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:  December 31

Date of reporting period:  January 1, 2023 to December 31, 2023

Item 1. Reports to Shareholders.

a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1.)

b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not applicable.

Annual

Report

December

31,

2023

AQR

Alternative

Risk

Premia

Fund

AQR

Diversified

Arbitrage

Fund

AQR

Diversifying

Strategies

Fund

AQR

Equity

Market

Neutral

Fund

AQR

Long-Short

Equity

Fund

AQR

Macro

Opportunities

Fund

AQR

Managed

Futures

Strategy

Fund

AQR

Managed

Futures

Strategy

HV

Fund

AQR

Multi-Asset

Fund

AQR

Risk-Balanced

Commodities

Strategy

Fund

AQR

Style

Premia

Alternative

Fund

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

Alternative

Risk

Premia

Fund

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

2

AQR

Diversified

Arbitrage

Fund

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

4

AQR

Diversifying

Strategies

Fund

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

8

AQR

Equity

Market

Neutral

Fund

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

10

AQR

Long-Short

Equity

Fund

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

12

AQR

Macro

Opportunities

Fund

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

15

AQR

Managed

Futures

Strategy

Fund

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

18

AQR

Managed

Futures

Strategy

HV

Fund

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

20

AQR

Multi-Asset

Fund

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

22

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

24

AQR

Style

Premia

Alternative

Fund

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

26

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

28

Schedule

of

Investments

AQR

Alternative

Risk

Premia

Fund

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

31

AQR

Diversified

Arbitrage

Fund

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

63

AQR

Diversifying

Strategies

Fund

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

84

AQR

Equity

Market

Neutral

Fund

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

85

AQR

Long-Short

Equity

Fund

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

105

AQR

Macro

Opportunities

Fund

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

134

AQR

Managed

Futures

Strategy

Fund

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

155

AQR

Managed

Futures

Strategy

HV

Fund

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

187

AQR

Multi-Asset

Fund

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

218

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

237

AQR

Style

Premia

Alternative

Fund

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

247

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

281

Financial

Statements

and

Notes

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

300

Report

of

Independent

Registered

Public

Accounting

Firm

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

376

Other

Federal

Tax

Information

(Unaudited)

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

377

Fund

Expense

Examples

(Unaudited)

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

379

Trustees

and

Officers

(Unaudited)

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

382

Shareholder

Letter

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

2

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Alternative

Risk

Premia

Fund

(the

“Fund”)

returned

7.53%,

net

of

fees,

(Class

I

shares)

in

2023.

Over

the

year,

the

Fund

realized

12.1%

annualized

daily

volatility

and

a

-0.1

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index,

which

is

the

Fund’s

benchmark,

returned

5.01%

over

this

period.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

year

ended

December

31,

2023,

the

Fund's

use

of

derivatives

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

During

the

2023

fiscal

year,

the

Fund

invested

in

five

different

asset

groups,

including

using

derivatives

such

as

futures

and

swaps:

equities

of

major

developed

markets,

country-specific

equity

indices,

bonds

and

interest

rates,

currencies,

and

commodities.

The

Fund

employed

market-neutral

and

long-short

strategies

across

these

asset

groups

based

on

five

investment

styles:

Value

-

The

tendency

for

cheap

assets

to

outperform

expensive

ones

Momentum

-

The

tendency

for

an

asset’s

recent

relative

performance

to

continue

in

the

future

Carry

-

The

tendency

for

higher-yielding

assets

to

provide

higher

returns

than

lower-yielding

assets

Defensive

-

The

tendency

for

lower-risk

and

higher-quality

assets

to

generate

higher

risk-adjusted

returns

Trend

-

The

tendency

for

an

asset’s

recent

performance

to

continue

in

the

future

Gains

were

almost

entirely

driven

by

the

Stocks

and

Industries

(“Stocks”)

asset

group,

with

Value

being

the

dominant

driver

of

performance.

Equity

Indices,

Currencies,

Commodities

and

Fixed

Income

also

contributed

positively,

but

to

a

lesser

extent.

Within

Stocks,

Value

was

the

style

that

had

the

strongest

contribution

to

performance,

followed

by

Defensive,

while

Momentum

slightly

detracted.

Value,

Momentum

and

Defensive

drove

gains

in

Equity

Indices,

as

Carry

and

Trend

detracted.

Currencies

saw

its

gains

come

from

Carry.

In

Fixed

Income,

Value,

Defensive

and

Carry

had

positive

contributions,

while

Momentum

and

Trend

detracted.

Gains

in

Commodities

were

explained

by

Carry

and

Trend.

This

year’s

Stocks

Value

gains

are

a

continuation

in

the

style’s

recovery

that

began

towards

the

end

of

2020.

Even

after

their

sustained

recovery,

Value

stocks

remain

cheap

relative

to

their

historical

median.

Hence,

we

retain

the

overweight

to

the

style,

as

we

still

see

it

as

an

attractive

opportunity,

albeit

less

attractive

than

a

year

ago.

Consequently,

the

tactical

overweight

has

been

reduced

and

we

expect

to

gradually

reduce

it

as

the

spread

between

cheap

and

expensive

stocks

continues

to

converge

to

its

historical

median.

Jordan

Brooks

Principal

Andrea

Frazzini

Principal

John

Huss

Principal

Yao

Hua

Ooi

Principal

Nathan

Sosner

Principal

3

Shareholder

Letter

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

Funds

|

Annual

Report

|

December

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/R6

shares

are

3.33%,

3.59%

and

3.24%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

09/19/2017

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

ALTERNATIVE

RISK

PREMIA

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QRPIX

7.53%

15.45%

3.35%

1.40%

9/19/2017

Fund

-

Class

N:

QRPNX

7.24%

15.14%

3.08%

1.16%

9/19/2017

Fund

-

Class

R6:

QRPRX

7.49%

15.52%

3.43%

1.50%

9/19/2017

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

5.01%

2.15%

1.88%

1.84%

9/19/2017

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

4

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Diversified

Arbitrage

Fund

(the

“Fund”)

invests

in

arbitrage

strategies,

including

merger

arbitrage,

convertible

arbitrage,

and

event-driven

strategies.

The

investment

process

seeks

to

capture

a

liquidity

premium

around

corporate

control

and

capital

raising

events,

while

maintaining

a

highly

diversified

portfolio

of

securities

with

low

exposure

to

other

risk

premia.

Over

the

2023

calendar

year,

the

Fund’s

Class

I

shares

returned

4.51%,

net

of

fees,

due

to

positive

returns

in

all

three

strategies.

Convertible

arbitrage

was

the

biggest

contributor

to

the

Fund

(2.20%),

followed

by

event-driven

(1.28%)

and

merger

arbitrage

(1.03%).

A

discussion

of

performance

drivers

for

each

of

the

three

strategies

is

included

below.

Since

its

inception

on

January

15,

2009,

the

Fund

has

earned

an

annualized

return

of

3.4%

above

the

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index.

Its

correlation

with

overall

equity

and

credit

markets

has

been

low.

Based

on

monthly

returns

from

inception

through

December

31,

2023,

the

Fund’s

market

beta

(relative

to

the

S&P

500®

Total

Return

Index)

is

0.13,

its

annualized

volatility

is

5.0%,

and

its

Sharpe

ratio

is

0.67.

Use

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies,

both

to

obtain

financial

leverage

and

to

hedge

portfolio

risks.

During

the

fiscal

year

ended

December

31,

2023,

the

Fund's

use

of

derivatives

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Fund

Description

Unlike

the

textbook

definition

of

arbitrage

that

requires

no

capital

and

where

identical

securities

can

simultaneously

be

bought

and

sold

for

different

prices,

corporate

arbitrage

investments

require

significant

capital

and

involve

the

purchase

and

sale

of

related

but

not

identical

securities

at

advantageous

prices.

For

example,

in

merger

arbitrage,

the

target

stock

can

often

be

purchased

for

a

price

that

is

less

than

the

merger

consideration

offered

by

the

acquiring

company.

Arbitrageurs

attempt

to

capture

this

difference

by

buying

the

target

stock,

and

in

the

case

of

a

stock

merger,

also

selling

short

the

acquirer’s

stock.

Similarly,

in

the

case

of

convertible

arbitrage,

investors

typically

purchase

a

convertible

bond

at

a

price

below

fundamental

value

and

hedge

the

risk

of

the

underlying

equity

call

option

that

is

embedded

in

the

bond

by

selling

short

the

issuer’s

common

stock.

Arbitrageurs

generally

profit

when

the

prices

of

securities

purchased

converge

to

their

fundamental

values.

Like

merger

arbitrage

and

convertible

arbitrage,

the

event-driven

strategies

employed

by

the

Fund

involve

the

purchase

of

securities

around

corporate

events

at

discounts

to

their

fundamental

values.

For

most

of

the

investments,

an

attempt

is

made

to

mitigate

the

embedded

systematic

risk

via

hedging.

Where

there

is

no

direct

hedge

for

a

particular

security,

correlated

indirect

hedges

are

employed.

For

example,

systematic

equity

market

risk

is

hedged

by

shorting

S&P

500

futures

and

swaps.

Similarly,

credit

and

interest

rate

risks

are

hedged

using

credit

default

swap

indices

and

Treasury

futures.

Although

indirect

hedges

can

effectively

mitigate

systematic

risk

(e.g.,

beta)

on

average,

they

expose

the

Fund

to

basis

risk

because

the

basket

of

securities

purchased

around

corporate

events

may

not

move

in

lockstep

with

the

hedging

instruments.

Performance

Attribution

Convertible

Arbitrage

Convertible

arbitrage

contributed

(2.20%)

to

the

Fund’s

return

in

2023.

Positive

returns

in

the

strategy

can

be

attributed

to

richening

of

the

portfolio

during

the

year.

The

median

cheapness

of

convertible

bonds

in

the

portfolio

declined

from

4.4%

at

the

end

of

2022

to

3.0%

at

the

end

of

2023.

This

broad-based

richening

is

further

illustrated

by

the

fact

that

83%

of

the

convertible

arbitrage

positions

held

by

the

Fund

earned

a

positive

return

last

year.

Following

a

lull

in

convertible

bond

issuance

in

2022,

when

only

$29

billion

was

raised,

the

U.S.

convertible

market

priced

74

new

securities

raising

a

total

of

$51

billion

for

issuers

in

2023.

The

increase

in

issuance

is

consistent

with

our

view

that

higher

interest

rates

would

spur

convertible

issuance

as

companies

opted

for

the

considerably

lower

cash

coupons

associated

with

convertible

securities

relative

to

traditional,

non-

convertible

debt.

In

response

to

this

issuance,

we

raised

the

Fund’s

tactical

allocation

to

convertible

arbitrage

to

47.2%

of

its

long

market

value

at

the

end

of

2023,

an

increase

of

nearly

17

percentage

points

from

the

start

of

the

year.

If

issuance

continues

at

this

pace,

which

we

expect

to

see

if

interest

rates

remain

near

their

current

level,

it

could

create

opportunities

for

the

Fund

to

deploy

additional

capital

into

attractively

priced

high-delta

convertibles

in

2024

Jordan

Brooks

Principal

Rocky

Bryant

Principal,

AQR

Arbitrage

Mark

Mitchell,

Ph.D.

Principal,

AQR

Arbitrage

Todd

Pulvino,

Ph.D.

Principal,

AQR

Arbitrage

John

Eckert

Managing

Director,

AQR

Arbitrage

5

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2023

Event-Driven

The

event-driven

strategy

contributed

(1.28%)

to

the

Fund’s

return

in

2023.

The

Special

Purpose

Acquisition

Companies

(“SPAC”)

and

Closed-End

Fund

(“CEF”)

sub-strategies

were

the

main

drivers

of

performance.

The

SPAC

sub-strategy

contributed

0.52%

to

the

Fund’s

performance,

with

gains

concentrated

in

the

first

half

of

the

year,

attributable

to

a

substantial

decline

in

the

median

spread-to-trust

from

3.2%

at

the

end

of

2022

to

0.4%

in

June

2023.

Spreads

reverted

slightly

over

the

second

half,

with

the

median

ending

the

year

at

1.1%.

The

decline

in

spread-to-trust

coincided

with

a

dramatic

decline

in

the

size

of

the

SPAC

market,

which

fell

by

$99

billion,

or

85%

of

its

size

at

the

start

of

2023,

to

$17

billion

at

year

end.

This

was

the

result

of

SPACs

from

the

2020-2021

boom

exiting

the

market

by

either

closing

mergers

or

liquidating,

along

with

issuance

of

only

32

new

SPAC

vehicles

raising

a

total

of

$4

billion.

Commensurate

with

the

reduction

in

the

opportunity

set,

the

Fund

decreased

its

allocation

to

SPACs

from

24%

of

long

market

value

at

the

end

of

2022

to

3%

at

the

end

of

2023.

In

contrast,

the

CEF

sub-strategy

became

more

attractive

over

the

course

of

the

year

as

discounts

in

the

equity

and

municipal

segments

widened

dramatically.

At

the

end

of

2023,

the

median

discount

for

equity

CEFs

was

13.1%,

up

3.7%

year-over-year,

while

the

median

municipal

CEF

discount

was

13.6%,

up

4.0%

year-over-year.

In

response

to

these

historically

wide

discounts,

we

raised

the

Fund’s

tactical

allocation

to

CEFs

from

2.8%

to

9.5%

over

the

course

of

the

year.

Although

the

widening

discounts

also

led

to

mark-to-market

losses

through

October,

the

CEF

sub-strategy

rebounded

to

end

the

year

with

a

contribution

of

0.43%

to

the

Fund.

Merger

Arbitrage

Merger

arbitrage

contributed

(1.03%)

to

the

Fund’s

return

in

2023.

This

strategy

detracted

from

performance

in

the

first

half

of

the

year

but

rebounded

strongly

in

the

second

half

to

end

the

year

as

a

positive

contributor.

The

median

annualized

spread

widened

from

5.1%

at

the

end

of

2022

to

10.6%

at

the

end

of

June

2023,

then

tightened

to

6.8%

at

the

end

of

2023.

Six

mergers

in

the

portfolio

were

terminated

in

2023,

corresponding

to

a

failure

rate

of

3.8%,

roughly

in

line

with

the

long-term

average.

The

top

contributor

to

the

Fund’s

performance

was

the

merger

between

Activision

Blizzard,

Inc.

and

Microsoft

Corp.

(0.46%),

which

traded

at

a

spread

of

14.9%

to

the

deal

consideration

before

a

federal

judge

denied

the

Federal

Trade

Commission’s

bid

for

a

preliminary

injunction

in

July.

The

deal

closed

in

October

after

the

companies

successfully

convinced

the

British

Competition

and

Markets

Authority

to

reverse

its

April

decision

rejecting

the

transaction.

The

largest

detractor

to

the

Fund’s

performance

was

the

failed

merger

between

First

Horizon

Corp.

(FHN)

and

Toronto-Dominion

Bank

(TD)

(-1.15%),

which

was

terminated

in

May

2023

after

TD

determined

it

would

be

unable

to

obtain

the

necessary

regulatory

approvals.

This

was

reportedly

due

to

an

anti-money-laundering

investigation

into

TD

that

was

unrelated

to

the

deal,

but

it

occurred

after

a

sharp

sell-off

in

regional

bank

stocks

after

the

failure

of

Silicon

Valley

Bank

(SVB)

in

March.

Due

to

the

unexpected

decline

in

the

standalone

value

of

FHN

from

$15.50

prior

to

the

failure

of

SVB

to

$11.00

at

the

start

of

May,

the

loss

from

this

deal

exceeded

the

Fund’s

downside

risk

threshold

of

1%.

The

Fund’s

allocation

to

merger

arbitrage

ended

the

year

at

38%

of

long

market

value,

down

from

42%

at

the

end

of

2022.

The

domestic

investible

universe,

defined

as

U.S.

mergers

with

a

definitive

agreement

and

consideration

of

at

least

$500

million,

was

comprised

of

38

deals

with

total

consideration

of

$272

billion

at

year

end.

The

number

of

deals

was

unchanged

year-over-year,

while

the

total

consideration

declined

by

8.4%.

Deal

flow

slowed

towards

the

end

of

the

year,

anecdotally

the

result

of

uncertainty

about

interest

rates

and

valuations.

Summary

The

Fund’s

performance

in

2023

was

attributable

to

positive

but

unremarkable

returns

in

the

convertible

arbitrage,

event-driven,

and

merger

arbitrage

strategies.

The

uptick

in

convertible

bond

issuance

and

widening

of

CEF

discounts

created

opportunities

that

the

Fund

will

aim

to

exploit

in

2024.

We

are

hopeful

that

the

resolution

of

uncertainty

about

the

Federal

Reserve’s

rate

hikes

will

lead

to

an

uptick

in

M&A

activity

and

a

recovery

in

capital

markets

issuance.

In

addition,

we

anticipate

that

the

finalization

of

the

SEC’s

proposed

rules

surrounding

SPACs

will

stabilize

that

market,

though

we

do

not

anticipate

a

recovery

of

issuance

at

the

levels

observed

in

2020

and

2021.

Irrespective

of

where

the

Fund

deploys

capital

in

2024,

the

Fund

will

continue

to

hedge

systematic

equity,

credit,

and

interest

rate

risks,

with

the

intention

of

delivering

uncorrelated

excess

returns.

1

6

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2023

1

Note

that

the

Fund

uses

various

derivatives

instruments

(e.g.,

futures,

options,

forwards,

and

swaps),

primarily

to

hedge

systematic

risks

including

credit

risk

and

interest

rate

risk.

While

the

purpose

of

employing

derivatives

instruments

is

to

decrease

the

Fund’s

overall

risk,

hedging

instruments

are

imperfect

tools

and

their

effectiveness

depends

on

the

degree

of

price

correlation

between

the

derivative

instruments

and

the

assets

being

hedged.

Imperfect

correlation

may

be

caused

by

several

factors,

including

temporary

price

disparities

between

derivative

markets

and

markets

for

the

underlying

assets.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.36%,

1.62%

and

1.27%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

DIVERSIFIED

ARBITRAGE

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ADAIX

4.51%

2.41%

7.85%

4.38%

4.24%

1/15/2009

Fund

-

Class

N:

ADANX

4.23%

2.14%

7.58%

4.12%

3.97%

1/15/2009

Fund

-

Class

R6:

QDARX

4.70%*

2.53%

7.95%

N/A

4.71%

9/2/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

5.01%

2.15%

1.88%

1.25%

0.88%

1/15/2009

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2023

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

7

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2023

AQR

DIVERSIFIED

ARBITRAGE

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2013

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.

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFYING

STRATEGIES

FUND

8

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Diversifying

Strategies

Fund

(the

“Fund”)

returned

8.88%,

net

of

fees,

(Class

I

shares)

in

2023.

Over

the

year,

the

Fund

realized

a

7.0%

annualized

daily

volatility

1

and

a

0.2

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index,

which

is

the

Fund’s

benchmark,

returned

5.01%

over

this

period.

The

Fund

seeks

to

provide

an

all-in-one

alternatives

solution

through

an

allocation

to

six

alternative

AQR

Funds.

Leveraging

AQR’s

research

and

20-year

track

record

in

alternative

investing,

the

Fund

is

designed

to

complement

an

investor’s

traditional

stock

and

bond

portfolio.

The

Fund

invests

in

a

portfolio

of

AQR

Funds,

providing

exposure

to

both

Active

Multi-Asset

strategies

and

Absolute

Return

strategies:

Active

Multi-Asset

Strategies:

seek

to

provide

tactical

and

risk-managed

allocations

among

major

asset

classes

across

global

markets.

These

strategies

are

expected

to

have

some

correlation

to

traditional

asset

classes

over

the

long-term.

Absolute

Return

Strategies:

seek

to

capture

returns

from

well-established

investment

styles,

such

as

Value

and

Momentum.

Certain

strategies

may

also

provide

exposure

to

less

accessible

types

of

returns.

These

strategies

tend

to

be

uncorrelated

to

traditional

asset

classes

over

the

long-term.

Around

two-thirds

of

gains

were

driven

by

the

Absolute

Return

strategies,

whereas

the

Active

Multi-Asset

strategies

explained

the

remaining

third.

Performance

across

the

diverse

set

of

Absolute

Return

strategies

was

mostly

positive.

Gains

were

led

by

the

exposure

to

the

equity

market

neutral,

style

premia

and

diversified

arbitrage

strategies.

The

trend

and

global

macro

strategies

were

virtually

flat.

The

stock

selection

strategy

was

the

dominant

driver

of

returns

for

style

premia,

driven

largely

by

value,

while

the

macro

asset

groups

contributed

more

modestly.

The

equity

market

neutral

strategy

performance

was

in

large

part

attributable

to

value

and

momentum

themes.

Within

the

arbitrage

strategy,

convertible

arbitrage

explained

the

bulk

of

gains.

The

Active

Multi-Asset

strategies

benefitted

from

a

good

year

in

traditional

equity

and

fixed

income

markets,

particularly

towards

the

end

of

the

year.

