Hong
Kong
-
0.2%
CK
Infrastructure
Holdings
Ltd.
(2)
2,749
12,971
Hang
Lung
Properties
Ltd.
(2)
67,000
91,667
Hong
Kong
Exchanges
&
Clearing
Ltd.
(2)
5,269
195,547
Link,
REIT
(2)
18,329
89,620
New
World
Development
Co.
Ltd.
(2)
95,000
184,195
WH
Group
Ltd.
(2)(a)
432,000
226,116
800,116
—
Italy
-
1.0%
Assicurazioni
Generali
SpA
(2)
20,077
409,820
Eni
SpA
(2)
12,904
207,287
Intesa
Sanpaolo
SpA
(2)
114,325
292,811
UniCredit
SpA
(2)
98,885
2,356,073
3,265,991
—
Japan
-
6.3%
Dai-ichi
Life
Holdings,
Inc.
(2)
46,800
966,154
Daito
Trust
Construction
Co.
Ltd.
(2)
486
51,192
Daiwa
House
Industry
Co.
Ltd.
(2)
2,451
65,783
Fujitsu
Ltd.
(2)
700
82,328
Hulic
Co.
Ltd.
(2)
1,500
13,450
Idemitsu
Kosan
Co.
Ltd.
(2)
6,400
146,721
Iida
Group
Holdings
Co.
Ltd.
(2)
52,800
876,187
Inpex
Corp.
(2)
11,700
175,480
Japan
Metropolitan
Fund
Investment
Corp.,
REIT
(2)
214
138,790
Japan
Post
Insurance
Co.
Ltd.
(2)
111,600
1,876,929
Japan
Real
Estate
Investment
Corp.,
REIT
(2)
30
116,902
74
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
Japan
-
6.3%
(continued)
JFE
Holdings,
Inc.
(2)
173,300
2,537,858
Kawasaki
Kisen
Kaisha
Ltd.
(2)
11,800
402,685
Kobayashi
Pharmaceutical
Co.
Ltd.
(2)
4,200
187,324
Mazda
Motor
Corp.
(2)
162,500
1,845,105
McDonald's
Holdings
Co.
Japan
Ltd.
4,300
164,300
Mitsubishi
Corp.
(2)
17,500
833,881
Mitsubishi
Estate
Co.
Ltd.
(2)
5,764
75,197
Mitsui
Fudosan
Co.
Ltd.
(2)
4,598
101,266
Mitsui
OSK
Lines
Ltd.
(2)
4,100
112,664
Mizuho
Financial
Group,
Inc.
(2)
112,500
1,910,021
NGK
Insulators
Ltd.
(2)
10,800
143,139
Nippon
Building
Fund,
Inc.,
REIT
(2)
22
89,090
NIPPON
EXPRESS
HOLDINGS,
Inc.
(2)
2,800
146,104
Nippon
Steel
Corp.
(2)
100,500
2,354,529
Nippon
Yusen
KK
(2)
29,700
771,156
Nissan
Motor
Co.
Ltd.
(2)
91,400
403,370
Nomura
Real
Estate
Holdings,
Inc.
(2)
1,000
25,106
Nomura
Real
Estate
Master
Fund,
Inc.,
REIT
(2)
117
131,041
Obayashi
Corp.
(2)
27,700
243,757
Renesas
Electronics
Corp.
(2)*
55,000
840,123
Shionogi
&
Co.
Ltd.
(2)
2,100
93,669
Subaru
Corp.
(2)
21,500
418,056
SUMCO
Corp.
(2)
6,700
87,187
Sumitomo
Realty
&
Development
Co.
Ltd.
(2)
2,624
68,123
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*
138,800
619,139
Tokyo
Gas
Co.
Ltd.
(2)
9,900
224,459
Tosoh
Corp.
(2)
51,300
657,722
19,995,987
—
Luxembourg
-
0.1%
ArcelorMittal
SA
(2)
18,926
473,832
Macau
-
0.1%
Sands
China
Ltd.
(2)*
66,800
203,137
Netherlands
-
1.2%
ABN
AMRO
Bank
NV,
CVA
(2)(a)
39,174
553,629
ING
Groep
NV
(2)
19,668
259,226
NN
Group
NV
(2)
50,349
1,614,097
OCI
NV
(2)
11,057
307,463
Shell
plc
(2)
38,971
1,235,156
3,969,571
—
Russia
-
0.0%
Evraz
plc
(3)*(b)
77,212
–
Singapore
-
0.1%
Grab
Holdings
Ltd.,
Class
A
*
93,542
331,138
Singapore
Airlines
Ltd.
(2)
17,600
83,023
Singapore
Exchange
Ltd.
(2)
4,067
28,933
443,094
—
INVESTMENTS
SHARES
VALUE
($)
Spain
-
1.3%
Banco
Santander
SA
(2)
97,211
370,186
Repsol
SA
(2)
225,030
3,701,522
4,071,708
—
Sweden
-
0.6%
Assa
Abloy
AB,
Class
B
(2)
11,772
255,789
Investor
AB,
Class
B
(2)
8,816
168,778
Skanska
AB,
Class
B
(2)
26,682
438,133
SKF
AB,
Class
B
(2)
43,493
722,051
Svenska
Handelsbanken
AB,
Class
A
(2)
25,525
227,119
Swedbank
AB,
Class
A
(2)
5,194
95,473
Volvo
Car
AB,
Class
B
(2)*
27,609
111,674
2,019,017
—
Switzerland
-
0.8%
ABB
Ltd.
(Registered)
(2)
12,654
451,662
Baloise
Holding
AG
(Registered)
(2)
2,765
400,307
Dufry
AG
(Registered)
(2)*
2,071
78,627
Novartis
AG
(Registered)
(2)
14,694
1,500,678
Swatch
Group
AG
(The)
(2)
422
108,084
Swiss
Life
Holding
AG
(Registered)
(2)
271
168,610
2,707,968
—
United
Kingdom
-
4.5%
3i
Group
plc
(2)
9,545
240,254
Aviva
plc
(2)
63,068
298,511
Barclays
plc
(2)
936,759
1,805,537
Barratt
Developments
plc
(2)
75,435
404,455
BP
plc
(2)
254,949
1,643,385
British
American
Tobacco
plc
(2)
15,725
493,745
Centrica
plc
(2)
1,098,299
2,065,803
CK
Hutchison
Holdings
Ltd.
(2)
276,500
1,467,963
DCC
plc
(2)
1,667
93,335
HSBC
Holdings
plc
(2)
387,313
3,030,873
Imperial
Brands
plc
(2)
19,106
387,592
Legal
&
General
Group
plc
(2)
104,306
281,453
Pearson
plc
(2)
8,348
88,078
Rolls-Royce
Holdings
plc
(2)*
380,454
1,019,383
Vodafone
Group
plc
(2)
482,009
451,836
Whitbread
plc
(2)
11,293
475,355
14,247,558
—
United
States
-
60.8%
3M
Co.
16,520
1,546,602
AbbVie,
Inc.
895
133,409
Activision
Blizzard,
Inc.
3,912
366,281
Adobe,
Inc.
*
5,411
2,759,069
Akamai
Technologies,
Inc.
*
1,613
171,849
Ally
Financial,
Inc.
16,516
440,647
Alphabet,
Inc.,
Class
A
*
41,176
5,388,291
Alphabet,
Inc.,
Class
C
*
27,001
3,560,082
Altria
Group,
Inc.
87,824
3,692,999
Amazon.com,
Inc.
*
47,368
6,021,421
American
International
Group,
Inc.
21,048
1,275,509
American
Tower
Corp.,
REIT
4,396
722,922
Analog
Devices,
Inc.
493
86,319
Apple,
Inc.
68,222
11,680,290
Applied
Materials,
Inc.
4,722
653,761
75
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
United
States
-
60.8%
(continued)
Archer-Daniels-Midland
Co.
20,873
1,574,242
AT&T,
Inc.
274,090
4,116,832
AvalonBay
Communities,
Inc.,
REIT
811
139,281
Baker
Hughes
Co.,
Class
A
28,219
996,695
Bank
of
America
Corp.
89,452
2,449,196
Bank
of
New
York
Mellon
Corp.
(The)
1,981
84,490
Berkshire
Hathaway,
Inc.,
Class
B
*
6,896
2,415,669
Boeing
Co.
(The)
*
6,548
1,255,121
Booking
Holdings,
Inc.
*
133
410,165
Bristol-Myers
Squibb
Co.
4,123
239,299
Broadcom,
Inc.
1,530
1,270,787
Builders
FirstSource,
Inc.
*
8,465
1,053,808
Caesars
Entertainment,
Inc.
*
8,701
403,291
Capital
One
Financial
Corp.
5,021
487,288
Cardinal
Health,
Inc.
15,780
1,370,020
Caterpillar,
Inc.
427
116,571
Centene
Corp.
*
17,758
1,223,171
CF
Industries
Holdings,
Inc.
15,395
1,319,967
Cheniere
Energy,
Inc.
9,526
1,580,935
Chesapeake
Energy
Corp.
1,015
87,523
Chevron
Corp.
9,914
1,671,699
Chewy,
Inc.,
Class
A
*
9,802
178,985
Chubb
Ltd.
1,019
212,135
Cigna
Group
(The)
12,782
3,656,547
Cisco
Systems,
Inc.
62,119
3,339,517
Citigroup,
Inc.
76,973
3,165,899
Citizens
Financial
Group,
Inc.
47,654
1,277,127
Cleveland-Cliffs,
Inc.
*
26,380
412,319
Clorox
Co.
(The)
2,590
339,445
Coca-Cola
Co.
(The)
24,520
1,372,630
Cognizant
Technology
Solutions
Corp.,
Class
A
14,549
985,549
ConocoPhillips
5,414
648,597
Coterra
Energy,
Inc.
24,123
652,527
Crown
Castle,
Inc.,
REIT
1,970
181,299
CVS
Health
Corp.
57,252
3,997,335
Dell
Technologies,
Inc.,
Class
C
1,245
85,781
Delta
Air
Lines,
Inc.
56,507
2,090,759
Dick's
Sporting
Goods,
Inc.
6,994
759,409
Digital
Realty
Trust,
Inc.,
REIT
910
110,128
Discover
Financial
Services
16,302
1,412,242
DocuSign,
Inc.,
Class
A
*
26,418
1,109,556
Elevance
Health,
Inc.
908
395,361
Enphase
Energy,
Inc.
*
1,047
125,797
EOG
Resources,
Inc.
6,642
841,940
Equinix,
Inc.,
REIT
222
161,230
Equity
Residential,
REIT
2,048
120,238
Everest
Group
Ltd.
1,052
390,997
Exact
Sciences
Corp.
*
1,152
78,589
Exxon
Mobil
Corp.
12,289
1,444,941
Fidelity
National
Information
Services,
Inc.
9,338
516,111
First
Citizens
BancShares,
Inc.,
Class
A
773
1,066,817
First
Horizon
Corp.
137,098
1,510,820
Ford
Motor
Co.
52,054
646,511
Fortinet,
Inc.
*
1,421
83,384
General
Dynamics
Corp.
5,063
1,118,771
General
Motors
Co.
114,168
3,764,119
INVESTMENTS
SHARES
VALUE
($)
United
States
-
60.8%
(continued)
Genuine
Parts
Co.
4,280
617,946
Gilead
Sciences,
Inc.
14,429
1,081,309
Global
Payments,
Inc.
1,662
191,778
GoDaddy,
Inc.,
Class
A
*
13,669
1,018,067
Goldman
Sachs
Group,
Inc.
(The)
1,339
433,260
Hewlett
Packard
Enterprise
Co.
98,853
1,717,077
HF
Sinclair
Corp.
13,972
795,426
Holcim
AG
(2)
5,326
340,911
Home
Depot,
Inc.
(The)
976
294,908
Horizon
Therapeutics
plc
*
799
92,436
Humana,
Inc.
4,992
2,428,708
Huntington
Ingalls
Industries,
Inc.
4,786
979,120
Incyte
Corp.
*
2,360
136,337
International
Paper
Co.
11,371
403,329
Johnson
&
Johnson
1,837
286,113
JPMorgan
Chase
&
Co.
6,583
954,667
Keurig
Dr
Pepper,
Inc.
36,899
1,164,901
KLA
Corp.
1,227
562,776
Kraft
Heinz
Co.
(The)
65,318
2,197,298
Kroger
Co.
(The)
21,147
946,328
Lam
Research
Corp.
535
335,322
Las
Vegas
Sands
Corp.
17,091
783,451
Lennar
Corp.,
Class
A
8,106
909,736
Lockheed
Martin
Corp.
3,296
1,347,932
LyondellBasell
Industries
NV,
Class
A
2,353
222,829
Marathon
Oil
Corp.
23,318
623,757
Marathon
Petroleum
Corp.
11,280
1,707,115
Match
Group,
Inc.
*
6,400
250,720
McKesson
Corp.
3,515
1,528,498
Meta
Platforms,
Inc.,
Class
A
*
13,667
4,102,970
MetLife,
Inc.
6,890
433,450
Microchip
Technology,
Inc.
10,158
792,832
Microsoft
Corp.
34,692
10,954,000
Molson
Coors
Beverage
Co.,
Class
B
56,729
3,607,397
Mosaic
Co.
(The)
32,627
1,161,521
NVIDIA
Corp.
13,574
5,904,555
Oracle
Corp.
767
81,241
O'Reilly
Automotive,
Inc.
*
411
373,541
Owens
Corning
14,090
1,922,017
PACCAR,
Inc.
16,599
1,411,247
PayPal
Holdings,
Inc.
*
25,070
1,465,592
PepsiCo,
Inc.
854
144,702
Pfizer,
Inc.
17,345
575,334
Phillips
66
3,433
412,475
Pioneer
Natural
Resources
Co.
1,196
274,542
Prologis,
Inc.,
REIT
2,980
334,386
Public
Storage,
REIT
2,484
654,584
PulteGroup,
Inc.
24,757
1,833,256
QUALCOMM,
Inc.
3,689
409,700
Roku,
Inc.,
Class
A
*
4,351
307,137
Royalty
Pharma
plc,
Class
A
3,059
83,021
Salesforce,
Inc.
*
11,947
2,422,613
Sensata
Technologies
Holding
plc
14,317
541,469
Simon
Property
Group,
Inc.,
REIT
1,723
186,136
Sirius
XM
Holdings,
Inc.
416,726
1,883,602
Skyworks
Solutions,
Inc.
3,563
351,276
Splunk,
Inc.
*
4,120
602,550
SS&C
Technologies
Holdings,
Inc.
1,971
103,556
76
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2023
INVESTMENTS
SHARES
VALUE
($)
United
States
-
60.8%
(continued)
Starbucks
Corp.
1,479
134,988
Steel
Dynamics,
Inc.
4,103
439,924
Stellantis
NV
(2)
10,244
196,284
Stellantis
NV
(2)
77,896
1,491,586
Swiss
Re
AG
(2)
16,848
1,730,296
Synchrony
Financial
61,651
1,884,671
Tesla,
Inc.
*
12,073
3,020,906
Truist
Financial
Corp.
6,586
188,425
Tyson
Foods,
Inc.,
Class
A
10,054
507,626
Uber
Technologies,
Inc.
*
16,042
737,772
Ulta
Beauty,
Inc.
*
1,285
513,293
UnitedHealth
Group,
Inc.
6,039
3,044,803
Valero
Energy
Corp.
21,275
3,014,880
VeriSign,
Inc.
*
439
88,911
Verizon
Communications,
Inc.
50,400
1,633,464
Viatris,
Inc.
128,848
1,270,441
Vistra
Corp.
26,405
876,118
VMware,
Inc.,
Class
A
*
1,113
185,292
Walmart,
Inc.
29,496
4,717,295
Walt
Disney
Co.
(The)
*
1,430
115,902
Welltower,
Inc.,
REIT
3,001
245,842
194,740,389
—
TOTAL
COMMON
STOCKS
(Cost
$235,922,670)
278,799,932
PREFERRED
STOCKS
-
0.2%
Germany
-
0.2%
Porsche
Automobil
Holding
SE
(Preference)
(2)
865
42,549
Volkswagen
AG
(Preference)
(2)
4,729
543,359
TOTAL
PREFERRED
STOCKS
(Cost
$683,344)
585,908
SHORT-TERM
INVESTMENTS
-
10.1%
INVESTMENT
COMPANIES
-
10.1%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
5.24%
(c)(d)
7,426,137
7,426,137
Limited
Purpose
Cash
Investment
Fund,
5.36%
(c)
24,966,540
24,959,051
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$32,380,355)
32,385,188
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
97.2%
(Cost
$268,986,369)
311,771,028
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
2.8%
‡
9,102,214
NET
ASSETS
-
100.0%
320,873,242
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
22,539,494
7.0
%
Consumer
Discretionary
32,369,332
10.1
Consumer
Staples
21,719,139
6.8
Energy
26,053,541
8.1
Financials
49,021,497
15.3
Health
Care
23,477,984
7.3
Industrials
28,292,913
8.8
Information
Technology
50,033,221
15.6
Materials
16,481,340
5.2
Real
Estate
5,474,692
1.7
Utilities
3,922,687
1.2
Investment
Companies
32,385,188
10.1
Total
Investments
In
Securities
At
Value
311,771,028
97.2
Other
Assets
in
Excess
of
Liabilities
‡
9,102,214
2.8
Net
Assets
$
320,873,242
100.0%
*
Non-income
producing
security.
‡
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$779,745,
which
represents
0.24%
of
net
assets
of
the
Fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2023
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2023
amounted
to
$0,
which
represents
0.00%
of
net
assets
of
the
Fund.
(c)
Represents
7-day
effective
yield
as
of
September
30,
2023.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security
(See
Note
4).
(3)
Level
3
security
(See
Note
4).
77
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2023
Total
return
swap
contracts
outstanding
as
of
September
30,
2023
:
Over-the-Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Amsterdam
Exchange
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
10/20/2023
EUR
(17,818,100)
$
241,011
Swiss
Market
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
12/15/2023
CHF
(11,662,120)
13,612
MSCI
Australia
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BBR
plus
or
minus
a
specified
spread
(0.25%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/20/2023
AUD
2,895,438
945
MSCI
Canada
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
CORRA
plus
or
minus
a
specified
spread
(-1.10%)
Monthly
JPMC
12/20/2023
CAD
(964,938)
6,948
MSCI
France
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.40%)
Monthly
JPMC
12/20/2023
EUR
(74,160)
1,159
MSCI
Netherlands
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.30%)
Monthly
JPMC
12/20/2023
EUR
(968,658)
21,852
MSCI
Sweden
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.60%)
Monthly
JPMC
12/20/2023
SEK
(8,321,051)
844
MSCI
Switzerland
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.20%)
Monthly
JPMC
12/20/2023
CHF
(1,747,860)
9,594
78
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2023
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
United
Kingdom
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SONIA
plus
or
minus
a
specified
spread
(0.26%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/20/2023
GBP
1,248,298
$
19,080
Tel
Aviv
Stock
Exchange
35
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TELBOR
plus
or
minus
a
specified
spread
(-0.20%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
12/20/2023
ILS
2,200,596
2,585
317,630
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/20/2023
EUR
6,801,559
(50,254)
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(0.10%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/20/2023
JPY
643,020,019
(70,129)
MSCI
Spain
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.58%)
Monthly
JPMC
12/20/2023
EUR
(1,742,880)
(5,604)
(125,987)
$
191,643
79
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2023
Futures
contracts
outstanding
as
of
September
30,
2023:
Exchange-Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Hang
Seng
Index
51
10/2023
HKD
$
5,825,213
$
54,683
MSCI
Singapore
Index
40
10/2023
SGD
835,845
14,699
FTSE/MIB
Index
193
12/2023
EUR
28,855,625
(251,163)
S&P
500
E-Mini
Index
76
12/2023
USD
16,436,900
(555,442)
SPI
200
Index
29
12/2023
AUD
3,303,059
30,567
TOPIX
Index
219
12/2023
JPY
34,050,220
(508,631)
(1,215,287)
Short
Contracts
CAC
40
10
Euro
Index
(6)
10/2023
EUR
(453,655)
6,305
IBEX
35
Index
(26)
10/2023
EUR
(2,594,914)
11,517
OMXS30
Index
(87)
10/2023
SEK
(1,720,005)
6,756
DAX
Index
(26)
12/2023
EUR
(10,669,661)
258,580
S&P/TSX
60
Index
(79)
12/2023
CAD
(13,683,446)
508,171
791,329
$
(423,958)
Forward
foreign
currency
exchange
contracts
outstanding
as
of
September
30,
2023:
Over-the-Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
16,696,275
USD
10,709,263
CITG
12/20/2023
$
55,556
AUD
16,696,273
USD
10,709,208
JPMC
12/20/2023
55,610
CAD
9,131,442
USD
6,725,809
CITG
12/20/2023
5,769
CAD
9,131,442
USD
6,725,776
JPMC
12/20/2023
5,802
ILS
39,500
USD
10,354
CITG
12/20/2023
44
ILS
39,500
USD
10,354
JPMC
12/20/2023
44
NOK
106,600,724
USD
9,963,645
CITG
12/20/2023
24,397
NOK
106,600,725
USD
9,963,596
JPMC
12/20/2023
24,448
USD
4,392,094
CAD
5,942,000
CITG
12/20/2023
11,731
USD
4,392,116
CAD
5,942,000
JPMC
12/20/2023
11,752
USD
26,741,307
CHF
23,418,503
CITG
12/20/2023
925,991
USD
26,741,433
CHF
23,418,497
JPMC
12/20/2023
926,124
USD
291,748
DKK
2,021,000
CITG
12/20/2023
3,924
USD
291,750
DKK
2,021,000
JPMC
12/20/2023
3,925
USD
9,057,277
EUR
8,415,000
CITG
12/20/2023
126,729
USD
9,057,323
EUR
8,415,000
JPMC
12/20/2023
126,774
USD
724,199
HKD
5,659,500
CITG
12/20/2023
266
USD
724,203
HKD
5,659,500
JPMC
12/20/2023
270
USD
924
ILS
3,500
CITG
12/20/2023
3
USD
924
ILS
3,500
JPMC
12/20/2023
3
USD
23,393,518
JPY
3,369,435,501
CITG
12/20/2023
544,503
USD
23,393,635
JPY
3,369,435,499
JPMC
12/20/2023
544,620
USD
968,034
SEK
10,500,000
CITG
12/20/2023
3,077
USD
968,039
SEK
10,500,000
JPMC
12/20/2023
3,081
USD
62,937
SGD
85,500
CITG
12/20/2023
164
USD
62,937
SGD
85,500
JPMC
12/20/2023
164
Total
unrealized
appreciation
3,404,771
AUD
10,764,258
USD
6,965,639
CITG
12/20/2023
(25,449)
AUD
10,764,257
USD
6,965,603
JPMC
12/20/2023
(25,415)
CAD
14,437,757
USD
10,698,965
CITG
12/20/2023
(55,641)
80
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2023
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CAD
14,437,757
USD
10,698,911
JPMC
12/20/2023
$
(55,589)
CHF
1,537,000
USD
1,742,657
CITG
12/20/2023
(48,350)
CHF
1,537,000
USD
1,742,649
JPMC
12/20/2023
(48,341)
DKK
3,722,500
USD
543,123
CITG
12/20/2023
(12,978)
DKK
3,722,500
USD
543,121
JPMC
12/20/2023
(12,976)
EUR
32,275,814
USD
35,031,354
CITG
12/20/2023
(778,149)
EUR
32,275,813
USD
35,031,178
JPMC
12/20/2023
(777,974)
GBP
22,711,001
USD
28,475,651
CITG
12/20/2023
(750,182)
GBP
22,710,996
USD
28,475,503
JPMC
12/20/2023
(750,033)
HKD
1,505,500
USD
192,785
CITG
12/20/2023
(210)
HKD
1,505,500
USD
192,784
JPMC
12/20/2023
(209)
ILS
1,150,999
USD
304,285
CITG
12/20/2023
(1,300)
ILS
1,151,000
USD
304,284
JPMC
12/20/2023
(1,299)
NOK
103,534,276
USD
9,751,678
CITG
12/20/2023
(50,948)
NOK
103,534,276
USD
9,751,629
JPMC
12/20/2023
(50,900)
SGD
667,500
USD
494,479
CITG
12/20/2023
(4,405)
SGD
667,500
USD
494,477
JPMC
12/20/2023
(4,404)
USD
5,907,188
CAD
8,042,500
CITG
12/20/2023
(21,636)
USD
5,907,218
CAD
8,042,500
JPMC
12/20/2023
(21,605)
USD
713,753
CHF
648,500
CITG
12/20/2023
(1,119)
USD
713,757
CHF
648,500
JPMC
12/20/2023
(1,115)
USD
783
DKK
5,500
CITG
12/20/2023
–
USD
783
DKK
5,500
JPMC
12/20/2023
–
USD
81,459
GBP
67,000
CITG
12/20/2023
(334)
USD
81,459
GBP
67,000
JPMC
12/20/2023
(334)
USD
12,613
ILS
48,000
CITG
12/20/2023
(23)
USD
12,613
ILS
48,000
JPMC
12/20/2023
(23)
USD
22,938,301
NZD
38,626,001
CITG
12/20/2023
(212,973)
USD
22,938,414
NZD
38,625,998
JPMC
12/20/2023
(212,858)
USD
6,439,565
SEK
70,856,501
CITG
12/20/2023
(72,201)
USD
6,439,597
SEK
70,856,500
JPMC
12/20/2023
(72,168)
USD
12,480
SGD
17,000
CITG
12/20/2023
(2)
USD
12,480
SGD
17,000
JPMC
12/20/2023
(2)
Total
unrealized
depreciation
(4,071,145)
Net
unrealized
depreciation
$
(666,374)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2023
was
as
follows:
COUNTERPARTY
OVER-THE-COUNTER
EXCHANGE-
TRADED
TOTAL
BARC
Cash
$
–
$
5,705,744
$
5,705,744
CITG
Cash
(55,953)
–
(55,953)
Investment
Companies
2,244,826
–
2,244,826
GSCO
Cash
–
3,345,054
3,345,054
GSIN
Cash
(451,495)
–
(451,495)
JPMC
Investment
Companies
5,181,311
–
5,181,311
81
Schedule
of
Investments
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
Abbreviations
ADR
-
American
Depositary
Receipt
CVA
-
Dutch
Certification
GDR
-
Global
Depositary
Receipt
NVDR
-
Non-Voting
Depositary
Receipt
OYJ
-
Public
Traded
Company
PJSC
-
Public
Joint
Stock
Company
Preference
-
A
special
type
of
equity
investment
that
shares
in
the
earnings
of
the
company,
has
limited
voting
rights,
and
may
have
a
dividend
preference. Preference
shares
may
also
have
liquidation
preference.
REIT
-
Real
Estate
Investment
Trust
SCA
-
Limited
partnership
with
share
capital
Currencies
AUD
-
Australian
dollar
CAD
-
Canadian
dollar
CHF
-
Swiss
franc
DKK
-
Danish
krone
EUR
-
Euro
GBP
-
British
pound
HKD
-
Hong
Kong
dollar
ILS
-
Israeli
shekel
JPY
-
Japanese
yen
NOK
-
Norwegian
krone
NZD
-
New
Zealand
dollar
SEK
-
Swedish
krona
SGD
-
Singapore
dollar
USD
-
United
States
dollar
The
following
abbreviations
are
used
for
counterparty
descriptions:
BARC
-
Barclays
Capital,
Inc.
CITG
-
Citigroup
Global
Markets,
Inc.
GSCO
-
Goldman
Sachs
&
Co.
GSIN
-
Goldman
Sachs
International
JPMC
-
J.P.
Morgan
Chase
Bank,
NA
JPMS
-
J.P.
Morgan
Securities
LLC
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
1
Month
Stockholm
Interbank
Offered
Rate
(“STIBOR”):
4.07%
Australian
Bank-Bill
Reference
Rate
(“BBR”):
4.05%
Canadian
Overnight
Repo
Rate
Average
("CORRA"):
5.02%
Euro
Short-Term
Rate
("ESTR"):
3.88%
Sterling
Overnight
Index
Average
(“SONIA”):
5.19%
Swiss
Average
Rate
Overnight
(“SARON”):
1.71
%
Tel
Aviv
Interbank
Offer
Rate
("TELBOR"):
4.78%
Tokyo
Overnight
Average
Rate
(“TONAR”): -0.06%
Statements
of
Assets
and
Liabilities
82
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
646,256,816
$
69,134,190
$
405,676,227
$
453,511,883
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........
$
1,010,309,044
$
101,346,282
$
474,702,334
$
500,725,491
Cash
.................................................
—
—
8,884
6,381
Cash
denominated
in
foreign
currencies
‡
......................
—
—
23,232
20,981
Deposits
with
brokers
for
futures
contracts
.....................
2,205,025
272,196
594,433
629,521
Receivables:
Foreign
tax
reclaims
...................................
—
—
1,037,866
—
Dividends
...........................................
807,160
66,478
1,539,914
1,375,837
Capital
shares
sold
....................................
2,631,706
31,057
991,585
115,919
Prepaid
expenses
.......................................
35,002
21,926
26,327
18,727
Total
Assets
1,015,987,937
101,737,939
478,924,575
502,892,857
LIABILITIES:
Variation
margin
on
futures
contracts
.........................
106,582
22,102
71,516
22,611
Payables:
–
–
–
–
Accrued
investment
advisory
fees
.........................
214,018
33,739
134,549
178,259
Accrued
distribution
fees—Class
N
........................
1,074
910
223
142
Capital
shares
redeemed
...............................
448,462
10,935
33,611
116,065
Deferred
foreign
capital
gains
tax
.........................
—
—
—
1,824,541
Other
accrued
expenses
and
liabilities
........................
124,866
55,385
98,969
161,409
Total
Liabilities
895,002
123,071
338,868
2,303,027
Commitments
and
contingent
liabilities
*
Net
Assets
$
1,015,092,935
$
101,614,868
$
478,585,707
$
500,589,830
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
529,525,325
$
63,295,987
$
405,003,075
$
484,192,658
Total
distributable
earnings
(loss)
...........................
485,567,610
38,318,881
73,582,632
16,397,172
Net
Assets
$
1,015,092,935
$
101,614,868
$
478,585,707
$
500,589,830
NET
ASSETS:
Class
I
...............................................