As

inflation

releases

in

November

and

December

showed

ongoing

moderation

in

price

increases,

major

central

banks

began

to

acknowledge

that

some

easing

in

monetary

policy

might

soon

be

warranted:

a

change

of

narrative

that

fueled

a

rally

in

traditional

asset

classes.

1

Volatility

is

a

statistical

measurement

of

the

dispersion

of

returns

of

a

security

or

fund

or

index,

as

measured

by

the

annualized

standard

deviation

of

its

returns.

Higher

volatility

generally

indicates

higher

risk.

John

Liew

Founding

Principal

Jordan

Brooks

Principal

Andrea

Frazzini

Principal

John

Huss

Principal

Yao

Hua

Ooi

Principal

Bryan

Kelly

Principal

9

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

Funds

|

Annual

Report

|

December

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/R6

shares

are

1.56%,

1.79%

and

1.49%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

DIVERSIFYING

STRATEGIES

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

6/8/2020

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

DIVERSIFYING

STRATEGIES

FUND

1

Year

3

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QDSIX

8.88%

11.38%

11.22%

6/8/2020

Fund

-

Class

N:

QDSNX

8.53%

11.10%

10.95%

6/8/2020

Fund

-

Class

R6:

QDSRX

8.94%

11.51%

11.34%

6/8/2020

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

5.01%

2.15%

1.83%

6/8/2020

Shareholder

Letter

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

10

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Equity

Market

Neutral

Fund

(the

“Fund”)

seeks

to

provide

investors

with

returns

from

potential

gains

of

its

long

and

short

equity

positions.

The

Fund

is

designed

to

be

market,

or

beta-neutral,

meaning

the

Fund

seeks

to

achieve

returns

that

are

not

closely

correlated

with

the

returns

of

the

equity

markets

in

which

the

Fund

invests.

Accordingly,

the

Fund,

on

average,

intends

to

target

a

portfolio

beta

of

zero

over

a

normal

business

cycle.

The

Fund

pursues

its

investment

objective

by

investing

at

least

80%

of

its

net

assets

(including

borrowings

for

investment

purposes)

in

equity

securities

and

equity-related

derivative

instruments.

Since

the

Fund

targets

a

beta

of

zero,

an

appropriate

benchmark

is

U.S.

cash

returns.

In

2023,

the

Fund’s

Class

I

shares

returned

17.13%,

net

of

fees.

The

Fund’s

benchmark

(ICE

BofA

U.S.

3-Month

Treasury

Bill

Index)

delivered

a

return

of

5.01%

over

this

period.

As

such,

the

Fund

outperformed

its

benchmark.

Geographically,

stocks

in

the

U.S.,

Japan,

and

Italy

contributed

to

excess

returns.

At

the

sector

level,

stock

selection

in

Industrials,

Consumer

Discretionary,

and

Financials

drove

gains.

Securities

in

the

Fund

remained

globally

diversified

with

approximately

50%

of

the

Fund

invested

outside

of

the

U.S.

As

of

the

end

of

the

year,

our

largest

sector

overweight

was

in

Financials,

Consumer

Discretionary,

and

Industrials,

while

our

largest

underweight

was

in

Health

Care.

The

Fund

is

intended

to

maintain

neutrality

to

equity

markets,

and

incorporates

constraints

to

limit

exposure

to

macroeconomic

factors.

In

2023,

we

have

seen

a

continuation

of

positive

Value

performance.

Despite

some

month-to-month

volatility,

AQR

Value

had

an

impressive

year

during

a

period

in

which

many

simpler

implementations

of

Value

investing

suffered.

The

other

themes

incorporated

into

the

strategy

contributed

additional

gains.

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

execute

our

strategies

effectively.

The

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

We

believe

that

the

normalization

of

the

extreme

dislocation

seen

over

the

last

few

years

may

continue

to

be

a

tailwind

for

Value

performance.

One

way

in

which

we

can

measure

the

dislocation

observed

in

Value

is

by

looking

at

Value

spreads,

which

measure

the

difference

in

valuation

multiples

between

cheap

and

expensive

companies.

Over

the

last

few

years,

we

have

seen

spreads

move

to

extreme

levels

–

similar

to

those

observed

leading

up

to

the

2000s

Tech

Bubble.

While

the

Fund

realized

strong

outperformance

stemming

from

its

Value-based

investments

in

2023,

we

believe

the

recovery

and

anticipated

performance

benefit

from

Value

is

not

over.

Given

Value

spreads

remain

elevated,

the

Fund's

outlook

remains

strong

heading

into

2024.

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

John

J.

Huss

Principal

Laura

Serban

Principal

11

Shareholder

Letter

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

Funds

|

Annual

Report

|

December

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/R6

shares

are

1.65%,

1.91%

and

1.56%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

EQUITY

MARKET

NEUTRAL

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

10/7/2014

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

EQUITY

MARKET

NEUTRAL

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QMNIX

17.13%

20.58%

4.59%

4.80%

10/7/2014

Fund

-

Class

N:

QMNNX

16.71%

20.28%

4.34%

4.54%

10/7/2014

Fund

-

Class

R6:

QMNRX

17.14%

20.71%

4.67%

4.87%

10/7/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

5.01%

2.15%

1.88%

1.35%

10/7/2014

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

12

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Long-Short

Equity

Fund

(the

“Fund”)

seeks

to

provide

higher

risk-adjusted

returns

with

lower

volatility

relative

to

global

equity

markets.

It

does

so

by

using

three

different

sources

of

return:

1)

the

potential

gains

from

its

long

and

short

equity

positions,

2)

overall

exposure

to

equity

markets,

and

3)

the

tactical

variation

of

its

net

exposure

to

equity

markets.

The

strategy

primarily

seeks

to

add

alpha

via

its

long-

short

(market-neutral)

equity

portfolio,

which

includes

the

use

of

derivatives

such

as

swaps

and

futures.

It

also

manages

its

beta

relative

to

the

MSCI

World

Index

(“MSCI

World”)

to

a

long-term

target

of

0.5,

and

within

a

shorter-term

range

of

0.3

to

0.7,

depending

on

our

market

views.

In

2023,

the

Class

I

shares

of

the

Fund

returned

24.38%,

net

of

fees.

Positive

performance

was

driven

by

the

Fund’s

long-short

stock

selection

component

and

exposure

to

overall

equity

markets.

The

Fund's

custom

benchmark

is

comprised

as

follows:

50%

MSCI

World

Index

and

50%

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index.

In

2023,

the

MSCI

World

Index

returned

23.79%,

the

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

returned

5.01%,

and

the

custom

benchmark

returned

14.35%.

As

such,

the

Fund

outperformed

its

benchmark.

Geographically,

stocks

in

the

U.S.,

Japan,

and

Italy

contributed

to

excess

returns.

At

the

sector

level,

stock

selection

in

Industrials,

Financials,

and

Consumer

Discretionary

drove

gains.

The

Fund

experienced

positive

performance

from

its

static

long-term

beta

exposure

of

0.5

to

the

MSCI

World,

given

the

index’s

strong

returns

in

2023

as

well

as

robust

positive

contributions

from

the

long-short

stock

selection

component.

The

tactical

market

exposure

(the

desired

deviation

from

a

beta

of

0.5)

detracted

from

performance

during

2023.

Securities

in

the

Fund

remained

globally

diversified

with

approximately

50%

of

the

Fund

invested

outside

of

the

U.S.

As

of

the

end

of

the

year,

our

largest

sector

overweight

was

in

Financials

and

Industrials,

while

our

largest

underweight

was

in

Health

Care.

The

Fund

is

structured

to

maintain

some

passive

exposure

to

equity

markets,

while

also

employing

a

long-

short

stock

selection

strategy

intended

to

maintain

neutrality

to

equity

markets.

In

2023,

we

have

seen

a

continuation

of

positive

Value

performance.

Despite

some

month-to-month

volatility,

AQR

Value

had

an

impressive

year

during

a

period

in

which

many

simpler

implementations

of

Value

investing

suffered.

The

other

themes

incorporated

into

the

strategy

contributed

additional

gains.

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

execute

our

strategies

effectively.

The

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

John

J.

Huss

Principal

Laura

Serban

Principal

13

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

December

2023

We

believe

that

the

normalization

of

the

extreme

dislocation

seen

over

the

last

few

years

may

continue

to

be

a

tailwind

for

Value

performance.

One

way

in

which

we

can

measure

the

dislocation

observed

in

Value

is

by

looking

at

Value

spreads,

which

measure

the

difference

in

valuation

multiples

between

cheap

and

expensive

companies.

Over

the

last

few

years,

we

have

seen

spreads

move

to

extreme

levels

–

similar

to

those

observed

leading

up

to

the

2000s

Tech

Bubble.

While

the

Fund

realized

strong

outperformance

stemming

from

its

Value-based

investments

in

2023,

we

believe

the

recovery

and

anticipated

performance

benefit

from

Value

is

not

over.

Given

Value

spreads

remain

elevated,

the

Fund's

outlook

remains

strong

heading

into

2024.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.39%,

1.65%

and

1.30%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

LONG-SHORT

EQUITY

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QLEIX

24.38%*

24.77%

11.09%

9.36%

10.04%

7/16/2013

Fund

-

Class

N:

QLENX

24.02%

24.43%

10.80%

9.07%

9.75%

7/16/2013

Fund

-

Class

R6:

QLERX

24.42%

24.84%

11.19%

N/A

9.24%

9/2/2014

50%

MSCI

World

Index**/50%

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

14.35%

5.05%

7.66%

5.16%

5.48%

7/16/2013

MSCI

World

Index**

23.79%

7.27%

12.80%

8.60%

9.34%

7/16/2013

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

5.01%

2.15%

1.88%

1.25%

1.20%

7/16/2013

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2023

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

14

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

December

2023

AQR

LONG-SHORT

EQUITY

FUND

VS.

50%

MSCI

WORLD

INDEX**/50%

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

OF

$10,000

INVESTED

ON

12/31/2013

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.

15

Shareholder

Letter

(Unaudited)

AQR

MACRO

OPPORTUNITIES

FUND

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Macro

Opportunities

Fund

(the

“Fund”)

invests

across

a

wide

range

of

asset

classes,

including

fixed

income,

currencies,

commodities,

and

equities

through

the

use

of

derivatives

such

as

futures,

forwards,

and

swaps.

Within

each

asset

class,

the

Fund

takes

both

relative

value

and

directional

positions.

The

targeted

annualized

volatility

for

the

Fund

is

10%,

on

average,

which

varies

over

time

based

on

attractiveness

of

opportunities

within

the

different

assets

and

asset

classes

that

the

Fund

trades.

While

the

strategy

is

long-term

market

neutral,

it

can

take

directional

views

over

the

short

term.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

Our

strategy

invests

across

liquid

markets

and

aims

to

capitalize

on

the

tendency

for

markets

to

underreact

to

new

information

and

the

tendency

for

deeply

dislocated

markets

to

converge

towards

fair

value.

The

strategy

capitalizes

on

market

underreaction

by

positioning

based

on

macroeconomic

news

and

trends,

an

investment

approach

we

call

macro

momentum.

We

evaluate

both

quantitative

and

qualitative

indicators

across

a

variety

of

dimensions,

from

growth

and

inflation

to

monetary

policy

and

international

trade.

By

integrating

both

quantitative

and

discretionary

indicators

in

a

bottom-up,

risk-controlled

portfolio

construction,

we

seek

to

capture

what

we

believe

to

be

the

best

features

of

both

approaches

while

maintaining

the

benefits

of

a

systematic

and

disciplined

process.

To

capitalize

on

deeply

dislocated

markets,

the

strategy

monitors

asset

prices

vs.

a

large

set

of

fundamentals

in

200+

markets

across

10,000

total

asset-signal

pairs.

First,

a

systematic

screening

is

utilized

to

filter

the

opportunity

set,

and

then

the

portfolio

management

team

evaluates

the

identified

opportunities

to

filter

out

those

driven

by

a

structural

market

break

or

regime

shift

or

to

filter

out

trades

that

are

substantially

correlated

to

other

deep

value

opportunities.

Risk

is

then

deployed

to

opportunities

that

pass

the

quantitative

screening

and

portfolio

manager

review.

In

addition

to

macro

momentum

and

deep

value,

we

also

consider

other

indicators,

including

measures

of

price

momentum,

value

and

carry.

This

comprehensive

approach

provides

a

more

holistic

picture

of

each

asset’s

attractiveness.

Macro

momentum

and

deep

value

tend

to

drive

asset

positioning

(long

or

short)

in

our

portfolio,

however,

position

direction

and

sizing

will

vary

based

on

the

degree

of

agreement

with

price

momentum,

value

and

carry.

The

bottom-up

portfolio

construction

–

in

which

we

evaluate

the

attractiveness

of

each

asset

across

a

large

number

of

dimensions

–

allows

us

to

build

a

highly-diversified

portfolio

that

does

not

depend

on

a

few

“best

ideas.”

The

Fund

concluded

2023

with

a

slightly

negative

return.

The

Fund’s

Class

I

shares

returned

-0.33%,

net

of

fees,

versus

a

5.01%

return

for

its

benchmark,

the

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index.

By

asset

class,

gross

of

fees,

equity

and

currency

positioning

detracted,

and

fixed

income

and

commodity

positioning

was

profitable.

Further

details

on

asset

class

performance

can

be

found

below.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2023,

the

Fund's

use

of

derivatives

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.

After

a

2022

full

of

inflation-driven

pain

for

fixed

income

and

equity

markets,

2023

was

characterized

by

more

mixed

performance

across

assets.

Price

pressures

demonstrated

clear

signs

of

easing

throughout

the

year

in

most

economies,

though

the

path

lower

was

bumpy.

Economic

activity,

however,

continued

to

defy

expectations

of

a

sharp

slowdown

despite

headwinds

from

a

series

of

regional

bank

defaults

and

rising

tensions

in

the

Middle

East.

This

environment

of

lower

inflation

and

still-strong

economic

activity

proved

particularly

hospitable

to

equities,

with

the

S&P

500®

Index

managing

to

fully

reverse

its

poor

performance

from

the

year

prior.

Fixed

income

markets

ended

the

year

roughly

unchanged

as

falling

inflation

was

offset

by

fears

over

oversupply

in

government

bond

markets

and

a

resilient

economy

leading

to

fears

that

the

inflation

slowdown

may

turn

out

to

be

short-lived.

Equities

The

Fund

was

generally

short

equities,

which

detracted

as

markets

celebrated

cooling

inflation.

The

short

position

was

driven

by

agreement

across

factor

types.

Within

macro

momentum,

the

Fund’s

monetary

policy

indicators

were

especially

bearish

equities.

Relative

value

positioning

within

equities

also

detracted.

Losses

were

shared

across

U.S.

equity

index

positioning

and

trades

on

convergence

of

deep

value

dislocations

in

developed

markets.

John

Liew

Founding

Principal

Jordan

Brooks

Principal

Yao

Hua

Ooi

Principal

Jonathan

Fader

Managing

Director

Erik

Stamelos

Managing

Director

16

Shareholder

Letter

(Unaudited)

AQR

MACRO

OPPORTUNITIES

FUND

AQR

Funds

|

Annual

Report

|

December

2023

Fixed

Income

Within

fixed

income,

gains

primarily

came

from

discretionary

positioning

based

on

macro

momentum

indicators.

For

instance,

the

Fund

profited

on

bullish

fixed

income

views

in

the

fourth

quarter.

Bond

yields

fell

throughout

November

and

December

after

the

Treasury

Department’s

unexpected

decision

to

tilt

away

from

issuance

of

longer-dated

Treasuries

in

favor

of

shorter

maturities

and

in

response

to

soft

manufacturing

and

services

data

that

undershot

consensus

forecasts.

Currencies

Currencies

detracted,

primarily

due

to

losses

from

trades

betting

on

the

convergence

of

deep

value

dislocations.

Across

these

trades,

losses

spanned

developed

and

emerging

markets.

The

biggest

detractors

in

developed

and

emerging

markets

were

long

JPY

vs

USD

and

long

CLP

vs

MXN,

respectively.

Profitable

positioning

within

emerging

currency

selection

such

as

a

bearish

view

on

the

KRW

offset

some

of

the

deep

value

losses.

Commodities

Commodities

contributed,

with

gains

primarily

driven

by

intra-sector

relative

value

strategies.

The

most

notable

contributors

were

within

agricultural

and

within

energy

commodity

views.

Within

agricultural

commodity

views

profited

from

positioning

in

corn,

wheat,

soybeans,

and

soy

products.

Within

energy

commodity

views

profited

from

positioning

in

West

Texas

Intermediate

(WTI)

and

heating

oil.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.01%,

2.31%

and

2.01%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

MACRO

OPPORTUNITIES

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QGMIX

-0.33%

7.15%

5.57%

3.39%

4/8/2014

Fund

-

Class

N:

QGMNX

-0.55%

6.85%

5.32%

3.14%

4/8/2014

Fund

-

Class

R6:

QGMRX

-0.25%

7.21%

5.67%

3.93%

9/2/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

5.01%

2.15%

1.88%

1.28%

4/8/2014

17

Shareholder

Letter

(Unaudited)

AQR

MACRO

OPPORTUNITIES

FUND

AQR

Funds

|

Annual

Report

|

December

2023

AQR

MACRO

OPPORTUNITIES

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

4/8/2014

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

18

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Managed

Futures

Strategy

Fund

(the

“Fund”)

actively

invests

in

futures,

futures-related

instruments,

forward

and

swap

contracts,

both

long

and

short,

across

global

equity,

fixed

income,

commodity,

and

currency

markets.

The

Fund

uses

both

short-term

and

long-term

price-based

trend-following

signals

as

well

as

non-price

measures

of

trend-following

to

attempt

to

benefit

from

price

trends

in

equity,

fixed

income,

credit,

commodity,

currency

and

volatility

related

instruments.

Trend-following

aims

to

go

long

markets

with

favorable

trends

and

short

markets

with

unfavorable

trends.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

That

said,

the

strategy

is

expected

to

exhibit

a

positive

beta

when

equity

markets

have

been

rising

and

a

negative

beta

when

they

have

been

falling.

The

strategy’s

average

annualized

volatility

target

is

10%,

which

we

allow

to

vary

based

on

our

portfolio

construction

and

risk

management

process.

The

Fund

entered

the

year

targeting

10.2%

volatility

and

ended

the

year

with

a

volatility

target

of

9.6%.

After

a

record

performance

year

in

2022,

the

Fund’s

Class

I

shares

returned

1.80%,

net

of

fees,

versus

a

5.01%

return

for

its

benchmark,

the

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index.

By

asset

class,

gross

of

fees,

commodities

contributed

2.1%,

fixed

income

1.0%,

while

equities

detracted

-1.8%,

and

currencies

-0.7%.

Additionally,

alternative

markets,

particularly

non-index

commodities,

yield-curves,

and

equity

factors,

contributed

2.5%.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2023,

the

Fund's

use

of

derivatives

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.

By

signal

type,

the

Fund

generated

gains

from

non-price

signals,

which

look

to

measure

trends

in

economic

fundamentals

to

better

identify

price

trend

opportunities.

Non-price

signals

contributed

2.2%

to

returns,

followed

by

long-term

price

trend

signals,

which

contributed

0.6%,

and

short-term

price

trend

signals,

which

contributed

0.4%

to

return.

In

2023,

market

conditions

proved

difficult

for

trend-following.

After

large

declines

in

stock

and

bond

markets

in

2022,

markets

reversed

course

multiple

times

over

the

course

of

2023.

Reversals,

being

the

opposite

of

trends,

are

normally

the

cause

of

difficult

returns

for

trend-following

strategies.

The

reversals

were

caused

by

shifting

market

expectations

around

inflation,

monetary

policy

and

growth

among

other

factors.

For

example,

early

in

the

year,

the

news

surrounding

Silicon

Valley

Bank’s

collapse

prompted

a

precipitous

fall

in

interest

rates.

As

the

banking

crisis

remained

fairly

isolated,

interest

rate

markets

reversed

again

and

rates

marched

significantly

higher,

with

U.S.

10-Year

Treasury

yields

reaching

5%

in

October.

Equities

fell

meaningfully

in

response.

However,

later

in

the

year,

with

news

of

inflation

falling

more

than

expected

across

major

economies,

interest

rates

staged

another

precipitous

decline

and

equities

surged.

While

the

environment

was

challenging

for

trend-following

strategies,

the

Fund

generated

positive

returns.

This

was

accomplished

because

the

innovations

made

at

the

start

of

2022

allowed

the

Fund

to

benefit

from

trends

which

were

sustained

and

less

impacted

by

these

broader

macro

reversals.

Examples

of

these

innovations

included

positive

returns

from

alternative

markets,

such

as

non-index

commodities

and

yield-

curves.

Fundamental

trend

signals

benefited

mainly

from

bearish

views

maintained

in

commodity

markets.

Finally,

the

Fund

directly

benefits

from

high

interest

rates,

as

a

significant

portion

of

the

Fund’s

capital

is

invested

in

short-term

interest-bearing

instruments.

With

the

current

Federal

Funds

rate

now

at

up

to

5.5%,

the

unencumbered

cash

in

the

portfolio

produced

meaningfully

positive

returns.

Over

the

past

two

years,

as

high

inflation

spread

across

the

world,

traditional

markets

experienced

muted

performance.

The

Fund,

on

the

other

hand,

produced

a

record

year

in

2022,

and

preserved

gains

in

2023,

generating

17.40%,

annualized

and

net

of

fees,

over

the

two-year

period.

This

highlights

the

important

strategic

benefits

of

the

Fund's

strategy,

and

more

generally,

the

power

of

true

diversification

in

the

context

of

traditional

asset

allocations.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Jordan

Brooks

Principal

Yao

Hua

Ooi

Principal

Erik

Stamelos

Managing

Director

19

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2023

In

2023,

the

Fund

outperformed

the

industry

as

gauged

by

the

SG

Trend

Index,

which

had

negative

performance

for

the

year.

Relative

outperformance

was

mainly

due

to

the

upweighting

of

more

innovative

non-price

signals,

as

well

as

due

to

newer

markets

added

to

the

Fund

late

in

2021

and

throughout

2022.

The

Fund

is

pursuing

an

active

research

agenda

to

continue

to

improve

its

ability

to

benefit

from

market

trends.

Diversification

does

not

eliminate

the

risk

of

experiencing

investment

loss.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.28%,

1.54%

and

1.20%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

MANAGED

FUTURES

STRATEGY

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

MANAGED

FUTURES

STRATEGY

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AQMIX

1.80%

10.89%

6.72%

2.50%

2.55%

1/5/2010

Fund

-

Class

N:

AQMNX

1.64%

10.65%

6.46%

2.23%

2.29%

1/5/2010

Fund

-

Class

R6:

AQMRX

2.02%

11.02%

6.84%

N/A

3.10%

9/2/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

5.01%

2.15%

1.88%

1.25%

0.92%

1/5/2010

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

20

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Managed

Futures

Strategy

HV

Fund

(the

“Fund”)

actively

invests

in

futures,

futures-related

instruments,

forward

and

swap

contracts,

both

long

and

short,

across

global

equity,

fixed

income,

commodity,

and

currency

markets.

The

Fund

uses

both

short-term

and

long-term

price-based

trend-following

signals

as

well

as

non-price

measures

of

trend-following

to

attempt

to

benefit

from

price

trends

in

equity,

fixed

income,

credit,

commodity,

currency

and

volatility

related

instruments.

Trend-following

aims

to

go

long

markets

with

favorable

trends

and

short

markets

with

unfavorable

trends.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

That

said,

the

strategy

is

expected

to

exhibit

a

positive

beta

when

equity

markets

have

been

rising

and

a

negative

beta

when

they

have

been

falling.

The

strategy’s

average

annualized

volatility

target

is

10%,

which

we

allow

to

vary

based

on

our

portfolio

construction

and

risk

management

process.

The

Fund

entered

the

year

targeting

15%

volatility

and

ended

the

year

with

a

volatility

target

of

14.5%.

After

a

record

performance

year

in

2022,

the

Fund’s

Class

I

shares

returned

-0.58%,

net

of

fees,

versus

a

5.01%

return

for

its

benchmark,

the

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index.

By

asset

class,

gross

of

fees,

commodities

contributed

2.3%,

fixed

income

1.0%,

while

equities

detracted

-3.1%,

and

currencies

-1.9%.

Additionally,

alternative

markets,

particularly

non-index

commodities,

yield-curves,

and

equity

factors,

contributed

2.9%.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2023,

the

Fund's

use

of

derivatives

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.

By

signal

type,

the

Fund

generated

gains

from

non-price

signals,

which

look

to

measure

trends

in

economic

fundamentals

to

better

identify

price

trend

opportunities.

Non-price

signals

contributed

1.2%

to

returns,

while

price

trend

signals

had

modest

overall

impact.

In

2023,

market

conditions

proved

difficult

for

trend-following.

After

large

declines

in

stock

and

bond

markets

in

2022,

markets

reversed

course

multiple

times

over

the

course

of

2023.

Reversals,

being

the

opposite

of

trends,

are

normally

the

cause

of

difficult

returns

for

trend-following

strategies.

The

reversals

were

caused

by

shifting

market

expectations

around

inflation,

monetary

policy

and

growth

among

other

factors.

For

example,

early

in

the

year,

the

news

surrounding

Silicon

Valley

Bank’s

collapse

prompted

a

precipitous

fall

in

interest

rates.

As

the

banking

crisis

remained

fairly

isolated,

interest

rate

markets

reversed

again

and

rates

marched

significantly

higher,

with

U.S.

10-Year

Treasury

yields

reaching

5%

in

October.

Equities

fell

meaningfully

in

response.

However,

later

in

the

year,

with

news

of

inflation

falling

more

than

expected

across

major

economies,

interest

rates

staged

another

precipitous

decline

and

equities

surged.

While

the

environment

was

challenging

for

trend-following

strategies,

the

Fund

generated

near-flat

returns.

This

resulted

from

the

innovations

made

at

the

start

of

2022

that

allowed

the

Fund

to

benefit

from

trends

which

were

sustained

and

less

impacted

by

these

broader

macro

reversals.

Examples

of

these

innovations

included

positive

returns

from

alternative

markets,

such

as

non-index

commodities

and

yield-curves.

Fundamental

trend

signals

benefited

mainly

from

bearish

views

maintained

in

commodity

markets.

Finally,

the

Fund

directly

benefits

from

high

interest

rates,

as

a

significant

portion

of

the

Fund’s

capital

is

invested

in

short-term

interest-bearing

instruments.

With

the

current

Federal

Funds

rate

now

at

up

to

5.5%,

the

unencumbered

cash

in

the

portfolio

produced

meaningfully

positive

returns.

Over

the

past

two

years,

as

high

inflation

spread

across

the

world,

traditional

markets

experienced

muted

performance.

The

Fund,

on

the

other

hand,

produced

a

record

year

in

2022,

and

preserved

gains

in

2023,

generating

22.12%,

annualized

and

net

of

fees,

over

the

two-year

period.

This

highlights

the

important

strategic

benefits

of

the

Fund's

strategy,

and

more

generally,

the

power

of

true

diversification

in

the

context

of

traditional

asset

allocations.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Jordan

Brooks

Principal

Yao

Hua

Ooi

Principal

Erik

Stamelos

Managing

Director

21

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

AQR

Funds

|

Annual

Report

|

December

2023

In

2023,

the

Fund

outperformed

the

industry

as

gauged

by

the

SG

Trend

Index,

which

had

negative

performance

for

the

year.

Relative

outperformance

was

mainly

due

to

the

upweighting

of

more

innovative

non-price

signals,

as

well

as

due

to

newer

markets

added

to

the

Fund

late

in

2021

and

throughout

2022.

The

Fund

is

pursuing

an

active

research

agenda

to

continue

to

improve

its

ability

to

benefit

from

market

trends.

Diversification

does

not

eliminate

the

risk

of

experiencing

investment

loss.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.89%,

2.13%

and

1.80%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QMHIX

-0.58%

13.44%

8.11%

2.41%

3.07%

7/16/2013

Fund

-

Class

N:

QMHNX

-0.81%

13.14%

7.85%

2.15%

2.81%

7/16/2013

Fund

-

Class

R6:

QMHRX

-0.34%

13.59%

8.25%

N/A

3.19%

9/2/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

5.01%

2.15%

1.88%

1.25%

1.20%

7/16/2013

Shareholder

Letter

(Unaudited)

AQR

MULTI-ASSET

FUND

22

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

For

the

year

ended

December

31,

2023,

the

AQR

Multi-Asset

Fund

(the

“Fund”)

Class

I

shares

returned

11.13%,

net

of

fees,

and

realized

an

annualized

volatility

of

8.1%.

The

Fund's

benchmark

(the

“Benchmark”)

is

comprised

as

follows:

60%

S&P

500®

Index

and

40%

Bloomberg

Barclays®

U.S.

Aggregate

Bond

Index.

For

the

year

ended

December

31,

2023,

the

S&P

500®

Index

returned

26.29%,

the

Bloomberg

Barclays®

U.S.

Aggregate

Bond

Index

returned

5.53%,

and

the

Benchmark

returned

17.67%

with

an

annualized

volatility

of

8.7%.

The

Fund’s

net

assets

across

all

share

classes

were

over

$262

million

at

the

end

of

2023.

Using

derivatives

such

as

futures,

swaps,

and

forwards,

as

well

as

securities,

the

Fund

invests

across

a

wide

variety

of

global

markets

—

including,

during

the

period

presented

in

this

report,

developed

market

equities,

developed

and

emerging

market

currencies,

global

developed

nominal

government

bonds,

global

developed

inflation-linked

government

bonds,

and

commodities

—

in

an

attempt

to

build

a

truly

diversified

portfolio

where

all

markets

matter,

but

no

one

market

matters

too

much.

The

Fund’s

gains

stemmed

mainly

from

equity

exposures,

while

exposure

to

commodities,

nominal

bonds,

and

inflation-linked

bonds

slightly

detracted

and

currency

exposure

was

flat

for

performance.

Active

asset

allocation

detracted

from

performance,

while

security

selection

benefited

the

portfolio

over

the

year.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2023,

the

Fund's

use

of

derivatives

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.

After

a

2022

full

of

inflation-driven

pain

for

fixed

income

and

equity

markets,

2023

was

characterized

by

more

mixed

performance

across

assets.

Price

pressures

demonstrated

clear

signs

of

easing

throughout

the

year

in

most

economies,

though

the

path

lower

was

bumpy.

Economic

activity,

however,

continued

to

defy

expectations

of

a

sharp

slowdown

despite

headwinds

from

a

series

of

regional

bank

defaults

and

rising

tensions

in

the

Middle

East.

This

environment

of

lower

inflation

and

still-strong

economic

activity

proved

particularly

hospitable

to

equities,

with

the

S&P

500®

Index

managing

to

fully

reverse

its

poor

performance

from

the

year

prior.

Fixed

income

markets

ended

the

year

roughly

unchanged

as

falling

inflation

was

offset

by

fears

over

oversupply

in

government

bond

markets

and

a

resilient

economy

leading

to

fears

that

the

inflation

slowdown

may

turn

out

to

be

short-lived.

The

Fund

seeks

to

allocate

among

asset

classes

in

a

way

that

avoids

excessive

risk

exposure

to

any

single

asset

class

or

risk

premium,

which

means

that

instruments

with

less

risk

will

generally

be

allocated

more

capital

than

instruments

that

are

deemed

riskier.

As

markets

move

through

different

risk

regimes,

the

portfolio

is

dynamically

adjusted

with

the

goal

of

keeping

overall

portfolio

risk

and

the

balance

of

risk

across

asset

classes

steady

through

time.

We

believe

this

leads

to

more

consistent

results

across

macroeconomic

environments,

reduces

tail

risks,

and

enables

investors

to

remain

invested

through

difficult

market

environments.

In

addition,

we

also

adjust

position

sizes

to

seek

to

capture

the

opportunity

set

within

and

across

asset

classes

based

on

AQR’s

proprietary

expected

return

models.

The

ultimate

goal

is

to

build

a

portfolio

that,

in

the

long

run,

will

deliver

higher

returns

at

a

risk

level

similar

to

that

of

traditional

portfolios

by

combining

a

risk-based

asset

allocation

with

return-enhancing

active

views.

The

Fund

is

generally

expected

to

remain

net

long

the

asset

classes

in

which

it

invests

but

does

allow

for

a

limited

amount

of

shorting.

The

targeted

annualized

volatility

for

the

Fund

is

expected

to

vary

over

time

based

on

our

perceptions

of

the

opportunity

sets

within

the

different

asset

classes

we

trade

but

generally

remain

between

7%

and

13%.

At

the

end

of

the

year,

the

Fund

had

bullish

views

on

equities

and

emerging

currencies,

close

to

neutral

views

on

nominal

bonds

and

commodities,

and

bearish

views

on

inflation-linked

bonds.

Total

exposures

ended

the

year

near

longer-term

expectations

as

forecasted

risk

levels

returned

closer

to

historical

averages

from

elevated

levels

in

2022.

Jon

Liew

Founding

Principal

Jordan

Brooks

Principal

Andrea

Frazzini

Principal

John

Huss

Principal

Michael

Mendelson

Principal

Yao

Hua

Ooi

Principal

23

Shareholder

Letter

(Unaudited)

AQR

MULTI-ASSET

FUND

AQR

Funds

|

Annual

Report

|

December

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/R6

shares

are

1.20%,

1.45%

and

1.10%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

MULTI-ASSET

FUND

VS.60%S&P

500®

INDEX/40%

BLOOMBERG

BARCLAYS®

U.S.

AGGREGATE

BOND

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

MULTI-ASSET

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AQRIX

11.13%

4.37%

7.16%

5.18%

5.66%

9/29/2010

Fund

-

Class

N:

AQRNX

10.91%

4.15%

6.90%

4.91%

5.39%

9/29/2010

Fund

-

Class

R6:

AQRRX

11.25%

4.48%

7.26%

N/A

4.42%

9/2/2014

60%S&P

500®

Index/40%

Bloomberg

Barclays®

U.S.

Aggregate

Bond

Index

17.67%

4.71%

9.98%

8.09%

9.04%

9/29/2010

S&P

500®

Index

26.29%

10.00%

15.69%

12.03%

13.55%

9/29/2010

Bloomberg

Barclays®

U.S.

Aggregate

Bond

Index

5.53%

-3.31%

1.10%

1.81%

2.00%

9/29/2010

Shareholder

Letter

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

24

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Risk-Balanced

Commodities

Fund

(the

“Fund”)

Class

I

shares

returned

-0.23%,

net

of

fees,

in

2023.

The

Fund

obtains

exposure

to

individual

commodities

and

sectors

by

investing

in

commodity-linked

derivative

instruments,

such

as

swaps

and

futures.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2023,

the

Fund's

use

of

derivatives

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

Fund’s

core

allocation

of

risk

is

to

a

strategic

long-only

commodity

portfolio,

which

balances

risk

across

commodity

sectors.

The

strategic

portion

of

the

Fund

detracted

an

estimated

-4.4%,

gross

of

fees,

during

the

year.

Within

this,

large

declines

in

agricultural,

natural

gas

and

power

markets

were

among

the

largest

detractors.

The

Fund

also

employs

a

tactical

strategy,

which

takes

active

views

in

individual

commodities

and

sectors.

The

tactical

strategy

contributed

an

estimated

4.2%,

gross

of

fees,

with

strong

gains

across

agricultural

and

energy

sub-strategies.

The

tactical

strategy

employs

both

cross

sectional

as

well

as

directional

strategies,

and

both

contributed

to

returns.

The

Fund

began

the

year

targeting

an

estimated

volatility

of

18.8%

and

ended

the

year

targeting

16.0%.

Any

variation

in

targeted

volatility

will

mainly

be

driven

by

variation

in

risk

driven

by

the

tactical

views.

The

Fund

outperformed

its

benchmark,

the

Bloomberg

Commodity

Total

Return

Index

SM

(“BCOM”),

by

7.68%,

as

the

BCOM

returned

-7.91%

on

the

year.

The

Fund

has

also

meaningfully

outperformed

over

the

trailing

three-year

period

(19.14%

versus

10.76%,

annualized)

and

since

inception

(2.23%

versus

-1.86%,

annualized).

Note

that,

while

we

use

the

BCOM

as

a

benchmark,

we

do

not

aim

to

replicate

it.

The

Fund’s

construction

is

sufficiently

different,

and

we

expect

a

difference

in

the

performance

of

the

Fund

and

the

benchmark.

Specifically,

we

expect

the

magnitude

of

performance

differences

to

be

approximately

10%

per

year

on

average,

in

either

direction.

The

outperformance

in

2023

relative

to

the

benchmark

was

mainly

due

to

the

strong

returns

of

the

tactical

strategy.

Cross-sectional

strategies

performed

well

during

the

year.

Within

those,

agricultural

commodities

provided

the

most

significant

gains

with

successful

relative

positioning

between

corn,

wheat

and

soybean

(and

related)

contracts.

Additional

gains

came

from

energies,

trading

relative

positions

in

West

Texas

Intermediate

(WTI),

Brent

crude

oil,

heating

oil,

gas

oil

and

unleaded

gasoline

contracts.

Directional

strategies

also

benefited

as

tactical

net

shorts

in

agricultural,

natural

gas,

power

and

base

metals

contracts

added

to

gains.

The

Fund’s

strategically

balanced

core

portfolio

outperformed

the

BCOM

due

to

the

latter’s

smaller

weight

to

softs

and

larger

weight

to

energies,

and

within

the

sector

to

natural

gas

markets.

This

added

to

outperformance

contributed

by

the

tactical

strategy.

At

AQR,

we

employ

a

variety

of

methods

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis,

including

risk

controls

and

independent

risk

monitoring.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

higher

levels

of

market

and

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

over

the

last

year,

as

with

other

past

volatile

and

uncertain

periods,

we

have

been

able

to

successfully

make

the

necessary

adjustments

to

implement

our

strategies

in

accordance

with

stated

objectives.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Jordan

Brooks

Principal

Yao

Hua

Ooi

Principal

Eric

Stamelos

Managing

Director

25

Shareholder

Letter

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

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/R6

shares

are

1.07%,

1.33%

and

0.99%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

The

recent

growth

in

the

stock

market

has

helped

to

produce

short-term

returns

for

some

asset

classes

that

are

not

typical

and

may

not

continue

in

the

future.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

VS.

BLOOMBERG

COMMODITY

TOTAL

RETURN

INDEX

SM

VALUE

OF

$10,000

INVESTED

ON

12/31/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ARCIX

-0.23%

19.14%

16.66%

4.51%

2.23%

7/9/2012

Fund

-

Class

N:

ARCNX

-0.51%

18.82%

16.37%

4.23%

1.97%

7/9/2012

Fund

-

Class

R6:

QRCRX

-0.16%

19.26%

16.77%

N/A

4.52%

9/2/2014

Bloomberg

Commodity

Total

Return

Index

SM

-7.91%

10.76%

7.23%

-1.11%

-1.86%

7/9/2012

Shareholder

Letter

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

26

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Style

Premia

Alternative

Fund

(the

“Fund”)

returned

12.81%,

net

of

fees,

(Class

I

shares)

in

2023.

For

the

year

ended

December

31,

2023,

the

Fund

realized

15.2%

annualized

daily

volatility

and

a

0.0

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index,

which

is

the

Fund’s

benchmark,

returned

5.01%

over

this

period.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2023,

the

Fund's

use

of

derivatives

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

Fund

invests

in

five

different

asset

groups,

using

derivatives

such

as

futures

and

swaps:

equities

of

major

developed

and

emerging

markets,

country-specific

equity

indices,

bonds

and

interest

rates,

currencies,

and

commodities.

The

Fund

employs

market-neutral,

long-short

strategies

across

these

asset

groups

based

on

four

investment

styles:

Value

-

The

tendency

for

cheap

assets

to

outperform

expensive

ones

Momentum

-

The

tendency

for

an

asset’s

recent

relative

performance

to

continue

in

the

future

Carry

-

The

tendency

for

higher-yielding

assets

to

provide

higher

returns

than

lower-yielding

assets

Defensive

-

The

tendency

for

lower-risk

and

higher-quality

assets

to

generate

higher

risk-adjusted

returns

Gains

were

almost

entirely

driven

by

the

Stocks

and

Industries

(“Stocks”)

asset

group,

with

Value

being

the

dominant

driver

of

performance.

Equity

Indices,

Currencies

and

Fixed

Income

also

contributed

positively,

but

to

a

lesser

extent.

The

Commodities

asset

group

was

moderately

down.

Within

Stocks,

Value

was

the

style

that

had

the

strongest

contribution

to

performance,

followed

by

Defensive,

while

Momentum

slightly

detracted.

Value,

Momentum

and

Defensive

drove

gains

in

Equity

Indices.

Currencies

saw

its

gains

come

from

Carry.

In

Fixed

Income,

Value,

Defensive

and

Carry

had

positive

contributions,

partially

offset

by

losses

from

Momentum.

Losses

in

Commodities

were

Momentum-

driven,

while

Carry

provided

some

offsetting

gains.

This

year’s

Stocks

Value

gains

are

a

continuation

in

the

style’s

recovery

that

began

towards

the

end

of

2020.

Even

after

their

sustained

recovery,

Value

stocks

remain

cheap

relative

to

their

historical

median.

Hence,

we

retain

the

overweight

to

the

style,

as

we

still

see

it

as

an

attractive

opportunity,

albeit

less

attractive

than

a

year

ago.

Consequently,

the

tactical

overweight

has

been

reduced

and

we

expect

to

gradually

reduce

it

as

the

spread

between

cheap

and

expensive

stocks

continues

to

converge

to

its

historical

median.