$
196,245,554
$
58,597,068
$
83,745,077
$
49,505,113
Class
N
...............................................
5,132,391
4,325,117
1,072,226
685,350
Class
R6
..............................................
813,714,990
38,692,683
393,768,404
450,399,367
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
11,157,756
3,635,850
6,928,202
5,284,047
Class
N
...............................................
289,173
268,845
88,593
72,730
Class
R6
..............................................
46,312,501
2,396,643
32,630,968
48,071,527
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
17.59
$
16.12
$
12.09
$
9.37
Class
N
...............................................
$
17.75
$
16.09
$
12.10
$
9.42
Class
R6
..............................................
$
17.57
$
16.14
$
12.07
$
9.37
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
—
$
—
$
23,223
$
21,265
*
See
Note
8
in
the
Notes
to
Financial
Statements
for
additional
information
on
potential
future
recoupment
of
expenses
reimbursed
by
the
Adviser.
Statements
of
Assets
and
Liabilities
83
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
434,516,556
$
120,474,030
$
163,057,399
$
2,131,028,018
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........
$
644,799,011
$
157,189,030
$
226,682,959
$
3,125,913,699
Cash
.................................................
—
9,128
92,700
—
Cash
denominated
in
foreign
currencies
‡
......................
360
—
—
—
Deposits
with
brokers
for
futures
contracts
.....................
714,990
205,550
81,233
5,839,988
Receivables:
Foreign
tax
reclaims
...................................
—
—
1,107,181
—
Dividends
...........................................
266,612
46,431
640,239
3,257,510
Capital
shares
sold
....................................
76,797
19,321
27,266
2,327,046
Prepaid
expenses
.......................................
31,260
25,496
26,532
72,742
Total
Assets
645,889,030
157,494,956
228,658,110
3,137,410,985
LIABILITIES:
Due
to
custodian
........................................
—
—
—
79,257
Foreign
currency
due
to
custodian,
at
value
....................
—
—
10,212
—
Variation
margin
on
futures
contracts
.........................
34,313
15,169
8,018
283,825
Payables:
–
–
–
–
Interfund
loan
........................................
—
—
360,000
—
Accrued
investment
advisory
fees
.........................
141,528
45,267
41,233
679,624
Accrued
distribution
fees—Class
N
........................
12,947
386
1,000
48,352
Capital
shares
redeemed
...............................
742,941
401,337
370,633
10,433,662
Other
accrued
expenses
and
liabilities
........................
163,258
81,525
114,531
632,749
Total
Liabilities
1,094,987
543,684
905,627
12,157,469
Commitments
and
contingent
liabilities
*
Net
Assets
$
644,794,043
$
156,951,272
$
227,752,483
$
3,125,253,516
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
352,112,466
$
114,393,489
$
142,391,142
$
1,595,166,881
Total
distributable
earnings
(loss)
...........................
292,681,577
42,557,783
85,361,341
1,530,086,635
Net
Assets
$
644,794,043
$
156,951,272
$
227,752,483
$
3,125,253,516
NET
ASSETS:
Class
I
...............................................
$
355,278,586
$
132,059,075
$
139,754,086
$
2,123,493,525
Class
N
...............................................
61,272,574
1,839,695
4,747,448
227,113,058
Class
R6
..............................................
228,242,883
23,052,502
83,250,949
774,646,933
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
18,193,865
7,494,967
8,697,822
83,488,542
Class
N
...............................................
3,138,139
104,462
296,137
8,957,331
Class
R6
..............................................
11,747,699
1,314,013
5,189,534
30,490,402
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
19.53
$
17.62
$
16.07
$
25.43
Class
N
...............................................
$
19.53
$
17.61
$
16.03
$
25.35
Class
R6
..............................................
$
19.43
$
17.54
$
16.04
$
25.41
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
413
$
—
$
—
$
—
*
See
Note
8
in
the
Notes
to
Financial
Statements
for
additional
information
on
potential
future
recoupment
of
expenses
reimbursed
by
the
Adviser.
Statements
of
Assets
and
Liabilities
84
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
..........................................
$
221,041,891
$
268,986,369
Investments
in
securities
of
unaffiliated
issuers,
at
value
.........................................
$
242,969,198
$
311,771,028
Cash
................................................................................
10,680,179
48,915
Cash
denominated
in
foreign
currencies
‡
.....................................................
—
310,524
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
.............................
—
3,404,771
Unrealized
appreciation
on
OTC
swaps
......................................................
—
317,630
Due
from
brokers
......................................................................
—
215,933
Deposits
with
brokers
for
futures
contracts
....................................................
379,217
8,708,743
Receivables:
Securities
sold
......................................................................
24,373
—
Foreign
tax
reclaims
..................................................................
586,599
414,825
Dividends
..........................................................................
665,871
707,469
Capital
shares
sold
...................................................................
228,459
51,654
Prepaid
expenses
......................................................................
31,479
18,842
Total
Assets
255,565,375
325,970,334
LIABILITIES:
Foreign
currency
due
to
custodian,
at
value
...................................................
104,513
—
Due
to
brokers
........................................................................
—
507,518
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
.............................
—
4,071,145
Unrealized
depreciation
on
OTC
swaps
......................................................
—
125,987
Variation
margin
on
futures
contracts
........................................................
100,109
81,903
Payables:
–
–
Securities
purchased
..................................................................
—
307
Accrued
investment
advisory
fees
........................................................
68,447
154,635
Accrued
distribution
fees—Class
N
.......................................................
646
1,443
Capital
shares
redeemed
..............................................................
48,803
68,683
Other
accrued
expenses
and
liabilities
.......................................................
87,361
85,471
Total
Liabilities
409,879
5,097,092
Commitments
and
contingent
liabilities
*
Net
Assets
$
255,155,496
$
320,873,242
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
.........................
$
239,229,707
$
266,741,667
Total
distributable
earnings
(loss)
..........................................................
15,925,789
54,131,575
Net
Assets
$
255,155,496
$
320,873,242
NET
ASSETS:
Class
I
..............................................................................
$
88,244,648
$
12,210,908
Class
N
..............................................................................
3,067,120
6,950,374
Class
R6
.............................................................................
163,843,728
301,711,960
SHARES
OUTSTANDING:
–
–
Class
I
..............................................................................
6,725,767
1,306,042
Class
N
..............................................................................
225,557
755,307
Class
R6
.............................................................................
12,491,883
32,041,639
NET
ASSET
VALUE:
–
–
Class
I
..............................................................................
$
13.12
$
9.35
Class
N
..............................................................................
$
13.60
$
9.20
Class
R6
.............................................................................
$
13.12
$
9.42
‡
Cash
denominated
in
foreign
currencies,
at
cost
..............................................
$
—
$
314,197
*
See
Note
8
in
the
Notes
to
Financial
Statements
for
additional
information
on
potential
future
recoupment
of
expenses
reimbursed
by
the
Adviser.
Statements
of
Operations
85
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
For
the
Year
Ended
September
30,
2023
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
INVESTMENT
INCOME:
Dividend
income
†
.......................................
$
19,691,780
$
1,891,760
$
16,271,238
$
24,319,184
Total
Income
19,691,780
1,891,760
16,271,238
24,319,184
EXPENSES:
Investment
advisory
fees
..................................
2,448,765
498,103
1,819,459
2,492,981
Custody
fees
...........................................
32,377
36,051
72,565
312,292
Administration
&
accounting
fees
............................
210,646
23,799
97,770
107,184
Legal
fees
.............................................
75,818
11,334
25,801
27,115
Audit
&
tax
fees
.........................................
50,535
51,725
65,579
121,614
Shareholder
reporting
fees
................................
66,901
27,651
48,042
53,894
Transfer
agent
fees
......................................
230,198
72,884
105,079
73,713
Trustee
fees
...........................................
66,624
8,299
30,530
33,601
Distribution
fees—Class
N
.................................
13,309
11,991
2,869
2,576
Interest
expense
........................................
71,347
6,455
26,065
29,232
Interfund
lending
expense
.................................
—
378
—
—
Recoupment
of
reimbursement
.............................
9,378
1,544
—
—
Registration
fees
........................................
73,114
53,460
61,978
62,180
Tax
expense
(Note
2)
....................................
—
—
6,868
45,485
Other
expenses
........................................
33,976
4,215
19,341
62,277
Total
Expenses
3,382,988
807,889
2,381,946
3,424,144
Less
expense
reimbursements
.............................
(131,861)
(160,106)
(221,566)
(287,956)
Net
Expenses
3,251,127
647,783
2,160,380
3,136,188
Net
Investment
Income
(Loss)
16,440,653
1,243,977
14,110,858
21,182,996
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
(net
of
capital
gain
country
tax
of
$—,
$—,
$—
and
$82,304)
........
111,574,723
6,388,454
13,306,507
(5,897,414)
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
—
—
(91,191)
(369,510)
Expiration
or
closing
of
futures
contracts
....................
4,845,570
58,456
1,427,479
(1,015,494)
Net
realized
gain
(loss)
116,420,293
6,446,910
14,642,795
(7,282,418)
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
(net
changes
in
deferred
capital
gain
country
tax
accruals
of
$—,
$—,
$—
and
$1,506,501)
58,927,908
9,836,161
74,757,377
52,855,959
Foreign
currency
and
foreign
currency
transactions
............
—
—
99,898
164,286
Futures
contracts
.....................................
2,193,206
274,145
1,042,663
1,506,251
Net
change
in
unrealized
appreciation
(depreciation)
61,121,114
10,110,306
75,899,938
54,526,496
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
177,541,407
16,557,216
90,542,733
47,244,078
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
193,982,060
$
17,801,193
$
104,653,591
$
68,427,074
†
Net
of
foreign
taxes
withheld
of
............................
$
23,576
$
1,063
$
1,555,485
$
3,442,749
Statements
of
Operations
86
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
For
the
Year
Ended
September
30,
2023
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
INVESTMENT
INCOME:
Dividend
income
†
.......................................
$
11,762,437
$
3,132,044
$
10,660,084
$
74,224,487
Total
Income
11,762,437
3,132,044
10,660,084
74,224,487
EXPENSES:
Investment
advisory
fees
..................................
1,762,917
877,703
1,295,840
9,555,338
Custody
fees
...........................................
28,975
34,675
86,308
103,117
Administration
&
accounting
fees
............................
151,650
41,948
69,651
822,001
Legal
fees
.............................................
43,333
26,501
28,135
252,576
Audit
&
tax
fees
.........................................
51,711
51,758
65,719
58,279
Shareholder
reporting
fees
................................
74,070
45,961
59,306
218,418
Transfer
agent
fees
......................................
472,837
177,210
216,881
2,187,929
Trustee
fees
...........................................
48,466
14,068
22,743
260,299
Distribution
fees—Class
N
.................................
148,769
8,499
72,775
687,566
Interest
expense
........................................
43,003
11,909
50,899
228,007
Interfund
lending
expense
.................................
—
5,607
31,857
19,593
Recoupment
of
reimbursement
.............................
9,341
—
—
13,258
Registration
fees
........................................
61,604
55,837
55,483
109,428
Other
expenses
........................................
28,026
7,722
19,175
148,421
Total
Expenses
2,924,702
1,359,398
2,074,772
14,664,230
Less
expense
reimbursements
.............................
(145,589)
(184,260)
(254,168)
(43,265)
Net
Expenses
2,779,113
1,175,138
1,820,604
14,620,965
Net
Investment
Income
(Loss)
8,983,324
1,956,906
8,839,480
59,603,522
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
81,567,143
7,935,214
35,176,648
573,911,616
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
—
—
65,129
—
Expiration
or
closing
of
futures
contracts
....................
1,637,721
(45,191)
1,026,427
4,996,754
Net
realized
gain
(loss)
83,204,864
7,890,023
36,268,204
578,908,370
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
..................
(2,688,773)
11,807,436
23,526,072
(157,600,940)
Foreign
currency
and
foreign
currency
transactions
............
27
—
93,701
—
Futures
contracts
.....................................
2,894,228
776,173
1,355,050
8,725,869
Net
change
in
unrealized
appreciation
(depreciation)
205,482
12,583,609
24,974,823
(148,875,071)
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
83,410,346
20,473,632
61,243,027
430,033,299
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
92,393,670
$
22,430,538
$
70,082,507
$
489,636,821
†
Net
of
foreign
taxes
withheld
of
............................
$
—
$
1,923
$
1,059,353
$
3,860
Statements
of
Operations
87
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
For
the
Year
Ended
September
30,
2023
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
INVESTMENT
INCOME:
Dividend
income
†
......................................................................
$
8,704,794
$
9,596,414
Total
Income
8,704,794
9,596,414
EXPENSES:
Investment
advisory
fees
.................................................................
1,099,263
1,884,406
Custody
fees
..........................................................................
54,228
56,251
Administration
&
accounting
fees
...........................................................
59,069
67,524
Legal
fees
............................................................................
15,814
19,855
Audit
&
tax
fees
........................................................................
66,708
90,194
Shareholder
reporting
fees
...............................................................
35,479
28,302
Transfer
agent
fees
.....................................................................
133,729
40,746
Trustee
fees
..........................................................................
18,964
21,752
Distribution
fees—Class
N
................................................................
15,690
16,409
Interest
expense
.......................................................................
15,636
31,460
Registration
fees
.......................................................................
72,217
54,850
Tax
expense
(Note
2
)
...................................................................
7,294
—
Other
expenses
.......................................................................
15,916
16,138
Total
Expenses
1,610,007
2,327,887
Less
expense
reimbursements
............................................................
(220,179)
(63,215)
Net
Expenses
1,389,828
2,264,672
Net
Investment
Income
(Loss)
7,314,966
7,331,742
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
.....................................
(44,140)
2,664,574
Settlement
of
foreign
currency
and
foreign
currency
transactions
.................................
(14,334)
42,618
Settlement
of
forward
foreign
currency
exchange
contracts
.....................................
—
(6,855,407)
Expiration
or
closing
of
futures
contracts
...................................................
969,509
10,032,965
Expiration
or
closing
of
swap
contracts
....................................................
—
934,297
Net
realized
gain
(loss)
911,035
6,819,047
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
.................................................
32,803,307
51,606,437
Foreign
currency
and
foreign
currency
transactions
...........................................
32,929
(23,645)
Forward
foreign
currency
exchange
contracts
...............................................
—
1,789,426
Futures
contracts
....................................................................
989,032
2,287,113
Swap
contracts
......................................................................
—
(526,079)
Net
change
in
unrealized
appreciation
(depreciation)
33,825,268
55,133,252
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
34,736,303
61,952,299
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
42,051,269
$
69,284,041
†
Net
of
foreign
taxes
withheld
of
...........................................................
$
834,873
$
538,829
Statements
of
Changes
in
Net
Assets
(Continued)
88
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
OPERATIONS:
Net
investment
income
(loss)
........................
$
16,440,653
$
16,263,325
$
1,243,977
$
996,152
Net
realized
gain
(loss)
.............................
116,420,293
98,007,912
6,446,910
225,154
Net
change
in
unrealized
appreciation
(depreciation)
.......
61,121,114
(
251,261,633
)
10,110,306
(
26,542,185
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
193,982,060
(
136,990,396
)
17,801,193
(
25,320,879
)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
21,320,561
)
(
33,351,169
)
(
611,222
)
(
4,130,148
)
Class
N
.........................................
(
513,480
)
(
998,917
)
(
23,046
)
(
472,066
)
Class
R6
........................................
(
73,686,731
)
(
117,130,299
)
(
379,583
)
(
3,339,479
)
Total
distributions
(
95,520,772
)
(
151,480,385
)
(
1,013,851
)
(
7,941,693
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
16,711,514
38,810,073
15,235,436
19,274,870
Reinvestment
of
distributions
.........................
19,925,876
31,067,108
476,317
4,130,148
Cost
of
shares
redeemed
...........................
(
65,032,528
)
(
83,944,878
)
(
26,851,549
)
(
12,980,847
)
Net
increase
(decrease)
from
capital
transactions
(
28,395,138
)
(
14,067,697
)
(
11,139,796
)
10,424,171
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
230,838
1,461,580
389,071
1,350,549
Reinvestment
of
distributions
.........................
504,148
971,730
22,424
470,995
Cost
of
shares
redeemed
...........................
(
1,493,247
)
(
3,933,079
)
(
1,899,665
)
(
3,018,937
)
Net
increase
(decrease)
from
capital
transactions
(
758,261
)
(
1,499,769
)
(
1,488,170
)
(
1,197,393
)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
135,709,289
110,278,746
2,072,527
2,930,308
Reinvestment
of
distributions
.........................
72,035,186
115,036,522
374,627
3,296,524
Cost
of
shares
redeemed
...........................
(
194,243,534
)
(
289,268,970
)
(
7,098,491
)
(
10,643,727
)
Net
increase
(decrease)
from
capital
transactions
13,500,941
(
63,953,702
)
(
4,651,337
)
(
4,416,895
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
15,652,458
)
(
79,521,168
)
(
17,279,303
)
4,809,883
Total
increase
(decrease)
in
net
assets
82,808,830
(
367,991,949
)
(
491,961
)
(
28,452,689
)
NET
ASSETS:
Beginning
of
period
................................
932,284,105
1,300,276,054
102,106,829
130,559,518
End
of
period
...................................
$
1,015,092,935
$
932,284,105
$
101,614,868
$
102,106,829
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
89
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
12,877,494
13,594,164
4,363,260
3,689,600
Shares
sold
.....................................
1,005,743
2,093,616
1,004,167
1,225,107
Shares
issued
on
reinvestment
of
distributions
...........
1,299,796
1,547,938
32,315
226,310
Shares
redeemed
.................................
(
4,025,277
)
(
4,358,224
)
(
1,763,892
)
(
777,757
)
Shares
outstanding,
end
of
period
11,157,756
12,877,494
3,635,850
4,363,260
CLASS
N
Shares
outstanding,
beginning
of
period
................
331,906
416,504
363,208
443,339
Shares
sold
.....................................
14,034
72,439
25,623
78,135
Shares
issued
on
reinvestment
of
distributions
...........
32,526
47,987
1,521
25,836
Shares
redeemed
.................................
(
89,293
)
(
205,024
)
(
121,507
)
(
184,102
)
Shares
outstanding,
end
of
period
289,173
331,906
268,845
363,208
CLASS
R6
Shares
outstanding,
beginning
of
period
................
45,085,069
48,411,191
2,695,000
2,966,042
Shares
sold
.....................................
8,213,075
5,818,565
133,068
182,106
Shares
issued
on
reinvestment
of
distributions
...........
4,708,182
5,740,345
25,398
180,434
Shares
redeemed
.................................
(
11,693,825
)
(
14,885,032
)
(
456,823
)
(
633,582
)
Shares
outstanding,
end
of
period
46,312,501
45,085,069
2,396,643
2,695,000
Statements
of
Changes
in
Net
Assets
(Continued)
90
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
OPERATIONS:
Net
investment
income
(loss)
........................
$
14,110,858
$
15,137,460
$
21,182,996
$
21,473,476
Net
realized
gain
(loss)
.............................
14,642,795
(
4,705,914
)
(
7,282,418
)
(
18,235,690
)
Net
change
in
unrealized
appreciation
(depreciation)
.......
75,899,938
(
125,571,633
)
54,526,496
(
180,509,900
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
104,653,591
(
115,140,087
)
68,427,074
(
177,272,114
)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
2,036,519
)
(
2,258,789
)
(
1,929,495
)
(
1,303,522
)
Class
N
.........................................
(
29,800
)
(
107,632
)
(
32,365
)
(
79,037
)
Class
R6
........................................
(
11,786,662
)
(
12,740,223
)
(
20,032,402
)
(
14,256,350
)
Total
distributions
(
13,852,981
)
(
15,106,644
)
(
21,994,262
)
(
15,638,909
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
26,937,812
23,571,005
16,089,829
26,911,610
Reinvestment
of
distributions
.........................
2,035,042
2,257,515
1,929,495
1,303,522
Cost
of
shares
redeemed
...........................
(
22,936,828
)
(
23,327,130
)
(
18,164,595
)
(
30,542,211
)
Net
increase
(decrease)
from
capital
transactions
6,036,026
2,501,390
(
145,271
)
(
2,327,079
)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
74,510
502,788
10,845,077
1,568,170
Reinvestment
of
distributions
.........................
28,173
106,459
32,365
79,037
Cost
of
shares
redeemed
...........................
(
358,688
)
(
3,055,237
)
(
11,175,292
)
(
3,976,785
)
Net
increase
(decrease)
from
capital
transactions
(
256,005
)
(
2,445,990
)
(
297,850
)
(
2,329,578
)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
54,693,892
53,599,434
44,669,362
78,703,320
Reinvestment
of
distributions
.........................
11,435,804
12,370,783
19,761,907
14,070,492
Cost
of
shares
redeemed
...........................
(
58,814,550
)
(
65,112,784
)
(
54,479,261
)
(
93,836,652
)
Net
increase
(decrease)
from
capital
transactions
7,315,146
857,433
9,952,008
(
1,062,840
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
13,095,167
912,833
9,508,887
(
5,719,497
)
Total
increase
(decrease)
in
net
assets
103,895,777
(
129,333,898
)
55,941,699
(
198,630,520
)
NET
ASSETS:
Beginning
of
period
................................
374,689,930
504,023,828
444,648,131
643,278,651
End
of
period
...................................
$
478,585,707
$
374,689,930
$
500,589,830
$
444,648,131
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
91
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
6,411,784
6,225,267
5,275,790
5,460,518
Shares
sold
.....................................
2,310,116
1,918,101
1,790,113
2,444,363
Shares
issued
on
reinvestment
of
distributions
...........
185,679
173,388
215,827
109,264
Shares
redeemed
.................................
(
1,979,377
)
(
1,904,972
)
(
1,997,683
)
(
2,738,355
)
Shares
outstanding,
end
of
period
6,928,202
6,411,784
5,284,047
5,275,790
CLASS
N
Shares
outstanding,
beginning
of
period
................
110,628
319,890
99,457
317,900
Shares
sold
.....................................
6,497
38,750
1,126,513
156,717
Shares
issued
on
reinvestment
of
distributions
...........
2,563
8,183
3,588
6,603
Shares
redeemed
.................................
(
31,095
)
(
256,195
)
(
1,156,828
)
(
381,763
)
Shares
outstanding,
end
of
period
88,593
110,628
72,730
99,457
CLASS
R6
Shares
outstanding,
beginning
of
period
................
32,028,676
31,912,193
46,979,760
46,939,594
Shares
sold
.....................................
4,626,688
4,538,537
4,807,102
7,575,358
Shares
issued
on
reinvestment
of
distributions
...........
1,046,277
952,331
2,212,980
1,180,410
Shares
redeemed
.................................
(
5,070,673
)
(
5,374,385
)
(
5,928,315
)
(
8,715,602
)
Shares
outstanding,
end
of
period
32,630,968
32,028,676
48,071,527
46,979,760
Statements
of
Changes
in
Net
Assets
(Continued)
92
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
OPERATIONS:
Net
investment
income
(loss)
........................
$
8,983,324
$
8,765,047
$
1,956,906
$
1,529,787
Net
realized
gain
(loss)
.............................
83,204,864
77,101,924
7,890,023
(
2,893,240
)
Net
change
in
unrealized
appreciation
(depreciation)
.......
205,482
(
214,584,921
)
12,583,609
(
59,544,195
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
92,393,670
(
128,717,950
)
22,430,538
(
60,907,648
)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
42,896,531
)
(
120,461,315
)
(
932,882
)
(
41,786,280
)
Class
N
.........................................
(
5,487,520
)
(
9,150,793
)
(
11,897
)
(
1,374,605
)
Class
R6
........................................
(
24,389,801
)
(
48,116,565
)
(
313,180
)
(
11,928,673
)
Total
distributions
(
72,773,852
)
(
177,728,673
)
(
1,257,959
)
(
55,089,558
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
47,447,064
80,278,404
15,470,095
38,358,439
Reinvestment
of
distributions
.........................
42,126,060
120,338,699
920,971
41,484,288
Cost
of
shares
redeemed
...........................
(
158,303,975
)
(
387,079,891
)
(
53,691,461
)
(
49,068,968
)
Net
increase
(decrease)
from
capital
transactions
(
68,730,851
)
(
186,462,788
)
(
37,300,395
)
30,773,759
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
12,688,573
14,526,890
416,435
1,906,659
Reinvestment
of
distributions
.........................
5,487,518
9,150,791
11,897
1,374,605
Cost
of
shares
redeemed
...........................
(
11,450,492
)
(
9,936,426
)
(
3,495,672
)
(
1,952,231
)
Net
increase
(decrease)
from
capital
transactions
6,725,599
13,741,255
(
3,067,340
)
1,329,033
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
31,855,675
30,267,233
4,372,456
10,515,174
Reinvestment
of
distributions
.........................
24,052,140
47,940,969
313,180
11,928,521
Cost
of
shares
redeemed
...........................
(
61,016,844
)
(
67,444,112
)
(
29,144,984
)
(
15,556,592
)
Net
increase
(decrease)
from
capital
transactions
(
5,109,029
)
10,764,090
(
24,459,348
)
6,887,103
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
67,114,281
)
(
161,957,443
)
(
64,827,083
)
38,989,895
Total
increase
(decrease)
in
net
assets
(
47,494,463
)
(
468,404,066
)
(
43,654,504
)
(
77,007,311
)
NET
ASSETS:
Beginning
of
period
................................
692,288,506
1,160,692,572
200,605,776
277,613,087
End
of
period
...................................
$
644,794,043
$
692,288,506
$
156,951,272
$
200,605,776
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
93
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
21,627,910
29,516,085
9,607,947
8,105,017
Shares
sold
.....................................
2,443,198
3,501,464
893,412
2,017,054
Shares
issued
on
reinvestment
of
distributions
...........
2,280,783
4,819,331
54,885
1,954,962
Shares
redeemed
.................................
(
8,158,026
)
(
16,208,970
)
(
3,061,277
)
(
2,469,086
)
Shares
outstanding,
end
of
period
18,193,865
21,627,910
7,494,967
9,607,947
CLASS
N
Shares
outstanding,
beginning
of
period
................
2,771,259
2,168,791
282,926
228,039
Shares
sold
.....................................
658,085
649,853
23,651
85,420
Shares
issued
on
reinvestment
of
distributions
...........
296,462
365,885
708
64,718
Shares
redeemed
.................................
(
587,667
)
(
413,270
)
(
202,823
)
(
95,251
)
Shares
outstanding,
end
of
period
3,138,139
2,771,259
104,462
282,926
CLASS
R6
Shares
outstanding,
beginning
of
period
................
11,942,542
11,466,385
2,754,503
2,380,310
Shares
sold
.....................................
1,623,713
1,336,170
250,425
539,481
Shares
issued
on
reinvestment
of
distributions
...........
1,310,029
1,929,991
18,765
564,797
Shares
redeemed
.................................
(
3,128,585
)
(
2,790,004
)
(
1,709,680
)
(
730,085
)
Shares
outstanding,
end
of
period
11,747,699
11,942,542
1,314,013
2,754,503
Statements
of
Changes
in
Net
Assets
(Continued)
94
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
OPERATIONS:
Net
investment
income
(loss)
........................
$
8,839,480
$
10,844,528
$
59,603,522
$
64,053,590
Net
realized
gain
(loss)
.............................
36,268,204
460,547
578,908,370
391,357,018
Net
change
in
unrealized
appreciation
(depreciation)
.......
24,974,823
(
134,031,975
)
(
148,875,071
)
(
1,041,433,977
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
70,082,507
(
122,726,900
)
489,636,821
(
586,023,369
)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
4,633,520
)
(
7,146,673
)
(
267,895,560
)
(
100,392,574
)
Class
N
.........................................
(
990,942
)
(
722,658
)
(
28,766,703
)
(
9,987,482
)
Class
R6
........................................
(
4,034,945
)
(
4,644,731
)
(
96,298,507
)
(
36,529,186
)
Total
distributions
(
9,659,407
)
(
12,514,062
)
(
392,960,770
)
(
146,909,242
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
16,214,764
35,705,614
317,261,768
527,992,987
Reinvestment
of
distributions
.........................
4,524,192
7,110,033
262,708,832
98,434,127
Cost
of
shares
redeemed
...........................
(
67,838,711
)
(
145,425,924
)
(
1,260,558,103
)
(
1,279,179,728
)
Net
increase
(decrease)
from
capital
transactions
(
47,099,755
)
(
102,610,277
)
(
680,587,503
)
(
652,752,614
)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
5,145,397
11,569,146
40,265,043
78,384,275
Reinvestment
of
distributions
.........................
990,942
719,000
28,671,262
9,949,249
Cost
of
shares
redeemed
...........................
(
43,176,576
)
(
35,262,344
)
(
146,258,148
)
(
168,863,953
)
Net
increase
(decrease)
from
capital
transactions
(
37,040,237
)
(
22,974,198
)
(
77,321,843
)
(
80,530,429
)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
10,832,011
19,981,308
233,135,224
234,569,987
Reinvestment
of
distributions
.........................
4,024,462
4,624,597
93,694,428
35,611,441
Cost
of
shares
redeemed
...........................
(
83,012,562
)
(
45,359,953
)
(
484,348,576
)
(
539,892,552
)
Net
increase
(decrease)
from
capital
transactions
(
68,156,089
)
(
20,754,048
)
(
157,518,924
)
(
269,711,124
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
152,296,081
)
(
146,338,523
)
(
915,428,270
)
(
1,002,994,167
)
Total
increase
(decrease)
in
net
assets
(
91,872,981
)
(
281,579,485
)
(
818,752,219
)
(
1,735,926,778
)
NET
ASSETS:
Beginning
of
period
................................
319,625,464
601,204,949
3,944,005,735
5,679,932,513
End
of
period
...................................
$
227,752,483
$
319,625,464
$
3,125,253,516
$
3,944,005,735
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
95
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
11,583,846
17,386,714
109,433,399
131,882,887
Shares
sold
.....................................
1,052,112
1,992,297
12,251,552
18,146,906
Shares
issued
on
reinvestment
of
distributions
...........
297,253
364,244
10,610,211
3,123,901
Shares
redeemed
.................................