Cliff

Asness

Managing

&

Founding

Principal

Jordan

Brooks

Principal

Andrea

Frazzini

Principal

John

Huss

Principal

Yao

Hua

Ooi

Principal

27

Shareholder

Letter

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

Funds

|

Annual

Report

|

December

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/R6

shares

are

1.67%,

1.94%

and

1.59%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

The

recent

growth

in

the

stock

market

has

helped

to

produce

short-term

returns

for

some

asset

classes

that

are

not

typical

and

may

not

continue

in

the

future.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

VS.

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2023

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QSPIX

12.81%

22.53%

5.67%

4.54%

4.88%

10/30/2013

Fund

-

Class

N:

QSPNX

12.49%

22.21%

5.42%

4.28%

4.61%

10/30/2013

Fund

-

Class

R6:

QSPRX

12.84%

22.66%

5.78%

N/A

4.59%

9/2/2014

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

5.01%

2.15%

1.88%

1.25%

1.23%

10/30/2013

Shareholder

Letter

(Unaudited)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

28

AQR

Funds

|

Annual

Report

|

December

2023

Dear

Shareholder:

The

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

(the

“Fund”)

invests

long

and

short

across

global

equity

markets,

integrating

certain

Environmental,

Social,

and

Governance

(“ESG”)

considerations

into

its

security

selection

and

portfolio

construction

processes

and

seeks

to

hedge

climate

risks.

The

resulting

portfolio

may

allow

investors

to

capitalize

on

diversifying

return

potential

from

an

alternative

strategy

while

seeking

to

invest

responsibly.

In

2023,

the

Class

I

shares

of

the

Fund

returned

23.56%,

net

of

fees.

Positive

performance

was

driven

by

the

Fund’s

long-short

stock

selection

component

and

exposure

to

overall

equity

markets.

The

Fund's

custom

benchmark

is

comprised

as

follows:

50%

MSCI

World

Index

and

50%

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index.

In

2023,

the

MSCI

World

Index

returned

23.79%,

the

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

returned

5.01%,

and

the

custom

benchmark

returned

14.35%.

As

such,

the

Fund

outperformed

its

benchmark.

Geographically,

stocks

in

Japan

and

the

U.S.

contributed

to

excess

returns.

At

the

sector

level,

stock

selection

within

Industrials,

Financials,

and

Consumer

Discretionary

drove

gains.

The

Fund

experienced

positive

performance

from

its

long-term

beta

exposure

of

0.5

to

the

MSCI

World,

given

the

index’s

strong

returns

in

2023,

as

well

as

robust

positive

contributions

from

the

long-short

stock

selection

component.

Securities

in

the

Fund

remained

globally

diversified

with

approximately

50%

of

the

Fund

invested

outside

of

the

U.S.

As

of

the

end

of

the

year,

our

largest

sector

overweight

was

in

Financials

and

Information

Technology,

while

our

largest

underweight

was

in

Utilities.

Additionally,

the

Fund’s

characteristics

were

consistent

with

its

incorporation

of

sustainability

criteria.

For

example,

when

comparing

the

portfolio

carbon

intensity

(net

emissions

per

$1

million

in

sale),

carbon

footprint

(net

carbon

tonnage

per

$1

million

invested),

and

overall

fossil

fuel

exposure

(net

carbon

reserves

or

exposure

to

material

revenue

resulting

from

thermal

coal

or

tar

sands,

as

a

percentage

of

NAV),

to

that

of

the

MSCI

World

Index,

the

net

exposure

to

each

in

the

Fund

was

meaningfully

below

the

index

and

was

in

fact

below

zero.

In

2023,

we

have

seen

a

continuation

of

positive

Value

performance.

Despite

some

month-to-month

volatility,

AQR

Value

had

an

impressive

year

during

a

period

in

which

many

simpler

implementations

of

Value

investing

suffered.

The

other

themes

incorporated

into

the

strategy

contributed

additional

gains.

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

execute

our

strategies

effectively.

The

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

We

believe

that

the

normalization

of

the

extreme

dislocation

seen

over

the

last

few

years

may

continue

to

be

a

tailwind

for

Value

performance.

One

way

in

which

we

can

measure

the

dislocation

observed

in

Value

is

by

looking

at

Value

spreads,

which

measure

the

difference

in

valuation

multiples

between

cheap

and

expensive

companies.

Over

the

last

few

years,

we

have

seen

spreads

move

to

extreme

levels

–

similar

to

those

observed

leading

up

to

the

2000s

Tech

Bubble.

While

the

Fund

realized

strong

outperformance

stemming

from

its

Value-based

investments

in

2023,

we

believe

the

recovery

and

anticipated

performance

benefit

from

Value

is

not

over.

Given

Value

spreads

remain

elevated,

the

Fund's

outlook

remains

strong

heading

into

2024.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

John

Huss

Principal

29

Shareholder

Letter

(Unaudited)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

AQR

Funds

|

Annual

Report

|

December

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/R6

shares

are

2.93%,

3.14%

and

3.43%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

VS.

50%

MSCI

WORLD

INDEX**/50%

ICE

BofA

U.S.

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/16/2021

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

12/31/2023

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

1

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QNZIX

23.56%

19.48%

12/16/2021

Fund

-

Class

N:

QNZNX

23.27%

19.18%

12/16/2021

Fund

-

Class

R6:

QNZRX

23.64%

19.60%

12/16/2021

50%

MSCI

World

Index**/50%

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

14.35%

2.87%

12/16/2021

MSCI

World

Index**

23.79%

1.67%

12/16/2021

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

5.01%

3.16%

12/16/2021

30

Shareholder

Letter

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2023

DEFINITIONS:

Beta:

The

measure

of

the

volatility,

or

systematic

risk,

of

a

security

or

portfolio

compared

to

the

market

as

a

whole.

Bloomberg

Barclays

®

U.S.

Aggregate

Bond

Index:

is

a

market-weighted

index

comprised

of

investment

grade

corporate

bonds

(rated

BBB

or

better),

mortgages

and

U.S.

Treasury

and

government

agency

issues

with

at

least

one

year

to

maturity.

Bloomberg

Commodity

Total

Return

Index

SM

:

is

a

broad-based

index

used

to

represent

the

most

frequently-traded

global

commodity

futures.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

Correlation

:

A

statistic

that

measures

the

degree

to

which

two

securities

move

in

relation

to

each

other.

I

CE

BofA

U.S.

3-Month

Treasury

Bill

Index:

is

designed

to

measure

the

performance

of

high-quality

short-term

cash-equivalent

investments.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

MSCI

World

Index:

is

a

free

float-adjusted

market

capitalization

index

that

is

designed

to

measure

the

performance

of

equities

in

developed

markets,

including

the

United

States

and

Canada.

S&P

500

®

Index

:

is

a

capitalization

weighted

index

designed

to

measure

performance

of

the

broad

domestic

economy

through

changes

in

the

aggregate

market

value

of

500

stocks

representing

all

major

industries.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

SG

Trend

Index

:

is

designed

to

track

the

10

largest

(by

AUM)

trend

following

Commodity

Trading

Advisors

(“CTAs”)

and

be

representative

of

the

trend

followers

in

the

managed

futures

space.

Indexes

are

unmanaged

and

one

cannot

invest

directly

an

index.

Sharp

e

Ratio:

Excess

return

of

the

portfolio,

relative

to

the

risk-free

rate,

divided

by

the

standard

deviation

of

the

portfolio's

excess

returns.

31

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

283.4%

COMMON

STOCKS

-

226.3%

Australia

-

7.2%

Allkem

Ltd.

(2)*

26,369

179,112

ANZ

Group

Holdings

Ltd.

(2)(a)

38,932

687,852

Aristocrat

Leisure

Ltd.

(2)(a)

25,438

706,757

Aurizon

Holdings

Ltd.

(2)(a)

55,416

143,469

BHP

Group

Ltd.

(2)(a)

25,809

881,755

BlueScope

Steel

Ltd.

(2)(a)

85,923

1,369,825

Brambles

Ltd.

(2)(a)

59,426

550,813

Coles

Group

Ltd.

(2)(a)

3,350

36,800

Computershare

Ltd.

(2)(a)

4,566

76,048

Fortescue

Ltd.

(2)(a)

16,256

320,525

Harvey

Norman

Holdings

Ltd.

(2)(a)

131,956

377,801

Incitec

Pivot

Ltd.

(2)(a)

52,805

102,276

JB

Hi-Fi

Ltd.

(2)(a)

29,470

1,065,015

Lendlease

Corp.

Ltd.

(2)(a)

79,398

404,167

Medibank

Pvt

Ltd.

(2)(a)

19,037

46,217

Northern

Star

Resources

Ltd.

(2)(a)

36,104

334,977

Orica

Ltd.

(2)(a)

8,650

94,028

Origin

Energy

Ltd.

(2)(a)

67,661

390,451

Pilbara

Minerals

Ltd.

(2)(a)

49,574

133,063

Pro

Medicus

Ltd.

(2)(a)

4,627

301,930

Qantas

Airways

Ltd.

(2)*(a)

10,264

37,597

QBE

Insurance

Group

Ltd.

(2)(a)

29,093

294,788

Qube

Holdings

Ltd.

(2)(a)

139,891

309,313

Santos

Ltd.

(2)(a)

29,950

155,725

South32

Ltd.

(2)(a)

161,459

365,162

Suncorp

Group

Ltd.

(2)(a)

24,178

228,950

Tabcorp

Holdings

Ltd.

(2)(a)

29,182

16,617

Telstra

Group

Ltd.

(2)(a)

138,563

374,436

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(2)(a)

2,911

65,031

Wesfarmers

Ltd.

(2)(a)

24,234

942,434

Westpac

Banking

Corp.

(2)(a)

43,302

675,619

Whitehaven

Coal

Ltd.

(2)(a)

52,118

264,485

Worley

Ltd.

(2)(a)

23,770

283,332

Yancoal

Australia

Ltd.

(2)(a)

28,584

96,461

12,312,831

—

Austria

-

0.2%

ams-OSRAM

AG

(2)*(a)

49,872

125,711

Mondi

plc

(2)(a)

11,449

223,997

349,708

—

Belgium

-

1.4%

Ageas

SA/NV

(2)(a)

14,889

647,233

Etablissements

Franz

Colruyt

NV

(2)(a)

3,144

141,824

Proximus

SADP

(2)(a)

31,683

297,862

Solvay

SA

(2)(a)

9,410

288,407

Syensqo

SA

*(a)

9,410

979,188

2,354,514

—

Brazil

-

0.4%

Yara

International

ASA

(2)

17,777

631,557

Canada

-

8.9%

Air

Canada

*(a)

39,376

555,404

Alimentation

Couche-Tard,

Inc.

(a)

4,576

269,473

ARC

Resources

Ltd.

(a)

29,280

434,653

INVESTMENTS

SHARES

VALUE

($)

Canada

-

8.9%

(continued)

Atco

Ltd.,

Class

I

(a)

4,072

118,836

Bank

of

Montreal

(a)

3,567

352,945

Bank

of

Nova

Scotia

(The)

(a)

20,936

1,019,110

Boyd

Group

Services,

Inc.

(a)

458

96,259

Canadian

Imperial

Bank

of

Commerce

(a)

12,203

587,564

Canadian

National

Railway

Co.

(a)

813

102,189

Canadian

Tire

Corp.

Ltd.,

Class

A

(a)

3,941

418,533

Capital

Power

Corp.

(a)

8,266

236,056

CGI,

Inc.

*(a)

2,207

236,432

Constellation

Software,

Inc.

(a)

159

394,218

Descartes

Systems

Group,

Inc.

(The)

*(a)

454

38,145

Empire

Co.

Ltd.,

Class

A

(a)

21,378

565,487

Enerplus

Corp.

(a)

28,201

432,257

Fairfax

Financial

Holdings

Ltd.

(a)

1,092

1,007,495

Finning

International,

Inc.

(a)

5,698

164,784

Fortis,

Inc.

(a)

5,537

227,782

George

Weston

Ltd.

(a)

665

82,557

Hydro

One

Ltd.

(a)(b)

9,503

284,721

iA

Financial

Corp.,

Inc.

(a)

3,179

216,716

IGM

Financial,

Inc.

(a)

2,374

62,725

Imperial

Oil

Ltd.

(a)

9,281

528,682

Kinross

Gold

Corp.

(a)

15,871

96,061

Loblaw

Cos.

Ltd.

(a)

1,903

184,232

Magna

International,

Inc.

(a)

3,502

206,914

Manulife

Financial

Corp.

(a)

65,965

1,457,646

MEG

Energy

Corp.

*(a)

13,367

238,781

National

Bank

of

Canada

(a)

1,664

126,836

Northland

Power,

Inc.

(a)

3,357

60,981

Nutrien

Ltd.

(a)

2,603

146,647

Onex

Corp.

(a)

1,267

88,476

Open

Text

Corp.

(a)

12,022

505,268

Parkland

Corp.

(a)

2,558

82,451

Quebecor,

Inc.,

Class

B

(a)

8,412

200,103

Restaurant

Brands

International,

Inc.

(a)

1,004

78,445

Saputo,

Inc.

(a)

9,671

195,821

Stantec,

Inc.

(a)

3,864

310,216

Sun

Life

Financial,

Inc.

(a)

9,821

509,339

Suncor

Energy,

Inc.

(a)

8,125

260,297

TFI

International,

Inc.

(a)

3,897

530,090

TMX

Group

Ltd.

(a)

7,350

177,780

Toromont

Industries

Ltd.

(a)

459

40,217

Tourmaline

Oil

Corp.

(a)

14,446

649,664

West

Fraser

Timber

Co.

Ltd.

(a)

4,006

342,719

Whitecap

Resources,

Inc.

(a)

39,799

266,418

15,188,425

—

Chile

-

0.2%

Lundin

Mining

Corp.

35,544

290,779

China

-

1.2%

NXP

Semiconductors

NV

3,146

722,573

Wilmar

International

Ltd.

(2)

210,700

569,180

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

691,300

779,922

2,071,675

—

32

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Denmark

-

3.0%

AP

Moller

-

Maersk

A/S,

Class

B

(2)(a)

705

1,269,017

Carlsberg

A/S,

Class

B

(2)(a)

6,454

809,875

Danske

Bank

A/S

(2)(a)

16,206

433,207

Genmab

A/S

(2)*(a)

238

75,887

ISS

A/S

(2)(a)

38,302

731,554

Jyske

Bank

A/S

(Registered)

(2)(a)

3,364

241,222

Pandora

A/S

(2)(a)

7,272

1,005,391

ROCKWOOL

A/S,

Class

B

(2)(a)

1,638

479,234

5,045,387

—

Finland

-

0.9%

Elisa

OYJ

(a)

3,578

165,384

Fortum

OYJ

(2)(a)

7,809

112,794

Kesko

OYJ,

Class

B

(2)(a)

8,792

174,290

Kone

OYJ,

Class

B

(2)(a)

3,338

166,971

Metso

OYJ

(2)(a)

21,519

218,459

Nokia

OYJ

(2)(a)

146,777

499,912

Valmet

OYJ

(2)(a)

1,703

49,247

Wartsila

OYJ

Abp

(2)(a)

12,833

186,507

1,573,564

—

France

-

6.4%

Amundi

SA

(2)(a)(b)

2,956

201,627

Arkema

SA

(2)(a)

3,341

380,600

BNP

Paribas

SA

(2)(a)

14,673

1,018,976

Bouygues

SA

(2)(a)

17,052

643,359

Carrefour

SA

(2)(a)

19,253

352,612

Cie

de

Saint-Gobain

SA

(2)(a)

19,959

1,471,922

Credit

Agricole

SA

(2)(a)

78,410

1,114,727

Dassault

Aviation

SA

(2)(a)

1,443

285,902

Eiffage

SA

(2)(a)

4,984

535,036

Engie

SA

(2)(a)

25,164

443,297

Ipsen

SA

(2)(a)

337

40,201

Orange

SA

(2)(a)

56,376

642,554

Publicis

Groupe

SA

(2)(a)

658

61,136

Rexel

SA

(2)(a)

35,839

983,646

Rubis

SCA

(2)(a)

5,581

138,841

SCOR

SE

(2)(a)

5,045

147,824

Societe

Generale

SA

(2)(a)

37,297

992,299

Sodexo

SA

(2)(a)

551

60,659

TotalEnergies

SE

(2)(a)

14,528

987,890

Ubisoft

Entertainment

SA

(2)*(a)

8,988

229,758

Veolia

Environnement

SA

(2)(a)

3,314

104,744

10,837,610

—

Germany

-

9.7%

Allianz

SE

(Registered)

(2)(a)

3,444

920,379

Aurubis

AG

(2)(a)

4,834

395,555

BASF

SE

(2)(a)

3,436

185,019

Bayerische

Motoren

Werke

AG

(2)

(a)

2,672

297,318

Bechtle

AG

(2)(a)

8,091

405,258

Brenntag

SE

(2)(a)

10,053

923,946

Commerzbank

AG

(2)(a)

59,192

703,544

Continental

AG

(2)(a)

2,227

189,142

Covestro

AG

(2)*(a)(b)

11,497

669,952

Daimler

Truck

Holding

AG

(2)(a)

13,361

501,893

Deutsche

Bank

AG

(Registered)

(2)(a)

159,342

2,175,192

INVESTMENTS

SHARES

VALUE

($)

Germany

-

9.7%

(continued)

Deutsche

Lufthansa

AG

(Registered)

(2)*(a)

23,834

211,890

Deutsche

Post

AG

(2)(a)

9,521

471,252

E.ON

SE

(2)(a)

51,810

696,071

Evonik

Industries

AG

(2)(a)

11,453

233,973

Freenet

AG

(2)(a)

9,278

259,677

Fresenius

Medical

Care

AG

(2)(a)

6,077

254,069

GEA

Group

AG

(2)(a)

2,288

95,122

Hannover

Rueck

SE

(2)(a)

890

212,802

Heidelberg

Materials

AG

(2)(a)

17,273

1,544,001

HOCHTIEF

AG

(2)(a)

4,570

506,109

HUGO

BOSS

AG

(2)(a)

10,060

749,475

K+S

AG

(Registered)

(2)(a)

44,328

699,811

KION

Group

AG

(2)(a)

3,813

162,737

Knorr-Bremse

AG

(2)(a)

795

51,345

LANXESS

AG

(2)(a)

9,619

300,864

LEG

Immobilien

SE

(2)*(a)

3,075

269,092

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

(2)(a)

2,824

1,171,434

ProSiebenSat.1

Media

SE

(2)(a)

5,155

31,447

Talanx

AG

(2)(a)

3,435

245,483

Telefonica

Deutschland

Holding

AG

(2)(a)

56,336

146,355

thyssenkrupp

AG

(2)(a)

87,813

610,867

TUI

AG

(2)*

27,314

212,817

16,503,891

—

Guatemala

-

0.2%

Millicom

International

Cellular

SA,

SDR

(2)*

15,394

275,821

Hong

Kong

-

0.3%

Swire

Pacific

Ltd.,

Class

A

(2)(a)

5,500

46,583

WH

Group

Ltd.

(2)(b)

718,000

463,684

510,267

—

Italy

-

4.1%

A2A

SpA

(2)(a)

260,427

534,936

Assicurazioni

Generali

SpA

(2)(a)

49,292

1,041,418

Azimut

Holding

SpA

(2)(a)

4,931

128,898

Banco

BPM

SpA

(2)(a)

63,113

334,432

Buzzi

SpA

(2)(a)

16,179

492,079

Coca-Cola

HBC

AG

(2)(a)

3,660

107,468

Hera

SpA

(2)(a)

18,252

59,938

Intesa

Sanpaolo

SpA

(2)(a)

25,910

75,823

Leonardo

SpA

(2)(a)

115,081

1,901,497

Pirelli

&

C

SpA

(2)(a)(b)

27,380

149,392

Poste

Italiane

SpA

(2)(a)(b)

22,704

258,070

Prysmian

SpA

(2)(a)

10,926

498,062

UniCredit

SpA

(2)(a)

36,490

993,611

Unipol

Gruppo

SpA

(2)(a)

84,066

479,767

7,055,391

—

Japan

-

30.1%

AGC,

Inc.

(2)(a)

16,100

596,737

Air

Water,

Inc.

(2)(a)

11,000

150,087

Aisin

Corp.

(2)(a)

8,100

282,376

Allegro

MicroSystems,

Inc.

*(a)(c)

1,379

41,742

Amada

Co.

Ltd.

(2)(a)

61,800

642,416

Asahi

Group

Holdings

Ltd.

(2)(a)

8,700

323,957

33

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Japan

-

30.1%

(continued)

Bandai

Namco

Holdings,

Inc.

(2)(a)

1,700

33,997

Brother

Industries

Ltd.

(2)(a)

6,500

103,513

Chiba

Bank

Ltd.

(The)

(2)(a)

8,400

60,519

Chubu

Electric

Power

Co.,

Inc.