(
4,235,389
)
(
8,159,409
)
(
48,806,620
)
(
43,720,295
)
Shares
outstanding,
end
of
period
8,697,822
11,583,846
83,488,542
109,433,399
CLASS
N
Shares
outstanding,
beginning
of
period
................
2,495,431
3,584,618
11,904,275
14,651,144
Shares
sold
.....................................
328,269
694,548
1,586,000
2,846,256
Shares
issued
on
reinvestment
of
distributions
...........
65,108
36,815
1,158,903
316,150
Shares
redeemed
.................................
(
2,592,671
)
(
1,820,550
)
(
5,691,847
)
(
5,909,275
)
Shares
outstanding,
end
of
period
296,137
2,495,431
8,957,331
11,904,275
CLASS
R6
Shares
outstanding,
beginning
of
period
................
9,368,955
10,513,011
36,571,253
45,467,132
Shares
sold
.....................................
679,463
1,166,085
8,898,089
8,050,342
Shares
issued
on
reinvestment
of
distributions
...........
264,942
237,402
3,790,228
1,131,600
Shares
redeemed
.................................
(
5,123,826
)
(
2,547,543
)
(
18,769,168
)
(
18,077,821
)
Shares
outstanding,
end
of
period
5,189,534
9,368,955
30,490,402
36,571,253
Statements
of
Changes
in
Net
Assets
(Continued)
96
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
OPERATIONS:
Net
investment
income
(loss)
........................
$
7,314,966
$
6,260,544
$
7,331,742
$
5,485,882
Net
realized
gain
(loss)
.............................
911,035
(
6,520,237
)
6,819,047
10,588,930
Net
change
in
unrealized
appreciation
(depreciation)
.......
33,825,268
(
64,139,038
)
55,133,252
(
70,473,926
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
42,051,269
(
64,398,731
)
69,284,041
(
54,399,114
)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
2,187,535
)
(
2,998,211
)
(
310,435
)
(
1,831,658
)
Class
N
.........................................
(
109,199
)
(
173,359
)
(
259,557
)
(
899,735
)
Class
R6
........................................
(
3,177,917
)
(
3,977,204
)
(
12,318,896
)
(
36,526,098
)
Total
distributions
(
5,474,651
)
(
7,148,774
)
(
12,888,888
)
(
39,257,491
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
19,092,074
48,125,580
4,938,743
757,839
Reinvestment
of
distributions
.........................
2,173,256
2,991,989
310,105
1,830,546
Cost
of
shares
redeemed
...........................
(
48,180,646
)
(
39,614,555
)
(
1,441,037
)
(
8,028,707
)
Net
increase
(decrease)
from
capital
transactions
(
26,915,316
)
11,503,014
3,807,811
(
5,440,322
)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
386,900
455,082
1,018,175
1,158,887
Reinvestment
of
distributions
.........................
109,181
173,332
259,185
899,735
Cost
of
shares
redeemed
...........................
(
4,511,395
)
(
1,851,287
)
(
1,304,499
)
(
1,896,797
)
Net
increase
(decrease)
from
capital
transactions
(
4,015,314
)
(
1,222,873
)
(
27,139
)
161,825
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
44,433,824
81,671,083
33,581,108
54,513,048
Reinvestment
of
distributions
.........................
2,833,021
3,459,795
12,302,894
36,502,590
Cost
of
shares
redeemed
...........................
(
32,839,959
)
(
59,830,077
)
(
57,945,613
)
(
49,615,927
)
Net
increase
(decrease)
from
capital
transactions
14,426,886
25,300,801
(
12,061,611
)
41,399,711
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
16,503,744
)
35,580,942
(
8,280,939
)
36,121,214
Total
increase
(decrease)
in
net
assets
20,072,874
(
35,966,563
)
48,114,214
(
57,535,391
)
NET
ASSETS:
Beginning
of
period
................................
235,082,622
271,049,185
272,759,028
330,294,419
End
of
period
...................................
$
255,155,496
$
235,082,622
$
320,873,242
$
272,759,028
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
97
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
8,699,248
7,810,200
874,571
1,555,962
Shares
sold
.....................................
1,481,506
3,579,297
554,178
84,701
Shares
issued
on
reinvestment
of
distributions
...........
172,481
198,408
38,050
185,091
Shares
redeemed
.................................
(
3,627,468
)
(
2,888,657
)
(
160,757
)
(
951,183
)
Shares
outstanding,
end
of
period
6,725,767
8,699,248
1,306,042
874,571
CLASS
N
Shares
outstanding,
beginning
of
period
................
508,905
585,280
758,506
746,740
Shares
sold
.....................................
28,114
32,108
115,953
126,229
Shares
issued
on
reinvestment
of
distributions
...........
8,347
11,076
32,277
92,092
Shares
redeemed
.................................
(
319,809
)
(
119,559
)
(
151,429
)
(
206,555
)
Shares
outstanding,
end
of
period
225,557
508,905
755,307
758,506
CLASS
R6
Shares
outstanding,
beginning
of
period
................
11,334,719
9,556,811
33,234,891
29,121,791
Shares
sold
.....................................
3,480,692
6,121,321
3,864,543
5,621,568
Shares
issued
on
reinvestment
of
distributions
...........
225,200
229,582
1,500,353
3,664,919
Shares
redeemed
.................................
(
2,548,728
)
(
4,572,995
)
(
6,558,148
)
(
5,173,387
)
Shares
outstanding,
end
of
period
12,491,883
11,334,719
32,041,639
33,234,891
98
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
September
30,
2023
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
16.00
0.27
6
3.03
3.30
(0.27)
(1.44)
(1.71)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
20.84
0.25
(2.57)
(2.32)
(0.26)
(2.26)
(2.52)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.63
0.22
4.78
5.00
(0.23)
(1.56)
(1.79)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.84
0.23
1.48
1.71
(0.21)
(0.71)
(0.92)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.83
0.21
8
(1.06)
(0.85)
(0.27)
(0.87)
(1.14)
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
16.11
0.23
6
3.06
3.29
(0.21)
(1.44)
(1.65)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
20.95
0.20
(2.59)
(2.39)
(0.19)
(2.26)
(2.45)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.72
0.17
4.81
4.98
(0.19)
(1.56)
(1.75)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.76
0.20
1.47
1.67
—
(0.71)
(0.71)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.74
0.17
8
(1.06)
(0.89)
(0.22)
(0.87)
(1.09)
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
15.99
0.29
6
3.02
3.31
(0.29)
(1.44)
(1.73)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
20.83
0.27
(2.57)
(2.30)
(0.28)
(2.26)
(2.54)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.62
0.24
4.78
5.02
(0.25)
(1.56)
(1.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.83
0.25
1.48
1.73
(0.23)
(0.71)
(0.94)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.83
0.23
8
(1.07)
(0.84)
(0.29)
(0.87)
(1.16)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
13.75
0.17
2.33
2.50
(0.13)
—
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
18.38
0.14
9
(3.64)
(3.50)
(0.08)
(1.05)
(1.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.35
0.07
10,11
6.24
6.31
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.33
0.08
0.07
13
0.15
(0.12)
(0.01)
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.88
0.11
8
(2.14)
(2.03)
(0.08)
(1.44)
(1.52)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
13.71
0.13
2.32
2.45
(0.07)
—
(0.07)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
18.32
0.09
9
(3.62)
(3.53)
(0.03)
(1.05)
(1.08)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.32
0.03
10,11
6.22
6.25
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.29
0.04
0.08
13
0.12
(0.08)
(0.01)
(0.09)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.82
0.08
8
(2.12)
(2.04)
(0.05)
(1.44)
(1.49)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
13.77
0.19
2.32
2.51
(0.14)
—
(0.14)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
18.41
0.15
9
(3.64)
(3.49)
(0.10)
(1.05)
(1.15)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.37
0.10
10,11
6.23
6.33
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.35
0.08
0.08
13
0.16
(0.13)
(0.01)
(0.14)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.91
0.13
8
(2.15)
(2.02)
(0.10)
(1.44)
(1.54)
99
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
September
30,
2023
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
17.59
22.16%
$
196,246
0.42%
0.41%
0.40%
1.62%
6
57%
$
16.00
(13.59)%
$
206,052
0.42%
0.41%
0.40%
1.30%
56%
$
20.84
30.10%
$
283,306
0.41%
0.41%
0.40%
1.13%
59%
7
$
17.63
10.30%
$
218,609
0.45%
0.44%
0.44%
1.38%
48%
$
16.84
(3.55)%
$
361,920
0.44%
0.44%
0.44%
1.29%
8
55%
$
17.75
21.87%
$
5,132
0.67%
0.66%
0.65%
1.36%
6
57%
$
16.11
(13.82)%
$
5,348
0.67%
0.66%
0.65%
1.04%
56%
$
20.95
29.73%
$
8,726
0.66%
0.66%
0.65%
0.87%
59%
7
$
17.72
10.07%
$
10,681
0.71%
0.69%
0.69%
1.17%
48%
$
16.76
(3.84)%
$
57,421
0.70%
0.70%
0.70%
1.02%
8
55%
$
17.57
22.25%
$
813,715
0.32%
0.31%
0.30%
1.70%
6
57%
$
15.99
(13.51)%
$
720,884
0.32%
0.31%
0.30%
1.40%
56%
$
20.83
30.26%
$
1,008,244
0.31%
0.31%
0.30%
1.23%
59%
7
$
17.62
10.43%
$
863,892
0.35%
0.34%
0.34%
1.51%
48%
$
16.83
(3.50)%
$
1,027,712
0.35%
0.35%
0.35%
1.38%
8
55%
$
16.12
18.27%
$
58,597
0.74%
0.61%
0.60%
1.10%
63%
$
13.75
(20.56)%
$
60,005
0.75%
0.61%
0.60%
0.81%
9
65%
$
18.38
51.47%
$
67,830
0.83%
12
0.72%
12
0.71%
12
0.43%
10,11
60%
7
$
12.35
1.13%
$
39,049
0.70%
0.65%
0.64%
0.63%
51%
$
12.33
(11.74)%
$
42,197
0.66%
0.64%
0.64%
0.92%
8
70%
$
16.09
17.94%
$
4,325
1.02%
0.86%
0.85%
0.84%
63%
$
13.71
(20.75)%
$
4,979
1.00%
0.86%
0.85%
0.55%
9
65%
$
18.32
51.05%
$
8,123
1.08%
12
0.97%
12
0.96%
12
0.16%
10,11
60%
7
$
12.32
0.87%
$
5,421
0.95%
0.90%
0.89%
0.36%
51%
$
12.29
(11.94)%
$
8,304
0.92%
0.90%
0.90%
0.66%
8
70%
$
16.14
18.35%
$
38,693
0.67%
0.51%
0.50%
1.19%
63%
$
13.77
(20.51)%
$
37,123
0.65%
0.51%
0.50%
0.91%
9
65%
$
18.41
51.60%
$
54,607
0.74%
12
0.63%
12
0.62%
12
0.64%
10,11
60%
7
$
12.37
1.22%
$
213,517
0.60%
0.55%
0.54%
0.70%
51%
$
12.35
(11.66)%
$
501,656
0.57%
0.55%
0.55%
1.02%
8
70%
100
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
September
30,
2023
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
9.73
0.35
2.37
2.72
(0.36)
—
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
13.12
0.39
(3.39)
(3.00)
(0.39)
—
(0.39)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.69
0.34
2.31
2.65
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.06
0.22
(0.25)
(0.03)
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.76
0.28
(0.60)
(0.32)
(0.38)
—
(0.38)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
9.71
0.32
2.36
2.68
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
13.08
0.32
(3.34)
(3.02)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.66
0.28
2.33
2.61
(0.19)
—
(0.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.03
0.19
(0.25)
(0.06)
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.73
0.24
(0.59)
(0.35)
(0.35)
—
(0.35)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
9.72
0.37
2.35
2.72
(0.37)
—
(0.37)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
13.10
0.39
(3.37)
(2.98)
(0.40)
—
(0.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.67
0.37
2.29
2.66
(0.23)
—
(0.23)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.05
0.23
(0.26)
(0.03)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.75
0.28
(0.59)
(0.31)
(0.39)
—
(0.39)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
8.49
0.39
0.90
1.29
(0.41)
—
(0.41)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
12.20
0.41
(3.83)
(3.42)
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.57
0.34
11
1.48
1.82
(0.19)
—
(0.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.75
0.14
0.92
1.06
(0.24)
—
(0.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.58
0.25
8
(0.86)
(0.61)
(0.22)
—
(0.22)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
8.51
0.51
0.75
1.26
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
12.22
0.33
(3.78)
(3.45)
(0.26)
—
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.60
0.33
11
1.46
1.79
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.77
0.14
0.90
1.04
(0.21)
—
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.57
0.16
8
(0.79)
(0.63)
(0.17)
—
(0.17)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
8.49
0.40
0.90
1.30
(0.42)
—
(0.42)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
12.20
0.41
(3.82)
(3.41)
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.58
0.31
11
1.51
1.82
(0.20)
—
(0.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.76
0.18
0.89
1.07
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.59
0.23
8
(0.83)
(0.60)
(0.23)
—
(0.23)
101
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
September
30,
2023
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
12.09
28.33%
$
83,745
0.61%
0.56%
0.55%
2.98%
69%
$
9.73
(23.62)%
$
62,389
0.63%
0.56%
0.56%
3.17%
73%
$
13.12
24.97%
$
81,680
0.61%
0.56%
0.56%
2.61%
62%
7
$
10.69
(0.51)%
$
49,672
0.67%
0.60%
0.59%
2.04%
74%
$
11.06
(2.37)%
$
50,189
0.67%
0.60%
0.60%
2.56%
57%
$
12.10
27.88%
$
1,072
0.86%
0.81%
0.80%
2.72%
69%
$
9.71
(23.79)%
$
1,074
0.88%
0.81%
0.81%
2.61%
73%
$
13.08
24.67%
$
4,184
0.86%
0.81%
0.81%
2.17%
62%
7
$
10.66
(0.75)%
$
4,147
0.92%
0.85%
0.84%
1.82%
74%
$
11.03
(2.62)%
$
4,261
0.92%
0.85%
0.85%
2.25%
57%
$
12.07
28.42%
$
393,769
0.51%
0.46%
0.45%
3.12%
69%
$
9.72
(23.50)%
$
311,227
0.53%
0.46%
0.46%
3.23%
73%
$
13.10
25.13%
$
418,160
0.51%
0.46%
0.46%
2.89%
62%
7
$
10.67
(0.47)%
$
191,955
0.57%
0.50%
0.49%
2.16%
74%
$
11.05
(2.27)%
$
217,891
0.57%
0.50%
0.50%
2.54%
57%
$
9.37
15.47%
$
49,505
0.77%
0.72%
0.71%
4.15%
65%
$
8.49
(28.72)%
$
44,791
0.79%
0.71%
0.70%
3.69%
61%
$
12.20
17.26%
$
66,601
0.80%
0.72%
0.72%
2.68%
11
61%
7
$
10.57
10.94%
$
19,271
0.86%
0.75%
0.75%
1.48%
58%
$
9.75
(5.68)%
$
36,722
0.84%
0.75%
0.75%
2.51%
8
62%
$
9.42
14.96%
$
685
1.03%
0.97%
0.96%
5.43%
65%
$
8.51
(28.85)%
$
846
1.04%
0.96%
0.95%
2.87%
61%
$
12.22
16.96%
$
3,885
1.05%
0.96%
0.96%
2.56%
11
61%
7
$
10.60
10.65%
$
867
1.12%
1.00%
1.00%
1.47%
58%
$
9.77
(5.92)%
$
677
1.09%
1.00%
1.00%
1.64%
8
62%
$
9.37
15.62%
$
450,400
0.68%
0.62%
0.61%
4.25%
65%
$
8.49
(28.65)%
$
399,011
0.69%
0.61%
0.60%
3.74%
61%
$
12.20
17.32%
$
572,793
0.71%
0.63%
0.63%
2.44%
11
61%
7
$
10.58
11.03%
$
321,431
0.77%
0.65%
0.65%
1.82%
58%
$
9.76
(5.59)%
$
305,195
0.74%
0.65%
0.65%
2.32%
8
62%
102
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
September
30,
2023
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
19.08
0.25
2.24
2.49
(0.24)
(1.80)
(2.04)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
26.92
0.21
(3.67)
(3.46)
(0.13)
(4.25)
(4.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.47
0.10
6.30
6.40
(0.17)
(3.78)
(3.95)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.57
0.20
3.92
4.12
(0.25)
(1.97)
(2.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.99
0.26
8
(0.44)
(0.18)
(0.22)
(2.02)
(2.24)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
19.07
0.19
2.26
2.45
(0.19)
(1.80)
(1.99)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
26.92
0.16
(3.70)
(3.54)
(0.06)
(4.25)
(4.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.46
0.04
6.31
6.35
(0.11)
(3.78)
(3.89)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.56
0.15
3.90
4.05
(0.18)
(1.97)
(2.15)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.96
0.21
8
(0.43)
(0.22)
(0.16)
(2.02)
(2.18)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
19.00
0.26
2.23
2.49
(0.26)
(1.80)
(2.06)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
26.83
0.24
(3.67)
(3.43)
(0.15)
(4.25)
(4.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.40
0.13
6.28
6.41
(0.20)
(3.78)
(3.98)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.51
0.23
3.90
4.13
(0.27)
(1.97)
(2.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.94
0.29
8
(0.45)
(0.16)
(0.25)
(2.02)
(2.27)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
15.88
0.17
6
1.67
1.84
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
25.93
0.12
9
(4.92)
(4.80)
(0.07)
(5.18)
(5.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.47
(0.00)
14
7.92
7.92
(0.15)
(1.31)
(1.46)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.66
0.09
1.56
1.65
(0.10)
(0.74)
(0.84)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.14
0.09
8
(3.83)
(3.74)
(0.04)
(4.70)
(4.74)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
15.86
0.14
6
1.66
1.80
(0.05)
—
(0.05)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
25.91
0.07
9
(4.93)
(4.86)
(0.01)
(5.18)
(5.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.45
(0.07)
7.93
7.86
(0.09)
(1.31)
(1.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.66
0.04
1.56
1.60
(0.07)
(0.74)
(0.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.14
0.05
8
(3.83)
(3.78)
(0.00)
14
(4.70)
(4.70)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
15.81
0.20
6
1.65
1.85
(0.12)
—
(0.12)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
25.85
0.14
9
(4.91)
(4.77)
(0.09)
(5.18)
(5.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.41
0.03
7.89
7.92
(0.17)
(1.31)
(1.48)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.61
0.11
1.56
1.67
(0.13)
(0.74)
(0.87)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.10
0.13
8
(3.85)
(3.72)
(0.07)
(4.70)
(4.77)
103
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
September
30,
2023
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
19.53
13.64%
$
355,279
0.43%
0.41%
0.40%
1.27%
87%
$
19.08
(16.71)%
$
412,574
0.42%
0.41%
0.40%
0.87%
84%
$
26.92
28.54%
$
794,698
0.42%
0.41%
0.40%
0.41%
102%
7
$
24.47
19.52%
$
616,263
0.42%
0.40%
0.40%
0.91%
75%
$
22.57
1.38%
$
678,252
0.41%
0.40%
0.40%
1.21%
8
61%
$
19.53
13.42%
$
61,272
0.68%
0.66%
0.65%
0.99%
87%
$
19.07
(16.97)%
$
52,860
0.67%
0.66%
0.65%
0.70%
84%
$
26.92
28.27%
$
58,376
0.67%
0.66%
0.65%
0.15%
102%
7
$
24.46
19.20%
$
46,797
0.67%
0.65%
0.65%
0.69%
75%
$
22.56
1.14%
$
67,654
0.66%
0.65%
0.65%
0.97%
8
61%
$
19.43
13.74%
$
228,243
0.33%
0.31%
0.30%
1.36%
87%
$
19.00
(16.64)%
$
226,855
0.32%
0.31%
0.30%
1.03%
84%
$
26.83
28.68%
$
307,619
0.31%
0.31%
0.30%
0.51%
102%
7
$
24.40
19.66%
$
116,264
0.32%
0.30%
0.30%
1.05%
75%
$
22.51
1.48%
$
202,063
0.31%
0.30%
0.30%
1.33%
8
61%
$
17.62
11.61%
$
132,059
0.71%
0.62%
0.61%
0.97%
6
54%
$
15.88
(23.61)%
$
152,563
0.68%
0.61%
0.60%
0.61%
9
74%
$
25.93
41.25%
$
210,181
0.67%
0.61%
0.60%
0.00%
103%
7
$
19.47
8.89%
$
160,586
0.67%
0.60%
0.60%
0.48%
86%
$
18.66
(10.90)%
$
201,555
0.66%
0.60%
0.60%
0.46%
8
79%
$
17.61
11.34%
$
1,840
0.96%
0.87%
0.86%
0.81%
6
54%
$
15.86
(23.83)%
$
4,488
0.93%
0.86%
0.85%
0.36%
9
74%
$
25.91
40.98%
$
5,908
0.92%
0.86%
0.85%
(0.28)%
103%
7
$
19.45
8.59%
$
3,761
0.92%
0.85%
0.85%
0.23%
86%
$
18.66
(11.09)%
$
4,395
0.91%
0.85%
0.85%
0.28%
8
79%
$
17.54
11.71%
$
23,052
0.61%
0.52%
0.51%
1.16%
6
54%
$
15.81
(23.56)%
$
43,555
0.58%
0.51%
0.50%
0.72%
9
74%
$
25.85
41.41%
$
61,524
0.57%
0.51%
0.50%
0.11%
103%
7
$
19.41
8.99%
$
42,453
0.57%
0.50%
0.50%
0.60%
86%
$
18.61
(10.80)%
$
54,417
0.56%
0.50%
0.50%
0.67%
8
79%
104
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
September
30,
2023
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
13.64
0.42
2.44
2.86
(0.43)
—
(0.43)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
19.11
0.40
(5.43)
(5.03)
(0.44)
—
(0.44)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.19
0.29
2.83
3.12
(0.20)
—
(0.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.98
0.21
1.37
1.58
(0.37)
—
(0.37)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.82
0.31
(0.87)
(0.56)
(0.28)
—
(0.28)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
13.62
0.43
2.38
2.81
(0.40)
—
(0.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
19.05
0.37
(5.45)
(5.08)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.14
0.23
2.85
3.08
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.94
0.18
1.35
1.53
(0.33)
—
(0.33)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.77
0.27
(0.86)
(0.59)
(0.24)
—
(0.24)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
13.62
0.46
2.40
2.86
(0.44)
—
(0.44)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
19.08
0.42
(5.42)
(5.00)
(0.46)
—
(0.46)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.16
0.31
2.83
3.14
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.96
0.23
1.35
1.58
(0.38)
—
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.80
0.33
(0.87)
(0.54)
(0.30)
—
(0.30)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
24.99
0.40
2.61
3.01
(0.35)
(2.22)
(2.57)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
29.60
0.38
(4.18)
(3.80)
(0.34)
(0.47)
(0.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.88
0.31
4.75
5.06
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.83
0.33
1.99
2.32
(0.26)
(0.01)
(0.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.18
0.34
1.62
1.96
(0.23)
(0.08)
(0.31)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
24.90
0.33
2.60
2.93
(0.26)
(2.22)
(2.48)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
29.50
0.29
(4.17)
(3.88)
(0.25)
(0.47)
(0.72)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.81
0.24
4.73
4.97
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.76
0.27
1.99
2.26
(0.20)
(0.01)
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.11
0.28
1.62
1.90
(0.17)
(0.08)
(0.25)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
24.97
0.43
2.60
3.03
(0.37)
(2.22)
(2.59)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
29.57
0.40
(4.17)
(3.77)
(0.36)
(0.47)
(0.83)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.87
0.33
4.73
5.06
(0.36)
—
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.81
0.36
1.99
2.35
(0.28)
(0.01)
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.15
0.35
1.63
1.98
(0.24)
(0.08)
(0.32)
105
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
September
30,
2023
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
16.07
21.13%
$
139,754
0.66%
0.58%
0.55%
2.63%
72%
$
13.64
(27.03)%
$
158,014
0.63%
0.58%
0.57%
2.23%
77%
$
19.11
19.40%
$
332,293
0.60%
0.56%
0.55%
1.54%
84%
7
$
16.19
10.62%
$
256,067
0.60%
0.55%
0.55%
1.41%
72%
$
14.98
(3.26)%
$
270,031
0.61%
0.55%
0.55%
2.12%
70%
$
16.03
20.82%
$
4,747
0.90%
0.83%
0.80%
2.73%
72%
$
13.62
(27.23)%
$
33,996
0.89%
0.83%
0.82%
2.11%
77%
$
19.05
19.18%
$
68,275
0.85%
0.81%
0.80%
1.24%
84%
7
$
16.14
10.33%
$
60,332
0.86%
0.80%
0.80%
1.18%
72%
$
14.94
(3.51)%
$
36,694
0.86%
0.80%
0.80%
1.86%
70%
$
16.04
21.21%
$
83,251
0.56%
0.48%
0.45%
2.86%
72%
$
13.62
(26.95)%
$
127,615
0.54%
0.48%
0.47%
2.42%
77%
$
19.08
19.55%
$
200,637
0.50%
0.46%
0.45%
1.69%
84%
7
$
16.16
10.68%
$
114,949
0.50%
0.45%
0.45%
1.50%
72%
$
14.96
(3.15)%
$
129,267
0.51%
0.45%
0.45%
2.25%
70%
$
25.43
12.30%
$
2,123,494
0.38%
0.38%
0.37%
1.56%
31%
$
24.99
(13.40)%
$
2,734,495
0.38%
0.38%
0.37%
1.29%
28%
$
29.60
20.53%
$
3,903,177
0.37%
0.37%
0.37%
1.13%
17%
$
24.88
10.21%
$
4,248,841
0.40%
0.40%
0.40%
1.44%
35%
$
22.83
9.59%
$
3,262,596
0.39%
0.38%
0.38%
1.60%
20%
$
25.35
12.02%
$
227,113
0.66%
0.66%
0.65%
1.28%
31%
$
24.90
(13.66)%
$
296,466
0.66%
0.66%
0.65%
1.01%
28%
$
29.50
20.17%
$
432,165
0.66%
0.65%
0.65%
0.85%
17%
$
24.81
9.95%
$
463,060
0.66%
0.65%
0.65%
1.18%
35%
$
22.76
9.30%
$
389,897
0.66%
0.65%
0.65%
1.33%
20%
$
25.41
12.41%
$
774,647
0.31%
0.31%
0.30%
1.64%
31%
$
24.97
(13.31)%
$
913,045
0.31%
0.31%
0.30%
1.37%
28%
$
29.57
20.55%
$
1,344,591
0.31%
0.30%
0.30%
1.20%
17%
$
24.87
10.32%
$
1,377,116
0.31%
0.30%
0.30%
1.55%
35%
$
22.81
9.72%
$
1,275,970
0.31%
0.30%
0.30%
1.61%
20%
106
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
September
30,
2023
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
11.44
0.34
1.59
1.93
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
15.08
0.31
(3.57)
(3.26)
(0.38)
—
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.18
0.29
1.86
2.15
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.09
0.23
0.20
13
0.43
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.38
0.34
(0.35)
(0.01)
(0.28)
—
(0.28)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
11.84
0.32
1.66
1.98
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
15.60
0.28
(3.70)
(3.42)
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.63
0.26
1.92
2.18
(0.21)
—
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.52
0.24
0.18
13
0.42
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.71
0.33
(0.36)
(0.03)
(0.16)
—
(0.16)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
11.43
0.36
1.60
1.96
(0.27)
—
(0.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
15.08
0.34
(3.59)
(3.25)
(0.40)
—
(0.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.18
0.33
1.83
2.16
(0.26)
—
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.09
0.28
0.16
13
0.44
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.38
0.33
(0.33)
0.00
14
(0.29)
—
(0.29)
AQR
GLOBAL
EQUITY
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
7.77
0.20
6
1.74
1.94
(0.11)
(0.25)
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
10.45
0.15
(1.61)
(1.46)
(0.20)
(1.02)
(1.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.61
0.13
1.82
1.95
(0.11)
—
(0.11)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.20
0.06
0.47
0.53
(0.12)
—
(0.12)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.11
0.15
(0.72)
(0.57)
(0.13)
(0.21)
(0.34)
AQR
GLOBAL
EQUITY
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
7.66
0.17
6
1.72
1.89
(0.10)
(0.25)
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
10.32
0.12
(1.58)
(1.46)
(0.18)
(1.02)
(1.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.52
0.11
1.79
1.90
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.12
0.08
0.43
0.51
(0.11)
—
(0.11)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.06
0.13
(0.73)
(0.60)
(0.13)
(0.21)
(0.34)
AQR
GLOBAL
EQUITY
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2023
$
7.83
0.21
6
1.76
1.97
(0.13)
(0.25)
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
10.52
0.16
(1.62)
(1.46)
(0.21)
(1.02)
(1.23)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.67
0.14
1.84
1.98
(0.13)
—
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.27
0.12
0.41
0.53
(0.13)
—
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.19
0.14
(0.70)
(0.56)
(0.15)
(0.21)
(0.36)
107
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
September
30,
2023
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
13.12
17.00%
$
88,244
0.64%
0.56%
0.55%
2.58%
25%
$
11.44
(22.21)%
$
99,478
0.65%
0.56%
0.55%
2.26%
34%
$
15.08
16.44%
$
117,803
0.63%
0.55%
0.55%
1.94%
30%
$
13.18
3.21%
$
131,283
0.64%
0.55%
0.55%
1.79%
27%
$
13.09
0.18%
$
202,228
0.64%
0.55%
0.55%
2.64%
24%
$
13.60
16.80%
$
3,067
0.89%
0.81%
0.80%
2.33%
25%
$
11.84
(22.47)%
$
6,027
0.89%
0.81%
0.80%
1.95%
34%
$
15.60
16.13%
$
9,129
0.88%
0.80%
0.80%
1.69%
30%
$
13.63
3.04%
$
9,541
0.90%
0.80%
0.80%
1.79%
27%
$
13.52
(0.10)%
$
7,221
0.89%
0.80%
0.80%
2.51%
24%
$
13.12
17.22%
$
163,844
0.54%
0.46%
0.45%
2.73%
25%
$
11.43
(22.19)%
$
129,578
0.55%
0.46%
0.45%
2.43%
34%
$
15.08
16.54%
$
144,117
0.54%
0.45%
0.45%
2.21%
30%
$
13.18
3.32%
$
65,720
0.55%
0.45%
0.45%
2.20%
27%
$
13.09
0.26%
$
31,493
0.54%
0.45%
0.45%
2.58%
24%
$
9.35
25.68%
$
12,211
0.83%
0.81%
0.80%
2.25%
6
115%
$
7.77
(16.48)%
$
6,796
0.82%
0.81%
0.80%
1.54%
123%
$
10.45
22.81%
$
16,256
0.82%
0.80%
0.80%
1.28%
95%
$
8.61
6.48%
$
15,876
0.82%
0.80%
0.80%
0.76%
94%
$
8.20
(5.78)%
$
187,408
0.81%
0.80%
0.80%
1.82%
122%
$
9.20
25.33%
$
6,950
1.08%
1.06%
1.05%
1.99%
6
115%
$
7.66
(16.70)%
$
5,811
1.07%
1.06%
1.05%
1.29%
123%
$
10.32
22.46%
$
7,706
1.07%
1.05%
1.05%
1.10%
95%
$
8.52
6.24%
$
5,126
1.07%
1.05%
1.05%
0.94%
94%
$
8.12
(6.17)%
$
4,573
1.06%
1.05%
1.05%
1.59%
122%
$
9.42
25.80%
$
301,712
0.73%
0.71%
0.70%
2.34%
6
115%
$
7.83
(16.38)%
$
260,152
0.72%
0.71%
0.70%
1.68%
123%
$
10.52
23.00%
$
306,332
0.72%
0.70%
0.70%
1.39%
95%
$
8.67
6.40%
$
290,082
0.72%
0.70%
0.70%
1.47%
94%
$
8.27
(5.67)%
$
106,872
0.72%
0.70%
0.70%
1.72%
122%
108
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Large
Cap
Multi-Style
Fund
..............................................
$
0.02
0.14%
AQR
Small
Cap
Momentum
Style
Fund
..........................................
0.02
0.12
AQR
Global
Equity
Fund
.....................................................
0.01
0.13
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Large
Cap
Multi-Style
Fund
-
Class
I
and R6
..................................
$
0.02
0.11%
AQR
Large
Cap
Multi-Style
Fund
-
Class
N
.......................................
0.02
0.12
AQR
Small
Cap
Multi-Style
Fund
-
Class
I,
N
and
R6
................................
0.02
0.15
AQR
Emerging
Multi-Style
II
Fund
-
Class
I,
N
and
R6
...............................
0.02
0.23
AQR
Large
Cap
Momentum
Style
Fund
-
Class
I,
N
and
R6
...........................
0.03
0.12
AQR
Small
Cap
Momentum
Style
Fund
-
Class
I,
N
and
R6
...........................
0.02
0.12
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Small
Cap
Multi-Style
Fund
...............................................
$
0.02
0
.14%
AQR
Small
Cap
Momentum
Style
Fund
..........................................
0.05
0
.23
FUND
NET
INVESTMENT
INCOME
(LOSS)
PER
SHARE
NET
INVESTMENT
INCOME
(LOSS)
RATIO
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
and
N
..................................
$
0
.01
0
.07%
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0
.01
0
.08
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Small
Cap
Multi-Style
Fund
...............................................
$
0.03
0.16%
AQR
Emerging
Multi-Style
II
Fund
..............................................
0.03
0.25
*
Annualized
for
periods
less
than
one
year.
1
Per
share
net
investment
income
(loss)
and
net
realized
and
unrealized
gain
(loss)
are
based
on
average
shares
outstanding.
2
Includes
adjustments
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
and
as
such,
the
net
asset
value
for
financial
reporting
purposes
and
the
returns
based
upon
those
net
asset
values
may
differ
from
the
net
asset
value
and
returns
for
shareholder
transactions.
3
Total
investment
return
is
calculated
assuming
an
initial
investment
made
at
the
net
asset
value
at
the
beginning
of
the
period,
reinvestment
of
all
dividends
and
distributions
at
net
asset
value
during
the
period
and
redemption
on
the
last
day
of
the
period
and
is
not
annualized.
4
Ratios
do
not
include
the
impact
of
the
expenses
of
the
underlying
funds
in
which
the
Funds
invest.
5
Portfolio
turnover
rate
excludes
derivatives,
if
any,
and
is
not
annualized.
6
For
the
year
ended
September
30,
2023,
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received,
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
7
Excludes
activity
related
to
Funds’
reorganizations.
8
For
the
year
ended
September
30,
2019,
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received,
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
9
For
the
year
ended
September
30,
2022,
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received,
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
10
For
the
year
ended
September
30,
2021,
the
AQR
Small
Cap
Multi-Style
Fund
incurred
expenses
related
to
the
Fund's
closing
agreement
with
the
U.S.
Internal
Revenue
Service
(“IRS”)
and
reimbursement
related
to
such
closing
agreement.
Without
these
costs
and
reimbursement,
the
Net
Investment
Income
(Loss)
Per
Share
and
Net
Investment
Income
(Loss)
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
11
For
the
year
ended
September
30,
2021,
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received,
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
109
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2023
FUND
EXPENSES,
BEFORE
REIMBURSEMENTS
AND/OR
WAIVERS
EXPENSES,
NET
OF
REIMBURSEMENTS
AND/OR
WAIVERS
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
and
N
...............................
0.11%
0
.11%
AQR
Small
Cap
Multi-Style
Fund
– Class
R6
..................................
0.12
0
.12
12
For
the
year
ended
September
30,
2021,
the
AQR
Small
Cap
Multi-Style
Fund
incurred
expenses
related
to
the
Fund's
closing
agreement
with
the
IRS.
Without
these
costs,
the
Expenses,
Before
Reimbursements
and/or
Waivers
and
Expenses,
Net
of
Reimbursements
and/or
Waivers
of
each
class
would
have
been
reduced
by
the
percentages
shown
below:
13
The
amount
shown
for
a
share
outstanding
throughout
the
period
is
not
indicative
of
the
aggregate
net
realized
and
unrealized
gain
(loss)
for
that
period
because
of
the
timing
of
sales
and
repurchases
of
the
Fund
shares
in
relation
to
fluctuating
market
value
of
the
investments
in
the
Fund.
14
Amount
is
less
than
$.005
per
share.
110
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
1.
Organization
AQR
Funds
(the
“Trust”),
was
organized
as
a
Delaware
statutory
trust
on
September
4,
2008.
The
Trust
is
an
open-end
management
investment
company,
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“1940
Act”).
As
of
September
30,
2023,
the
Trust
consists
of
twenty-
two
active
series, ten
of
which
are
presented
in
this
book
(collectively,
the
“Funds”
and
each
individually
a
“Fund”):
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Large
Cap
Defensive
Style
Fund,
AQR
International
Defensive
Style
Fund
and
AQR
Global
Equity
Fund.
The
remaining
active
series
have
a
different
fiscal
year
end
and
are
reported
in
a
separate
book.
AQR
Capital
Management,
LLC
(the
“Adviser”)
serves
as
the
investment
adviser
of
each
Fund.
The
investment
objective
of
the
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Global
Equity
Fund
and AQR
Emerging
Multi-Style
II
Fund is
to
seek
long-term
capital
appreciation.
The
investment
objective
of
the
AQR
Large
Cap
Defensive
Style
Fund
and
AQR
International
Defensive
Style
Fund
is
to
seek
total
return.
Each
Fund
offers
Class
I,
N
and
R6
shares.
2.
Significant
Accounting
Policies
Basis
of
Preparation:
The
Funds
are
investment
companies
and
apply
specialized
accounting
and
reporting
guidance
of
the
Financial
Accounting
Standards
Board
Accounting
Standard
Codification
Topic
946
Financial
Services—Investment
Companies
.
The
accounting
policies
are
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(“GAAP”).
Use
of
Estimates:
The
preparation
of
the
financial
statements
in
conformity
with
GAAP
requires
the
Adviser
to
make
estimates
and
assumptions
that
affect
the
fair
value
of
investments,
the
reported
amounts
of
assets
and
liabilities
and
disclosure
of
contingent
assets
and
liabilities,
if
any,
at
the
date
of
the
financial
statements
and
the
reported
amounts
of
increases
and
decreases
in
net
assets
from
operations
during
the
reporting
period.
Actual
results
could
differ
from
those
estimates
and
such
differences
could
be
material.
Valuation
of
Investments:
All
securities
and
other
investments
are
recorded
at
their
estimated
fair
value,
as
described
in
Note
4.
Cash:
Cash
comprises
U.S.
dollar
and
foreign
currency
deposits
held
at
a
custodian
bank(s)
which
may
exceed
insured
limits.
The
Funds
are
subject
to
risk
to
the
extent
that
the
institutions
may
be
unable
to
fulfill
their
obligations.
Due
to/from
Brokers:
Due
to/from
brokers
represents
cash
balances
on
deposit
with,
or
cash
balances
owed
to,
the
Funds’
prime
brokers
and
counterparties.
The
Funds
are
subject
to
credit
risk
should
the
prime
brokers
and
counterparties
be
unable
to
meet
their
obligations
to
the
Funds.
Foreign
Currency
Translation:
The
books
and
records
of
the
Funds
are
maintained
in
U.S.
dollars.
Foreign
denominated
assets
and
liabilities
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
at
the
valuation
date.
Transactions
denominated
in
foreign
currencies
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
on
the
date
of
the
transaction.
The
Funds’
income
earned
and
expense
incurred
in
foreign
denominated
currencies
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
on
the
date
of
such
activity.
The
Funds
do
not
separately
disclose
that
portion
of
the
results
of
operations
arising
from
changes
in
the
foreign
exchange
rates
on
investments
and
derivatives
from
the
fluctuations
that
result
from
changes
in
the
market
prices
of
investments
and
derivatives
held
or
sold
during
the
period.
Accordingly,
such
foreign
currency
gains
(losses)
are
included
in
the
reported
net
realized
gain
(loss)
from
transactions
in
investment
securities
and
derivatives
and
net
change
in
unrealized
appreciation
(depreciation)
on
investment
securities
and
derivatives
on
the
Statements
of
Operations.
Realized
gains
(losses)
from
settlement
of
foreign
currency
and
foreign
currency
transactions
reported
on
the
Statements
of
Operations
arise
from
the
disposition
of
foreign
currency
and
a
change
between
the
amounts
of
dividends,
interest
and
foreign
withholding
taxes
recorded
on
the
Funds’
books
on
the
transaction
date
and
the
U.S.
dollar
equivalent
of
the
amounts
actually
received
or
paid.
Changes
in
unrealized
appreciation
(depreciation)
on
foreign
currency
and
foreign
currency
translations
reported
on
the
Statements
of
Operations
arise
from
changes
(due
to
the
changes
in
the
exchange
rate)
in
the
value
of
foreign
currency
and
assets
and
liabilities
(other
than
investments)
denominated
in
foreign
currencies,
which
are
held
at
period
end.
Investment
Transactions
and
Related
Income:
Investment
transactions
are
accounted
for
on
trade
date
(the
date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
investment
transactions
are
calculated
on
a
specific
identification
cost
method.
Interest
income
(expense) is
recorded
on
an
accrual
basis
using
the
effective
interest
method,
which
results
in
coupon
interest
being
adjusted
for
amortization
of
premiums
and
accretion
of
discounts,
when
applicable.
Non-cash
dividends
included
in
dividend
income,
if
any,
are
recorded
at
the
fair
value
of
the
securities
received.
The
Funds
record
distributions
received
in
excess
of
income
from
underlying
investments,
such
as
real
estate
investment
trusts,
as
a
reduction
of
cost
of
investments
and/or
realized
gain.
Such
amounts
are
based
on
estimates
(if
actual
amounts
are
not
available)
and
actual
amounts
of
income,
realized
gain
and
return
of
capital
may
differ
from
the
estimated
amounts.
The
Funds
adjust
the
estimated
amounts
of
components
of
distributions
(and
consequently
net
investment
income)
as
necessary
once
the
issuers
provide
information
about
the
actual
composition
of
the
distributions
.
111
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
The
Funds
may
be
subject
to
foreign
taxes
on
income,
capital
gains
on
investments
or
currency
repatriation,
a
portion
of
which
may
be
recoverable.
Dividend
income
(expense),
net
of
foreign
taxes
withheld,
if
any,
is
recorded
on
the
ex-dividend
date
or
when
the
Fund
first
learns
of
the
ex-dividend
date
notification.
The
Funds
may
file
withholding
tax
reclaims
in
certain
jurisdictions
to
recover
a
portion
of
amounts
withheld.
Income
recognized,
if
any,
for
these
reclaims
is
reflected
as
dividend
income
in
the
Statements
of
Operations.
Additionally,
there
may
be
reclaims
that
include
amounts
withheld
in
prior
years,
which
may
be
reclaimable
based
upon
certain
provisions
in
the
Treaty
on
the
Functioning
of
the
European
Union
(“EU”)
and
subsequent
rulings
by
the
European
Court
of
Justice
(“ECJ”). Income
recognized
related
to
EU
reclaims
pursuant
to
the
ECJ
rulings
are
reported
as
European
Union
tax
reclaims
on
the
Statements
of
Operations,
if
material.
These
reclaims
are
recorded
when
the
amount
is
known
and
there
are
no
significant
uncertainties
on
collectability.
Expenses
incurred
related
to
EU
reclaims
that
are
contingent
upon
successful
receipt
of
EU
reclaims
are
reported
as
European
Union
tax
reclaim
fees
in
the
Statements
of
Operations,
if
material.
Multi-class
Operations:
Each
class
of
shares
offered
by
the
Trust
has
equal
rights
as
to
earnings,
assets
and
voting
privileges,
except
that
each
class
may
bear
different
sub-transfer
agency
and
distribution
fees,
and
shareholders
of
a
class
have
exclusive
voting
rights
regarding
any
matter
relating
solely
to
that
class
of
shares.
Income,
non-class
specific
expenses,
and
realized
gain
(loss)
and
change
in
unrealized
appreciation
(depreciation)
are
allocated
daily
to
each
class
of
shares
based
upon
the
proportion
of
relative
net
assets
at
the
beginning
of
each
day.
The
Funds
are
charged
for
those
expenses
that
are
directly
attributable
to
each
Fund.
Trust
level
expenses
are
allocated
among
the
Funds
based
on
the
ratio
of
average
net
assets
or
other
reasonable
methodology.
Certain
Funds
may
invest
in
other
investment
companies,
including
affiliated
funds,
and,
as
a
result,
indirectly
bear
a
portion
of
the
advisory
and
operating
expenses
incurred
by
these
entities.
Such
expenses
are
not
reflected
in
the
expenses
shown
on
the
Statements
of
Operations
and
are
not
included
in
the
ratios
to
average
net
assets
shown
on
the
Financial
Highlights.
Federal
Income
Taxes:
Each
Fund
is
treated
as
a
separate
taxable
entity
for
federal
income
tax
purposes.
Each
Fund
intends
to
qualify
as
a
“Regulated
Investment
Company”
("RIC")
under
Subchapter
M
of
the
Internal
Revenue
Code
of
1986,
as
amended
(the
“Code”).
If
so
qualified,
each
Fund
will
not
be
subject
to
federal
income
tax
to
the
extent
it
distributes
substantially
all
of
its
net
investment
income
and
capital
gains
to
shareholders.
Accordingly,
no
provision
for
federal
income
tax
is
necessary.
The
Adviser
evaluates
tax
positions
taken
or
expected
to
be
taken
in
the
course
of
preparing
the
Funds’
tax
returns
to
determine
whether
the
tax
positions
are
“more-likely-than-not”
to
be
sustained
if
challenged
by
the
applicable
tax
authority.
Tax
positions
deemed
to
meet
the more-likely-than-
not
threshold
would
be
recorded
as
a
tax
benefit
or
expense
in
the
current
year.
The
Funds
are
required
to
analyze
all
open
tax
years.
Open
tax
years
are
those
years
that
are
open
for
examination
by
the
relevant
income
taxing
authority.
The
Funds
have
determined
that
there
is
no
tax
liability/benefit
resulting
from
uncertain
income
tax
positions
taken
or
expected
to
be
taken
for
any
of
the
Funds'
open
tax
years.
The
Funds
are
not
aware
of
any
tax
positions
for
which
it
is
reasonably
possible
that
the
total
amounts
of
unrecognized
tax
expense/benefit
will
materially
change
in
the
next
twelve
months.
The
returns
of
the
Funds
for
the
prior
three
fiscal
years
as
well
as
current
year,
or
since
inception
if
shorter,
are
open
for
examination. As
of
September
30,
2023,
the
Funds
had
no
examinations
in
progress.
For
the
year
ended
September
30, 2023,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
and
AQR
International
Defensive
Style
Fund
incurred
an
excise
tax
liability
of
$6,868,
$45,485
and
$7,294,
respectively,
relating
to
the
tax
year
2022.
Distributions
to
Shareholders:
Distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
The
Funds
intend
to
declare
and
distribute
substantially
all
of
their
net
investment
income
and
net
realized
capital
gains,
if
any,
at
least
annually.
Income
and
capital
gain
distributions
will
be
determined
in
accordance
with
federal
income
tax
regulations
which
may
differ
from
GAAP.
Differences
may
be
permanent
or
temporary.
Permanent
differences
are
reclassified
among
capital
accounts
in
the
financial
statements
to
reflect
their
tax
character.
Temporary
differences
arise
when
certain
items
of
income,
expense,
gain,
or
loss
are
recognized
in
different
periods
for
financial
statement
and
tax
purposes.
These
differences
will
reverse
at
some
time
in
the
future.
Differences
in
classification
may
also
result
from
the
treatment
of
short-term
gains
as
ordinary
income
for
tax
purposes.
As
a
result,
income,
dividends
and
capital
gain
distributions
declared
during
a
fiscal
period
may
differ
significantly
from
the
net
investment
income
(loss)
and
realized
gain
(loss)
reported
on
the
Funds’
financial
statements
presented
under
GAAP.
The
Funds
utilize
earnings
and
profits
distributed
to
shareholders
on
redemptions
of
Fund
shares
as
part
of
the
dividends
paid
deduction. Distributions
classified
as
a
tax
basis
return
of
capital,
if
any,
are
reflected
on
the
Statements
of
Changes
in
Net
Assets
and
have
been
recorded
to
paid
in
capital.
Indemnification:
In
the
normal
course
of
business,
the
Funds
may
enter
into
various
agreements
that
provide
for
general
indemnifications.
The
Funds’
maximum
exposure
under
these
arrangements
is
unknown
as
any
potential
exposure
involves
future
claims
that
may
be
made
against
the
Funds.
However,
based
on
experience,
the
Funds
expect
the
risk
of
loss
to
be
remote.
3.
Securities
and
Other
Investments
Affiliate
Investments:
Certain
investments
may
be
classified
as
an
affiliate
or
a
controlled
affiliate
of
the
Funds
on
the
Schedule
of
Investments.
Section
2a-3
of
the
1940
Act
defines
an
affiliate
as,
among
other
things,
a
company
in
which
a
Fund
owns
at
least
5%
of
the
outstanding
voting
securities or
an
issuer
which
is
under
common
control
with
another
fund
or
trust.
Further,
pursuant
to
the
1940
Act,
control
is
presumed
to
exist
when,
among
other
things,
a
Fund
owns
more
than
25%
of
the
outstanding
voting
securities
of
a
portfolio
company.
112
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
Additionally,
certain
Funds
may
invest
in
the
Limited
Purpose
Cash
Investment
Fund
(the
“LPCI
Fund”),
which
is
managed
by
UBS
Asset
Management
(Americas)
Inc.
The
LPCI
Fund
is
a
registered
investment
company
under
the
1940
Act
and
is
subject
to
the
money
market
regulations
as
prescribed
in
Rule
2a-7
of
the
1940
Act.
Pursuant
to
the
LPCI
Fund’s
eligibility
requirements,
shares
of
the
LPCI
Fund
are
only
available
for
sale
to
the
Adviser
and
funds
advised
by
the
Adviser.
The
LPCI
Fund
may
be
considered
an
affiliated issuer
of
some
of
the
Funds
in
the
Trust
based
upon
ownership
of
the
outstanding
voting
securities.
However,
the
Funds
do
not
invest
in
the
LPCI
Fund
for
the
purpose
of
exercising
significant
influence
over
its
management,
board
or
policies.
A
summary
of
transactions
with
each
affiliated issuer
is
included
in
the
Schedules
of
Investments,
if
applicable.
Futures
Contracts:
Certain
Funds
invest
in
futures
contracts
as
part
of
their
primary
investment
strategy
and/or
to
equitize their
cash
flows.
Investments
in
futures
contracts
may
increase
or
decrease
exposure
to
a
particular
market.
In
the
event
of
a
bankruptcy
or
insolvency
of
a
futures
commission
merchant
that
holds
margin
on
behalf
of
the
Funds,
the
Funds
may
not
receive
the
return
of
the
entire
margin
owed
to
the
Funds,
potentially
resulting
in
a
loss.
A
change
in
market
value
of
an
open
futures
contract
is reported
in
the
Statements
of
Operations
as
net
change
in
unrealized
appreciation
(depreciation)
on
futures
contracts.
A
realized
gain
(loss)
represents
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed
or
expired,
and
is
reported
on
the
Statements
of
Operations.
The
use
of
long
futures
contracts
subjects
the
Funds
to
risk
of
loss
in
excess
of
the
amounts
shown
in
the
Schedule
of
Investments,
up
to
the
contract
amount
of
the
futures
contracts.
The
use
of
short
futures
contracts
subjects
the
Funds
to
unlimited
risk
of
loss.
Futures
contracts
outstanding
at
period
end,
if
any,
are
disclosed
in
each
Fund’s
Schedule
of
Investments.
Forward
Foreign
Currency
Exchange
Contracts:
Certain
Funds
buy
and
sell
forward
foreign
currency
exchange
contracts,
which
are
agreements
between
two
parties
to
buy
and
sell
currencies
at
a
set
price
on
a
future
date.
These
contracts
are
used
to
protect
against
a
decline
in
value
relative
to
the
U.S.
dollar
of
the
currencies
in
which
portfolio
securities
are
denominated
or
quoted
(or
an
increase
in
the
value
of
a
currency
in
which
securities
that
a
Fund
intends
to
buy
are
denominated,
when
a
Fund
holds
cash
reserves
and
short-term
investments),
or
for
other
investment
purposes.
The
market
value
of
the
contract
will
fluctuate
with
changes
in
currency
exchange
rates.
The
contract
is
marked
to
market
daily
and
the
change
in
market
value
is reported
as
net
change
in
unrealized
appreciation
(depreciation)
on
forward
foreign
currency
exchange
contracts.
When
the
contract
is
closed,
the
Funds
record
a
realized
gain
(loss)
equal
to
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed.
The
Funds
could
be
exposed
to
risk
if
the
value
of
the
currency
changes
unfavorably,
if
the
counterparties
to
the
contracts
are
unable
to
meet
the
terms
of
their
contracts
or
if
the
Funds
are
unable
to
enter
into
a
closing
position.
Risks
may
exceed
amounts
recognized
on
the
Statements
of
Assets
and
Liabilities.
Non-deliverable
forward
foreign
currency
exchange
contracts
are
settled
with
the
counterparty
in
U.S.
dollars
without
the
delivery
of
foreign
currency.
Forward
foreign
currency
exchange
contracts
outstanding
at
period
end,
if
any,
are
disclosed
in
each
Fund’s
Schedule
of
Investments.
Swap
Contracts:
Certain
Funds
engage
in
various
swap
transactions
to
manage
risks
within
their
portfolios
or
as
alternatives
to
direct
investments.
Swap
transactions
may
be
privately
negotiated
in
the
over-the-counter
(“OTC”)
market
where
payments
are
settled
through
direct
payments
between
a
Fund
and
the
counterparty.
By
contrast,
certain
swap
transactions
are
subject
to
mandatory
central
clearing
(“centrally
cleared
swaps”).
These
swaps
are
executed
through
a
derivatives
clearing
member
(“DCM”),
acting
in
an
agency
capacity,
and
submitted
to
a
central
counterparty
(“CCP”),
in
which
case
all
payments
are
settled
with
the
CCP
through
the
DCM.
For
centrally
cleared
swaps,
the
Schedules
of
Investments
include
the
cumulative
appreciation
(depreciation),
while
only
the
current
day’s
variation
margin
is
reported on
the
Statements
of
Assets
and
Liabilities.
For
credit
default
swap and
interest
rate
swap contracts,
an
upfront
payment
received
by
a
Fund
is
recorded
as
a
liability
and
an
upfront
payment
made
by
a
Fund
is
recorded
as
an
asset
on
the
Fund’s
Statement
of
Assets
and
Liabilities.
Upfront
payments
are
amortized
over
the
term
of
the
contract.
If
there
is
no
upfront
payment
or
receipt,
market
value
will
equal
unrealized
appreciation
(depreciation).
Payments
received
(paid)
by
a
Fund
are
reported
as
realized
gains
(losses)
from
expiration
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
The
Funds’
use
of
swap
contracts
creates
additional
risks
beyond
those
that
would
exist
if
the
Funds
invested
in
the
underlying
positions
directly.
Total
Return
Swap
Contracts:
Certain
Funds
invest
in
total
return
swap
contracts
to
obtain
exposure
to
the
underlying
referenced
instruments,
obtain
leverage
or
attain
the
returns
from
ownership
without
actually
owning
the
underlying
position.
Total
return
swap
contracts
are
two-party
contracts
that
generally
obligate
one
party
to
pay
the
positive
return
and
the
other
party
to
pay
the
negative
return
on
a
specified
reference
security,
security
index
or
index
component
during
the
period
of
the
swap.
Total
return
swap
contracts
are
marked
to
market
daily
and
the
change,
if
any,
is
reported
as
net
change
in
unrealized
appreciation
(depreciation)
on
swap
contracts
in
the
Statements
of
Operations.
Total
return
swap
contracts
normally
do
not
involve
the
delivery
of
securities
or
other
underlying
assets.
If
the
counterparty
to
a
total
return
swap
contract
defaults,
a
Fund’s
risk
of
loss
consists
of
the
net
amount
of
payments
the
Fund
is
contractually
entitled
to
receive,
if
any.
The
use
of
long
total
return
swap
contracts
subjects
the
Funds
to
risk
of
loss
in
excess
of
the
amounts
shown
on
the
Statements
of
Assets
and
Liabilities.
The
use
of
short
total
return
swap
contracts
subjects
the
Funds
to
potential
unlimited
loss.
Periodic
payments
received
(paid)
by
the
Funds
are
reported
as
realized
gains
(losses)
from
expiration
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
Total
return
swap
contracts
outstanding
at
period
end,
if
any, are
disclosed
in
each
Fund’s
Schedule
of
Investments.
Master
Agreements:
Certain
Funds
are
parties
to
master
netting
arrangements
with
counterparties
(“Master
Agreements”).
Master
Agreements
govern
the
terms
of
certain
like
transactions
and
reduce
the
counterparty
risk
associated
with
relevant
transactions
by
specifying
payment
netting
mechanisms
across
multiple
transactions
and
providing
standardization
that
improves
legal
certainty.
Since
different
types
of
transactions
have
different
mechanics
and
are
sometimes
traded
by
different
legal
entities
of
a
particular
counterparty
organization,
each
type
of
transaction
may
be
covered
by
a
different
Master
Agreement,
resulting
in
the
need
for
multiple
Master
Agreements
with
a
counterparty
and
its
affiliates.
As
the
Master
Agreements
are
specific
to
unique
operations
of
different
asset
types,
they
allow
the
Funds
to
(i)
close
out
and
net
their
total
exposure
to
a
counterparty
in
the
event
of
a
default
with
respect
to
all
the
transactions
governed
under
a
single
Master
Agreement
with
a
counterparty,
(ii)
exit
transactions
through
means
other
than
sale,
such
as
through
a
negotiated
agreement
with
the
Funds’
counterparty,
a
transfer
to
another
party,
or
close
out
of
the
position
through
execution
of
an
offsetting
transaction.
113
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
Prime
Broker
Arrangements
may
be
entered
into
to
facilitate
execution
and/or
clearing
of
equities,
bonds,
equity
option
contracts or
short
sales
of
securities
between
certain
Funds
and
selected
counterparties.
These
arrangements
provide
financing
terms
for
such
transactions
and
include
guidelines
surrounding
the
rights,
obligations,
and
other
events,
including,
but
not
limited
to,
margin,
execution,
and
settlement.
These
agreements
maintain
provisions
for
payments,
maintenance
of
collateral,
events
of
default,
and
termination.
Margin
and
other
assets
delivered
as
collateral
are
typically
held
by
the
prime
broker
and
offset
any
obligations
due
to
the
prime
broker.
Customer
Account
Agreements
govern
cleared
derivative
transactions
and
exchange-traded
futures
and
options
transactions.
Upon
entering
into
an
exchange-traded
or
centrally
cleared
derivative
contract,
the
Funds
are
required
to
deposit
with
the
relevant
clearing
organization
cash
or
securities,
which
are
referred
to
as
the
initial
margin.
Securities
deposited
as
initial
margin
are
designated
on
the
Schedules
of
Investments
and
cash
deposited
is
reported
as
deposits
with
brokers
for
centrally
cleared
swaps
and
deposits
with
brokers
for
futures
contracts
on
the
Statements
of
Assets
and
Liabilities.
For
exchange-traded
futures
or
centrally
cleared
swap
contracts,
initial
margin
is
posted,
and
daily
changes
in
fair
value
are
reported
as
a
payable
or
receivable
on
the
Statements
of
Assets
and
Liabilities
as
variation
margin
on
futures
contracts
and
variation
margin
on
centrally
cleared
swaps.
Variation
margin
is
determined
separately
for
exchange-traded
futures
and
centrally
cleared
swap
contracts and
cannot
be
netted.
International
Swaps
and
Derivatives
Association,
Inc.
Master
Agreements
and
Credit
Support
Annexes
(“ISDA
Master
Agreements”)
govern
OTC
derivative
transactions
entered
into
between
certain
Funds
and
a
counterparty.