(2)

(a)

54,800

707,542

Dai

Nippon

Printing

Co.

Ltd.

(2)(a)

11,000

324,841

Dai-ichi

Life

Holdings,

Inc.

(2)(a)

19,500

413,652

Daito

Trust

Construction

Co.

Ltd.

(2)(a)

3,000

347,239

Daiwa

House

Industry

Co.

Ltd.

(2)

(a)

11,200

338,580

Daiwa

Securities

Group,

Inc.

(2)(a)

19,700

132,230

Dentsu

Group,

Inc.

(2)(a)

1,200

30,724

Ebara

Corp.

(2)(a)

8,100

477,582

Fuji

Electric

Co.

Ltd.

(2)(a)

13,100

561,492

Fujitsu

Ltd.

(2)(a)

3,300

496,629

Fukuoka

Financial

Group,

Inc.

(2)

(a)

3,600

84,677

Goldwin,

Inc.

(2)(a)

3,200

229,436

Hakuhodo

DY

Holdings,

Inc.

(2)(a)

70,100

535,706

Hamamatsu

Photonics

KK

(2)(a)

1,600

65,644

Haseko

Corp.

(2)(a)

11,000

142,659

Hino

Motors

Ltd.

(2)*(a)

58,100

190,266

Hitachi

Construction

Machinery

Co.

Ltd.

(2)(a)

12,500

329,048

Hitachi

Ltd.

(2)(a)

2,700

194,210

Honda

Motor

Co.

Ltd.

(2)(a)

26,700

275,416

Idemitsu

Kosan

Co.

Ltd.

(2)(a)

66,000

358,410

IHI

Corp.

(2)(a)

7,600

148,300

Iida

Group

Holdings

Co.

Ltd.

(2)(a)

28,200

421,207

Inpex

Corp.

(2)(a)

34,300

458,994

Isuzu

Motors

Ltd.

(2)(a)

18,000

230,754

Ito

En

Ltd.

(2)(a)

11,300

343,055

ITOCHU

Corp.

(2)(a)

16,600

676,282

Japan

Post

Holdings

Co.

Ltd.

(2)(a)

15,100

134,805

Japan

Post

Insurance

Co.

Ltd.

(2)

(a)

29,300

520,094

JFE

Holdings,

Inc.

(2)(a)

9,800

151,618

Kajima

Corp.

(2)(a)

19,200

320,145

Kansai

Paint

Co.

Ltd.

(2)(a)

7,000

119,360

Kao

Corp.

(2)(a)

4,000

164,423

Kawasaki

Heavy

Industries

Ltd.

(2)

(a)

22,100

487,053

Kawasaki

Kisen

Kaisha

Ltd.

(2)(a)

4,900

209,703

Kobayashi

Pharmaceutical

Co.

Ltd.

(2)(a)

1,700

81,780

Koito

Manufacturing

Co.

Ltd.

(2)(a)

7,100

110,325

Komatsu

Ltd.

(2)(a)

9,100

236,812

Konami

Group

Corp.

(2)(a)

4,700

245,520

Kuraray

Co.

Ltd.

(2)(a)

14,600

147,370

Kyocera

Corp.

(2)(a)

14,400

209,665

Lawson,

Inc.

(a)

3,900

201,445

Lion

Corp.

(2)(a)

17,200

159,511

Marubeni

Corp.

(2)(a)

55,800

878,546

Mazda

Motor

Corp.

(2)(a)

51,300

548,350

McDonald's

Holdings

Co.

Japan

Ltd.

(2)(a)

4,200

181,932

Medipal

Holdings

Corp.

(2)(a)

24,400

394,997

MEIJI

Holdings

Co.

Ltd.

(2)(a)

12,900

306,422

MINEBEA

MITSUMI,

Inc.

(2)(a)

22,000

450,297

INVESTMENTS

SHARES

VALUE

($)

Japan

-

30.1%

(continued)

MISUMI

Group,

Inc.

(2)(a)

7,000

118,186

Mitsubishi

Chemical

Group

Corp.

(2)(a)

37,800

231,076

Mitsubishi

Corp.

(2)(a)

53,100

845,844

Mitsubishi

Electric

Corp.

(2)(a)

56,700

801,970

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)(a)

27,200

434,257

Mitsubishi

HC

Capital,

Inc.

(2)(a)

82,100

550,054

Mitsubishi

Heavy

Industries

Ltd.

(2)(a)

6,800

395,924

Mitsubishi

Motors

Corp.

(2)(a)

101,500

321,253

Mitsui

&

Co.

Ltd.

(2)(a)

18,700

700,576

Mitsui

Chemicals,

Inc.

(2)(a)

15,200

449,495

Mizuho

Financial

Group,

Inc.

(2)(a)

21,780

371,519

MS&AD

Insurance

Group

Holdings,

Inc.

(2)(a)

16,000

629,101

Nabtesco

Corp.

(2)(a)

7,400

150,685

Nexon

Co.

Ltd.

(2)(a)

8,900

161,883

NGK

Insulators

Ltd.

(2)(a)

45,700

545,013

NH

Foods

Ltd.

(2)(a)

8,900

301,760

Nikon

Corp.

(2)(a)

12,200

120,419

NIPPON

EXPRESS

HOLDINGS,

Inc.

(2)(a)

4,000

226,960

Nippon

Steel

Corp.

(2)(a)

23,500

536,829

Nippon

Yusen

KK

(2)(a)

14,200

438,546

Niterra

Co.

Ltd.

(2)(a)

7,300

172,892

Nitto

Denko

Corp.

(2)(a)

7,800

582,077

NOF

Corp.

(2)(a)

1,100

54,570

Nomura

Holdings,

Inc.

(2)(a)

75,600

340,470

Nomura

Real

Estate

Holdings,

Inc.

(2)(a)

6,600

173,187

NSK

Ltd.

(2)(a)

105,700

571,187

Obayashi

Corp.

(2)(a)

82,000

708,350

Oji

Holdings

Corp.

(2)(a)

52,800

202,958

Olympus

Corp.

(2)(a)

13,200

190,532

Ono

Pharmaceutical

Co.

Ltd.

(2)(a)

24,800

441,180

Open

House

Group

Co.

Ltd.

(2)(a)

1,700

50,285

ORIX

Corp.

(2)(a)

20,200

379,380

Osaka

Gas

Co.

Ltd.

(2)(a)

10,600

221,269

Otsuka

Corp.

(2)(a)

4,200

172,851

Otsuka

Holdings

Co.

Ltd.

(2)(a)

21,400

800,296

Panasonic

Holdings

Corp.

(2)(a)

77,500

763,187

Persol

Holdings

Co.

Ltd.

(2)

20,300

34,731

Pola

Orbis

Holdings,

Inc.

(2)(a)

17,200

192,881

Ricoh

Co.

Ltd.

(2)(a)

19,600

150,107

Rohm

Co.

Ltd.

(2)(a)

16,400

313,088

Rohto

Pharmaceutical

Co.

Ltd.

(2)

(a)

13,700

275,497

Ryohin

Keikaku

Co.

Ltd.

(2)(a)

36,400

607,975

Santen

Pharmaceutical

Co.

Ltd.

(2)(a)

36,500

363,145

SCREEN

Holdings

Co.

Ltd.

(2)(a)

12,800

1,078,921

SCSK

Corp.

(2)(a)

9,700

192,045

Secom

Co.

Ltd.

(2)(a)

1,400

100,716

Sega

Sammy

Holdings,

Inc.

(2)(a)

14,800

206,625

Seiko

Epson

Corp.

(2)(a)

21,800

325,494

Sekisui

Chemical

Co.

Ltd.

(2)(a)

16,800

241,634

Shimamura

Co.

Ltd.

(2)(a)

3,000

334,992

Shimizu

Corp.

(2)(a)

35,100

232,830

Shin-Etsu

Chemical

Co.

Ltd.

(2)(a)

19,000

794,640

34

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Japan

-

30.1%

(continued)

Shinko

Electric

Industries

Co.

Ltd.

(2)(a)

8,200

317,412

Shionogi

&

Co.

Ltd.

(2)(a)

13,300

640,102

Skylark

Holdings

Co.

Ltd.

(2)(a)

19,800

289,673

Sohgo

Security

Services

Co.

Ltd.

(2)(a)

49,300

283,271

Sojitz

Corp.

(2)(a)

36,720

827,261

Sompo

Holdings,

Inc.

(2)(a)

12,200

596,926

Square

Enix

Holdings

Co.

Ltd.

(2)

(a)

3,600

129,060

Stanley

Electric

Co.

Ltd.

(2)(a)

15,000

281,411

Subaru

Corp.

(2)(a)

41,000

747,816

Sugi

Holdings

Co.

Ltd.

(2)(a)

3,200

146,901

SUMCO

Corp.

(2)(a)

48,000

718,040

Sumitomo

Corp.

(2)(a)

23,600

513,575

Sumitomo

Electric

Industries

Ltd.

(2)(a)

5,700

72,325

Sumitomo

Forestry

Co.

Ltd.

(2)(a)

15,700

466,464

Sumitomo

Heavy

Industries

Ltd.

(2)(a)

27,800

698,757

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)(a)

15,000

287,278

Suntory

Beverage

&

Food

Ltd.

(2)

(a)

6,400

210,431

Taisei

Corp.

(2)(a)

4,600

157,080

Taisho

Pharmaceutical

Holdings

Co.

Ltd.

(2)(a)

8,400

513,337

TDK

Corp.

(2)(a)

10,500

497,956

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*(a)

25,000

130,828

Tokyo

Gas

Co.

Ltd.

(2)(a)

39,400

903,784

Tokyu

Fudosan

Holdings

Corp.

(2)

(a)

37,400

238,328

TOPPAN

Holdings,

Inc.

(2)(a)

37,000

1,030,436

Tosoh

Corp.

(2)(a)

17,400

221,816

Toyo

Suisan

Kaisha

Ltd.

(2)(a)

12,100

624,315

Toyota

Boshoku

Corp.

(2)(a)

14,900

235,604

Toyota

Industries

Corp.

(2)(a)

7,000

569,032

Toyota

Tsusho

Corp.

(2)(a)

17,700

1,038,675

Tsuruha

Holdings,

Inc.

(2)(a)

3,400

311,244

Yamada

Holdings

Co.

Ltd.

(2)(a)

41,200

128,028

Yokogawa

Electric

Corp.

(2)(a)

9,700

184,377

Zensho

Holdings

Co.

Ltd.

(2)(a)

11,500

601,731

51,224,708

—

Luxembourg

-

1.1%

Aperam

SA

(2)

7,664

278,772

ArcelorMittal

SA

(2)

55,335

1,570,408

SES

SA,

Class

A,

ADR

(2)

5,166

34,019

1,883,199

—

Netherlands

-

4.1%

Aalberts

NV

(2)(a)

8,200

356,432

ABN

AMRO

Bank

NV,

CVA

(2)(a)(b)

64,179

965,155

ASR

Nederland

NV

(2)(a)

11,812

557,998

Koninklijke

Ahold

Delhaize

NV

(2)

(a)

56,245

1,618,251

Koninklijke

KPN

NV

(2)(a)

58,276

200,768

Koninklijke

Philips

NV

(2)*(a)

21,269

497,742

NN

Group

NV

(2)(a)

18,661

737,499

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

4.1%

(continued)

Randstad

NV

(2)(a)

14,110

885,545

Shell

plc

(2)(a)

36,385

1,191,030

7,010,420

—

Nigeria

-

0.1%

Airtel

Africa

plc

(2)(b)

140,193

232,551

Norway

-

0.9%

Equinor

ASA

(2)(a)

26,959

854,384

Norsk

Hydro

ASA

(2)(a)

84,821

570,134

Orkla

ASA

(2)(a)

8,618

66,925

1,491,443

—

Portugal

-

0.1%

Galp

Energia

SGPS

SA

(2)

6,979

102,687

Singapore

-

1.2%

Genting

Singapore

Ltd.

(2)

397,700

301,241

Oversea-Chinese

Banking

Corp.

Ltd.

(2)

42,400

417,191

Sea

Ltd.,

ADR

*(a)(c)

9,484

384,102

Singapore

Airlines

Ltd.

(2)

125,500

623,149

STMicroelectronics

NV

(2)

1,891

94,851

UOL

Group

Ltd.

(2)

18,800

89,309

Venture

Corp.

Ltd.

(2)

4,600

47,400

1,957,243

—

Spain

-

3.0%

Acciona

SA

(2)(a)

777

114,409

Acerinox

SA

(2)(a)

45,876

540,649

Banco

Bilbao

Vizcaya

Argentaria

SA

(2)(a)

101,181

922,190

Banco

de

Sabadell

SA

(2)(a)

571,132

703,039

Banco

Santander

SA

(2)(a)

258,495

1,081,203

Mapfre

SA

(2)(a)

118,260

254,144

Redeia

Corp.

SA

(2)(a)

13,206

217,617

Repsol

SA

(2)(a)

88,413

1,311,511

5,144,762

—

Sweden

-

4.3%

AAK

AB

(2)(a)

8,654

193,014

Axfood

AB

(a)

2,623

70,997

Billerud

Aktiebolag

(2)(a)

19,459

198,314

Boliden

AB

(2)(a)

1,789

55,995

Elekta

AB,

Class

B

(2)(a)

20,418

167,223

Embracer

Group

AB,

Class

B

(2)*(a)

52,178

141,551

Essity

AB,

Class

B

(2)(a)

6,102

151,221

Getinge

AB,

Class

B

(2)(a)

15,880

353,608

H

&

M

Hennes

&

Mauritz

AB,

Class

B

(2)(a)

32,131

563,579

Hexpol

AB

(2)(a)

14,301

173,266

Saab

AB,

Class

B

(2)(a)

1,173

70,689

Sandvik

AB

(2)(a)

19,901

432,356

Securitas

AB,

Class

B

(2)(a)

50,244

492,592

Skanska

AB,

Class

B

(2)(a)

24,706

447,613

SKF

AB,

Class

B

(2)(a)

59,810

1,198,625

SSAB

AB,

Class

B

(2)(a)

130,530

999,407

Swedbank

AB,

Class

A

(2)(a)

6,225

125,855

Trelleborg

AB,

Class

B

(2)(a)

16,193

543,503

Volvo

AB,

Class

B

(2)(a)

18,850

490,477

35

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

4.3%

(continued)

Volvo

Car

AB,

Class

B

(2)*(a)

137,357

445,475

7,315,360

—

Switzerland

-

4.8%

Adecco

Group

AG

(Registered)

(2)

(a)

16,778

824,027

Baloise

Holding

AG

(Registered)

(2)(a)

682

106,930

BKW

AG

(2)(a)

3,077

547,297

Cie

Financiere

Richemont

SA

(Registered)

(2)(a)

3,308

456,915

DKSH

Holding

AG

(a)

2,591

179,911

Flughafen

Zurich

AG

(Registered)

(2)(a)

1,368

285,836

Geberit

AG

(Registered)

(2)(a)

489

313,898

Georg

Fischer

AG

(Registered)

(2)

(a)

1,445

105,159

Kuehne

+

Nagel

International

AG

(Registered)

(2)(a)

704

242,948

Logitech

International

SA

(Registered)

(2)(a)

2,377

226,025

Novartis

AG

(Registered)

(2)(a)

10,074

1,017,580

Schindler

Holding

AG

(2)(a)

691

172,995

SGS

SA

(Registered)

(2)(a)

3,450

297,841

Sonova

Holding

AG

(Registered)

(2)(a)

783

256,079

Swatch

Group

AG

(The)

(2)(a)

3,013

819,808

Swiss

Life

Holding

AG

(Registered)

(2)(a)

774

537,894

Swisscom

AG

(Registered)

(2)(a)

1,099

661,455

UBS

Group

AG

(Registered)

(2)(a)

34,654

1,076,407

8,129,005

—

United

Kingdom

-

7.0%

abrdn

plc

(2)(a)

20,970

47,677

Aviva

plc

(2)(a)

45,026

249,148

BAE

Systems

plc

(a)

35,160

497,689

Barclays

plc

(2)

643,396

1,259,813

Barratt

Developments

plc

(2)(a)

86,928

622,710

BP

plc

(2)(a)

80,023

474,382

BT

Group

plc

(2)

238,511

375,795

Burberry

Group

plc

(2)(a)

3,688

66,520

Centrica

plc

(2)

844,274

1,513,534

CK

Hutchison

Holdings

Ltd.

(2)(a)

6,500

34,922

DCC

plc

(2)(a)

5,524

406,462

DS

Smith

plc

(2)(a)

57,864

226,426

Howden

Joinery

Group

plc

(2)(a)

13,817

143,044

HSBC

Holdings

plc

(2)(a)

35,382

286,239

Imperial

Brands

plc

(2)(a)

18,830

433,613

Inchcape

plc

(2)(a)

4,036

36,748

InterContinental

Hotels

Group

plc

(2)(a)

1,942

175,122

International

Distributions

Services

plc

*(a)

88,929

308,434

Investec

plc

(2)(a)

17,873

120,874

JD

Sports

Fashion

plc

(2)(a)

207,071

436,990

Johnson

Matthey

plc

(2)(a)

2,053

44,402

Just

Eat

Takeaway.com

NV

(2)*(a)

(b)

21,043

320,839

Kingfisher

plc

(2)(a)

38,872

120,440

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

7.0%

(continued)

Lloyds

Banking

Group

plc

(2)

452,038

274,178

Man

Group

plc

(a)

91,774

272,095

Marks

&

Spencer

Group

plc

(2)(a)

201,395

697,956

NatWest

Group

plc

(2)(a)

22,727

63,304

Pearson

plc

(2)(a)

8,837

108,544

Rolls-Royce

Holdings

plc

(2)*(a)

163,999

625,553

Standard

Chartered

plc

(2)(a)

55,217

468,579

Subsea

7

SA

(2)(a)

22,366

325,806

Taylor

Wimpey

plc

(2)

24,371

45,620

Tesco

plc

(2)(a)

48,581

179,979

Vodafone

Group

plc

(2)

799,095

697,882

11,961,319

—

United

States

-

125.5%

3M

Co.

(a)(c)

8,231

899,813

A

O

Smith

Corp.

(a)

4,061

334,789

Abbott

Laboratories

(a)(c)

5,106

562,017

AbbVie,

Inc.

(a)(c)

7,493

1,161,190

Accenture

plc,

Class

A

(a)

768

269,499

ACI

Worldwide,

Inc.

*(a)(c)

7,974

244,004

Acuity

Brands,

Inc.

(a)(c)

5,329

1,091,539

Adient

plc

*(a)

7,142

259,683

Adobe,

Inc.

*(a)

1,862

1,110,869

Advance

Auto

Parts,

Inc.

(a)

1,767

107,840

AGCO

Corp.

(a)(c)

7,898

958,896

Agilent

Technologies,

Inc.

(a)

775

107,748

Airbnb,

Inc.,

Class

A

*(a)

4,105

558,855

Akamai

Technologies,

Inc.

*(a)(c)

4,047

478,962

Albemarle

Corp.

(a)(c)

1,881

271,767

Align

Technology,

Inc.

*(a)

2,401

657,874

ALLETE,

Inc.

(a)

6,687

408,977

Allison

Transmission

Holdings,

Inc.

(a)

13,022

757,229

Ally

Financial,

Inc.

(a)

3,575

124,839

Alphabet,

Inc.,

Class

A

*(a)

8,492

1,186,247

Altice

USA,

Inc.,

Class

A

*(a)(c)

76,636

249,067

Altria

Group,

Inc.

(a)(c)

24,051

970,217

Amdocs

Ltd.

(a)

4,833

424,772

American

International

Group,

Inc.

(a)(c)

19,689

1,333,930

Ameriprise

Financial,

Inc.

(a)(c)

1,014

385,148

Amgen,

Inc.

(a)(c)

3,260

938,945

Amkor

Technology,

Inc.

(a)

39,610

1,317,825

Analog

Devices,

Inc.

(a)(c)

944

187,441

ANSYS,

Inc.

*(a)(c)

759

275,426

Apple,

Inc.

(a)

2,713

522,334

Applied

Materials,

Inc.

(a)

5,769

934,982

AppLovin

Corp.,

Class

A

*(a)(c)

9,749

388,498

Aramark

(a)(c)

1,349

37,907

Arch

Capital

Group

Ltd.

*(a)

3,342

248,210

Archer-Daniels-Midland

Co.

(a)

6,000

433,320

Arrow

Electronics,

Inc.

*(a)(c)

9,450

1,155,263

ASGN,

Inc.

*(a)

2,682

257,928

Associated

Banc-Corp.

(a)(c)

10,900

233,151

Assurant,

Inc.

(a)

1,961

330,409

Assured

Guaranty

Ltd.

(a)

1,013

75,803

AT&T,

Inc.

(a)(c)

59,674

1,001,330

Autodesk,

Inc.

*(a)(c)

2,923

711,692

AutoNation,

Inc.

*(a)(c)

3,623

544,102

Avantor,

Inc.