ISDA
Master
Agreements
maintain
provisions
for
general
obligations,
representations,
netting
of
settlement
payments,
agreements
to
deliver
supporting
documents,
collateral
transfer
and
events
of
default
or
termination.
Events
of
termination
include
a
decline
in
the
Fund’s
net
assets
below
a
specified
threshold
over
a
certain
period
of
time
or
a
decline
in
the
counterparty’s
long-term
and
short-term
credit
ratings
below
a
specified
level.
In
each
case,
upon
occurrence,
the
other
party
may
elect
to
terminate
early
and
cause
settlement
of
all
OTC
derivatives
outstanding,
including
the
payment
of
any
losses
and
costs
resulting
from
such
early
termination,
as
reasonably
determined
by
the
terminating
party.
Any
decision
by
a
party
to
elect
early
termination
could
be
material
to
the
financial
statements
and
impact
a
Fund’s
future
derivative
activity.
Collateral
pledged
by
a
Fund
for
OTC
derivatives
pursuant
to
a
Master
Agreement
is
segregated
by
the
Fund’s
custodian
and
identified
as
an
asset
in
the
Statements
of
Assets
and
Liabilities
either
as
a
component
of
investments
in
securities,
at
value
(securities)
or
in
due
from
brokers
(cash).
Collateral
and
margin
requirements
differ
according
to
the
terms
of
each
type
of
Master
Agreement.
Collateral
is
routinely
transferred
if
the
total
net
exposure,
net
of
existing
collateral
already
in
place
governed
under
the
relevant
Master
Agreement,
with
a
counterparty
in
a
given
account
exceeds
a
specified
threshold.
Collateral
can
be
in
the
form
of
cash,
debt
securities
issued
by
the
U.S.
government,
money
market
funds,
and
other
securities
as
agreed
to
by
the
Fund
and
the
applicable
counterparty,
or
as
permitted
by
the
clearing
house
or
exchange.
Collateral
posted
for
the
benefit
of
a
Fund
pursuant
to
a
Master
Agreement
is
held
by
a
custodian
of
the
Fund.
Amounts
which
can
be
invested
or
repledged
are
presented
in
the
Fund’s
Schedule
of
Investments.
Segregation
of
a
Fund’s
collateral
in
the
custodian
account
helps
mitigate
counterparty
risk.
Collateral
received
is
reflected
as
a
liability
within
due
to
brokers
in
the
Statements
of
Assets
and
Liabilities.
As
governed
by
the
relevant
Master
Agreements,
interest
expense
may
be
incurred
if
a
counterparty
charges
the
Fund
interest
on
collateral
posted
directly
to
a
Fund’s
custodian
account.
For
financial
reporting
purposes,
the
Funds
do
not
offset
derivative
assets
and
liabilities
subject
to
master
netting
agreements
on
the
Statements
of
Assets
and
Liabilities.
4.
Investment
Valuation
and
Fair
Value
Measurements
Investment
Valuation
Policies:
The
Net
Asset
Value
(“NAV”)
of
the
Funds’
shares
are
valued
as
of
the
close
of
regular
trading
on
the
New
York
Stock
Exchange
(“NYSE”)
(normally
4:00
p.m.
Eastern
time)
on
each
day
that
the
NYSE
is
open
(each
a
“Business
Day”).
The
NAV
per
share
of
each
class
within
each
Fund
is
computed
by
dividing
the
total
current
value
of
the
assets
of
such
Fund
attributable
to
a
class,
less
class
liabilities,
by
the
total
number
of
shares
of
that
class
of
the
Fund
outstanding
at
the
time
the
computation
is
made.
GAAP
defines
fair
value
as
the
price
the
Funds
would
receive
to
sell
an
asset
or
pay
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date.
For
purposes
of
calculating
the
NAV,
portfolio
securities
and
other
financial
derivative
instruments
are
valued
on
each
Business
Day
using
valuation
methods
as
adopted
by
the
Funds’
Board
of
Trustees
(the
“Board”).
The
Board
has
designated
the
Adviser
as
the
Valuation
Designee
for
the
Funds
to
perform
fair
value
determinations.
The
Valuation
Designee
has
established
a
Valuation
Committee
to
assist
with
oversight
and
monitoring
of
the
valuation
of
the
Funds’
investments.
This
includes
administering,
implementing
and
overseeing
the
continual
appropriateness
of
valuation
approaches
applied
and
the
determination
of
adjustments
to
the
fair
valuation
of
portfolio
securities
and
other
financial
derivative
instruments
in
good
faith
after
consideration
of
market
factor
changes
and
events
affecting
issuers.
Where
market
quotes
are
readily
available,
fair
value
is
generally
determined
on
the
basis
of
official
closing
prices
or
the
last
reported
sales
prices,
or
if
no
sales
are
reported,
based
on
quotes
obtained
from
pricing
services
or
established
market
makers.
Where
market
quotations
are
not
readily
available,
or
if
an
available
market
quotation
is
determined
not
to
reflect
fair
value,
securities and
other financial
derivatives
are
valued
at
fair
value,
as
determined
in
good
faith
by
the Valuation
Committee
in
accordance
with
the
valuation
procedures
approved
by
the
Funds’
Board.
Using
fair
value
to
price
a
security
may
require
subjective
determinations
about
the
value
of
a
security
that
could
result
in
a
value
that
is
different
from
a
security’s
most
recent
closing
price
and
from
the
prices
used
by
other
mutual
funds
to
calculate
their
net
assets.
It
is
possible
the
estimated
values
may
differ
significantly
from
the
values
which
would
have
been
used
had
an
active
market
for
the
investments
existed.
These
differences
could
be
material.
114
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
Fair
Value
Hierarchy:
Various
inputs
are
utilized
in
determining
the
value
of
each
Fund’s
investments.
GAAP
establishes
a
hierarchy
for
inputs
used
in
measuring
fair
value
that
maximizes
the
use
of
observable
inputs
and
minimizes
the
use
of
unobservable
inputs
by
requiring
the
most
observable
inputs
be
used
when
available.
These
inputs
are
summarized
into
three
broad
levels
as
follows:
Level
1
—
Inputs
using
unadjusted
quoted
prices
in
active
markets
or
exchanges
for
identical
assets
and
liabilities.
Level
2
—
Other
significant
observable
inputs,
which
may
include,
but
are
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
credit
risks
and
default
rates)
or
other
market
corroborated
inputs.
Level
3
—
Significant
unobservable
inputs
based
on
the
best
information
available
in
the
circumstances,
to
the
extent
observable
inputs
are
not
available,
which
may
include
assumptions
made
by
the
Board
or
persons
acting
at
their
direction
that
are
used
in
determining
the
fair
value
of
investments.
An
investment
asset’s
or
liability’s
level
within
the
fair
value
hierarchy
is
based
on
the
lowest
level
input,
individually
or
in
aggregate,
that
is
significant
to
fair
value
measurement.
The
objective
of
fair
value
measurement
remains
the
same
even
when
there
is
a
significant
decrease
in
the
volume
and
level
of
activity
for
an
asset
or
liability
and
regardless
of
the
valuation
technique
used.
The
valuation
techniques
used
by
the
Funds
to
measure
fair
value
maximize
the
use
of
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
Changes
in
valuation
techniques
may
result
in
transfers
into
or
out
of
an
assigned
level
within
the
hierarchy.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities.
Valuation
Inputs
and
Techniques:
The
following
inputs
and
techniques
may
be
used
by
the
Funds
to
evaluate
how
to
classify
each
major
category
of
assets
and
liabilities
into
the
appropriate
fair
value
hierarchy
in
accordance
with
GAAP.
Equity
securities,
including
securities
sold
short,
rights,
exchange-traded
option
contracts,
warrants,
exchange-traded
funds,
closed-end
funds,
and
certain
investment
companies,
are
valued
at
the
last
quoted
sales
prices
or
official
closing
prices
taken
from
the
primary
market,
or
composite
in
which
each
security
trades
and
are
therefore
classified
Level
1.
Investments
in
mutual
funds
are
valued
daily
at
their
NAVs
which
are
also
classified
as
Level
1.
An
equity
for
which
no
sales
are
reported,
as
in
the
case
of
a
security
that
is
traded
in
the OTC
market
or
a
less
liquid
listed
equity,
is
valued
at
its
last
bid
price
(in
the
case
of
short
sales,
at
the
ask
price)
and
is
therefore
classified
Level
2.
In
addition,
equities
traded
outside
of
the
Western
Hemisphere,
or
in
foreign
markets
that
close
at
4:00
p.m.
Eastern
time
where
the
market
is
closed
due
to
a
holiday,
are
generally
classified
Level
2
because
they
are
fair
valued
daily
based
on
the
application
of
a
fair
value
factor
(unless
the
Adviser
determines
that
use
of
another
valuation
methodology
is
appropriate).
The
Funds
apply
daily
fair
value
factors,
furnished
by
an
independent
pricing
service,
to
account
for
the
market
movement
between
the
close
of
the
foreign
market
and
the
close
of
the
NYSE.
The
pricing
service
uses
statistical
analysis
and
quantitative
models
to
adjust
local
market
prices
using
factors
such
as
subsequent
movement
and
changes
in
the
prices
of
indices,
American
Depositary
Receipts,
futures
contracts
and
exchange
rates
in
other
markets
in
determining
fair
value
as
of
the
time
a
Fund
calculates
its
NAV.
Investments
classified
within
Level
3
have
significant
unobservable
inputs,
as
they
trade
infrequently
or
not
at
all.
Level
3
instruments
include
illiquid
securities.
When
observable
prices
are
not
available
for
these
securities,
the
Funds
may
use
one
or
more
valuation
approaches
(e.g.,
the
market
approach,
the
income
approach,
or
the
cost
approach),
including
proprietary
models
for
which
sufficient
and
reliable
data
is
available.
Within
Level
3,
the
market
approach
is
generally
based
on
the
technique
of
using
comparable
market
transactions,
while
the
use
of
the
income
approach
includes
the
estimation
of
future
cash
flows
discounted
to
calculate
fair
value.
Discounts
may
also
be
applied
due
to
the
nature
or
durations
of
any
restrictions
on
the
disposition
of
the
investment
or
adjusted
as
appropriate
for
credit,
market,
and/or
other
risk
factors.
The
inputs
used
by
the
Funds
in
estimating
the
value
of
Level
3
investments
include
the
original
transaction
price,
recent
transactions
in
the
same
or
similar
instruments,
completed
or
pending
third-party
transactions
in
the
underlying
investment
or
comparable
issuers,
subsequent
rounds
of
financing,
recapitalizations
and
other
transactions
across
the
capital
structure,
offerings
in
the
equity
or
debt
capital
markets,
changes
in
financial
ratios
or
cash
flows,
benchmark
yield
curves,
credit
spreads,
estimated
default
rates,
underlying
collateral,
and
other
unique
security
features.
Level
3
investments
may
also
be
adjusted
to
reflect
illiquidity
and/or
non-transferability,
with
the
amount
of
such
discount
estimated
by
the
Adviser
in
the
absence
of
market
information.
Assumptions
used
by
the
Funds
due
to
the
lack
of
observable
inputs
may
significantly
impact
the
fair
value
of
the
investment.
Exchange-traded
derivatives,
such
as
futures
and
exchange-traded
option
contracts,
are
typically
classified
within
Level
1
or
Level
2
of
the
fair
value
hierarchy
depending
on
whether
or
not
they
are
deemed
to
be
actively
traded.
Futures
and
option
contracts
that
are
listed
on
national
exchanges
and
are
freely
transferable
are
valued
at
fair
value
based
on
their
last
sales
price
on
the
date
of
determination
on
the
exchange
that
constitutes
the
principal
market.
For
option
contracts,
if
no
sales
occurred
on
such
date,
the
contracts
will
be
valued
at
the
mid
price
on
such
exchange
at
the
close
of
business
on
such
date.
Centrally
cleared
swaps
listed
or
traded
on
a
multilateral
trade
facility
platform,
such
as
a
registered
exchange,
are
valued
on
a daily
basis
using
quotations
provided
by
an
independent
pricing
service.
OTC
derivatives,
including
forward
foreign
currency
exchange
and
swap
contracts,
are
valued
by
the
Funds
on
a
daily
basis
using
observable
inputs,
such
as
quotations
provided
by
an
independent
pricing
service,
the
counterparty,
dealers
or
brokers,
whenever
available
and
considered
reliable.
115
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
The
value
of
each
total
return
swap
contract
and
total
return
basket
swap
contract
is
derived
from
a
combination
of
(i)
the
net
value
of
the
underlying
positions,
which
are
valued
daily
using
the
last
sale
or
closing
price
on
the
principal
exchange
on
which
the
securities
are
traded;
(ii)
financing
costs;
(iii)
the
value
of
dividends
or
accrued
interest;
(iv)
cash
balances
within
the
swap;
and
(v)
other
factors,
as
applicable.
The
U.S.
dollar
value
of
forward
foreign
currency
exchange
contracts
is
determined
using
current
forward
currency
exchange
rates
supplied
by
an
independent
pricing
service.
Generally,
a
valuation
model
is
used
consistently
for
similar
derivative
types.
In
instances
where
models
are
used,
the
value
of
an
OTC
derivative
depends
upon
the
contractual
terms
of,
and
specific
risks
inherent
in,
the
instrument
as
well
as
the
availability
and
reliability
of
observable
inputs.
Such
inputs
typically
may
include
market
prices
for
reference
securities,
yield
curves,
credit
spreads,
measures
of
volatility,
prepayment
rates
and
implied
correlations
of
such
inputs
which
are
obtained
from
outside
brokers
and/or
pricing
services
when
available.
Certain
OTC
derivatives,
such
as
generic
forward,
swap
and
option
contracts,
have
inputs
which
can
generally
be
corroborated
by
market
data
and
are
therefore
classified
within
Level
2.
Those
OTC
derivatives
that
have
less
liquidity
or
for
which
inputs
are
unobservable
are
classified
within
Level
3.
While
the
valuations
of
less
liquid
OTC
derivatives
may
utilize
some
Level
1
and/or
Level
2
inputs,
they
also
may
include
other
unobservable
inputs
which
may
be
considered
significant
to
the
fair
value
determination.
Quantitative
Information
The
following
tables
represent
each
Fund’s
valuation
inputs
as
presented
on
the
Schedule
of
Investments:
AQR
LARGE
CAP
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
963,006,404
$
–
$
–
$
963,006,404
Short-Term
Investments
...........................
47,302,640
–
–
47,302,640
Total
Assets
$
1,010,309,044
$
–
$
–
$
1,010,309,044
LIABILITIES
Futures
Contracts*
...............................
$
(1,611,355)
$
–
$
–
$
(1,611,355)
Total
Liabilities
$
(1,611,355)
$
–
$
–
$
(1,611,355)
AQR
SMALL
CAP
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
96,755,664
$
255,597
$
2,663
$
97,013,924
Short-Term
Investments
...........................
4,332,358
–
–
4,332,358
Total
Assets
$
101,088,022
$
255,597
$
2,663
$
101,346,282
LIABILITIES
Futures
Contracts*
...............................
$
(173,657)
$
–
$
–
$
(173,657)
Total
Liabilities
$
(173,657)
$
–
$
–
$
(173,657)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
49,598,518
$
403,605,807
$
–
$
453,204,325
Short-Term
Investments
...........................
21,498,009
–
–
21,498,009
Total
Assets
$
71,096,527
$
403,605,807
$
–
$
474,702,334
LIABILITIES
Futures
Contracts*
...............................
$
(650,437)
$
–
$
–
$
(650,437)
Total
Liabilities
$
(650,437)
$
–
$
–
$
(650,437)
AQR
EMERGING
MULTI-STYLE
II
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
93,591,493
$
372,456,767
$
–
(a)
$
466,048,260
Preferred
Stocks
†
................................
10,254,413
–
–
10,254,413
Rights
†
........................................
–
5,388
–
5,388
Short-Term
Investments
...........................
24,417,430
–
–
24,417,430
Total
Assets
$
128,263,336
$
372,462,155
$
–
(a)
$
500,725,491
LIABILITIES
Futures
Contracts*
...............................
$
(738,700)
$
–
$
–
$
(738,700)
Total
Liabilities
$
(738,700)
$
–
$
–
$
(738,700)
116
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
632,713,364
$
–
$
–
$
632,713,364
Short-Term
Investments
...........................
12,085,647
–
–
12,085,647
Total
Assets
$
644,799,011
$
–
$
–
$
644,799,011
LIABILITIES
Futures
Contracts*
...............................
$
(522,106)
$
–
$
–
$
(522,106)
Total
Liabilities
$
(522,106)
$
–
$
–
$
(522,106)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
153,705,000
$
–
$
2,791
$
153,707,791
Short-Term
Investments
...........................
3,481,239
–
–
3,481,239
Total
Assets
$
157,186,239
$
–
$
2,791
$
157,189,030
LIABILITIES
Futures
Contracts*
...............................
$
(117,599)
$
–
$
–
$
(117,599)
Total
Liabilities
$
(117,599)
$
–
$
–
$
(117,599)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
16,704,378
$
209,723,336
$
–
$
226,427,714
Warrants
†
......................................
–
–
–
(a)
–
(a)
Short-Term
Investments
...........................
255,245
–
–
255,245
Total
Assets
$
16,959,623
$
209,723,336
$
–
(a)
$
226,682,959
LIABILITIES
Futures
Contracts*
...............................
$
(79,709)
$
–
$
–
$
(79,709)
Total
Liabilities
$
(79,709)
$
–
$
–
$
(79,709)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
3,012,239,566
$
–
$
–
$
3,012,239,566
Short-Term
Investments
...........................
113,674,133
–
–
113,674,133
Total
Assets
$
3,125,913,699
$
–
$
–
$
3,125,913,699
LIABILITIES
Futures
Contracts*
...............................
$
(5,002,830)
$
–
$
–
$
(5,002,830)
Total
Liabilities
$
(5,002,830)
$
–
$
–
$
(5,002,830)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
31,409,803
$
205,752,150
$
–
$
237,161,953
Preferred
Stocks
†
................................
–
3,318,006
–
3,318,006
Warrants
†
......................................
–
–
–
(a)
–
(a)
Short-Term
Investments
...........................
2,489,239
–
–
2,489,239
Futures
Contracts*
...............................
28,668
–
–
28,668
Total
Assets
$
33,927,710
$
209,070,156
$
–
(a)
$
242,997,866
AQR
GLOBAL
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
198,728,373
$
80,071,559
$
–
(a)
$
278,799,932
Preferred
Stocks
†
................................
–
585,908
–
585,908
Short-Term
Investments
...........................
32,385,188
–
–
32,385,188
Total
Return
Swaps
Contracts*
......................
–
317,630
–
317,630
Futures
Contracts*
...............................
891,278
–
–
891,278
Forward
Foreign
Currency
Exchange
Contracts*
........
–
3,404,771
–
3,404,771
Total
Assets
$
232,004,839
$
84,379,868
$
–
(a)
$
316,384,707
117
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
Transfers
to
Level
3
or
from
Level
3
are
generally
due
to
a
decline
or
an
increase
in
market
activity
(e.g.,
frequency
of
trades),
which
resulted
in
a
lack
of
or
increase
in
available
market
inputs
to
determine
price.
The
fair
values
of
Level
3
investments
are
based
on
significant
unobservable
inputs
that
reflect
the
Adviser’s
determination
of
assumptions
that
market
participants
might
reasonably
use
in
valuing
the
securities.
Changes
in
significant
unobservable
inputs
could
cause
significant
changes
in
valuation
to
individual
securities
and
in
aggregate.
Fair
value
determinations
and
valuation
of
investments
that
are
not
actively
trading
involve
judgment
and
may
differ
materially
from
valuations
that
would
have
been
used
had
greater
market
activity
occurred.
5.
Federal
Income
Tax
Matters
At
September
30,
2023,
the
cost
and
aggregate
gross
unrealized
appreciation
(depreciation)
of
long
security
positions,
short
security
positions
and
derivative
instruments
for
federal
income
tax
purposes
were
as
follows:
The
differences
between
book-basis
and
tax-basis
cost
of
investments
was
due
primarily
to
timing
differences
in
recognizing
certain
gains
and
losses
on
security
transactions
(e.g.
wash
sale
loss
deferrals
and
passive
foreign
investment
company
("PFIC")
transactions).
AQR
GLOBAL
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
LIABILITIES
Total
Return
Swap
Contracts*
.......................
$
–
$
(125,987)
$
–
$
(125,987)
Futures
Contracts*
...............................
(1,315,236)
–
–
(1,315,236)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(4,071,145)
–
(4,071,145)
Total
Liabilities
$
(1,315,236)
$
(4,197,132)
$
–
$
(5,512,368)
*
Derivative
instruments,
including
total
return
swap,
futures
and
forward
foreign
currency
exchange
contracts,
are
reported
at
the
cumulative
unrealized
appreciation/(depreciation)
of
the
instrument
within
the
Funds’
Schedule
of
Investments.
Only
current
day’s
variation
margin
is
reported
within
the
Statement
of
Assets
and
Liabilities
for
exchange-traded
and
cleared
derivatives.
†
Please
refer
to
the
Schedule
of
Investments
to
view
securities
segregated
by
country.
(a)
Security
has
zero
value.
FUND
COST
OF
INVESTMENTS
GROSS
UNREALIZED
APPRECIATION
GROSS
UNREALIZED
DEPRECIATION
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
AQR
Large
Cap
Multi-Style
Fund
...........................
$
644,808,753
$
375,097,799
$
(11,208,863)
$
363,888,936
AQR
Small
Cap
Multi-Style
Fund
............................
69,380,699
35,596,850
(3,804,924)
31,791,926
AQR
International
Multi-Style
Fund
..........................
408,407,470
78,638,713
(12,994,286)
65,644,427
AQR
Emerging
Multi-Style
II
Fund
...........................
458,205,711
83,226,174
(41,445,094)
41,781,080
AQR
Large
Cap
Momentum
Style
Fund
.......................
434,107,122
216,024,926
(5,855,143)
210,169,783
AQR
Small
Cap
Momentum
Style
Fund
.......................
120,359,707
44,419,605
(7,707,881)
36,711,724
AQR
International
Momentum
Style
Fund
.....................
166,035,893
64,586,984
(4,019,627)
60,567,357
AQR
Large
Cap
Defensive
Style
Fund
........................
2,126,580,393
1,041,111,822
(46,781,346)
994,330,476
AQR
International
Defensive
Style
Fund
......................
221,955,673
33,596,113
(12,553,920)
21,042,193
AQR
Global
Equity
Fund
..................................
273,392,408
53,727,543
(16,247,612)
37,479,931
118
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
As
of
September
30,
2023,
the
components
of
distributable
earnings
(accumulated
losses)
on
a
U.S.
federal
income
tax
basis
were
as
follows:
As
of
September
30,
2023,
the
effect
of
permanent
book/tax
reclassifications
resulted
in
increase
(decrease)
to
the
components
of
net
assets
as
follows:
For
financial
reporting
purposes,
capital
accounts
are
adjusted
to
reflect
the
tax
character
of
permanent
book/tax
differences.
The
reclassifications
generally
relate
to
net
operating
losses
and
utilization
of
earnings
and
profits
distributed
to
shareholders
on
redemption
of
Fund
shares.
These
reclassifications
have
no
impact
on
the NAV
of
the
Funds.
FUND
UNDISTRIBUTED
ORDINARY
INCOME
UNDISTRIBUTED
LONG-TERM
CAPITAL
GAIN
UNREALIZED
APPRECIATION
(DEPRECIATION)
(a)
LOSS
CARRYFORWARDS
AND
DEFERRALS
(b)
OTHER
TEMPORARY
DIFFERENCES
(c)
TOTAL
ACCUMULATED
EARNINGS
(LOSS)
AQR
Large
Cap
Multi-Style
Fund
.................
$
11,581,806
$
110,096,868
$
363,888,936
$
—
$
—
$
485,567,610
AQR
Small
Cap
Multi-Style
Fund
.................
755,629
5,771,327
31,791,925
—
—
38,318,881
AQR
International
Multi-Style
Fund
.................
16,573,716
—
65,590,516
(8,581,600)
—
73,582,632
AQR
Emerging
Multi-Style
II
Fund
.................
23,673,783
—
39,947,662
(47,224,273)
—
16,397,172
AQR
Large
Cap
Momentum
Style
Fund
............
6,585,564
75,926,280
210,169,733
—
—
292,681,577
AQR
Small
Cap
Momentum
Style
Fund
............
1,094,139
4,751,922
36,711,722
—
—
42,557,783
AQR
International
Momentum
Style
Fund
............
13,333,197
13,865,627
60,513,029
(2,350,512)
—
85,361,341
AQR
Large
Cap
Defensive
Style
Fund
............
44,077,499
492,377,478
994,330,477
—
(698,819)
1,530,086,635
AQR
International
Defensive
Style
Fund
............
7,240,632
—
21,019,532
(12,334,375)
—
15,925,789
AQR
Global
Equity
Fund
....
16,720,127
—
37,457,702
—
(46,254)
54,131,575
(a)
The
difference
between
book-basis
and
tax-basis
unrealized
appreciation
(depreciation)
is
primarily
attributable
to
timing
differences
in
recognizing
certain
gains
and
losses
on
investment
transactions.
(b)
The
Funds
have
elected
to
defer
certain
qualified
late-year
losses
and
recognize
such
losses
in
the
next
taxable
year.
(c)
Other
temporary
differences
represent
book-to-tax
basis
differences
related
to
straddle
loss
deferrals.
FUND
TOTAL
DISTRIBUTABLE
EARNINGS
(LOSS)
PAID-IN
CAPITAL
AQR
Large
Cap
Multi-Style
Fund
..................................................
$
(5,656,528)
$
5,656,528
AQR
Small
Cap
Multi-Style
Fund
...................................................
(183,341)
183,341
AQR
International
Multi-Style
Fund
.................................................
(834,250)
834,250
AQR
Emerging
Multi-Style
II
Fund
..................................................
(502,188)
502,188
AQR
Large
Cap
Momentum
Style
Fund
..............................................
(8,285,094)
8,285,094
AQR
Small
Cap
Momentum
Style
Fund
..............................................
(465,828)
465,828
AQR
International
Momentum
Style
Fund
............................................
(2,194,074)
2,194,074
AQR
Large
Cap
Defensive
Style
Fund
...............................................
(89,644,833)
89,644,833
AQR
International
Defensive
Style
Fund
.............................................
(248,574)
248,574
AQR
Global
Equity
Fund
.........................................................
(226,565)
226,565
119
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
The
tax
character
of
distributions
paid
during
the
fiscal
years
ended September
30,
2023
and 2022 were
as
follows:
During
the
year
ended
September
30,
2023,
the
Funds
utilized
capital
loss
carryforwards
in
the
amounts
listed
below:
As
of
September
30,
2023,
for
federal
income
tax
purposes,
the
following
Funds
have
capital
loss
carryforwards,
with
no
expiration,
available
to
offset
future
capital
gains,
if
any,
to
the
extent
provided
by
the
U.S.
Treasury
regulations.
The
ability
to
utilize
capital
loss
carryforwards
in
the
future
may
be
limited
under
the
Internal
Revenue
Code
and
related
regulations
based
on
the
results
of
future
transactions.
6.
Investment
Transactions
During
the year
ended
September
30,
2023,
the
cost
of
purchases
and
the
proceeds
from
sales
of
investments
(excluding
swap
contracts,
forward
foreign
currency
exchange
contracts,
futures
contracts
and
short-term
investments)
were
as
follows:
7.
Derivative
Instruments
and
Activities
The
Funds
use
derivative
instruments
as
part
of
their
principal
investment
strategy
to
achieve
their
investment
objectives.
The
Funds’
derivative
contracts
are
not
accounted
for
as
hedging
instruments
under
GAAP.
For
financial
reporting
purposes,
the
Funds
do
not
offset
financial
assets
and
financial
liabilities
that
are
subject
to
master
netting
arrangements
or
similar
agreements
on
the
Statements
of
Assets
and
Liabilities.
All
derivative
instruments
held
by
the
Funds
were
subject
to
a
master
netting
agreement
or
similar
arrangement.
SEPTEMBER
30,
2023
SEPTEMBER
30,
2022
FUND
ORDINARY
INCOME
LONG-TERM
CAPITAL
GAINS
ORDINARY
INCOME
LONG-TERM
CAPITAL
GAINS
AQR
Large
Cap
Multi-Style
Fund
...................................
$
15,720,626
$
79,800,146
$
50,161,645
$
101,318,740
AQR
Small
Cap
Multi-Style
Fund
....................................
1,013,851
—
587,862
7,353,831
AQR
International
Multi-Style
Fund
..................................
13,852,981
—
15,106,644
—
AQR
Emerging
Multi-Style
II
Fund
...................................
21,994,262
—
15,638,909
—
AQR
Large
Cap
Momentum
Style
Fund
...............................
8,683,857
64,089,995
25,732,132
151,996,541
AQR
Small
Cap
Momentum
Style
Fund
...............................
1,257,959
—
11,135,969
43,953,589
AQR
International
Momentum
Style
Fund
.............................
9,659,407
—
12,514,062
—
AQR
Large
Cap
Defensive
Style
Fund
................................
56,858,124
336,102,646
67,652,576
79,256,666
AQR
International
Defensive
Style
Fund
..............................
5,474,651
—
7,148,774
—
AQR
Global
Equity
Fund
..........................................
4,311,675
8,577,213
12,386,669
26,870,822
FUND
SHORT-TERM
LONG-TERM
AQR
International
Multi-Style
Fund
.........................................................
$
14,198,655
$
–
AQR
Small
Cap
Momentum
Style
Fund
......................................................
3,756,575
–
AQR
International
Momentum
Style
Fund
....................................................
19,608,663
–
AQR
International
Defensive
Style
Fund
.....................................................
515,967
985,541
FUND
SHORT-TERM
LONG
TERM
AQR
International
Multi-Style
Fund
.................................................
$
8,581,600
$
—
AQR
Emerging
Multi-Style
II
Fund
..................................................
47,224,273
—
AQR
International
Momentum
Style
Fund
............................................
2,350,512
—
AQR
International
Defensive
Style
Fund
.............................................
5,890,581
6,443,794
FUND
PURCHASES
SALES
AQR
Large
Cap
Multi-Style
Fund
..........................................................
$
535,169,539
$
632,708,242
AQR
Small
Cap
Multi-Style
Fund
...........................................................
66,459,442
81,402,809
AQR
International
Multi-Style
Fund
.........................................................
304,957,562
294,782,487
AQR
Emerging
Multi-Style
II
Fund
..........................................................
313,099,949
303,973,437
AQR
Large
Cap
Momentum
Style
Fund
......................................................
589,432,635
691,048,651
AQR
Small
Cap
Momentum
Style
Fund
......................................................
100,555,752
157,199,002
AQR
International
Momentum
Style
Fund
....................................................
221,330,555
356,730,348
AQR
Large
Cap
Defensive
Style
Fund
.......................................................
1,128,592,010
2,320,206,301
AQR
International
Defensive
Style
Fund
.....................................................
65,872,937
82,062,684
AQR
Global
Equity
Fund
.................................................................
314,476,877
332,493,364
120
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
The
following
table
lists
the
fair
value
of
derivative
instruments
held
by
the
Funds,
by
primary
underlying
risk
and
contract
type,
as
included
in
the
Statements
of
Assets
and
Liabilities
at
September
30,
2023:
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
Equity
Risk
Exposure:
1,611,355
173,657
650,437
738,700
Unrealized
Depreciation
on
Futures
Contracts
*
.................
$
(1,611,355)
$
(173,657)
$
(650,437)
$
(738,700)
1,611,355
173,657
650,437
738,700
Net
Fair
Value
of
Derivative
Contracts:
(3,222,710)
(347,314)
(1,300,874)
(1,477,400)
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
(1,611,355)
(173,657)
(650,437)
(738,700)
3,222,710
347,314
1,300,874
1,477,400
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Equity
Risk
Exposure:
522,106
117,599
79,709
5,002,830
Unrealized
Depreciation
on
Futures
Contracts
*
.................
$
(522,106)
$
(117,599)
$
(79,709)
$
(5,002,830)
522,106
117,599
79,709
5,002,830
Net
Fair
Value
of
Derivative
Contracts:
(1,044,212)
(235,198)
(159,418)
(10,005,660)
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
(522,106)
(117,599)
(79,709)
(5,002,830)
1,044,212
235,198
159,418
10,005,660
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
Equity
Risk
Exposure:
28,668
2,650,133
Unrealized
Appreciation
on
Futures
Contracts
*
.................................................
$
28,668
$
891,278
Swaps
at
Value
(Assets)
.................................................................
–
317,630
Unrealized
Depreciation
on
Futures
Contracts
*
................................................
–
(1,315,236)
Swaps
at
Value
(Liabilities)
...............................................................
–
(125,987)
28,668
2,650,133
Foreign
Exchange
Rate
Risk
Exposure:
–
7,475,916
Unrealized
Appreciation
on
Forward
Foreign
Currency
Exchange
Contracts
...........................
–
3,404,771
Unrealized
Depreciation
on
Forward
Foreign
Currency
Exchange
Contracts
..........................
–
(4,071,145)
–
7,475,916
Net
Fair
Value
of
Derivative
Contracts:
28,668
(1,989,021)
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
.....................................
28,668
(423,958)
Swaps
at
Value
........................................................................
–
191,643
Unrealized
Appreciation
(Depreciation)
on
Forward
Foreign
Currency
Exchange
Contracts
...............
–
(666,374)
28,668
1,989,021
*
Includes
cumulative
appreciation/(depreciation)
on
futures
contracts,
if
any,
as
reported
in
the
Schedule
of
Investments.
Only
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities.
121
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
The
following
table
indicates
the
effect
of
derivative
instruments,
by
primary
underlying
risk
exposure
and
contract
type,
on
the
Statements
of
Operations
for
the year
ended
September
30,
2023:
*
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
Realized
Gain
(Loss)
on
Derivatives
Equity
Risk
Exposure:
4,845,570
58,456
1,427,479
(1,015,494)
Futures
Contracts
.......................................
$
4,845,570
$
58,456
$
1,427,479
$
(1,015,494)
4,845,569.54
58,455.78
1,427,478.66
(1,015,493.73)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Equity
Risk
Exposure:
2,193,206
274,145
1,042,663
1,506,251
Futures
Contracts
.......................................
2,193,206
274,145
1,042,663
1,506,251
2,193,206
274,145
1,042,663
1,506,251
*
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Realized
Gain
(Loss)
on
Derivatives
Equity
Risk
Exposure:
1,637,721
(45,191)
1,026,427
4,996,754
Futures
Contracts
.......................................
$
1,637,721
$
(45,191)
$
1,026,427
$
4,996,754
1,637,720.81
(45,191.08)
1,026,427.31
4,996,754.17
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Equity
Risk
Exposure:
2,894,228
776,173
1,355,050
8,725,869
Futures
Contracts
.......................................
2,894,228
776,173
1,355,050
8,725,869
2,894,228
776,173
1,355,050
8,725,869
*
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
Realized
Gain
(Loss)
on
Derivatives
Equity
Risk
Exposure:
969,509
10,967,262
Futures
Contracts
......................................................................
$
969,509
$
10,032,965
Swap
Contracts
.......................................................................
–
934,297
969,509.13
10,967,261.61
Foreign
Exchange
Rate
Risk
Exposure:
–
(6,855,407)
Forward
Foreign
Currency
Exchange
Contracts
................................................
–
(6,855,407)
–
(6,855,407)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Equity
Risk
Exposure:
989,032
1,761,034
Futures
Contracts
......................................................................
989,032
2,287,113
Swap
Contracts
.......................................................................
–
(526,079)
989,032
1,761,034
Foreign
Exchange
Rate
Risk
Exposure:
–
1,789,426
Forward
Foreign
Currency
Exchange
Contracts
................................................
–
1,789,426
–
1,789,426
122
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
The
following
tables
present
the
AQR
Global
Equity
Fund's
gross
OTC
derivative
assets
and
liabilities,
by
counterparty
and
contract
type,
net
of
amounts
available
for
offset
under
netting
arrangements
and
any
related
collateral
received
or pledged
by
the
Fund
as
of
September
30,
2023:
AQR
Global
Equity
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
received
from
or
pledged
to
the
counterparty.
Total
additional
collateral
received
was
$250,240
and
total
additional
collateral
pledged
was
$6,694,198.
GROSS
AMO
UNTS
NOT
OFF
SET
IN THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITG
..........
Forward
Foreign
Currency
Exchange
Contracts
$
1,702,154
$
(1,702,154)
$
–
$
–
$
–
$
–
GSIN
..........
Total
Return
Swap
Contracts
257,208
–
257,208
–
(257,208)
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,702,617
(1,702,617)
–
JPMC
..........
Total
Return
Swap
Contracts
60,422
(60,422)
–
Total
JPMC
1,763,039
(1,763,039)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
3,722,401
(3,465,193)
257,208
–
(257,208)
–
GROSS
AMO
UNTS
NOT
OFFSET
IN THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITG
..........
Forward
Foreign
Currency
Exchange
Contracts
$
2,035,900
$
(1,702,154)
$
333,746
$
–
$
(333,746)
$
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
2,035,245
(1,702,617)
332,628
JPMC
..........
Total
Return
Swap
Contracts
125,987
(60,422)
65,565
Total
JPMC
2,161,232
(1,763,039)
398,193
–
(398,193)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
4,197,132
(3,465,193)
731,939
–
(731,939)
–
123
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
For
the year
ended
September
30,
2023,
the
average
and
ending
volume
of
the
derivatives
held
by
the
Funds
were
as
follows:
Derivatives
Volume
Disclosure*
8.
Investment
Advisory
and
Other
Agreements
The
Adviser
serves
as
the
investment
adviser
to
each
of
the
Funds,
pursuant
to
certain
investment
management
agreements
entered
into
between
the
Trust,
on
behalf
of
the
applicable
Funds,
and
the
Adviser
(collectively,
the
“Advisory
Agreement”).
Under
the
Advisory
Agreement,
the
Adviser
furnishes
a
continuous
investment
program
for
each
Fund’s
portfolio,
makes
day-to-day
investment
decisions
for
each
Fund,
and
manages
each
Fund’s
investments
in
accordance
with
the
stated
policies
of
each
Fund.
The
Adviser
is
also
responsible
for
selecting
brokers
and
dealers
to
execute
purchase
and
sale
orders
for
the
portfolio
transactions
of
each
Fund,
subject
to
its
obligation
to
seek
best
execution,
and
also
provides
certain
other
administrative
services
to
each
Fund.
The
Adviser
provides
persons
satisfactory
to
the
Funds’
Board
to
serve
as
officers
of
the
Funds.
Pursuant
to
the
Advisory
Agreement,
the
Funds
calculate
and
accrue
daily
based
on
the
average
daily
net
assets
for
each
Fund
and
pay
monthly
the
Investment
Advisory
fee
in
the
annual
ratios
below:
*
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
39,666,618
$
3,346,595
$
16,894,831
$
18,602,000
$
19,798,060
Average
Notional
Balance
-
Short
–
–
–
–
–
Ending
Notional
Balance
-
Long
38,713,225
3,956,920
18,883,875
21,737,625
12,543,950
Ending
Notional
Balance
-
Short
–
–
–
–
–
*
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
5,211,627
$
9,149,943
$
106,095,120
$
9,807,941
$
91,549,879
Average
Notional
Balance
-
Short
–
–
–
–
40,441,753
Ending
Notional
Balance
-
Long
2,697,900
2,347,725
102,514,350
12,044,850
89,306,862
Ending
Notional
Balance
-
Short
–
–
–
–
29,121,681
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
–
–
–
–
253,959,602
Average
Settlement
Value
-
Sold
–
–
–
–
228,902,648
Ending
Value
-
Purchased
–
–
–
–
243,218,760
Ending
Value
-
Sold
–
–
–
–
203,476,861
Total
Return
Swap
Contracts:
Average
Notional
Balance
-
Long
–
–
–
–
11,038,692
Average
Notional
Balance
-
Short
–
–
–
–
26,705,548
Ending
Notional
Balance
-
Long
–
–
–
–
15,455,416
Ending
Notional
Balance
-
Short
–
–
–
–
37,905,519
*
Average
volume
of
derivatives
is
based
on
the
average
of
the
notional
balances,
settlement
values
or
number
of
contracts,
as
applicable,
that
were
outstanding
at
the
end
of
each
quarter
during
the
reporting
period.
FUND
RATIO
AQR
Large
Cap
Multi-Style
Fund
.........................................................................
0.25%
AQR
Small
Cap
Multi-Style
Fund
.........................................................................
0.45
AQR
International
Multi-Style
Fund
........................................................................
0.40
AQR
Emerging
Multi-Style
II
Fund
........................................................................
0.50
AQR
Large
Cap
Momentum
Style
Fund
....................................................................
0.25
AQR
Small
Cap
Momentum
Style
Fund
....................................................................
0.45
AQR
International
Momentum
Style
Fund
...................................................................
0.40
AQR
Large
Cap
Defensive
Style
Fund
.....................................................................
0.25
AQR
International
Defensive
Style
Fund
....................................................................
0.40
AQR
Global
Equity
Fund
...............................................................................
0.60
124
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
The
Trust
and
the
Adviser
have
entered
into
an
agreement
(the
“Expense
Limitation
Agreement”)
whereby
the
Adviser
has
agreed
to
reimburse
operating
expenses
of
each
Fund
at
least
through
January
28,
2024
for
Class
I,
N,
and
R6
shares.
Pursuant
to
the
Expense
Limitation
Agreement,
the
Adviser
has
agreed
to
reimburse
each
Fund
in
an
amount
sufficient
to
limit
each
Fund's
operating
expenses
other
than
management
fees
and
12b-1
fees,
and
exclusive
of
interest,
taxes,
borrowing
costs,
acquired
fund
fees
and
expenses,
dividend
and
interest
expense
related
to
short
sales,
expenses
related
to
class
action
claims,
contingent
expenses
related
to
tax
reclaim
receipts,
reorganization
expenses, and
extraordinary
expenses,
at
no
more
than
the
following
ratios:
The
Trust,
in
turn,
agreed
that
the
Funds
will
repay
the
expense
reimbursement
to
the
Adviser
only
to
the
extent
it
can
be
made
during
the
thirty-six
months
following
the
applicable
month
during
which
the
Adviser
reimbursed
the
applicable
Fund
for
its
operating
expenses
under
the
Expense
Limitation
Agreement.
Such
repayment
shall
be
made
only
out
of
the
share
class
of
the
Fund
for
which
the
applicable
expense
reimbursement
was
made.
Repayments
with
respect
to
a
Fund
must
be
limited
to
amounts
that
do
not
cause
the
total
annual
operating
expenses
or
the
other
operating
expenses,
as
applicable,
attributable
to
a
share
class
of
the
Fund
during
a
year
in
which
such
repayment
is
made
to
exceed
either
of
(i)
the
applicable
limits
in
effect
at
the
time
of
the
reimbursement
and
(ii)
the
applicable
limits
in
effect
at
the
time
of
recapture.
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
Large
Cap
Multi-Style
Fund
.....................................................
0.15
%
0.15
%
0.05
%
AQR
Small
Cap
Multi-Style
Fund
.....................................................
0.15
0.15
0.05
AQR
International
Multi-Style
Fund
....................................................
0.15
0.15
0.05
AQR
Emerging
Multi-Style
II
Fund
....................................................
0.20
0.20
0.10
AQR
Large
Cap
Momentum
Style
Fund
................................................
0.15
0.15
0.05
AQR
Small
Cap
Momentum
Style
Fund
................................................
0.15
0.15
0.05
AQR
International
Momentum
Style
Fund
...............................................
0.15
0.15
0.05
AQR
Large
Cap
Defensive
Style
Fund
.................................................
0.15
0.15
0.05
AQR
International
Defensive
Style
Fund
................................................
0.15
0.15
0.05
AQR
Global
Equity
Fund
...........................................................
0.20
0.20
0.10
125
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
The
amounts
reimbursed
by
the
Adviser
for
the
year
ended
September
30,
2023,
as
well
as
the
amounts
available
for
potential
future
recoupment
by
the
Adviser
and
the
expiration
schedule
at
September
30,
2023
are
as
follows:
EXPENSES
REIMBURSED
FOR
THE
PERIOD
ENDED
SEPTEMBER
30
,
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER
30
,
POTENTIAL
RECOUPMENT
AMOUNTS
EXPIRING
SEPTEMBER
30
,
2023
2023
20
24
20
25
20
26
AQR
LARGE
CAP
MULTI-STYLE
FUND
Class
I
...........
$
25,494
$
51,628
$
2,843
$
23,291
$
25,494
Class
N
...........
736
2,036
607
693
736
Class
R6
..........
105,631
240,405
50,987
83,787
105,631
Totals
$
131,861
$
294,069
$
54,437
$
107,771
$
131,861
AQR
SMALL
CAP
MULTI-STYLE
FUND
Class
I
...........
$
87,506
$
243,289
$
65,772
$
90,011
$
87,506
Class
N
...........
7,740
27,508
9,708
10,060
7,740
Class
R6
..........
64,860
210,284
78,045
67,379
64,860
Totals
$
160,106
$
481,081
$
153,525
$
167,450
$
160,106
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Class
I
...........
$
37,045
$
122,946
$
36,313
$
49,588
$
37,045
Class
N
...........
559
5,398
2,758
2,081
559
Class
R6
..........
183,962
610,138
181,220
244,956
183,962
Totals
$
221,566
$
738,482
$
220,291
$
296,625
$
221,566
AQR
EMERGING
MULTI-STYLE
II
FUND
Class
I
...........
$
26,178
$
110,270
$
38,023
$
46,069
$
26,178
Class
N
...........
612
5,083
2,289
2,182
612
Class
R6
..........
261,166
1,072,145
404,749
406,230
261,166
Totals
$
287,956
$
1,187,498
$
445,061
$
454,481
$
287,956
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Class
I
...........
$
77,479
$
202,971
$
50,294
$
75,198
$
77,479
Class
N
...........
13,660
25,651
4,053
7,938
13,660
Class
R6
..........
54,450
104,005
12,805
36,750
54,450
Totals
$
145,589
$
332,627
$
67,152
$
119,886
$
145,589
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Class
I
...........
$
146,937
$
396,158
$
116,031
$
133,190
$
146,937
Class
N
...........
3,165
10,694
3,634
3,895
3,165
Class
R6
..........
34,158
110,379
38,381
37,840
34,158
Totals
$
184,260
$
517,231
$
158,046
$
174,925
$
184,260
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Class
I
...........
$
135,759
$
397,902
$
128,506
$
133,637
$
135,759
Class
N
...........
19,157
69,953
28,868
21,928
19,157
Class
R6
..........
99,252
262,833
70,444
93,137
99,252
Totals
$
254,168
$
730,688
$
227,818
$
248,702
$
254,168
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Class
I
...........
$
–
$
–
$
–
$
–
$
–
Class
N
...........
9,643
14,021
–
4,378
9,643
Class
R6
..........
33,622
72,727
11,516
27,589
33,622
Totals
$
43,265
$
86,748
$
11,516
$
31,967
$
43,265
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Class
I
...........
$
83,578
$
296,736
$
105,567
$
107,591
$
83,578
Class
N
...........
4,761
18,914
7,842
6,311
4,761
Class
R6
..........
131,840
362,669
86,682
144,147
131,840
Totals
$
220,179
$
678,319
$
200,091
$
258,049
$
220,179
AQR
GLOBAL
EQUITY
FUND
Class
I
...........
$
1,915
$
7,710
$
3,168
$
2,627
$
1,915
Class
N
...........
1,323
3,919
1,304
1,292
1,323
Class
R6
..........
59,977
177,086
60,854
56,255
59,977
Totals
$
63,215
$
188,715
$
65,326
$
60,174
$
63,215
126
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
During
the
year
ended
September
30,
2023,
the
Funds
repaid
to
the
Advisor
the
following
amounts
previously
reimbursed:
9.
Distribution
Plan
The
Trust
has
adopted
a
Plan
of
Distribution
(the
“Plan”)
pursuant
to
Rule
12b-1
under
the
1940
Act
with
respect
to
the
Class
N
shares
of
the
Funds.
The
Plan
allows
for
the
payment
of
services
related
to
the
distribution
and
servicing
of
these
shares
at
a
rate
of
up
to
0.25%
per
annum
of
the
average
daily NAV
of
the
Class
N
shares
of
the
Funds.
10.
Principal
Risks
and
Concentrations
The
investment
techniques
and
strategies
utilized
by
the
Funds,
including
investments
made
on
a
shorter-term
basis
or
in
derivative
instruments
or
instruments
with
a
maturity
of
one
year
or
less
at
the
time
of
acquisition,
may
result
in
frequent
portfolio
trading
and
high
portfolio
turnover.
High
portfolio
turnover
will
cause
the
Funds
to
incur
higher
levels
of
brokerage
fees
and
commissions,
which
may
reduce
performance,
and
may
cause
higher
levels
of
current
tax
liability
to
shareholders
in
the
Funds.
In
the
normal
course
of
business,
the
Funds
trade
financial
instruments
and
enter
into
financial
transactions
where
risk
of
potential
loss
exists
due
to
changes
in
the
market
(market
risk).
A
Fund’s
investments
in
financial
derivatives
and
other
financial
instruments
may
expose
the
Fund
to
various
elements
of
market
risks
which
include
interest
rate,
foreign
currency,
and
equity
risks.
Investment
in
securities
of
foreign
issuers
may
involve
certain
risks
that
are
greater
than
those
associated
with
investments
in
securities
of
U.S.
issuers.
These
include
risks
of
adverse
changes
in
foreign
economic,
political,
regulatory
and
other
conditions;
changes
in
currency
exchange
rates
or
exchange
control
regulations
(including
limitations
on
currency
movements
and
exchanges);
the
imposition
of
economic
sanctions,
embargos or
other
government
actions
and/or restrictions;
differing
accounting,
auditing,
financial
reporting
and
legal
standards
and
practices;
differing
securities
market
structures;
and
higher
transaction
costs.
To
the
extent
a
Fund’s
investments
in
a
single
country
or
a
limited
number
of
countries
represent
a
higher
percentage
of
the
Fund’s
assets,
the
Fund
assumes
the
risk
that
economic,
political
and
social
conditions
in
those
countries may
have
a
significant
impact
on
investment
performance,
may
subject
the
Fund
to
increased
price
volatility
and
may
impair
or
otherwise
limit
the
Fund's
ability
to
invest
in,
receive,
hold
or
sell
securities
issued
by
the
impacted
countries.
Emerging
markets
are
riskier
than
more
developed
markets
because
they
tend
to
develop
unevenly
and
may
never
fully
develop.
Investments
in
emerging
markets
may
be
considered
speculative.
Emerging
markets
are
more
likely
to
experience
hyperinflation
and
currency
devaluations,
which
adversely
affect
returns
to
U.S.
investors.
In
addition,
many
emerging
securities
markets
have
far
lower
trading
volumes
and
less
liquidity
than
developed
markets.
Foreign
currency
risk
arises
from
the
possibility
that
fluctuations
in
foreign
exchange
rates
will
affect
the
value
of
cash
balances
held
in
foreign
currencies
and
non-U.S.
denominated
financial
instruments.
The
liquidity
and
trading
value
of
foreign
currencies
could
be
affected
by
global
economic
factors,
such
as
inflation,
interest
rate
levels,
and
trade
balances
among
countries,
as
well
as
the
actions
of
sovereign
governments
and
central
banks.
Currency
rates
in
foreign
countries
may
fluctuate
significantly
over
short
periods
of
time
for
a
number
of
reasons.
The
market
values
of
equities,
such
as
common
stocks
and
preferred
securities
or
equity-related
investments
such
as
futures
and
option
contracts,
may
decline
due
to
general
market
conditions
which
are
not
specifically
related
to
a
particular
company.
They
may
also
decline
due
to
factors
which
affect
a
particular
industry
or
industries.
The
Funds
may
invest
in
illiquid
investments
and
may
experience
difficulty
in
selling
those
investments
in
a
timely
manner
at
the
price
that
it
believes
the
investments
are
worth.
Prices
may
fluctuate
widely
over
short
or
extended
periods
in
response
to
company,
market
or
economic
news.
Geopolitical
and
other
events,
including
war,
terrorism,
natural
disasters,
economic
uncertainty,
trade
disputes,
extreme
weather
and
climate-related
events,
public
health
crises
including
pandemics and
related
geopolitical
events
have
led,
and
in
the
future
may
lead,
to
increased
market
volatility,
which
may
disrupt
the
U.S.
and
world
economies
and
markets
and
may
have
significant
adverse
direct
or
indirect
effects
on
the
Funds
and
their
investments.
Although
multiple
asset
classes
may
be
affected
by
a
market
disruption,
the
duration
and
effects
may
not
be
the
same
for
all
types
of
assets.
Markets
also
tend
to
move
in
cycles,
with
periods
of
rising
and
falling
prices.
This
volatility
may
cause
the
Funds'
NAV
to
experience
significant
increases
or
decreases
over
short
periods
of
time.
If
there
is
a
general
decline
in
the
securities
and
other
markets,
the
NAV
of the
Funds
may
lose
value,
regardless
of
the
individual
results
of
the
securities
and
other
instruments
in
which
the
Funds
invest.
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
Large
Cap
Multi-Style
Fund
...........................................
$
9,378
$
–
$
–
AQR
Small
Cap
Multi-Style
Fund
............................................
1,544
–
–
AQR
Large
Cap
Momentum
Style
Fund
.......................................
9,341
–
–
AQR
Large
Cap
Defensive
Style
Fund
........................................
–
9,205
4,053
127
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
In
addition
to
market
risk,
the
Funds
may
be
exposed
to
the
risk
that
one
or
more
securities
in
the
Funds’
portfolios
will
decline
in
price,
or
fail
to
pay
interest
or
principal
when
due,
because
the
issuer
of
the
security
experiences
a
decline
in
its
financial
status
(credit
risk).
Credit
risk
is
measured
by
the
loss
a
Fund
would
record
if
the
major
financial
institution
or
other
counterparties
failed
to
perform
pursuant
to
terms
of
their
obligations.
Certain
Funds
may
primarily
maintain
cash
balances
at
one
or
several
major
financial
institutions
that
may
exceed
federally
insured
limits
and
as
such
each
of
the
Funds
have
credit
risk
associated
with
such
financial
institutions.
In
general,
lower
rated
securities
carry
a
greater
degree
of
risk
that
the
issuer
will
lose
its
ability
to
make
interest
and
principal
payments,
which
could
have
a
negative
impact
on
the
Funds’
NAV
or
dividends.
The
Funds
minimize
credit
risk
by
monitoring
credit
exposure
and
collateral
values,
and
by
requiring
additional
collateral
to
be
deposited
with
or
returned
to
the
Funds
when
deemed
necessary.
In
the
normal
course
of
business,
the
Funds
may
enter
into
agreements
with
certain
counterparties
for
derivative
transactions.
A
number
of
each
Fund's
Master
Agreements
contain
provisions
that
require
each
Fund
to
maintain
a
predetermined
level
of
net
assets,
and/or
provide
limits
regarding
the
decline
of
a
Fund’s NAV
over
specified
time
periods.
If
a
Fund
was
to
violate
such
provisions,
the
counterparties
to
the
derivative
instruments
could
request
immediate
payment
or
demand
immediate
collateralization
on
derivative
instruments
in
net
liability
positions.
If
such
events
are
not
cured
by
the
Fund
or
waived
by
the
counterparties,
they
may
decide
to
curtail
or
limit
extension
of
credit,
and
the
Fund
may
be
forced
to
unwind
its
derivative
positions
which
may
result
in
material
losses.
Similar
to
credit
risk, the
Funds
may
be
exposed
to
counterparty
risk,
or
the
risk
that
an
institution
or
other
entity
with
which
the
Funds
have
unsettled
or
open
transactions
will
default.
Financial
assets,
which
potentially
expose the
Funds
to
counterparty
risk,
consist
principally
of
cash
due
from
counterparties
and
investments.
By
using
derivative
instruments,
the
Funds
may
be
exposed
to
the
risk
that
derivative
counterparties
may
not
perform
in
accordance
with
the
contractual
provisions
offset
by
the
value
of
any
collateral
received.
The
Funds’
exposure
to
credit
risk
associated
with
counterparty
non-performance
is
limited
to
the
unrealized
gains
inherent
in
such
transactions
that
are
recognized
in
the
Statements
of
Assets
and
Liabilities.
The
counterparties
to
the
Funds’
derivative
investments
may
include
affiliates
of
the
Funds’
clearing
brokers
and
other
major
financial
institutions.
While
the
Funds
use
multiple
clearing
brokers
and
counterparties,
a
concentration
of
credit
risk
may
exist
because
of
balances
held
and
transactions
with
a
limited
number
of
clearing
brokers
and
counterparties.
The
Funds
minimize
counterparty
credit
risk
through
credit
limits
and
approvals,
credit
monitoring
procedures,
executing
master
netting
arrangements,
and
managing
margin
and
collateral
requirements,
as
appropriate.
The
Funds
may
invest
in
securities
with
positive
momentum. This
entails
investing
in
securities
that
have
had
above-average
recent
returns.
These
securities
may
be
more
volatile
than
a
broad
cross-section
of
securities.
In
addition,
there
may
be
periods
during
which
the
investment
performance
of
the
Funds
while
using
a
momentum
strategy
may
suffer.
Investing
in
or
having
exposure
to
"value"
securities
presents
the
risk
that
the
securities
may
never
reach
what
the
Adviser
believes
are
their
full
market
values,
either
because
the
market
fails
to
recognize
what
the
Adviser
considers
to
be
the
security's
true
value
or
because
the
Adviser
misjudged
that
value.
In
addition,
there
may
be
periods
during
which
the
investment
performance
of
the
Funds
while
using
a
value
strategy
may
suffer.
The
Funds
may
have
investments
that
appreciate
or
decrease
significantly
in
value
over
short
periods
of
time.
This
may
cause
the
Funds’
NAV
per
share
to
experience
significant
increases
or
declines
in
value
over
short
periods
of
time,
however,
all
investments
long-term
or
short-term
are
subject
to
risk
of
loss.
The
Funds
may
invest
in
restricted
securities.
Restricted
securities
are
subject
to
legal
or
contractual
restrictions
on
resale
and
may
generally
be
sold
privately
but
may
be
required
to
be
registered
or
exempted
from
such
registration
before
being
sold
to
the
public.
Private
placement
securities
are
generally
considered
to
be
restricted
except
for
those
securities
traded
between
qualified
institutional
investors
under
the
provisions
of
Rule
144A
of
the
Securities
Act
of
1933.
Disposal
of
restricted
securities
may
involve
time-consuming
negotiations
and
expenses,
and
prompt
sale
at
an
acceptable
price
may
be
difficult
to
achieve.
Restricted
securities
held
by
the
Funds
at
period
end,
if
any,
are
disclosed
in
the
Schedule
of
Investments.
Certain Funds,
at
times,
may
utilize
substantial
leverage
in
their
investment
program.
Such
leverage
may
take
the
form
of
trading
on
margin,
investing
in
derivative
instruments
that
are
inherently
leveraged,
entering
into
other
forms
of
direct
and
indirect
borrowings.
There
is
no
guarantee
that
the
Funds’
borrowing
arrangement
or
other
arrangements
for
obtaining
leverage
will
continue
to
be
available,
or
if
available,
will
be
available
on
terms
and
conditions
acceptable
to
the
Funds.
Unfavorable
economic
conditions
could
also
increase
funding
costs,
limit
access
to
the
capital
markets
or
result
in
a
decision
by
lenders
not
to
extend
credit
to
the
Funds.
In
addition,
a
decline
in
market
value
of
the
Funds’
assets
may
have
particular
adverse
consequences
in
instances
where
they
have
borrowed
money
based
on
the
market
value
of
those
assets.
A
decrease
in
market
value
of
those
assets
may
result
in
the
lender
(including
derivative
counterparties)
requiring
the
Funds
to
post
additional
collateral
or
otherwise
sell
assets
at
a
time
when
it
may
not
be
in
the
Funds’
best
interest
to
do
so.