*(a)

7,351

167,823

36

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

125.5%

(continued)

Avient

Corp.

(a)(c)

5,165

214,709

Avnet,

Inc.

(a)

13,399

675,310

Axis

Capital

Holdings

Ltd.

(a)

3,690

204,315

Baker

Hughes

Co.,

Class

A

(a)(c)

5,271

180,163

Bank

of

New

York

Mellon

Corp.

(The)

(a)

19,375

1,008,469

Bank

OZK

(a)(c)

5,798

288,914

Baxter

International,

Inc.

(a)(c)

8,528

329,692

Belden,

Inc.

(a)(c)

2,015

155,659

Berry

Global

Group,

Inc.

(a)

10,824

729,429

Best

Buy

Co.,

Inc.

(a)(c)

12,591

985,623

Biogen,

Inc.

*(a)(c)

587

151,898

Blackbaud,

Inc.

*(a)(c)

975

84,533

Booking

Holdings,

Inc.

*(a)

311

1,103,185

BorgWarner,

Inc.

(a)

6,370

228,365

Boston

Beer

Co.,

Inc.

(The),

Class

A

*(a)(c)

816

282,001

Brighthouse

Financial,

Inc.

*(a)

4,445

235,229

Bristol-Myers

Squibb

Co.

(a)(c)

3,690

189,334

Broadcom,

Inc.

(a)

615

686,494

BRP,

Inc.

(a)

8,410

601,816

Bruker

Corp.

(a)(c)

2,534

186,198

Brunswick

Corp.

(a)(c)

4,073

394,063

Builders

FirstSource,

Inc.

*(a)

10,065

1,680,250

Bunge

Global

SA

(a)(c)

4,765

481,027

BWX

Technologies,

Inc.

(a)(c)

2,121

162,744

Cabot

Corp.

(a)(c)

3,573

298,346

CACI

International,

Inc.,

Class

A

*(a)

1,159

375,354

Cadence

Design

Systems,

Inc.

*(a)

1,531

416,998

Capital

One

Financial

Corp.

(a)

6,617

867,621

Cardinal

Health,

Inc.

(a)

13,776

1,388,621

Carrier

Global

Corp.

(a)(c)

2,365

135,869

Carter's,

Inc.

(a)

6,156

461,023

Casey's

General

Stores,

Inc.

(a)

995

273,366

Caterpillar,

Inc.

(a)(c)

2,092

618,542

Cencora,

Inc.

(a)(c)

1,262

259,190

Centene

Corp.

*(a)

12,359

917,161

CF

Industries

Holdings,

Inc.

(a)(c)

3,799

302,021

ChampionX

Corp.

(a)(c)

14,107

412,065

Charles

River

Laboratories

International,

Inc.

*(a)(c)

1,046

247,274

Chemours

Co.

(The)

(a)(c)

2,195

69,230

Chesapeake

Energy

Corp.

(a)(c)

1,847

142,108

Chevron

Corp.

(a)(c)

221

32,964

Chord

Energy

Corp.

(a)(c)

2,280

379,004

Cigna

Group

(The)

(a)

2,966

888,169

Cintas

Corp.

(a)

909

547,818

Cirrus

Logic,

Inc.

*(a)

3,273

272,281

Cisco

Systems,

Inc.

(a)

28,919

1,460,987

Citigroup,

Inc.

(a)

20,891

1,074,633

Citizens

Financial

Group,

Inc.

(a)

20,145

667,605

Clean

Harbors,

Inc.

*(a)(c)

2,261

394,567

Cleveland-Cliffs,

Inc.

*(a)

6,298

128,605

CNO

Financial

Group,

Inc.

(a)

15,312

427,205

Coca-Cola

Co.

(The)

(a)

7,088

417,696

Coca-Cola

Consolidated,

Inc.

(a)

1,001

929,328

Cognizant

Technology

Solutions

Corp.,

Class

A

(a)

10,907

823,806

Colgate-Palmolive

Co.

(a)

2,014

160,536

INVESTMENTS

SHARES

VALUE

($)

United

States

-

125.5%

(continued)

Columbia

Sportswear

Co.

(a)(c)

3,348

266,300

Comcast

Corp.,

Class

A

(a)(c)

29,207

1,280,727

Commercial

Metals

Co.

(a)

11,860

593,474

CommVault

Systems,

Inc.

*(a)

5,105

407,634

Concentrix

Corp.

(a)(c)

3,523

345,994

Consolidated

Edison,

Inc.

(a)(c)

4,569

415,642

Cooper

Cos.,

Inc.

(The)

(a)

355

134,346

Copart,

Inc.

*(a)(c)

10,600

519,400

Corebridge

Financial,

Inc.

(a)

31,355

679,149

Coterra

Energy,

Inc.

(a)

8,301

211,842

Coty,

Inc.,

Class

A

*(a)

11,407

141,675

Crane

NXT

Co.

(a)(c)

8,081

459,566

CRH

plc

(2)

2,909

200,195

Crowdstrike

Holdings,

Inc.,

Class

A

*(a)(c)

799

204,001

Cummins,

Inc.

(a)

1,725

413,258

Curtiss-Wright

Corp.

(a)(c)

1,851

412,384

CVS

Health

Corp.

(a)(c)

14,643

1,156,211

Darden

Restaurants,

Inc.

(a)(c)

1,828

300,340

Deckers

Outdoor

Corp.

*(a)

632

422,448

Dell

Technologies,

Inc.,

Class

C

(a)

13,756

1,052,334

DENTSPLY

SIRONA,

Inc.

(a)

7,278

259,024

Devon

Energy

Corp.

(a)

2,983

135,130

Dick's

Sporting

Goods,

Inc.

(a)(c)

3,176

466,713

Discover

Financial

Services

(a)(c)

5,527

621,235

DISH

Network

Corp.,

Class

A

*(a)

60,952

351,693

DocuSign,

Inc.,

Class

A

*(a)

8,424

500,807

Dolby

Laboratories,

Inc.,

Class

A

(a)

4,937

425,471

Domino's

Pizza,

Inc.

(a)

744

306,699

Donaldson

Co.,

Inc.

(a)(c)

6,928

452,745

Dover

Corp.

(a)(c)

2,739

421,286

Dow,

Inc.

(a)

7,414

406,584

Dropbox,

Inc.,

Class

A

*(a)

26,601

784,197

DXC

Technology

Co.

*(a)

8,408

192,291

Eagle

Materials,

Inc.

(a)(c)

3,135

635,903

Eastman

Chemical

Co.

(a)

5,178

465,088

eBay,

Inc.

(a)

14,455

630,527

Electronic

Arts,

Inc.

(a)(c)

2,762

377,869

Elevance

Health,

Inc.

(a)

1,116

526,261

EMCOR

Group,

Inc.

(a)

2,976

641,120

Encompass

Health

Corp.

(a)

1,101

73,459

EnerSys

(a)(c)

6,376

643,721

Enovis

Corp.

*(a)

6,239

349,509

Entergy

Corp.

(a)

365

36,934

EOG

Resources,

Inc.

(a)

3,440

416,068

Equitable

Holdings,

Inc.

(a)

14,470

481,851

Esab

Corp.

(a)(c)

1,276

110,527

Euronet

Worldwide,

Inc.

*(a)

3,500

355,215

Evercore,

Inc.,

Class

A

(a)

4,013

686,424

Everest

Group

Ltd.

(a)

1,429

505,266

Exact

Sciences

Corp.

*(a)(c)

2,867

212,101

Exelixis,

Inc.

*(a)

25,055

601,069

Expedia

Group,

Inc.

*(a)

9,315

1,413,924

Expeditors

International

of

Washington,

Inc.

(a)(c)

2,922

371,678

Exxon

Mobil

Corp.

(a)(c)

4,442

444,111

F5,

Inc.

*(a)

3,289

588,665

Fair

Isaac

Corp.

*(a)(c)

541

629,729

Federated

Hermes,

Inc.,

Class

B

(a)

11,085

375,338

37

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

125.5%

(continued)

FedEx

Corp.

(a)(c)

563

142,422

Ferguson

plc

(a)

2,745

529,977

Fidelity

National

Financial,

Inc.

(a)

6,235

318,110

Fidelity

National

Information

Services,

Inc.

(a)

16,551

994,219

First

American

Financial

Corp.

(a)

5,460

351,842

FirstCash

Holdings,

Inc.

(a)(c)

1,180

127,900

Fiserv,

Inc.

*(a)(c)

2,817

374,210

FleetCor

Technologies,

Inc.

*(a)(c)

984

278,088

Flowers

Foods,

Inc.

(a)(c)

1,638

36,871

Flowserve

Corp.

(a)

2,726

112,366

Fluor

Corp.

*(a)

14,292

559,818

FNB

Corp.

(a)(c)

14,390

198,150

Fortinet,

Inc.

*(a)

6,044

353,755

Fortive

Corp.

(a)(c)

3,772

277,732

Fortrea

Holdings,

Inc.

*(a)(c)

8,224

287,018

Fox

Corp.,

Class

A

(a)

1,086

32,222

Franklin

Resources,

Inc.

(a)(c)

14,948

445,301

Gap,

Inc.

(The)

(a)

40,477

846,374

Gartner,

Inc.

*(a)(c)

1,011

456,072

Gates

Industrial

Corp.

plc

*(a)

43,222

580,039

GE

HealthCare

Technologies,

Inc.

(a)(c)

2,303

178,068

Gen

Digital,

Inc.

(a)(c)

3,129

71,404

General

Dynamics

Corp.

(a)(c)

4,276

1,110,349

General

Electric

Co.

(a)

7,496

956,714

General

Motors

Co.

(a)

28,404

1,020,272

Gilead

Sciences,

Inc.

(a)(c)

15,737

1,274,854

Global

Payments,

Inc.

(a)(c)

4,707

597,789

GLOBALFOUNDRIES,

Inc.

*(a)

1,057

64,054

Globus

Medical,

Inc.,

Class

A

*(a)

2,519

134,238

Goodyear

Tire

&

Rubber

Co.

(The)

*(a)

13,431

192,332

Graco,

Inc.

(a)(c)

3,814

330,903

Graham

Holdings

Co.,

Class

B

(a)

(c)

852

593,435

Grand

Canyon

Education,

Inc.

*(a)

3,070

405,363

Greif,

Inc.,

Class

A

(a)

5,427

355,957

GSK

plc

(2)(a)

11,904

219,857

H&R

Block,

Inc.

(a)(c)

15,329

741,464

Haemonetics

Corp.

*(a)(c)

3,939

336,824

Halliburton

Co.

(a)(c)

9,719

351,342

Hartford

Financial

Services

Group,

Inc.

(The)

(a)(c)

11,348

912,152

Hawaiian

Electric

Industries,

Inc.

(a)(c)

59,494

844,220

HCA

Healthcare,

Inc.

(a)(c)

1,076

291,252

Henry

Schein,

Inc.

*(a)(c)

1,084

82,070

Hewlett

Packard

Enterprise

Co.

(a)

(c)

64,277

1,091,423

Hexcel

Corp.

(a)(c)

3,604

265,795

HF

Sinclair

Corp.

(a)

9,221

512,411

Holcim

AG

(2)(a)

22,974

1,804,410

Hologic,

Inc.

*(a)

7,677

548,522

Howmet

Aerospace,

Inc.

(a)(c)

8,256

446,815

HP,

Inc.

(a)

25,909

779,602

Hubbell,

Inc.,

Class

B

(a)(c)

1,373

451,621

Humana,

Inc.

(a)

2,828

1,294,687

Huntington

Bancshares,

Inc.

(a)(c)

23,821

303,003

INVESTMENTS

SHARES

VALUE

($)

United

States

-

125.5%

(continued)

Huntington

Ingalls

Industries,

Inc.

(a)(c)

1,762

457,486

Huntsman

Corp.

(a)

2,896

72,776

IAC,

Inc.

*(a)(c)

6,937

363,360

Incyte

Corp.

*(a)

1,982

124,450

Informatica,

Inc.,

Class

A

*(a)

2,943

83,552

Ingredion,

Inc.

(a)

1,755

190,470

Insperity,

Inc.

(a)

2,294

268,903

International

Business

Machines

Corp.

(a)(c)

2,359

385,814

International

Paper

Co.

(a)(c)

12,453

450,176

Intuit,

Inc.

(a)

1,128

705,034

Invesco

Ltd.

(a)

28,653

511,170

IPG

Photonics

Corp.

*(a)(c)

495

53,727

IQVIA

Holdings,

Inc.

*(a)(c)

1,358

314,214

ITT,

Inc.

(a)(c)

3,161

377,171

Jabil,

Inc.

(a)(c)

8,426

1,073,472

Jacobs

Solutions,

Inc.

(a)

1,636

212,353

Janus

Henderson

Group

plc

(a)

12,280

370,242

Jazz

Pharmaceuticals

plc

*(a)(c)

2,169

266,787

JB

Hunt

Transport

Services,

Inc.

(a)(c)

1,364

272,445

Jefferies

Financial

Group,

Inc.

(a)(c)

8,509

343,849

Johnson

&

Johnson

(a)(c)

543

85,110

Jones

Lang

LaSalle,

Inc.

*(a)(c)

1,424

268,951

KB

Home

(a)

22,145

1,383,177

Keurig

Dr

Pepper,

Inc.

(a)(c)

5,204

173,397

Keysight

Technologies,

Inc.

*(a)

876

139,363

Kimberly-Clark

Corp.

(a)

3,993

485,189

KLA

Corp.

(a)(c)

642

373,195

Knight-Swift

Transportation

Holdings,

Inc.,

Class

A

(a)(c)

8,944

515,622

Kohl's

Corp.

(a)(c)

9,662

277,106

Kroger

Co.

(The)

(a)(c)

29,734

1,359,141

Kyndryl

Holdings,

Inc.

*(a)

41,741

867,378

L3Harris

Technologies,

Inc.

(a)

179

37,701

Lam

Research

Corp.

(a)(c)

754

590,578

Landstar

System,

Inc.

(a)

3,691

714,762

Lattice

Semiconductor

Corp.

*(a)(c)

2,408

166,128

Lear

Corp.

(a)

459

64,815

Leidos

Holdings,

Inc.

(a)

1,951

211,176

Lennar

Corp.,

Class

A

(a)

6,710

1,000,058

Liberty

Media

Corp-Liberty

SiriusXM

*(a)(c)

7,698

221,548

Lincoln

Electric

Holdings,

Inc.

(a)

1,054

229,203

Live

Nation

Entertainment,

Inc.

*(a)

1,547

144,799

Lockheed

Martin

Corp.

(a)

818

370,750

Loews

Corp.

(a)

6,855

477,039

LyondellBasell

Industries

NV,

Class

A

(a)

5,832

554,507

M&T

Bank

Corp.

(a)(c)

2,367

324,468

Macy's,

Inc.

(a)(c)

69,034

1,388,964

Manhattan

Associates,

Inc.

*(a)(c)

1,569

337,837

ManpowerGroup,

Inc.

(a)

10,033

797,323

Marathon

Oil

Corp.

(a)

12,847

310,384

Marathon

Petroleum

Corp.

(a)

3,694

548,042

Marriott

Vacations

Worldwide

Corp.

(a)(c)

1,209

102,632

Martin

Marietta

Materials,

Inc.

(a)(c)

412

205,551

Masco

Corp.

(a)(c)

4,848

324,719

38

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

125.5%

(continued)

Masterbrand,

Inc.

*(a)

7,594

112,771

Matador

Resources

Co.

(a)(c)

1,581

89,896

Maximus,

Inc.

(a)(c)

5,485

459,972

McDonald's

Corp.

(a)(c)

1,592

472,044

McKesson

Corp.

(a)

1,315

608,819

Medpace

Holdings,

Inc.

*(a)(c)

1,468

449,986

Medtronic

plc

(a)

15,635

1,288,011

Meta

Platforms,

Inc.,

Class

A

*(a)

4,113

1,455,837

MetLife,

Inc.

(a)

8,450

558,799

MGIC

Investment

Corp.

(a)

5,031

97,048

MGM

Resorts

International

*(a)(c)

5,045

225,411

Microchip

Technology,

Inc.

(a)(c)

3,688

332,584

Microsoft

Corp.

(a)

927

348,589

Middleby

Corp.

(The)

*(a)(c)

662

97,427

Mohawk

Industries,

Inc.

*(a)

2,006

207,621

Molina

Healthcare,

Inc.

*(a)(c)

2,616

945,187

Molson

Coors

Beverage

Co.,

Class

B

(a)(c)

16,300

997,723

Monster

Beverage

Corp.

*(a)

5,930

341,627

Mosaic

Co.

(The)

(a)(c)

20,312

725,748

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

(a)(c)

5,557

562,702

Murphy

Oil

Corp.

(a)

5,759

245,679

Murphy

USA,

Inc.

(a)(c)

2,685

957,364

National

Fuel

Gas

Co.

(a)

6,043

303,177

NCR

Atleos

Corp.

*(a)(c)

12,693

308,313

NCR

Voyix

Corp.

*(a)(c)

48,964

827,981

NetApp,

Inc.

(a)(c)

4,778

421,228

New

York

Community

Bancorp,

Inc.

(a)(c)

38,133

390,101

NewMarket

Corp.

(a)

105

57,312

Nexstar

Media

Group,

Inc.,

Class

A

(a)(c)

1,607

251,897

Nordstrom,

Inc.

(a)(c)

23,469

433,003

Northern

Trust

Corp.

(a)(c)

4,988

420,887

Northwestern

Energy

Group,

Inc.

(a)

1,117

56,844

NOV,

Inc.

(a)(c)

6,811

138,127

Nucor

Corp.

(a)

1,669

290,473

Nutanix,

Inc.,

Class

A

*(a)

7,731

368,691

nVent

Electric

plc

(a)

5,969

352,708

NVIDIA

Corp.

(a)

210

103,996

NVR,

Inc.

*(a)

18

126,008

Old

Republic

International

Corp.

(a)

19,075

560,805

Olin

Corp.

(a)

6,254

337,403

ON

Semiconductor

Corp.

*(a)

5,781

482,887

OneMain

Holdings,

Inc.

(a)(c)

2,642

129,986

Oshkosh

Corp.

(a)

8,146

883,108

Ovintiv,

Inc.

(a)

8,595

377,492

Owens

Corning

(a)

6,485

961,272

PACCAR,

Inc.

(a)(c)

7,732

755,030

Packaging

Corp.

of

America

(a)(c)

1,964

319,955

Palo

Alto

Networks,

Inc.

*(a)(c)

1,760

518,989

Paychex,

Inc.

(a)(c)

1,308

155,796

PayPal

Holdings,

Inc.

*(a)(c)

7,873

483,481

PBF

Energy,

Inc.,

Class

A

(a)(c)

9,338

410,498

Pegasystems,

Inc.

(a)

1,135

55,456

Penn

Entertainment,

Inc.

*(a)(c)

2,011

52,326

Penske

Automotive

Group,

Inc.

(a)

(c)

3,303

530,165

INVESTMENTS

SHARES

VALUE

($)

United

States

-

125.5%

(continued)

Pentair

plc

(a)

3,645

265,028

PepsiCo,

Inc.

(a)(c)

4,386

744,918

Performance

Food

Group

Co.

*(a)

(c)

3,124

216,025

Petco

Health

&

Wellness

Co.,

Inc.,

Class

A

*(a)(c)

55,266

174,641

PG&E

Corp.

(a)(c)

2,140

38,584

Phillips

66

(a)

3,385

450,679

Phinia,

Inc.

(a)

3,200

96,928

Pilgrim's

Pride

Corp.

*(a)

12,410

343,261

Pinnacle

West

Capital

Corp.

(a)

5,680

408,051

Playtika

Holding

Corp.

*(a)

43,862

382,477

Polaris,

Inc.

(a)(c)

3,792

359,368

Popular,

Inc.

7,718

633,416

Post

Holdings,

Inc.

*(a)

1,009

88,853

Power

Integrations,

Inc.

(a)(c)

1,678

137,781

PPG

Industries,

Inc.

(a)

1,174

175,572

Procter

&

Gamble

Co.

(The)

(a)(c)

3,653

535,311

Prudential

Financial,

Inc.

(a)(c)

4,305

446,472

PulteGroup,

Inc.

(a)(c)

10,598

1,093,926

Pure

Storage,

Inc.,

Class

A

*(a)

5,606

199,910

PVH

Corp.

(a)

7,209

880,363

QIAGEN

NV

(2)*(a)

2,809

122,125

Qorvo,

Inc.

*(a)(c)

2,386

268,687

QUALCOMM,

Inc.

(a)

4,259

615,979

Qualys,

Inc.

*(a)

3,422

671,670

Ralph

Lauren

Corp.,

Class

A

(a)(c)

3,735

538,587

Raymond

James

Financial,

Inc.

(a)

(c)

639

71,249

Regal

Rexnord

Corp.

(a)

2,302

340,742

Regeneron

Pharmaceuticals,

Inc.

*(a)

650

570,889

Reinsurance

Group

of

America,

Inc.