Given
the
complexity
of
the
investments
and
strategies
of
the
Funds,
the
Adviser
relies
heavily
on
quantitative
models
and
information
and
traditional
and
non-traditional
data
supplied
or
made
available
by
third
parties
(“Models
and
Data”).
Models
and
Data
are
used
to
construct
sets
of
transactions
and
investments,
to
provide
risk
management
insights,
and
to
assist
in
hedging
the
Funds'
investments.
When
Models
and
Data
prove
to
be
incorrect
or
incomplete,
including
because
data
is
stale,
missing
or
unavailable,
any
decisions
made
in
reliance
thereon
expose
the
Funds
to
potential
risks.
Similarly,
any
hedging
based
on
faulty
Models
and
Data
may
prove
to
be
unsuccessful.
Some
of
the
models
used
by
the
Adviser
for
the
Funds
are
predictive
in
nature.
The
use
of
predictive
models
has
inherent
risks.
Because
predictive
models
are
usually
constructed
based
on
historical
data
supplied
by
third
parties
or
otherwise,
the
success
of
relying
on
such
models
may
depend
heavily
on
the
accuracy
and
reliability
of
the
supplied
historical
data.
The
Funds
bear
the
risk
that
the
quantitative
models
used
by
the
Adviser
will
not
be
successful
in
selecting
investments
or
in
determining
the
weighting
of
investment
positions
that
will
enable
the
Funds
to
achieve their
investment
objective.
128
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
Periodically,
the
Funds
may
be
a
party
to
legal
actions
arising
in
the
ordinary
course
of
business.
The
Funds
are
currently
not
subject
to
any
actions
that
either
individually
or
in
the
aggregate
are
expected
to
have
a
material
impact
on
their
results
of
operations,
cash
flows
or
financial
condition.
11.
Interfund
Lending
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
Funds,
including
other
AQR
Funds
not
presented
in
this
book,
may
participate
in
a
joint
lending
and
borrowing
program
(the
“Interfund
Lending
Program”)
to
the
extent
such
participation
is
consistent
with
each
Fund’s
investment
objective
and
investment
policies. The
Interfund
Lending
Program
allows
the
Funds
to
borrow
and
lend
to
other
AQR
Funds
that
permit
such
transactions.
All
loans
under
the
Interfund
Lending
Program
are
for
temporary
cash
management
or
emergency
purposes.
Interest
earned
or
paid
on
an
interfund
lending
transaction
will
be
based
on
the
average
of
certain
current
market
rates,
as
calculated
according
to
a
formula
established
by
the
Board.
A
lending
Fund
may
lend
in
aggregate
up
to
15%
of
its
net
assets
but
may
not
lend
more
than
5%
of
its
net
assets
to
any
one
borrowing
Fund
through
the
Interfund
Lending
Program.
A
borrowing
Fund
may
not
borrow
through
the
Interfund
Lending
Program
or
from
any
other
source
more
than
33
1/3%
of
its
total
assets.
If
a
borrowing
Fund’s
total
outstanding
borrowings
exceed
10%
of
its
total
assets,
the
Fund
must
secure
each
of
its
outstanding
borrowings
through
the
Interfund
Lending
Program
with
collateral
equal
to
102%
of
the
outstanding
principal
value
of
the
loan.
The
Funds
are
not
required
to
borrow
money
under
the
Interfund
Lending
Program
and
may
borrow
under
other
arrangements,
including
their
existing
bank
line
of
credit.
This
could
result
in
a
Fund
borrowing
money
at
a
higher
interest
rate
than
it
would
have
received
under
the
Interfund
Lending
Program.
Interest
expense
paid
as
a
result
of borrowing under
the
Interfund
Lending
Program
is
included
in
interfund
lending expense
in
the
Statements
of
Operations.
During
the
reporting
period,
average
borrowings
from
another
series
of
the
Trust
(not
presented
in
this
book)
under
the
Interfund
Lending
Program
were
as
follows:
The
outstanding
balance
of
interfund borrowings
of
AQR
International
Momentum
Style
Fund
amounting
to
$360,000
was
repaid
on October
5,
2023.
12.
Line
of
Credit
Each
series
of
the
Trust
other
than
the
AQR
Diversifying
Strategies
Fund
(collectively,
the
“Participating
Funds”)
renewed
a
364-day
syndicated
line
of
credit
with
$345,000,000
in
committed
loans
(the
“Agreement”)
with
Bank
of
America,
N.A.,
as
the
administrative
agent,
effective
March
17,
2023.
Borrowing,
if
any,
under
this
arrangement
bears,
as
incurred,
interest
at
the
sum
of
(a)
1.00%
per
annum
plus
(b)
the
higher
of
(i)
the
Federal
Funds
Rate
or
(ii)
Term
SOFR
(including
a
0.10%
adjustment).
The
maximum
loan
amount
available
to
a
Participating
Fund
is
the
lesser
of
an
amount
that
will
not
exceed
the
borrowing
limits
set
forth
in
the
Participating
Fund’s
Prospectus
and/or
Statement
of
Additional
Information
and
will
not
cause
the
asset
coverage
ratio
for
any
borrowings
by
the
Participating
Fund
to
drop
below
the
required
amount
under
the
Agreement
(between
300-500%
per
Participating
Fund).
The
Agreement
is
subject
to
an
annual
commitment
fee
allocated
to
each
Participating
Fund,
which
is
payable
in
arrears
on
a
quarterly
basis.
In
the
event
of
a
draw
upon
the
line
of
credit,
liquid
assets
of
the
borrowing
Participating
Fund
may
be
earmarked
for
asset
coverage
purposes
until
its
loan
is
repaid
in
full.
Interest
expense
paid
as
a
result
of
borrowing
under
the
Agreement,
and
each
Participating
Fund's
allocated
commitment
fee,
is
included
in
interest
expense
in
the
Statements
of
Operations.
There
were
no
open
borrowings
as
of September
30,
2023
by
any
of
the
Funds.
During
the
reporting
period,
average
borrowings
under
the
line
of
credit
were
as
follows:
FUND
AVERAGE
BORROWINGS
WEIGHTED
AVERAGE
INTEREST
RATE
OUTSTANDING
LOAN
AMOUNT
INTEREST
PAID
AQR
Small
Cap
Multi-Style
Fund
.........................
$
1,300,000
5.31%
$
–
$
378
AQR
Small
Cap
Momentum
Style
Fund
....................
2,274,706
5.29
–
5,607
AQR
International
Momentum
Style
Fund
..................
9,834,286
5.63
360,000
31,857
AQR
Large
Cap
Defensive
Style
Fund
.....................
20,900,000
5.70
–
19,593
FUND
AVERAGE
BORROWINGS
WEIGHTED
AVERAGE
INTEREST
RATE
NUMBER
OF
DAYS
OUTSTANDING
INTEREST
PAID
AQR
Large
Cap
Multi-Style
Fund
......................................
$31,740,000
5.33
%
3
$14,098
AQR
Small
Cap
Momentum
Style
Fund
..................................
1,800,000
5.76
1
288
AQR
International
Momentum
Style
Fund
................................
14,987,692
6.12
12
30,573
129
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
13.
Principal
Ownership
As
of
September
30,
2023,
the
Funds
had
individual
shareholders
and/or
omnibus
accounts
owning
more
than
5%
of
the
total
shares
outstanding
of
the
Fund
as
follows:
Significant
shareholder
transactions
by
these
shareholders,
if
any,
may
impact
the
Funds’
performance.
14.
New
Accounting
Pronouncements
and
Regulations
On
October
26,
2022,
the
SEC
adopted
rule
and
form
amendments
which
require
open-end
mutual
funds
to
transmit
streamlined
annual
and
semi-
annual
reports
to
shareholders
that
highlight
key
information
to
investors.
In
connection
with
these
amendments,
certain
information
that
was
previously
disclosed
in
fund
shareholder
reports
will
instead
be
made
available
online,
delivered
free
of
charge
upon
request,
and
filed
on
a
semi-annual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024,
and
will
have
no
effect
on
the
Funds'
accounting
policies
or
financial
statements.
15.
Subsequent
Events
The
Funds
have
evaluated
subsequent
events
through
the
date
of
issuance
of
this
report
and
have
determined
that
there
are
no
material
events
requiring
adjustment
to,
or
disclosure
in,
these
financial
statements.
FUND
NUMBER
OF
INDIVIDUAL
SHAREHOLDERS
AND/OR
OMNIBUS
ACCOUNTS
TOTAL
PERCENTAGE
INTEREST
HELD
PERCENTAGE
INTEREST
HELD
BY
ADVISER
AND/OR
AFFILIATES
AQR
Large
Cap
Multi-Style
Fund
...........................
2
91.28
%
–
%
AQR
Small
Cap
Multi-Style
Fund
............................
3
90.38
–
AQR
International
Multi-Style
Fund
..........................
2
94.05
–
AQR
Emerging
Multi-Style
II
Fund
...........................
2
95.90
–
AQR
Large
Cap
Momentum
Style
Fund
.......................
2
90.35
–
AQR
Small
Cap
Momentum
Style
Fund
.......................
2
95.59
–
AQR
International
Momentum
Style
Fund
.....................
2
95.96
–
AQR
Large
Cap
Defensive
Style
Fund
........................
5
78.24
–
AQR
International
Defensive
Style
Fund
......................
4
94.33
–
AQR
Global
Equity
Fund
..................................
3
96.52
–
130
Report
of
Independent
Registered
Public
Accounting
Firm
AQR
Funds
|
Annual
Report
|
September
2023
To
the
Board
of
Trustees
of
AQR
Funds
and
Shareholders
of
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Large
Cap
Defensive
Style
Fund,
AQR
International
Defensive
Style
Fund
and
AQR
Global
Equity
Fund
Opinions
on
the
Financial
Statements
We
have
audited
the
accompanying
statements
of
assets
and
liabilities,
including
the
schedules
of
investments,
of
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Large
Cap
Defensive
Style
Fund,
AQR
International
Defensive
Style
Fund
and
AQR
Global
Equity
Fund
(ten
of
the
funds
constituting
AQR
Funds,
hereafter
collectively
referred
to
as
the
"Funds")
as
of
September
30,
2023,
the
related
statements
of
operations
for
the
year
ended
September
30,
2023,
the
statements
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
September
30,
2023,
including
the
related
notes,
and
the
financial
highlights
for
each
of
the
five
years
in
the
period
ended
September
30,
2023
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
each
of
the
Funds
as
of
September
30,
2023,
the
results
of
each
of
their
operations
for
the
year
then
ended,
the
changes
in
each
of
their
net
assets
for
each
of
the
two
years
in
the
period
ended
September
30,
2023,
and
each
of
the
financial
highlights
for
each
of
the
five
years
in
the
period
ended
September
30,
2023,
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America.
Basis
for
Opinions
These
financial
statements
are
the
responsibility
of
the
Funds’
management.
Our
responsibility
is
to
express
an
opinion
on
the
Funds’
financial
statements
based
on
our
audits.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(PCAOB)
and
are
required
to
be
independent
with
respect
to
the
Funds
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audits
of
these
financial
statements
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
Our
audits
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
audits
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
September
30,
2023
by
correspondence
with
the
custodian,
transfer
agent
and
brokers;
when
replies
were
not
received
from
brokers,
we
performed
other
auditing
procedures.
We
believe
that
our
audits
provide
a
reasonable
basis
for
our
opinions.
/s/
PricewaterhouseCoopers
LLP
New
York,
New
York
November
17,
2023
We
have
served
as
the
auditor
of
one
or
more
investment
companies
in
AQR
Funds
since
2008.
131
Other
Federal
Tax
Information
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
For
the
fiscal
year
ended
September
30,
2023,
the
Funds
designate
the
following
percentages
of
ordinary
income
dividends,
or
maximum
amount
allowable,
as
qualifying
for
the
reduced
tax
rate
under
the
Jobs
and
Growth
Tax
Relief
Reconciliation
Act
of
2003:
For
the
fiscal
year
ended
September
30,
2023,
the
following
percentages
of
income
dividends
paid
by
the
Funds
qualify
for
the
dividends
received
deduction
available
to
corporations:
The
Funds
designate
the
following
amounts,
or
the
maximum
allowable
under
Section
852
of
the
Internal
Revenue
Code,
as
long
term
capital
gain
dividends paid
during
the
fiscal
year
ended September
30,
2023:
Certain
Funds
have
derived
net
income
from
sources
within
foreign
countries.
For
the
year
ended
September
30,
2023,
the
foreign
source
income
for
each
Fund
was
as
follows:
Certain
Funds
intend
to
elect
to
pass
through
to
shareholders
the
credit
for
taxes
paid
to
foreign
countries.
For
the
year
ended
September
30,
2023,
the
foreign
taxes
paid
for
each
Fund
was
as
follows:
FUND
PERCENTAGE
AQR
Large
Cap
Multi-Style
Fund
.........................................................................
100.00%
AQR
Small
Cap
Multi-Style
Fund
..........................................................................
100.00%
AQR
International
Multi-Style
Fund
........................................................................
98.07%
AQR
Emerging
Multi-Style
II
Fund
.........................................................................
52.89%
AQR
Large
Cap
Momentum
Style
Fund
.....................................................................
100.00%
AQR
Small
Cap
Momentum
Style
Fund
.....................................................................
100.00%
AQR
International
Momentum
Style
Fund
...................................................................
97.18%
AQR
Large
Cap
Defensive
Style
Fund
......................................................................
100.00%
AQR
International
Defensive
Style
Fund
....................................................................
97.44%
AQR
Global
Equity
Fund
................................................................................
99.28%
FUND
PERCENTAGE
AQR
Large
Cap
Multi-Style
Fund
.........................................................................
100.00%
AQR
Small
Cap
Multi-Style
Fund
..........................................................................
100.00%
AQR
Emerging
Multi-Style
II
Fund
.........................................................................
0.06%
AQR
Large
Cap
Momentum
Style
Fund
.....................................................................
100.00%
AQR
Small
Cap
Momentum
Style
Fund
.....................................................................
100.00%
AQR
Large
Cap
Defensive
Style
Fund
......................................................................
100.00%
AQR
Global
Equity
Fund
................................................................................
58.86%
FUND
TOTAL
AQR
Large
Cap
Multi-Style
Fund
.........................................................................
$
85,470,431
AQR
Small
Cap
Multi-Style
Fund
..........................................................................
138,984
AQR
Large
Cap
Momentum
Style
Fund
.....................................................................
72,397,699
AQR
Small
Cap
Momentum
Style
Fund
.....................................................................
337,349
AQR
International
Momentum
Style
Fund
...................................................................
2,232,249
AQR
Large
Cap
Defensive
Style
Fund
......................................................................
425,747,478
AQR
Global
Equity
Fund
................................................................................
8,577,213
FUND
TOTAL
PER
SHARE
AQR
International
Multi-Style
Fund
.........................................................
$16,737,406
$0.4222
AQR
Emerging
Multi-Style
II
Fund
..........................................................
26,806,804
0.5017
AQR
International
Momentum
Style
Fund
....................................................
11,468,162
0.8086
AQR
International
Defensive
Style
Fund
.....................................................
9,065,814
0.4663
FUND
TOTAL
PER
SHARE
AQR
International
Multi-Style
Fund
.........................................................
$1,530,500
$0.0386
AQR
Emerging
Multi-Style
II
Fund
..........................................................
3,336,956
0.0625
AQR
International
Momentum
Style
Fund
....................................................
988,153
0.0697
AQR
International
Defensive
Style
Fund
.....................................................
821,144
0.0422
132
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
As
a
shareholder
of
the
Trust,
you
incur
two
types
of
costs:
(1)
transaction
costs
and
(2)
ongoing
costs,
including
management
fees;
and
other
Fund
expenses.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds
The
Example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
entire
period
as
indicated
below.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
under
the
heading
entitled
“Expenses
Paid
for
the
Period
Ended
9/30/2023”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Each
Fund
will
indirectly
bear
its
pro
rata
share
of
the
expenses
incurred
by
the
underlying
investments
in
which
the
Fund
invests.
These
expenses
are
not
included
in
the
table.
Hypothetical
Example
for
Comparison
Purposes
The
table
below
also
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
each
Fund’s
actual
expense
ratio
and
an
assumed
annual
rate
of
return
of
5%
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
a
Fund
and
other
funds
by
comparing
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
other
funds. Each
Fund
will
indirectly
bear
its
pro
rata
share
of
the
expenses
incurred
by
the
underlying
investments
in
which
the
Fund
invests.
These
expenses
are
not
included
in
the
table.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs.
Therefore,
the
hypothetical
example
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
BEGINNING
ACCOUNT
DATE
VALUE
ENDING
ACCOUNT
VALUE
9/30/23
ANNUALIZED
EXPENSE
RATIO
FOR
THE
PERIOD
EXPENSES
PAID
FOR
THE
PERIOD
ENDED
9/30/23
AQR
Large
Cap
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$1,081.80
0.41%
$2.14
Hypothetical
Return
$1,000.00
$1,023.01
0.41%
$2.08
Class
N
Actual
Return
$1,000.00
$1,080.30
0.66%
$3.44
Hypothetical
Return
$1,000.00
$1,021.76
0.66%
$3.35
Class
R6
Actual
Return
$1,000.00
$1,081.90
0.31%
$1.62
Hypothetical
Return
$1,000.00
$1,023.51
0.31%
$1.57
AQR
Small
Cap
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$1,064.70
0.62%
$3.21
Hypothetical
Return
$1,000.00
$1,021.96
0.62%
$3.14
Class
N
Actual
Return
$1,000.00
$1,063.50
0.87%
$4.50
Hypothetical
Return
$1,000.00
$1,020.71
0.87%
$4.41
Class
R6
Actual
Return
$1,000.00
$1,064.60
0.52%
$2.69
Hypothetical
Return
$1,000.00
$1,022.46
0.52%
$2.64
AQR
International
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$997.50
0.56%
$2.80
Hypothetical
Return
$1,000.00
$1,022.26
0.56%
$2.84
Class
N
Actual
Return
$1,000.00
$995.10
0.81%
$4.05
Hypothetical
Return
$1,000.00
$1,021.01
0.81%
$4.10
Class
R6
Actual
Return
$1,000.00
$997.50
0.46%
$2.30
Hypothetical
Return
$1,000.00
$1,022.76
0.46%
$2.33
133
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
BEGINNING
ACCOUNT
DATE
VALUE
ENDING
ACCOUNT
VALUE
9/30/23
ANNUALIZED
EXPENSE
RATIO
FOR
THE
PERIOD
EXPENSES
PAID
FOR
THE
PERIOD
ENDED
9/30/23
AQR
Emerging
Multi-Style
II
Fund
Class
I
Actual
Return
$1,000.00
$1,002.10
0.70%
$3.51
Hypothetical
Return
$1,000.00
$1,021.56
0.70%
$3.55
Class
N
Actual
Return
$1,000.00
$998.90
0.96%
$4.81
Hypothetical
Return
$1,000.00
$1,020.26
0.96%
$4.86
Class
R6
Actual
Return
$1,000.00
$1,002.10
0.61%
$3.06
Hypothetical
Return
$1,000.00
$1,022.01
0.61%
$3.09
AQR
Large
Cap
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,038.30
0.41%
$2.09
Hypothetical
Return
$1,000.00
$1,023.01
0.41%
$2.08
Class
N
Actual
Return
$1,000.00
$1,037.20
0.66%
$3.37
Hypothetical
Return
$1,000.00
$1,021.76
0.66%
$3.35
Class
R6
Actual
Return
$1,000.00
$1,038.50
0.31%
$1.58
Hypothetical
Return
$1,000.00
$1,023.51
0.31%
$1.57
AQR
Small
Cap
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,025.60
0.62%
$3.15
Hypothetical
Return
$1,000.00
$1,021.96
0.62%
$3.14
Class
N
Actual
Return
$1,000.00
$1,023.80
0.87%
$4.41
Hypothetical
Return
$1,000.00
$1,020.71
0.87%
$4.41
Class
R6
Actual
Return
$1,000.00
$1,025.70
0.52%
$2.64
Hypothetical
Return
$1,000.00
$1,022.46
0.52%
$2.64
AQR
International
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$987.10
0.60%
$2.99
Hypothetical
Return
$1,000.00
$1,022.06
0.60%
$3.04
Class
N
Actual
Return
$1,000.00
$985.90
0.86%
$4.28
Hypothetical
Return
$1,000.00
$1,020.76
0.86%
$4.36
Class
R6
Actual
Return
$1,000.00
$987.70
0.50%
$2.49
Hypothetical
Return
$1,000.00
$1,022.56
0.50%
$2.54
AQR
Large
Cap
Defensive
Style
Fund
Class
I
Actual
Return
$1,000.00
$999.20
0.35%
$1.75
Hypothetical
Return
$1,000.00
$1,023.31
0.35%
$1.78
Class
N
Actual
Return
$1,000.00
$997.60
0.66%
$3.31
Hypothetical
Return
$1,000.00
$1,021.76
0.66%
$3.35
Class
R6
Actual
Return
$1,000.00
$999.60
0.31%
$1.55
Hypothetical
Return
$1,000.00
$1,023.51
0.31%
$1.57
134
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
Expenses
are
calculated
using
each
share
class’
annualized
expense
ratio,
multiplied
by
the
average
account
value
for
the
period,
multiplied
by
183/365
(to
reflect
the
one-half
year
period
unless
stated
otherwise).
BEGINNING
ACCOUNT
DATE
VALUE
ENDING
ACCOUNT
VALUE
9/30/23
ANNUALIZED
EXPENSE
RATIO
FOR
THE
PERIOD
EXPENSES
PAID
FOR
THE
PERIOD
ENDED
9/30/23
AQR
International
Defensive
Style
Fund
Class
I
Actual
Return
$1,000.00
$963.30
0.56%
$2.76
Hypothetical
Return
$1,000.00
$1,022.26
0.56%
$2.84
Class
N
Actual
Return
$1,000.00
$962.50
0.81%
$3.98
Hypothetical
Return
$1,000.00
$1,021.01
0.81%
$4.10
Class
R6
Actual
Return
$1,000.00
$964.00
0.46%
$2.26
Hypothetical
Return
$1,000.00
$1,022.76
0.46%
$2.33
AQR
Global
Equity
Fund
Class
I
Actual
Return
$1,000.00
$1,071.00
0.81%
$4.21
Hypothetical
Return
$1,000.00
$1,021.01
0.81%
$4.10
Class
N
Actual
Return
$1,000.00
$1,069.80
1.06%
$5.50
Hypothetical
Return
$1,000.00
$1,019.75
1.06%
$5.37
Class
R6
Actual
Return
$1,000.00
$1,071.70
0.71%
$3.69
Hypothetical
Return
$1,000.00
$1,021.51
0.71%
$3.60
135
Trustees
and
Officers
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
The
overall
management
of
the
business
and
affairs
of
the
Funds
is
vested
with
the
Board
of
Trustees.
The
Board
of
Trustees
consists
of
six
individuals
(each,
a
“Trustee”),
five
of
whom
are
not
“interested
persons”
of
the
Trust
as
defined
in
the
1940
Act
(the
“Disinterested
Trustees”).
The
Trustees
are
responsible
for
the
oversight
of
the
operations
of
the
Trust
and
perform
the
various
duties
imposed
on
the
directors
of
investment
companies
by
the
1940
Act.
The
Board
of
Trustees
approves
all
significant
agreements
between
the
Trust
and
persons
or
companies
furnishing
services
to
it,
including
the
Trust’s
agreements
with
its
investment
advisers,
investment
sub-advisers,
administrator,
custodian
and
transfer
agent.
The
management
of
each
Fund’s
day-to-day
operations
is
delegated
to
its
officers,
the
Adviser
and
the
Funds'
administrator,
subject
always
to
the
investment
objectives
and
policies
of
each
of
the
Funds
and
to
general
supervision
of
the
Board
of
Trustees.
The
Disinterested
Trustees
have
retained
independent
legal
counsel
to
assist
them
in
connection
with
their
duties.
Listed
in
the
chart
below
is
basic
information
regarding
the
Trustees
and
officers
of
the
Trust.
The
address
of
each
officer
and
Trustee
is
One
Greenwich
Plaza,
Suite
130,
Greenwich
CT
06830.
The
Statement
of
Additional
Information
(“SAI”)
for
the
Funds
includes
additional
disclosure
regarding
the
Trustees.
The
SAI
is
available,
without
charge,
upon
request,
by
calling
toll-free
866-290-2688.
NAME
AND
YEAR
OF
BIRTH
CURRENT
POSITION
WITH
THE
TRUST,
TERM
OF
OFFICE
1
AND
LENGTH
OF
TIME
SERVED
PRINCIPAL
OCCUPATION(S)
DURING
PAST
5
YEARS
NUMBER
OF
FUNDS
IN
FUND
COMPLEX
OVERSEEN
BY
TRUSTEE
OTHER
PRESENT
OR
PAST
DIRECTORSHIPS
HELD
BY
TRUSTEE
(DURING
THE
PAST
5
YEARS)
Disinterested
Trustees
2
William
L.
Atwell,
M.B.A.,
1950
Chairman
of
the
Board,
since
2023;
Trustee,
since
2011
Retired
from
Atwell
Partners,
LLC
(2012-
2019)
(consulting)
36
Webster
Financial
Corporation
(since
2014)
(banking);
Blucora,
Inc.
(2017-2019)
L.
Joe
Moravy,
M.B.A.,
CPA,
1950
Trustee,
since
2008
Retired
Independent
Consultant
(2014-
2021)
36
None
Gregg
D.
Behrens,
M.M.,
1952
Trustee,
since
2011
Retired
from
Northern
Trust
Company
(1974-2009)
(banking)
36
Kiwibank
(2022-2023);
Kiwi
Wealth
(wealth
management)
(2020-
2022)
Mark
A.
Zurack,
M.B.A.,
CFA
1957
Trustee,
since
2014
Professor,
Columbia
Business
School
(since
2002)
36
Exchange
Traded
Concepts
Trust
(21
portfolios)
(since
2011)
Kathleen
Hagerty,
Ph.D.,
M.B.A.
1953
Trustee,
since
2022
Provost
(since
2020)
and
Associate
Provost
(2019-2020),
Northwestern
University;
Interim
Dean
(2019-2020),
Senior
Associate
Dean
(2016-2019)
and
Professor
(since
1984),
Kellogg
School
of
Management,
Northwestern
University
36
None
Interested
Trustees
3
David
Kabiller,
CFA,
1963
Trustee,
since
2010
Founding
Principal,
AQR
Capital
Management,
LLC
(since
1998)
36
None
Officers
John
Howard,
1969
Chief
Executive
Officer
and
President,
since
August
2023
Principal,
Co-Chief
Operating
Officer
and
Head
of
US
Wealth,
AQR
Capital
Management,
LLC
(since
2011)
N/A
N/A
H.J.
Willcox,
J.D.,
1966
Chief
Compliance
Officer,
since
2013;
Anti-Money
Laundering
Officer,
since
2017
Principal,
Chief
Legal
Officer
and
Global
Head
of
Compliance
and
Risk,
AQR
Capital
Management,
LLC
(since
2013)
N/A
N/A
Bradley Asness, J.D.,
M.B.A.,
1969
Vice
President,
since 2009
Principal
and
Co-Chief
Operating
Officer,
AQR
Capital
Management,
LLC
(since
1998)
N/A
N/A
Patrick
Ryan,
CPA
1965
Assistant
Treasurer,
since
2020
Principal
and
Chief
Financial
Officer,
AQR
Capital
Management,
LLC
(since
2012)
N/A
N/A
Matthew
Plastina,
1970
Chief
Financial
Officer
and
Treasurer,
since
2022
Executive
Director,
AQR
Capital
Management,
LLC
(since
2018);
Executive
Director,
JP
Morgan
Investment
Management
(2010-2018)
N/A
N/A
136
Trustees
and
Officers
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
September
30,
2023
_________
1
Each
Trustee
serves
until
the
election
and
qualification
of
a
successor,
or
until
death,
resignation
or
removal
as
provided
in
the
Trust’s
Declaration
of
Trust.
A
Disinterested
Trustee
may
not
hold
office
beyond
December
31
of
the
year
in
which
he
or
she
turns
75.
2
A
Disinterested
Trustee
is
any
Trustee
that
is
not
an
“interested
person”
of
the
Trust
within
the
meaning
of
Section
2(a)(19)
of
the
1940
Act.
3
An
Interested
Trustee
is
a
Trustee
that
is
an
“interested
person”
of
the
Trust
within
the
meaning
of
Section
2(a)(19)
of
the
1940
Act.
Mr.
Kabiller
is
an
interested
person
of
the
Trust
because
of
his
position
with
the
Adviser.
NAME
AND
YEAR
OF
BIRTH
CURRENT
POSITION
WITH
THE
TRUST,
TERM
OF
OFFICE
1
AND
LENGTH
OF
TIME
SERVED
PRINCIPAL
OCCUPATION(S)
DURING
PAST
5
YEARS
NUMBER
OF
FUNDS
IN
FUND
COMPLEX
OVERSEEN
BY
TRUSTEE
OTHER
PRESENT
OR
PAST
DIRECTORSHIPS
HELD
BY
TRUSTEE
(DURING
THE
PAST
5
YEARS)
Nicole
DonVito,
J.D.,
1979
Chief
Legal
Officer,
since
2014;
Vice
President,
since
2009,
Secretary,
since
2022
Managing
Director,
Senior
Counsel
&
Head
of
Registered
Products,
AQR
Capital
Management,
LLC
(since
2007)
N/A
N/A
137
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
The
Board
of
Trustees
(the
“Board,”
and
the
members
of
which
are
referred
to
as
“Board
Members”)
of
the
AQR
Funds
(the
“Trust”)
met
in
person
on
May
18-19,
2023
(the
“Meeting”)
to
consider
the
continuation
of
the
Third
Amended
and
Restated
Investment
Management
Agreement,
as
amended,
between
AQR
Capital
Management,
LLC
(“AQR”)
and
the
Trust,
on
behalf
of
the
AQR
Global
Equity
Fund,
AQR
International
Defensive
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Large
Cap
Defensive
Style
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
and
AQR
Emerging
Multi-Style
II
Fund,
and
certain
other
series
of
the
Trust
(the
“Investment
Management
Agreement”).
Each
of
the
aforementioned
series
of
the
Trust
may
be
referred
to
herein
as
a
“Fund”
and
collectively,
the
“Funds.”
During
the
Meeting,
the
Board
Members
who
are
not
“interested
persons”
as
defined
in
the
Investment
Company
Act
of
1940,
as
amended
(the
“1940
Act”)
(the
“Independent
Board
Members”),
met
with
independent
legal
counsel
and
representatives
of
AQR
to
review
the
materials
provided
and
the
relevant
legal
considerations.
In
accordance
with
Section
15(c)
of
the
1940
Act,
the
Board
requested
and
considered
materials
furnished
by
AQR
relevant
to
the
Board’s
consideration
of
whether
to
approve
the
continuation
of
the
Investment
Management
Agreement.
These
materials
included:
(i)
memoranda
and
materials
provided
by
AQR
describing
the
personnel
and
services
provided
to
the
Funds;
(ii)
performance
information
for
the
Funds
relevant
to
the
consideration
of
the
Investment
Management
Agreement;
(iii)
information
independently
compiled
and
prepared
by
Broadridge
relating
to
the
Funds’
fees
and
expenses
and
performance
relative
to
peers
within
Morningstar
fund
categories;
(iv)
financial
information
for
AQR
and
a
profitability
analysis
showing
AQR’s
profitability
from
providing
services
to
the
Funds;
and
(v)
a
discussion
of
the
compliance
program
of
AQR
and
the
regulatory
exam
history
of
AQR.
At
the
Meeting,
the
Board,
including
the
Independent
Board
Members,
unanimously
approved
the
continuation
of
the
Investment
Management
Agreement
for
an
additional
one-year
period
for
each
Fund.
In
approving
the
continuation
of
the
Investment
Management
Agreement
for
a
Fund,
the
Board
considered
all
factors
it
believed
to
be
relevant
with
respect
to
the
Fund,
including,
among
other
factors:
(a)
the
nature,
extent
and
quality
of
the
services
provided
by
AQR;
(b)
the
investment
performance
of
the
Fund
and
AQR’s
portfolio
management;
(c)
the
management
fee
and
the
cost
of
the
services
provided
and
profits
realized
by
AQR
from
the
relationship
with
the
Funds
and
the
fund
complex;
(d)
economies
of
scale;
(e)
fall-out
benefits;
and
(f)
other
factors.
The
Board
also
considered
other
matters
it
deemed
important
to
the
approval
process,
such
as
AQR’s
services
related
to
the
valuation
and
pricing
of
the
Funds’
portfolio
holdings,
direct
and
indirect
benefits
to
AQR
and
its
affiliates
from
their
relationship
with
the
Funds
and
advice
from
independent
legal
counsel
with
respect
to
the
review
process
and
materials
submitted
for
the
Board’s
consideration.
The
Board
did
not
identify
any
particular
information
as
controlling,
and
each
Board
Member
may
have
attributed
different
weightings
to
the
various
items
considered.
In
considering
the
renewal
of
the
Investment
Management
Agreement
for
each
Fund,
the
Board
did
not
view
the
Investment
Management
Agreement
as
creating
third-party
beneficiary
rights
in
shareholders
to
enforce
the
terms
of
the
Investment
Management
Agreement
against
AQR.
The
following
is
a
summary
of
the
Board’s
discussion
and
views
regarding
the
factors
it
considered
in
evaluating
the
Investment
Management
Agreement:
The
Nature,
Extent
and
Quality
of
the
Services
Provided
by
AQR
.
The
Board
Members
reviewed
the
services
that
AQR
provided
to
the
Funds
under
the
Investment
Management
Agreement,
including
certain
administrative
services.
The
Board
considered
the
size
and
experience
of
AQR’s
staff,
its
use
of
technology,
and
the
Funds’
stated
investment
objectives,
strategies
and
processes.
In
connection
with
the
investment
advisory
services
provided
to
the
Funds,
the
Board
Members
took
into
account
discussions
they
had
regularly
as
part
of
quarterly
Board
meetings
with
representatives
of
AQR
regarding
the
management
of
each
Fund’s
investments
in
accordance
with
the
Fund’s
stated
investment
objectives
and
policies
and
the
types
of
transactions
that
are
entered
into
on
behalf
of
the
Funds.
During
these
discussions,
the
Board
Members
asked
questions
of,
and
received
answers
from,
representatives
of
AQR
regarding
the
formulation
and
implementation
of
the
Funds’
investment
strategies,
their
efficacy
and
potential
risks.
In
addition
to
the
investment
advisory
services
provided
to
the
Funds,
the
Board
Members
considered
that
AQR
also
provides
shareholder
and
administrative
services,
provides
oversight
of
Fund
accounting,
provides
risk
management,
provides
compliance
oversight,
administers
the
Funds’
liquidity
risk
management
program,
provides
derivatives
risk
management
services,
serves
as
the
Funds’
valuation
designee,
oversees
third-party
service
providers
and
provides
assistance
in
meeting
legal
and
regulatory
requirements
and
other
services
necessary
for
the
operation
of
the
Funds.
In
particular,
the
Board
Members
considered
the
compliance,
shareholder
and
administrative
services
provided
to
the
Funds
by
AQR
under
the
Investment
Management
Agreement.
The
Board
Members
recognized
the
enterprise
risk
of
AQR
involved
in
providing
services
to
the
Funds
over
time.
Finally,
the
Independent
Board
Members
had
several
opportunities
to
meet
outside
the
presence
of
Fund
management
in
executive
session
separately
with
independent
legal
counsel
to
discuss
and
consider
the
Investment
Management
Agreement.
Based
on
the
presentations
and
materials
at
the
Meeting
and
their
familiarity
gained
through
regular
Board
presentations
over
time,
the
Board
concluded
that
the
services
provided
to
the
Funds
by
AQR
pursuant
to
the
Investment
Management
Agreement
were
of
a
high
quality
and
benefit
the
Funds.
I
nvestment
Perform
ance
of
the
Funds
and
AQR
’s
Portfolio
Management.
The
Board
considered
the
investment
performance
of
each
Fund.
In
particular,
the
Independent
Board
Members
considered
the
investment
performance
of
the
Funds
relative
to
their
stated
objectives
and
AQR’s
efforts
to
achieve
such
goals
as
well
as
the
performance
of
the
Funds
relative
to
funds
identified
by
Broadridge
as
their
peers
(the
“Performance
Peers”).
The
Board
was
cognizant
of
the
fact
that
in
some
cases,
Fund
performance
was
challenged
over
certain
measurement
periods
in
comparison
to
a
Fund’s
Performance
Peers,
and
considered
AQR’s
views
regarding
the
factors
contributing
to
such
underperformance
on
a
Fund-by-Fund
basis.
Representatives
of
AQR
indicated
AQR
remains
confident
in
its
investment
philosophy
and
disciplined
systematic
investment
approach
to
managing
the
Funds,
which
has
contributed
to
positive
relative
performance
for
certain
Funds
in
comparison
to
the
Fund’s
Performance
Peers
in
the
most
recent
year.
138
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
The
Board
considered
that
Broadridge
comparisons
may
be
of
limited
use
in
some
cases
due
to
the
differences
between
the
ways
in
which
a
Fund
is
managed
from
other
Performance
Peers.
In
other
cases,
underperformance
in
relation
to
Performance
Peers
may
be
due
to
differences
in
a
Fund’s
investment
parameters
compared
to
its
Performance
Peers,
including
risk
limits,
volatility
targets,
model
limits
on
exposure
to
a
particular
country,
and
the
Fund’s
investment
universe.
Finally,
the
use
of
drawdown
control
and/or
internal
risk
protections
may
affect
a
Fund’s
performance
in
relation
to
its
Performance
Peers
or
benchmark.
The
Board
also
discussed
the
performance
of
the
Funds
with
AQR
at
Board
meetings
throughout
the
year.
AQR’s
presentations
to
the
Board
at
such
Board
meetings,
which
addressed
in
detail
the
drivers
of
underperformance
or
outperformance,
as
applicable,
supported
a
conclusion
that
the
Funds
were
being
managed
consistent
with
their
stated
policies
and
strategies.
The
Board
considered
AQR’s
performance
in
managing
other
registered
investment
companies
and
private
funds,
noting
that
other
funds
AQR
manages
might
have
investment
objectives,
policies
or
restrictions
different
from
those
of
the
Funds.
Based
on
these
factors,
the
Board
Members
determined
that
the
performance
of
each
Fund
is
consistent
with
its
stated
objectives
and
strategies
and
AQR’s
investment
process.
The
Management
Fee
and
the
Cost
of
the
Services
and
Profits
Realized
by
AQR
from
the
Relationship
with
the
Funds
.
The
Board,
including
the
Independent
Board
Members,
received
information
regarding
the
management
fees
paid
by
the
Funds
to
AQR
pursuant
to
the
Investment
Management
Agreement.
The
Board
examined
this
information
in
order
to
determine
the
reasonableness
of
the
fees
in
light
of
the
nature
and
quality
of
services
provided
to
the
Funds
and
the
costs
incurred
by
and
benefits
to
AQR
in
providing
those
services,
and
other
relevant
factors.
To
assist
in
this
analysis,
the
Board
reviewed
comparative
fee
and
expense
information
for
each
Fund
relative
to
funds
identified
by
Broadridge
as
their
peers
(the
“Expense
Peers”),
including
comparisons
of
contractual
management
fees
and
actual
net
expenses.
The
first
quartile
is
the
most
desirable
quartile
(i.e.,
relatively
lower
fees
or
expenses)
and
the
fourth
is
the
least
desirable
(i.e.,
relatively
higher
fees
or
expenses).
The
Board
noted
that,
as
of
December
31,
2022,
the
net
expenses
for
the
majority
of
the
Funds
were
lower
than
the
median
net
expenses
of
their
Expense
Peers,
while
the
net
expense
ratio
for
the
AQR
Global
Equity
Fund
was
equal
to
the
median
compared
to
its
Expense
Peers.
The
Board
also
noted
the
management
fee
reduction
for
AQR
Emerging
Multi-Style
II
Fund
and
increase
in
the
Fund’s
expense
cap
by
a
commensurate
amount,
which
took
effect
on
July
1,
2022.
The
Board
also
reviewed
information
regarding
the
fees
AQR
charges
for
other
funds
and
accounts
managed
by
AQR,
including
sub-advised
mutual
funds,
with
similar
investment
strategies
to
certain
of
the
Funds.
The
Board
noted
the
greater
services
provided
by
AQR
to
the
Funds
in
contrast
to
the
limited
role
of
AQR
when
it
sub-advises
third
party
mutual
funds
or
advises
separate
accounts.
The
Board
also
received
and
reviewed
information
regarding
the
profitability
of
AQR
with
respect
to
Fund-related
activities.
AQR
provided
the
Board
Members
with
a
detailed
description
of
the
methodology
and
inputs
used
to
determine
profitability.
The
Board
recognized
that
profitability
may
be
affected
by
numerous
factors
including,
among
other
things,
fee
waivers
and
expense
reimbursements
by
AQR,
the
types
of
funds
managed,
costs
of
recruiting
and
retaining
personnel,
taxes,
expense
allocations
and
business
mix.
The
Board
reviewed
AQR’s
unaudited
financial
information.
The
purpose
of
the
review
was
to
help
the
Independent
Board
Members
determine
whether
the
firm
has
the
necessary
resources
to
continue
to
provide
high
quality
services
to
the
Funds
and
attract
and
retain
high
quality
employees.
Based
on
their
review
of
the
materials
presented
at
the
Meeting
and
discussions
of
these
materials,
the
Board
concluded
that
the
management
fees
under
the
Investment
Management
Agreement
are
reasonable
and
AQR’s
profitability
was
not
excessive.
Economies
of
Scale.
AQR
provided
the
Board
with
information
concerning
the
extent
to
which
economies
of
scale
were
realized
as
the
Funds
grew
and
whether
fee
levels
were
reflective
of
such
economies
of
scale.
To
show
that
economies
are
being
shared,
AQR
presented
information
regarding
each
Fund’s
management
fees
relative
to
comparable
funds
of
similar
and/or
larger
sizes,
showing
that
management
fees
were
set
at
a
competitive
level.
It
also
provided
Morningstar
data
for
the
purpose
of
showing
the
hypothetical
effective
management
fee
for
each
Fund
at
higher
asset
levels
compared
to
its
peers,
some
of
which
have
breakpoints.
The
Board
considered
this
information
in
determining
the
reasonableness
of
continuing
to
operate
each
Fund
without
management
fee
breakpoints
at
the
Fund’s
current
asset
level.
The
Board
recognized
that
economies
were
also
being
shared
through
the
expense
limitation
agreements
for
the
Funds.
The
Board
noted
that,
under
the
Investment
Management
Agreement,
none
of
the
Funds
have
breakpoints
in
their
management
fees
that
would
allow
investors
to
benefit
directly
in
the
form
of
lower
fees
as
fund
assets
grew.
The
Board
considered
that
the
funds
in
the
AQR
fund
complex
share
some
common
resources
and,
as
a
result,
an
increase
in
the
overall
size
of
the
complex
could
permit
each
Fund
to
incur
lower
expenses
than
it
would
otherwise
as
a
stand-alone
entity.
The
Board
also
considered
AQR’s
overall
operations
and
its
efforts
to
expand
the
scale
of,
and
further
enhance
the
quality
of,
its
operations.
In
particular,
the
Board
noted
the
continuing
enhancements
to
AQR’s
services
to
the
Funds
in
areas
such
as
compliance,
risk,
portfolio
management,
technology,
valuation
and
administration.
AQR
advised
that
its
size
as
a
firm
has
resulted
in
additional
benefits
to
the
AQR
Funds,
such
as
the
ability
to
negotiate
better
terms
with
service
providers
and
to
establish
a
dedicated
money
market
fund
for
the
AQR
Funds
and
other
clients
of
AQR.
The
principals
of
AQR
have
also
provided
seed
capital
in
excess
of
regulatory
minimums
for
extended
periods.
AQR
also
discussed
that
the
Funds
had
undertaken
to
rely
on
Rule
30e-3
under
the
1940
Act
which
reduced
charges
related
to
printing
and
mailing
costs
for
shareholder
reports.
Other
Factors.
The
Board
also
took
into
account
other
ancillary
or
“fall-out”
benefits
that
AQR
or
its
affiliates
may
derive
from
its
relationship
with
the
Funds,
both
tangible
and
intangible,
noting
that
no
payments
are
received
by
AQR
from
the
Funds
beyond
the
fees
under
the
Investment
Management
Agreement.
The
Board
was
advised
by
AQR
that
AQR
may
obtain
greater
exposure
to
the
public
as
a
result
of
managing
the
AQR
Funds,
which
could
lead
to
additional
business
opportunities,
such
as
unregistered
fund
investments,
separately
managed
account
opportunities
or
sub-advisory
mandates.
AQR
may
also
obtain
reputational
benefits.
AQR
may
also
obtain
economic
benefit
from
its
sponsorship/management
of
both
the
Funds
and
other
funds
or
accounts
with
respect
to
the
potential
economic
leverage
of
its
service
provider
relationships.
The
Board
also
received
information
regarding
AQR’s
brokerage
and
soft
dollar
practices,
noting
that
AQR
does
not
presently
intend
to
make
use
of
soft
dollars
to
acquire
third-party
research.
The
Board
considered
that
AQR
is
responsible
for
decisions
to
buy
and
sell
securities
for
the
Funds,
selection
of
broker-dealers
and
best
execution,
and
aggregation
and
allocation
of
trade
orders
among
the
firm’s
various
advisory
clients.
139
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
Conclusion.
Counsel
advised
the
Board
concerning
the
statutory
and
regulatory
requirements
for
approval
and
disclosure
of
investment
management
agreements.
No
single
factor
was
determinative
to
the
decision
of
the
Board.
Based
on
the
foregoing
and
such
other
matters
as
were
deemed
relevant,
all
of
the
Board
Members,
including
all
of
the
Independent
Board
Members,
concluded
that
the
management
fee
rates
under
the
Investment
Management
Agreement
are
reasonable
in
relation
to
the
services
provided
by
AQR
to
the
Funds,
as
well
as
the
costs
incurred
and
benefits
to
be
gained
by
AQR
in
providing
such
services,
including
the
investment
advisory
and
administrative
components.
The
Board
also
found
the
investment
management
fees
to
be
reasonable
in
comparison
to
the
fees
charged
by
advisers
to
other
comparable
funds
of
similar
size.
As
a
result,
all
of
the
Board
Members,
including
the
Independent
Board
Members
voting
separately,
approved
the
continuation
of
the
Investment
Management
Agreement
with
respect
to
each
Fund.
The
Independent
Board
Members
were
represented
by
independent
legal
counsel
who
assisted
them
in
their
deliberations.
140
Liquidity
Risk
Management
Program
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2023
The
U.S.
Securities
and
Exchange
Commission
adopted
Rule
22e-4
under
the
Investment
Company
Act
of
1940,
as
amended,
(the
“Liquidity
Rule”)
which
requires
the
AQR
Funds
(the
“Trust”)
to
adopt
and
implement
a
program
reasonably
designed
to
assess
and
manage
the
“liquidity
risk”
of
each
series
of
the
Trust
(the
“Funds”).
Pursuant
to
the
Liquidity
Rule,
“liquidity
risk”
is
defined
as
the
risk
that
a
Fund
could
not
meet
requests
to
redeem
shares
issued
by
the
Fund
without
significant
dilution
of
remaining
investors’
interests
in
the
Fund.
The
Trust,
on
behalf
of
each
Fund,
has
adopted
and
implemented
a
liquidity
risk
management
program
in
accordance
with
the
Liquidity
Rule
(the
“Program”).
The
Trust’s
Board
of
Trustees
(the
“Board”)
has
designated
AQR
Capital
Management,
LLC
(“AQR”),
investment
adviser
to
each
Fund,
as
the
administrator
of
the
Program
(“Program
Administrator”)
for
each
Fund.
The
Program
Administrator
is
responsible
for
overseeing
the
day-to-day
operations
of
the
Program.
As
part
of
the
Program,
the
Program
Administrator
identifies
illiquid
investments,
categorizes
the
relative
liquidity
of
the
Funds’
investments
in
accordance
with
the
Liquidity
Rule
and
assesses,
manages,
and
periodically
reviews
the
liquidity
risk
of
each
Fund.
Among
other
things,
the
Liquidity
Rule
requires
that
a
written
report
be
provided
by
the
Program
Administrator
to
the
Board
on
an
annual
basis
that
addresses
the
operation
of
the
Program
and
assesses
the
adequacy
and
effectiveness
of
its
implementation,
including
the
operation
of
any
Highly
Liquid
Investment
Minimum
(“HLIM”)
established
for
a
Fund,
if
any,
and
any
material
changes
to
the
Program.
At
a
meeting
of
the
Board
held
on
May
19,
2023,
the
Board
reviewed
AQR’s
written
report
(the
“Report”)
concerning
the
operation,
adequacy
and
effectiveness
of
the
Program
for
the
period
from
April
1,
2022
through
March
31,
2023
(the
“Reporting
Period”).
The
Report
summarized
the
operation
of
the
Program
and
the
practices
implemented,
and
the
information
and
factors
considered
by
AQR
in
assessing
whether
the
Program
has
been
adequately
and
effectively
implemented
with
respect
to
each
Fund.
Such
practices,
information
and
factors
included,
among
other
things:
1)
An
overview
of
AQR’s
practices
with
respect
to
the
assessment,
management
and
periodic
review
of
each
Fund’s
liquidity
risk;
2)
A
summary
of
material
changes
or
findings
with
respect
to
the
Program,
if
any,
during
the
Reporting
Period;
3)
A
review
of
the
inputs
and
outputs
utilized
in
connection
with
the
Program,
particularly
the
methodologies
used
and
metrics
analyzed;
4)
A
summary
of
the
Funds’
compliance
with
the
requirements
under
the
Liquidity
Rule
and
the
Program,
including,
among
other
things,
the
15%
limit
on
investments
in
illiquid
investments
and
monitoring
of
highly
liquid
investments
to
determine
whether
a
Fund
is
required
to
set
a
HLIM;
5)
An
overview
of
the
Funds’
other
sources
of
liquidity
(e.g.,
credit
facility
and
interfund
borrowing);
and
6)
An
overall
assessment
of
the
effectiveness
of
the
Program
with
respect
to
managing
each
Fund’s
liquidity
risk,
including,
among
other
things
assessing
whether
the
Fund’s
strategy
remains
appropriate
for
an
open-end
fund
structure.
The
Report
stated
that
there
were
no
material
changes
in
the
liquidity
profile
of
the
Funds
and
that
there
were
no
material
changes
to
the
Program
during
the
Reporting
Period.
Based
on
the
above
information
and
factors,
among
others,
the
Program
Administrator
has
concluded,
and
reported
to
the
Board,
that
the
Program
is
adequate
and
operating
effectively
for
the
assessment,
monitoring
and
management
of
liquidity
risks
for
each
Fund.
Investment
Adviser
AQR
Capital
Management,
LLC
One
Greenwich
Plaza,
Suite
130
Greenwich,
CT
06830
Transfer
Agent
ALPS
Fund
Services,
Inc.
1290
Broadway,
Suite
1000
Denver,
CO
80203
Custodian
JPMorgan
Chase
Bank,
N.A.
4
Metro
Tech
Center
Brooklyn,
NY
11245
Distributor
ALPS
Distributors,
Inc.
1290
Broadway,
Suite
1000
Denver,
CO
80203
Administrator
JPMorgan
Chase
Bank,
N.A.
70
Fargo
Street
Boston,
MA
02210
Independent
Registered
Public
Accounting
Firm
PricewaterhouseCoopers,
LLP
300
Madison
Avenue
New
York,
NY
10017
You
may
obtain
a
description
of
the
AQR
Funds
proxy
voting,
policies,
procedures
and
information
regarding
how
each
Fund
voted
proxies
relating
to
portfolio
securities
during
the
12-month
period
ending
June
30th
of
each
year
(available
by
August
31st
of
that
year)
without
charge,
upon
request,
by
calling
1-866-290-2688
or
visiting
the
funds
website
https://funds.aqr.com,
or
by
accessing
the
SEC’s
website
at
www.SEC.gov.
Such
reports
may
be
reviewed
and
copied
at
the
SEC’s
Public
Reference
Room
in
Washington,
DC.
Information
on
the
operation
of
the
Public
Reference
Room
may
be
obtained
by
calling
202-551-8090.
The
Fund
files
complete
schedules
of
the
portfolio
holdings
with
the
SEC
for
the
first
and
third
quarters
on
Form
N-PORT
Part
F.
The
Form
N-PORT
Part
F
is
available
without
charge,
upon
request,
by
calling
1-800-SEC-0330,
or
by
accessing
the
SEC’s
website,
at
www.SEC.gov.
It
may
also
be
reviewed
and
copied
at
the
SEC’s
Public
Reference
Room
in
Washington,
DC.
This
report
has
been
prepared
for
shareholders
and
may
be
distributed
to
others
only
if
preceded
or
accompanied
by
an
effective
prospectus,
which
includes
information
regarding
the
Funds’
objectives
and
policies,
experienced
of
its
management,
marketability
of
shares
and
other
information.
AQR
Funds
P.O.
Box
2248,
Denver,
CO
80201-2248
|
p:
+1.866.290.2688
|
w:
https://funds.aqr.com
Item
2. Code of Ethics.
a).
As of the
end of the period, September 30
, 2023
,
the Registrant
has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that
applies to its principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar
functions. This code of ethics is included as Exhibit 13 (a)(1).
b). Not Applicable.
c). There have been amendments to the Registrant’s
Code of Ethics during the fiscal year ended September 30, 2023 (“Reporting
Period”).
d). Registrant granted no waivers from the provisions
of its Code of Ethics during the Reporting Period.
e). Not
Applicable.
f). Attached.
Item
3. Audit Committee Financial Expert.
a). The Registrant’s Board of Trustees has determined that
its Audit Committee has two “audit committee financial experts”, as that term
is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L.
Joe Moravy and Ms. Kathleen Hagerty, the Registrant’s audit committee financial
experts, are “independent”, as that term is defined under Item 3(a)(2).
Item
4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for the
AQR Funds by PricewaterhouseCoopers LLP
for the fiscal
years ended September 30, 2022 and September 30, 2023 were:
|
|
2022 |
2023 |
|
Audit
Fees (a) |
$429,550 |
$400,286 |
|
Audit
Related Fees (b) |
$0 |
$0 |
|
Tax
Fees (c) |
$174,640 |
$172,450 |
|
All
Other Fees (d) |
$1,889 |
$1,795 |
|
Total: |
$606,079 |
$574,531 |
(a)
Audit Fees:
These fees relate to professional services rendered by PricewaterhouseCoopers
LLP
for the audits of the Registrant’s annual financial
statements or services normally provided by the independent registered public
accounting firm in connection with statutory and regulatory filings or
engagements. These services include the audits of the financial statements of
the Registrant, issuance of consents and assistance with review of documents
filed with the Securities and Exchange Commission (the “Commission”).
(b) Audit Related Fees: These fees relate to assurance and
related services by PricewaterhouseCoopers LLP
that
are reasonably
related to the performance of the audit
of the Registrant’s September 30, 2022 annual financial statements that are not
reported under “Audit Fees” above. There were no audit-related services
provided by PricewaterhouseCoopers LLP for the year ended September 30, 2022
and September 30, 2023.
(c) Tax Fees: The September 30, 2022 and September 30, 2023 fees
relate to professional services rendered by PricewaterhouseCoopers LLP
for tax compliance, tax advice and tax planning. The
tax services provided by PricewaterhouseCoopers LLP
relate to the review of the Registrant’s federal and
state income tax returns, excise tax calculations and the completion of an
international taxation review.
(d) All Other Fees: These fees relate to products and
services provided by PricewaterhouseCoopers LLP
other
than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees”
above.
(e) Audit Committee Pre-approval Policies
and Procedures:
|
|
(i) |
Per Rule 2-01(c)(7)(A) and the charter of the
Registrant’s Audit Committee, the Audit Committee approves and recommends the
principal accountant for the Registrant, pre-approves (i) the principal
accountant’s provision of all audit and permissible non-audit services to the
Registrant (including the fees and other compensation to be paid to the
principal accountant), and (ii) the principal accountant’s provision of any
permissible non-audit services to the Registrant’s investment adviser (the
“Adviser”), sub-adviser or any entity controlling, controlled by, or under
common control with any investment adviser or sub-adviser, if the engagement
relates directly to the operations of the financial reporting of the Trust. |
|
|
(ii) |
0% of services described in each of Items 4(b)
through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C)
of Rule 2-01 of Regulation S-X (which permits audit committee approval after
the start of the engagement with respect to services other than audit, review
or attest services, if certain conditions are satisfied). |
(f) Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.
(g)Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended September 30, 2022 and September 2023: $298,950 and $287,950, respectively.
(h) Not Applicable.
(i) The Registrant is not a foreign
issuer, as identified by the Commission pursuant to Section 104(i)(2)(A) of the
Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for
the preparation of the audit report on its financial statements included in the
Form N- CSR, a registered public accounting firm that has a branch or office
that is located in a foreign jurisdiction and that the Public Company
Accounting Oversight Board (“PCAOB”) has determined it is unable to inspect or
investigate completely because of a position taken by an authority in the
foreign jurisdiction must electronically submit to the Commission on a
supplemental basis documentation that establishes that the Registrant is not
owned or controlled by a governmental entity in the foreign jurisdiction.
(j) The Registrant is not a foreign
issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to
Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C.
7214(i)(2)(A)), as having retained, for the preparation of the audit report on
its financial statements included in the Form N-CSR, a registered public
accounting firm that has a branch or office that is located in a foreign
jurisdiction and that the PCAOB has determined it is unable to inspect or
investigate completely because of a position taken by an authority in the
foreign jurisdiction, for each year in which the Registrant is so identified. Also,
the Registrant does not use a variable-interest entity or any similar structure
that results in additional foreign entities being consolidated in the financial
statements of the Registrant.
(1) Not Applicable.
(2) Not Applicable.
(3) Not Applicable.
(4) Not Applicable.
(5) Not Applicable.
Item
5. Audit Committee of Listed Registrants.
(a) The Registrant is an issuer as defined in Section 10A-3
of the Securities Exchange Act of 1934 and has a separately-designated standing
Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the
Board’s independent Trustees, William L. Atwell, Gregg D. Behrens, Kathleen
Hagerty, L. Joe Moravy and Mark A. Zurack, are members of the Audit Committee.
(b) Not Applicable.
Item
6. Investments
(a)
Schedule is included as part of the report to shareholders filed under Item 1
of this Form.
(b) The Registrant
made no divestments of securities in accordance with Section 13(c) of the
Investment Company Act of 1940.
Item
7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management
Investment Companies.
Not applicable.
Item 8. Portfolio
Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of
Equity Securities by Closed-End Management Investment Company &
Affiliated Purchasers.
Not applicable.
Item 10. Submission of
Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and
Procedures.
|
(a) |
The Registrant’s principal executive officer and
principal financial officer have concluded, based on their evaluation of the Registrant’s
disclosure controls and procedures as conducted within 90 days of the filing
date of this report, that those disclosure controls and procedures provide
reasonable assurance that the material information required to be disclosed
by the Registrant on this report is recorded, processed, summarized and
reported within the time periods specified in the Commission’s rules and
forms. |
|
(b) |
There have not been any changes in Registrant’s
control over financial reporting (as defined in Rule 30a-3(d) under the
Investment Company Act of 1940) that occurred during the period covered by
this report that has materially affected, or is reasonably likely to
materially affect, the Registrant’s internal control over financial
reporting. |
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies.
Not applicable.
Item 13.
Exhibits.
(a)(1) The code of ethics that is the subject of
the disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a)
under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are
attached hereto.
(b) Certification required by Rule 30a-2(b)
under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is
attached hereto.
SIGNATURES
Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment
Company Act of 1940, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
AQR Funds
By: /s/ John Howard
-----------------------------------
John Howard,
Principal Executive Officer
November 21, 2023
Pursuant to the
requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, this report has been signed below by the following persons on
behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ John Howard
----------------------------------
John
Howard,
Principal Executive Officer
November 21, 2023
By: /s/ Matthew Plastina
---------------------------------
Matthew
Plastina,
Principal Financial Officer
November 21, 2023