(a)

4,421

715,229

Reliance

Steel

&

Aluminum

Co.

(a)

1,331

372,254

Reynolds

Consumer

Products,

Inc.

(a)

2,459

66,000

RingCentral,

Inc.,

Class

A

*(a)(c)

12,781

433,915

Robert

Half,

Inc.

(a)(c)

7,436

653,773

Roche

Holding

AG

(2)(a)

597

173,544

Roper

Technologies,

Inc.

(a)(c)

805

438,862

Royal

Caribbean

Cruises

Ltd.

*(a)

2,142

277,368

RTX

Corp.

(a)

465

39,125

Ryder

System,

Inc.

(a)(c)

6,865

789,887

Salesforce,

Inc.

*(a)

2,155

567,067

Schneider

National,

Inc.,

Class

B

(a)

35,343

899,479

Science

Applications

International

Corp.

(a)(c)

1,710

212,587

Seagate

Technology

Holdings

plc

(a)(c)

656

56,003

SEI

Investments

Co.

(a)

6,726

427,437

Sensata

Technologies

Holding

plc

(a)

1,033

38,810

Signify

NV

(2)(a)(b)

17,874

599,427

Silgan

Holdings,

Inc.

(a)(c)

4,736

214,304

Simpson

Manufacturing

Co.,

Inc.

(a)(c)

609

120,570

Sinch

AB

(2)*(a)(b)

78,813

294,079

Skechers

USA,

Inc.,

Class

A

*(a)

8,206

511,562

39

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

125.5%

(continued)

Skyworks

Solutions,

Inc.

(a)(c)

11,672

1,312,166

Snap-on,

Inc.

(a)(c)

1,833

529,444

Southwestern

Energy

Co.

*(a)

69,842

457,465

Spectrum

Brands

Holdings,

Inc.

(a)(c)

726

57,913

Sprouts

Farmers

Market,

Inc.

*(a)

(c)

9,194

442,323

SS&C

Technologies

Holdings,

Inc.

(a)

1,122

68,565

State

Street

Corp.

(a)

12,266

950,124

Steel

Dynamics,

Inc.

(a)

5,396

637,268

Stellantis

NV

(2)(a)

47,584

1,114,924

STERIS

plc

(a)(c)

1,129

248,211

Stifel

Financial

Corp.

(a)

8,106

560,530

Sunrun,

Inc.

*(a)(c)

5,606

110,046

Super

Micro

Computer,

Inc.

*(a)

1,186

337,132

Swiss

Re

AG

(2)(a)

3,026

340,517

Synaptics,

Inc.

*(a)(c)

2,158

246,185

Synchrony

Financial

(a)(c)

34,703

1,325,308

Synopsys,

Inc.

*(a)(c)

1,051

541,170

Tapestry,

Inc.

(a)

15,981

588,261

Taylor

Morrison

Home

Corp.,

Class

A

*(a)(c)

20,519

1,094,689

TD

SYNNEX

Corp.

(a)(c)

10,334

1,112,042

TE

Connectivity

Ltd.

(a)

2,912

409,136

TEGNA,

Inc.

(a)

32,499

497,235

Teleflex,

Inc.

(a)(c)

1,747

435,597

Tenaris

SA

(2)(a)

72,329

1,258,031

Tenet

Healthcare

Corp.

*(a)

6,708

506,924

Teradata

Corp.

*(a)(c)

13,996

608,966

Teradyne,

Inc.

(a)

2,111

229,086

Terex

Corp.

(a)

17,946

1,031,177

Tetra

Tech,

Inc.

(a)

1,205

201,151

Texas

Roadhouse,

Inc.,

Class

A

(a)

4,320

528,034

Textron,

Inc.

(a)

15,315

1,231,632

Thermo

Fisher

Scientific,

Inc.

(a)

74

39,278

Thor

Industries,

Inc.

(a)(c)

2,690

318,093

Timken

Co.

(The)

(a)(c)

7,043

564,496

Toll

Brothers,

Inc.

(a)(c)

12,425

1,277,166

Travel

+

Leisure

Co.

(a)(c)

8,496

332,109

Travelers

Cos.,

Inc.

(The)

(a)

3,049

580,804

TripAdvisor,

Inc.

*(a)(c)

11,861

255,367

Tyson

Foods,

Inc.,

Class

A

(a)

1,491

80,141

UFP

Industries,

Inc.

(a)(c)

10,456

1,312,751

U-Haul

Holding

Co.

*(a)

252

18,094

UiPath,

Inc.,

Class

A

*(a)(c)

4,163

103,409

Ulta

Beauty,

Inc.

*(a)(c)

145

71,049

United

Rentals,

Inc.

(a)(c)

1,328

761,502

United

States

Steel

Corp.

(a)(c)

22,265

1,083,192

United

Therapeutics

Corp.

*(a)(c)

3,280

721,239

Universal

Display

Corp.

(a)(c)

865

165,440

Universal

Health

Services,

Inc.,

Class

B

(a)

3,325

506,863

Unum

Group

(a)

14,182

641,310

US

Foods

Holding

Corp.

*(a)(c)

8,874

402,968

Vail

Resorts,

Inc.

(a)(c)

929

198,314

Valero

Energy

Corp.

(a)

5,607

728,910

Valley

National

Bancorp

(a)

13,669

148,445

Veeva

Systems,

Inc.,

Class

A

*(a)

4,055

780,669

VeriSign,

Inc.

*(a)

2,632

542,087

INVESTMENTS

SHARES

VALUE

($)

United

States

-

125.5%

(continued)

Verisk

Analytics,

Inc.,

Class

A

(a)(c)

1,028

245,548

Verizon

Communications,

Inc.

(a)

28,022

1,056,429

Vertex

Pharmaceuticals,

Inc.

*(a)

2,076

844,704

Viasat,

Inc.

*(a)(c)

16,020

447,759

Viatris,

Inc.

(a)(c)

78,747

852,830

Vicor

Corp.

*(a)(c)

1,475

66,287

Victoria's

Secret

&

Co.

*(a)(c)

2,183

57,937

Vishay

Intertechnology,

Inc.

(a)(c)

31,056

744,412

Vistra

Corp.

(a)

19,194

739,353

Vontier

Corp.

(a)(c)

5,917

204,432

Voya

Financial,

Inc.

(a)(c)

1,595

116,371

Vulcan

Materials

Co.

(a)(c)

1,422

322,808

Walgreens

Boots

Alliance,

Inc.

(a)

(c)

14,962

390,658

Walmart,

Inc.

(a)

7,519

1,185,370

Warner

Bros

Discovery,

Inc.

*(a)(c)

12,934

147,189

Watts

Water

Technologies,

Inc.,

Class

A

(a)

1,875

390,638

Werner

Enterprises,

Inc.

(a)

9,924

420,480

WESCO

International,

Inc.

(a)(c)

3,728

648,225

Western

Union

Co.

(The)

(a)(c)

68,534

816,925

Westlake

Corp.

(a)(c)

5,028

703,719

Williams-Sonoma,

Inc.

(a)(c)

2,826

570,230

Wintrust

Financial

Corp.

(a)(c)

880

81,620

Woodward,

Inc.

(a)(c)

2,632

358,294

Workday,

Inc.,

Class

A

*(a)

2,135

589,388

Worthington

Enterprises,

Inc.

(a)

2,459

141,515

Worthington

Steel,

Inc.

*(a)

2,459

69,098

Wyndham

Hotels

&

Resorts,

Inc.

(a)(c)

1,567

126,002

Xcel

Energy,

Inc.

(a)

7,240

448,228

Ziff

Davis,

Inc.

*(a)(c)

2,499

167,908

Zimmer

Biomet

Holdings,

Inc.

(a)

3,294

400,880

Zions

Bancorp

NA

(a)(c)

7,094

311,214

Zoom

Video

Communications,

Inc.,

Class

A

*(a)

13,598

977,832

213,542,722

—

TOTAL

COMMON

STOCKS

(Cost

$289,177,308)

384,996,839

PREFERRED

STOCKS

-

0.1%

Germany

-

0.1%

Henkel

AG

&

Co.

KGaA

(Preference)

(2)(a)

(Cost

$71,317)

1,188

95,565

NO.

OF

WARRANTS

WARRANTS

-

0.0%

Canada

-

0.0%

Constellation

Software,

Inc.,

expiring

3/31/2040

(3)*

(Cost

$–)

65

–

40

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

57.0%

INVESTMENT

COMPANIES

-

40.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.19%

(d)(e)

2,680,693

2,680,693

J.P.

Morgan

U.S.

Treasury

Plus

Money

Market

Fund

-

IM

Shares,

5.41%

(d)(e)

316

316

Limited

Purpose

Cash

Investment

Fund,

5.37%

(d)

66,909,642

66,882,879

TOTAL

INVESTMENT

COMPANIES

(Cost

$69,552,128)

69,563,888

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

16.2%

U.S.

Treasury

Bills

5.41%,

1/11/2024

(2)(f)

$

222,000

221,710

5.39%,

1/18/2024

(2)(f)

3,883,000

3,873,886

5.41%,

1/25/2024

(2)(f)(g)

2,405,000

2,396,898

5.41%,

2/1/2024

(2)(f)

1,584,000

1,577,039

5.45%,

3/14/2024

(2)(f)

1,822,000

1,803,093

5.45%,

3/21/2024

(2)(f)

1,345,000

1,329,676

5.46%,

3/28/2024

(2)(f)

1,319,000

1,302,625

5.49%,

4/4/2024

(2)(f)

529,000

521,894

5.47%,

4/11/2024

(2)(f)

8,572,000

8,448,516

5.48%,

4/18/2024

(2)(f)(g)

4,022,000

3,959,930

5.47%,

4/25/2024

(2)(f)

2,096,000

2,061,662

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$27,485,702)

27,496,929

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$97,037,830)

97,060,817

TOTAL

LONG

POSITIONS

(Cost

$386,286,455)

482,153,221

SHARES

SHORT

POSITIONS

-

(219.9)%

COMMON

STOCKS

-

(218.9)%

Australia

-

(5.8)%

ALS

Ltd.

(2)

(9,762)

(85,505)

Alumina

Ltd.

(2)

(303,315)

(187,094)

Ampol

Ltd.

(2)

(3,002)

(73,985)

APA

Group

(2)

(63,947)

(372,142)

Cleanaway

Waste

Management

Ltd.

(2)

(52,633)

(96,490)

Cochlear

Ltd.

(2)

(623)

(126,747)

Commonwealth

Bank

of

Australia

(2)

(16,527)

(1,259,638)

Domino's

Pizza

Enterprises

Ltd.

(2)

(1,954)

(78,440)

Endeavour

Group

Ltd.

(2)

(109,926)

(390,381)

Evolution

Mining

Ltd.

(2)

(119,530)

(321,578)

IDP

Education

Ltd.

(2)

(64,660)

(882,037)

IGO

Ltd.

(2)

(40,857)

(251,807)

Insurance

Australia

Group

Ltd.

(2)

(78,220)

(302,349)

Liontown

Resources

Ltd.

(2)

(254,027)

(284,910)

Lynas

Rare

Earths

Ltd.

(2)

(128,255)

(626,043)

Macquarie

Group

Ltd.

(2)

(6,093)

(762,733)

Mineral

Resources

Ltd.

(2)

(13,042)

(621,238)

National

Australia

Bank

Ltd.

(2)

(20,383)

(426,023)

NEXTDC

Ltd.

(2)

(30,849)

(288,094)

Ramsay

Health

Care

Ltd.

(2)

(14,566)

(522,515)

INVESTMENTS

SHARES

VALUE

($)

Australia

-

(5.8)%

(continued)

Rio

Tinto

plc

(2)

(4,531)

(337,021)

SEEK

Ltd.

(2)

(11,105)

(202,033)

Seven

Group

Holdings

Ltd.

(2)

(1,979)

(49,815)

Transurban

Group

(2)

(29,890)

(279,304)

Treasury

Wine

Estates

Ltd.

(2)

(46,885)

(344,956)

WiseTech

Global

Ltd.

(2)

(9,922)

(508,548)

Woolworths

Group

Ltd.

(2)

(7,497)

(190,199)

(9,871,625)

—

Belgium

-

(1.3)%

Anheuser-Busch

InBev

SA/NV

(2)

(5,898)

(380,705)

D'ieteren

Group

(2)

(2,382)

(465,948)

Elia

Group

SA/NV

(2)

(1,781)

(222,937)

Galapagos

NV

(2)

(2,975)

(121,412)

KBC

Group

NV

(2)

(4,649)

(301,717)

Liberty

Global

Ltd.,

Class

C

(21,306)

(397,143)

Lotus

Bakeries

NV

(5)

(45,428)

UCB

SA

(2)

(2,733)

(238,240)

Umicore

SA

(2)

(3,525)

(96,962)

(2,270,492)

—

Brazil

-

(0.3)%

MercadoLibre,

Inc.

(262)

(411,744)

Wheaton

Precious

Metals

Corp.

(1,112)

(54,859)

(466,603)

—

Burkina

Faso

-

(0.0)%

†

Endeavour

Mining

plc

(2)

(2,224)

(49,765)

Canada

-

(9.6)%

Agnico

Eagle

Mines

Ltd.

(4,946)

(271,180)

Algonquin

Power

&

Utilities

Corp.

(138,548)

(874,126)

AltaGas

Ltd.

(1,860)

(39,052)

Aritzia,

Inc.

(25,793)

(535,306)

Barrick

Gold

Corp.

(11,823)

(213,609)

BCE,

Inc.

(6,561)

(258,320)

Boralex,

Inc.,

Class

A

(7,355)

(186,949)

Brookfield

Asset

Management

Ltd.,

Class

A

(7,033)

(282,477)

Brookfield

Corp.,

Class

A

(30,676)

(1,230,467)

CAE,

Inc.

(4,470)

(96,481)

Cameco

Corp.

(16,769)

(723,001)

Canadian

Pacific

Kansas

City

Ltd.

(6,362)

(503,371)

CCL

Industries,

Inc.,

Class

B

(4,191)

(188,477)

Cenovus

Energy,

Inc.

(15,663)

(261,001)

Colliers

International

Group,

Inc.

(3,386)

(428,281)

Element

Fleet

Management

Corp.

(20,472)

(333,102)

Enbridge,

Inc.

(18,617)

(670,187)

Franco-Nevada

Corp.

(4,650)

(515,060)

GFL

Environmental,

Inc.

(9,745)

(336,171)

Gildan

Activewear,

Inc.

(4,831)

(159,763)

Intact

Financial

Corp.

(2,056)

(316,317)

Keyera

Corp.

(11,987)

(289,758)

Kinaxis,

Inc.

(1,284)

(144,103)

Lumine

Group,

Inc.

(h)

(225)

(5,077)

Metro,

Inc.,

Class

A

(4,037)

(208,972)

Nuvei

Corp.

(b)

(9,080)

(238,538)

Pan

American

Silver

Corp.

(36,972)

(603,528)

Pembina

Pipeline

Corp.

(14,126)

(486,342)

PrairieSky

Royalty

Ltd.

(15,721)

(275,255)

41

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Canada

-

(9.6)%

(continued)

RB

Global,

Inc.

(12,312)

(823,897)

Rogers

Communications,

Inc.,

Class

B

(19,308)

(903,872)

Royal

Bank

of

Canada

(6,649)

(672,402)

Shopify,

Inc.,

Class

A

(8,508)

(662,379)

SNC-Lavalin

Group,

Inc.

(12,643)

(407,042)

SSR

Mining,

Inc.

(4,559)

(48,926)

TC

Energy

Corp.

(24,775)

(967,778)

Teck

Resources

Ltd.,

Class

B

(8,446)

(357,013)

Thomson

Reuters

Corp.

(1,601)

(234,075)

Toronto-Dominion

Bank

(The)

(6,975)

(450,700)

WSP

Global,

Inc.

(688)

(96,441)

(16,298,796)

—

Chile

-

(0.2)%

Antofagasta

plc

(2)

(19,045)

(407,220)

China

-

(0.4)%

Prosus

NV

(25,523)

(760,332)

Denmark

-

(3.3)%

Ambu

A/S,

Class

B

(2)

(7,848)

(122,263)

Coloplast

A/S,

Class

B

(2)

(1,123)

(128,321)

Demant

A/S

(2)

(2,130)

(93,422)

DSV

A/S

(2)

(4,749)

(834,431)

GN

Store

Nord

A/S

(2)

(5,896)

(150,032)

Novo

Nordisk

A/S,

Class

B

(2)

(7,356)

(762,311)

Novozymes

A/S,

Class

B

(2)

(9,897)

(544,072)

Orsted

A/S

(2)(b)

(6,593)

(365,493)

Tryg

A/S

(2)

(23,048)

(501,576)

Vestas

Wind

Systems

A/S

(2)

(64,709)

(2,047,504)

(5,549,425)

—

Finland

-

(1.1)%

Huhtamaki

OYJ

(2)

(2,230)

(90,514)

Kojamo

OYJ

(2)

(8,157)

(107,077)

Neste

OYJ

(2)

(12,673)

(450,523)

Nordea

Bank

Abp

(2)

(28,729)

(356,653)

Orion

OYJ,

Class

B

(2)

(1,396)

(60,491)

Sampo

OYJ,

Class

A

(2)

(14,935)

(654,338)

Stora

Enso

OYJ,

Class

R

(2)

(4,588)

(63,569)

UPM-Kymmene

OYJ

(2)

(3,690)

(139,189)

(1,922,354)

—

France

-

(6.8)%

Accor

SA

(2)

(6,402)

(245,043)

Aeroports

de

Paris

SA

(2)

(1,312)

(170,239)

Air

Liquide

SA

(2)

(2,340)

(455,587)

Airbus

SE

(2)

(4,630)

(715,281)

Alstom

SA

(2)

(18,155)

(244,825)

AXA

SA

(2)

(10,579)

(345,473)

BioMerieux

(2)

(1,137)

(126,502)

Bureau

Veritas

SA

(2)

(4,066)

(102,869)

Capgemini

SE

(2)

(1,695)

(354,241)

Cie

Generale

des

Etablissements

Michelin

SCA

(2)

(4,464)

(160,376)

Dassault

Systemes

SE

(2)

(26,364)

(1,290,446)

Edenred

SE

(2)

(8,451)

(505,748)

EssilorLuxottica

SA

(2)

(2,021)

(405,814)

Forvia

SE

(2)

(2,554)

(57,855)

Gaztransport

Et

Technigaz

SA

(2)

(257)

(34,044)

INVESTMENTS

SHARES

VALUE

($)

France

-

(6.8)%

(continued)

Getlink

SE

(2)

(5,027)

(92,069)

Hermes

International

SCA

(2)

(294)

(624,902)

Kering

SA

(2)

(347)

(153,686)

Legrand

SA

(2)

(560)

(58,316)

L'Oreal

SA

(2)

(2,040)

(1,016,942)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(2)

(1,403)

(1,139,990)

Pernod

Ricard

SA

(2)

(2,278)

(402,572)

Remy

Cointreau

SA

(2)

(741)

(94,518)

Renault

SA

(2)

(5,809)

(237,588)

Safran

SA

(2)

(1,480)

(260,939)

Sartorius

Stedim

Biotech

(2)

(4,036)

(1,070,277)

SOITEC

(2)

(2,886)

(516,434)

Teleperformance

SE

(2)

(722)

(105,706)

Thales

SA

(2)

(919)

(136,079)

Valeo

SE

(2)

(8,673)

(134,047)

Vivendi

SE

(2)

(13,300)

(142,376)

Worldline

SA

(2)(b)

(12,032)

(209,236)

(11,610,020)

—

Germany

-

(7.3)%

adidas

AG

(2)

(2,505)

(509,033)

Aroundtown

SA

(2)

(19,958)

(54,393)

Bayer

AG

(Registered)

(2)

(15,088)

(559,824)

Beiersdorf

AG

(2)

(3,447)

(516,205)

Carl

Zeiss

Meditec

AG

(2)

(5,567)

(605,992)

CTS

Eventim

AG

&

Co.

KGaA

(2)

(4,793)

(331,509)

Deutsche

Telekom

AG

(Registered)

(2)

(11,556)

(277,844)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(2)

(4,517)

(272,553)

HelloFresh

SE

(2)

(3,711)

(58,510)

Infineon

Technologies

AG

(2)

(12,392)

(517,522)

Merck

KGaA

(2)

(7,255)

(1,155,101)

MTU

Aero

Engines

AG

(2)

(1,612)

(347,299)

Nemetschek

SE

(2)

(4,109)

(354,749)

Puma

SE

(2)

(5,580)

(310,413)

Rational

AG

(2)

(182)

(140,441)

Rheinmetall

AG

(2)

(1,566)

(496,635)

RWE

AG

(2)

(10,804)

(491,721)

SAP

SE

(2)

(3,635)

(559,505)

Scout24

SE

(2)(b)

(821)

(58,054)

Siemens

AG

(Registered)

(2)

(3,846)

(721,545)

Siemens

Healthineers

AG

(2)(b)

(24,243)

(1,407,516)

Symrise

AG,

Class

A

(2)

(8,633)

(948,729)

TeamViewer

SE

(2)(b)

(6,938)

(107,765)

United

Internet

AG

(Registered)

(4,815)

(122,470)

Verbio

Vereinigte

Bioenergie

AG

(2)

(4,394)

(145,030)

Vonovia

SE

(2)

(35,836)

(1,126,028)

Zalando

SE

(2)(b)

(12,554)

(297,210)

(12,493,596)

—

Hong

Kong

-

(0.4)%

Prudential

plc

(2)

(53,882)

(607,934)

Italy

-

(3.9)%

Amplifon

SpA

(2)

(6,675)

(231,293)

Brunello

Cucinelli

SpA

(2)

(3,333)

(326,209)

Davide

Campari-Milano

NV

(2)

(6,439)

(72,714)

DiaSorin

SpA

(2)

(674)

(69,465)

42

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Italy

-

(3.9)%

(continued)

Enel

SpA

(2)

(97,605)

(726,163)

ERG

SpA

(2)

(23,873)

(761,597)

Ferrari

NV

(2)

(1,043)

(352,124)

FinecoBank

Banca

Fineco

SpA

(2)

(3,135)

(47,163)

Infrastrutture

Wireless

Italiane

SpA

(2)(b)

(26,719)

(338,287)

Interpump

Group

SpA

(2)

(9,125)

(473,413)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(2)

(3,307)

(40,980)

Moncler

SpA

(2)

(10,598)

(652,512)

Nexi

SpA

(2)(b)

(58,363)

(478,168)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(2)

(1,117)

(60,232)

Snam

SpA

(2)

(176,576)

(908,469)

Telecom

Italia

SpA

(727,457)

(236,265)

Terna

-

Rete

Elettrica

Nazionale

(2)

(100,966)

(842,325)

(6,617,379)

—

Japan

-

(30.6)%

ABC-Mart,

Inc.

(2)

(2,700)

(47,122)

Advantest

Corp.

(2)

(27,300)

(919,889)

Aeon

Co.

Ltd.

(2)

(33,800)

(754,230)

Ajinomoto

Co.,

Inc.

(2)

(9,000)

(346,444)

Asahi

Intecc

Co.

Ltd.

(2)

(14,400)

(292,016)

Asahi

Kasei

Corp.

(2)

(29,200)

(215,506)

Asics

Corp.

(2)

(1,000)

(31,216)

Azbil

Corp.

(2)

(3,200)

(105,543)

BayCurrent

Consulting,

Inc.

(2)

(5,400)

(189,033)

Bridgestone

Corp.

(2)

(13,900)

(574,089)

Calbee,

Inc.

(2)

(8,600)

(172,857)

Canon,

Inc.

(2)

(22,000)

(564,382)

Capcom

Co.

Ltd.

(2)

(5,400)

(174,262)

Chugai

Pharmaceutical

Co.

Ltd.

(2)

(9,200)

(347,561)

Concordia

Financial

Group

Ltd.

(2)

(23,400)

(106,661)

Cosmos

Pharmaceutical

Corp.

(2)

(2,200)

(253,901)

Daifuku

Co.

Ltd.

(2)

(13,300)

(268,181)

Daiichi

Sankyo

Co.

Ltd.

(2)

(27,300)

(747,385)

Daikin

Industries

Ltd.

(2)

(3,900)

(632,658)

Denso

Corp.

(2)

(2,100)

(31,526)

Disco

Corp.

(2)

(2,600)

(642,114)

East

Japan

Railway

Co.

(2)

(13,700)

(788,610)

Eisai

Co.

Ltd.

(2)

(20,600)

(1,025,698)

FANUC

Corp.

(2)

(19,800)

(581,113)

Fast

Retailing

Co.

Ltd.

(2)

(2,400)

(593,469)

FUJIFILM

Holdings

Corp.

(2)

(7,000)

(419,508)

GMO

Payment

Gateway,

Inc.

(2)

(10,500)

(727,694)

Hankyu

Hanshin

Holdings,

Inc.

(2)

(5,600)

(177,967)

Harmonic

Drive

Systems,

Inc.

(2)

(21,900)

(644,340)

Hikari

Tsushin,

Inc.

(2)

(800)

(132,215)

Hoshizaki

Corp.

(2)

(3,700)

(135,162)

Hoya

Corp.

(2)

(5,700)

(709,874)

Hulic

Co.

Ltd.

(2)

(12,400)

(129,532)

Ibiden

Co.

Ltd.

(2)

(11,800)

(650,956)

Japan

Airlines

Co.

Ltd.

(2)

(11,800)

(231,812)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(14,500)

(637,924)

Japan

Post

Bank

Co.

Ltd.

(2)

(3,800)

(38,672)

Japan

Tobacco,

Inc.

(2)

(19,700)

(508,757)

Kadokawa

Corp.

(2)

(13,100)

(266,099)

Kansai

Electric

Power

Co.,

Inc.

(The)

(2)

(10,200)

(135,375)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(30.6)%

(continued)

KDDI

Corp.

(2)

(9,700)

(307,670)

Keio

Corp.

(2)

(13,400)

(421,160)

Keisei

Electric

Railway

Co.

Ltd.

(2)

(6,200)

(292,582)

Keyence

Corp.

(2)

(2,600)

(1,142,327)

Kikkoman

Corp.

(2)

(6,300)

(384,973)

Kintetsu

Group

Holdings

Co.

Ltd.

(2)

(8,600)

(272,483)

Kobe

Bussan

Co.

Ltd.

(2)

(34,200)

(1,010,292)

Koei

Tecmo

Holdings

Co.

Ltd.

(2)

(7,000)

(79,744)

Kose

Corp.

(2)

(2,700)

(201,812)

Kubota

Corp.

(2)

(27,900)

(418,723)

Kurita

Water

Industries

Ltd.

(2)

(3,300)

(128,717)

Kyoto

Financial

Group,

Inc.

(2)

(15,600)

(242,385)

Kyowa

Kirin

Co.

Ltd.

(2)

(7,900)

(132,554)

Lasertec

Corp.

(2)

(7,600)

(1,995,203)

LY

Corp.

(2)

(61,300)

(216,774)

M3,

Inc.

(2)

(27,000)

(445,562)

Makita

Corp.

(2)

(6,800)

(187,037)

Marui

Group

Co.

Ltd.

(2)

(21,900)

(366,318)

MatsukiyoCocokara

&

Co.

(2)

(15,500)

(273,946)

Mercari,

Inc.

(2)

(36,500)

(674,071)

Mitsubishi

Estate

Co.

Ltd.

(2)

(60,900)

(834,822)

Mitsubishi

UFJ

Financial

Group,

Inc.

(2)

(128,500)

(1,102,805)

Mitsui

Fudosan

Co.

Ltd.

(2)

(1,600)

(39,120)

Mitsui

OSK

Lines

Ltd.

(2)

(16,100)

(514,721)

MonotaRO

Co.

Ltd.

(2)

(44,300)

(482,041)

Murata

Manufacturing

Co.

Ltd.

(2)

(24,700)

(521,960)

Nagoya

Railroad

Co.

Ltd.

(2)

(7,000)

(112,207)

NIDEC

Corp.

(2)

(16,900)

(681,191)

Nintendo

Co.

Ltd.

(2)

(7,000)

(364,237)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(69,900)

(563,837)

Nippon

Sanso

Holdings

Corp.

(2)

(5,500)

(146,864)

Nippon

Shinyaku

Co.

Ltd.

(2)

(2,000)

(70,748)

Nippon

Telegraph

&

Telephone

Corp.

(2)

(185,700)

(226,755)

Nissan

Chemical

Corp.

(2)

(10,500)

(408,856)

Nissan

Motor

Co.

Ltd.

(2)

(115,900)

(453,160)

Nissin

Foods

Holdings

Co.

Ltd.

(2)

(10,800)

(377,134)

Nitori

Holdings

Co.

Ltd.

(2)

(6,500)

(872,798)

Nomura

Research

Institute

Ltd.

(2)

(10,900)

(316,566)

NTT

Data

Group

Corp.

(2)

(32,400)

(457,995)

Obic

Co.

Ltd.

(2)

(2,600)

(447,343)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(13,900)

(211,666)

Omron

Corp.

(2)

(2,800)

(130,292)

Oriental

Land

Co.

Ltd.

(2)

(19,300)

(717,348)

Renesas

Electronics

Corp.

(2)

(6,500)

(116,226)

Resona

Holdings,

Inc.

(2)

(60,100)

(304,667)

Resonac

Holdings

Corp.

(2)

(24,300)

(482,910)

Rinnai

Corp.

(2)

(6,300)

(145,768)

Seibu

Holdings,

Inc.

(2)

(8,000)

(110,851)

Sekisui

House

Ltd.

(2)

(20,500)

(454,408)

Seven

&

i

Holdings

Co.

Ltd.

(2)

(4,800)

(189,838)

SG

Holdings

Co.

Ltd.

(2)

(28,200)

(404,272)

Sharp

Corp.

(2)

(39,000)

(277,583)

SHIFT,

Inc.

(2)

(1,200)

(303,940)

Shimadzu

Corp.

(2)

(5,200)

(144,992)

Shimano,

Inc.

(2)

(1,400)

(215,662)

Shiseido

Co.

Ltd.

(2)

(8,000)

(241,139)

43

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(30.6)%

(continued)

Shizuoka

Financial

Group,

Inc.

(2)

(9,400)

(79,486)

SMC

Corp.

(2)

(1,500)

(802,404)

SoftBank

Corp.

(2)

(25,500)

(317,774)

SoftBank

Group

Corp.

(2)

(20,600)

(909,252)

Sony

Group

Corp.

(2)

(10,100)

(955,792)

Sumitomo

Chemical

Co.

Ltd.

(2)

(88,500)

(215,120)

Sumitomo

Metal

Mining

Co.

Ltd.

(2)

(12,400)

(368,253)

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)

(18,200)

(885,609)

Sumitomo

Realty

&

Development

Co.

Ltd.

(2)

(3,300)

(97,792)

Suzuki

Motor

Corp.

(2)

(900)

(38,355)

Sysmex

Corp.

(2)

(4,600)

(255,716)

T&D

Holdings,

Inc.

(2)

(29,500)

(468,326)

Taiyo

Yuden

Co.

Ltd.

(2)

(8,200)

(216,053)

Takeda

Pharmaceutical

Co.

Ltd.

(2)

(28,100)

(805,853)

Terumo

Corp.

(2)

(18,400)

(601,699)

Tobu

Railway

Co.

Ltd.

(2)

(8,100)

(217,318)

Tokyo

Electron

Ltd.

(2)

(4,500)

(799,829)

Tokyu

Corp.

(2)

(31,100)

(379,205)

Toray

Industries,

Inc.

(2)

(9,100)

(47,138)

TOTO

Ltd.

(2)

(5,700)

(149,737)

Toyota

Motor

Corp.

(2)

(97,400)

(1,784,730)

Trend

Micro,

Inc.

(2)

(2,700)

(144,099)

Unicharm

Corp.

(2)

(10,200)

(368,907)

USS

Co.

Ltd.

(2)

(7,200)

(144,549)

Welcia

Holdings

Co.

Ltd.

(2)

(11,300)

(197,440)

West

Japan

Railway

Co.

(2)

(12,900)

(537,522)

Yakult

Honsha

Co.

Ltd.

(2)

(6,400)

(143,665)

Yamaha

Corp.

(2)

(18,200)

(419,230)

Yamaha

Motor

Co.

Ltd.

(2)

(20,100)

(178,857)

Yamato

Holdings

Co.

Ltd.

(2)

(5,500)

(101,494)

Yaskawa

Electric

Corp.

(2)

(17,000)

(707,572)

ZOZO,

Inc.

(2)

(8,400)

(189,581)

(52,120,765)

—

Luxembourg

-

(0.2)%

Eurofins

Scientific

SE

(2)

(4,608)

(300,591)

Netherlands

-

(3.3)%

Adyen

NV

(2)(b)

(1,324)

(1,709,206)

Aegon

Ltd.

(2)

(67)

(390)

Akzo

Nobel

NV

(2)

(909)

(75,271)

Argenx

SE

(2)

(851)

(323,694)

ASM

International

NV

(2)

(509)

(264,922)

ASML

Holding

NV

(2)

(1,083)

(817,543)

Heineken

NV

(2)

(4,693)

(476,806)

IMCD

NV

(2)

(4,150)

(722,779)

JDE

Peet's

NV

(2,233)

(60,050)

Koninklijke

Vopak

NV

(2)

(6,447)

(216,964)

OCI

NV

(2)

(1,756)

(50,891)

SBM

Offshore

NV

(2)

(12,866)

(176,760)

Universal

Music

Group

NV

(2)

(16,568)

(472,969)

Wolters

Kluwer

NV

(2)

(1,583)

(225,213)

(5,593,458)

—

New

Zealand

-

(0.1)%

Xero

Ltd.

(2)

(1,940)

(148,000)

INVESTMENTS

SHARES

VALUE

($)

Norway

-

(1.2)%

DNB

Bank

ASA

(2)

(19,748)

(419,868)

Gjensidige

Forsikring

ASA

(2)

(21,415)

(395,188)

Kongsberg

Gruppen

ASA

(2)

(3,464)

(158,585)

Mowi

ASA

(2)

(16,572)

(296,767)

Salmar

ASA

(2)

(4,761)

(266,639)

Schibsted

ASA,

Class

A

(2)

(4,967)

(142,999)

Telenor

ASA

(6,210)

(71,269)

TOMRA

Systems

ASA

(2)

(21,642)

(262,390)

(2,013,705)

—

Portugal

-

(0.1)%

EDP

-

Energias

de

Portugal

SA

(2)

(13,069)

(65,776)

Jeronimo

Martins

SGPS

SA

(2)

(2,113)

(53,777)

(119,553)

—

Singapore

-

(1.9)%

City

Developments

Ltd.

(2)

(46,400)

(233,624)

DBS

Group

Holdings

Ltd.

(2)

(16,900)

(427,381)

Grab

Holdings

Ltd.,

Class

A

(110,163)

(371,249)

Keppel,

REIT

(2)

(10,380)

(7,308)

Keppel

Corp.

Ltd.

(2)

(51,900)

(277,707)

Seatrium

Ltd.

(2)

(7,710,900)

(688,520)

Singapore

Technologies

Engineering

Ltd.

(2)

(88,900)

(261,784)

Singapore

Telecommunications

Ltd.

(2)

(542,600)

(1,015,751)

(3,283,324)

—

South

Africa

-

(0.1)%

Anglo

American

plc

(2)

(7,438)

(186,149)

South

Korea

-

(0.3)%

Delivery

Hero

SE

(2)(b)

(16,277)

(447,991)

Spain

-

(2.9)%

Aena

SME

SA

(2)(b)

(1,651)

(299,675)

Amadeus

IT

Group

SA

(2)

(12,858)

(923,481)

Bankinter

SA

(2)

(22,703)

(145,609)

Cellnex

Telecom

SA

(2)(b)

(19,493)

(767,498)

Corp.

ACCIONA

Energias

Renovables

SA

(2)

(16,976)

(526,868)

Endesa

SA

(2)

(6,008)

(122,570)

Fluidra

SA

(2)

(7,282)

(151,814)

Grifols

SA

(2)

(35,998)

(615,832)

Iberdrola

SA

(2)

(39,791)

(521,930)

Industria

de

Diseno

Textil

SA

(2)

(8,469)

(369,537)

Naturgy

Energy

Group

SA

(2)

(11,940)

(356,137)

Telefonica

SA

(2)

(12,983)

(50,762)

(4,851,713)

—

Sweden

-

(4.7)%

AddTech

AB,

Class

B

(2)

(12,346)

(271,644)

Alfa

Laval

AB

(2)

(3,902)

(156,213)

Assa

Abloy

AB,

Class

B

(2)

(7,411)

(213,579)

Atlas

Copco

AB,

Class

A

(2)

(33,351)

(574,675)

Autoliv,

Inc.

(1,298)

(143,027)

Beijer

Ref

AB,

Class

B

(2)

(17,567)

(235,731)

Castellum

AB

(2)

(21,972)

(311,975)

Electrolux

AB,

Class

B

(2)

(3,947)

(42,400)

Epiroc

AB,

Class

A

(2)

(14,416)

(290,178)

EQT

AB

(2)

(45,852)

(1,298,238)

44

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

(4.7)%

(continued)

Fastighets

AB

Balder,

Class

B

(2)

(41,355)

(293,284)

Hexagon

AB,

Class

B

(2)

(54,956)

(660,093)

Holmen

AB,

Class

B

(2)

(8,243)

(348,158)

Husqvarna

AB,

Class

B

(2)

(11,685)

(96,384)

Indutrade

AB

(2)

(2,591)

(67,528)

Lifco

AB,

Class

B

(2)

(14,671)

(360,186)

Nibe

Industrier

AB,

Class

B

(2)

(102,208)

(717,747)

Sagax

AB,

Class

B

(2)

(11,954)

(329,029)

Skandinaviska

Enskilda

Banken

AB,

Class

A

(2)

(10,764)

(148,551)

Svenska

Cellulosa

AB

SCA,

Class

B

(2)

(54,148)

(813,437)

Svenska

Handelsbanken

AB,

Class

A

(2)

(13,425)

(145,895)

Swedish

Orphan

Biovitrum

AB

(6,779)

(179,455)

Tele2

AB,

Class

B

(2)

(15,302)

(131,531)

Telefonaktiebolaget

LM

Ericsson,

Class

B

(2)

(9,748)

(61,346)

Telia

Co.

AB

(2)

(54,607)

(139,326)

(8,029,610)

—

Switzerland

-

(6.6)%

ABB

Ltd.

(Registered)

(2)

(12,363)

(548,894)

Alcon,

Inc.

(2)

(4,057)

(317,404)

Bachem

Holding

AG,

Class

B

(2)

(1,857)

(143,809)

Banque

Cantonale

Vaudoise

(Registered)

(2)

(2,994)

(386,133)

Barry

Callebaut

AG

(Registered)

(2)

(38)

(64,151)

Belimo

Holding

AG

(Registered)

(2)

(294)

(162,275)

Chocoladefabriken

Lindt

&

Spruengli

AG

(2)

(43)

(516,156)

Clariant

AG

(Registered)

(2)

(12,856)

(189,944)

DSM-Firmenich

AG

(2)

(15,020)

(1,527,435)

EMS-Chemie

Holding

AG

(Registered)

(2)

(310)

(251,357)

Givaudan

SA

(Registered)

(2)

(244)

(1,011,798)

Helvetia

Holding

AG

(Registered)

(2)

(664)

(91,557)

Julius

Baer

Group

Ltd.

(2)

(3,855)

(216,258)

Lonza

Group

AG

(Registered)

(2)

(974)

(410,625)

Partners

Group

Holding

AG

(2)

(338)

(488,732)

PSP

Swiss

Property

AG

(Registered)

(2)

(1,454)

(203,282)

SIG

Group

AG

(2)

(22,162)

(510,413)

Sika

AG

(Registered)

(2)

(4,823)

(1,572,666)

Straumann

Holding

AG

(Registered)

(2)

(4,917)

(794,601)

Swiss

Prime

Site

AG

(Registered)

(2)

(1,312)

(140,178)

Temenos

AG

(Registered)

(2)

(5,352)

(498,743)

VAT

Group

AG

(2)(b)

(1,210)

(607,732)

Zurich

Insurance

Group

AG

(2)

(1,006)

(525,964)

(11,180,107)

—

United

Kingdom

-

(7.3)%

Admiral

Group

plc

(2)

(2,629)

(89,882)

Ashtead

Group

plc

(2)

(1,602)

(111,350)

Associated

British

Foods

plc

(2)

(2,019)

(60,851)

AstraZeneca

plc

(2)

(8,068)

(1,088,292)

Beazley

plc

(2)

(21,281)

(141,425)

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

(7.3)%

(continued)

Berkeley

Group

Holdings

plc

(2)

(2,061)

(123,044)

CNH

Industrial

NV

(2)

(12,685)

(155,557)

ConvaTec

Group

plc

(2)(b)

(61,992)

(192,912)

Croda

International

plc

(2)

(7,189)

(462,425)

Diageo

plc

(2)

(19,203)

(696,976)

Diploma

plc

(2)

(4,879)

(222,832)

Direct

Line

Insurance

Group

plc

(2)

(57,068)

(132,158)

easyJet

plc

(2)

(24,272)

(157,459)

Entain

plc

(2)

(3,068)

(38,691)

Halma

plc

(2)

(11,103)

(322,830)

Harbour

Energy

plc

(2)

(67,420)

(264,891)

Hargreaves

Lansdown

plc

(2)

(9,060)

(84,674)

Hiscox

Ltd.

(9,839)

(132,185)

Informa

plc

(2)

(50,548)

(502,771)

Intermediate

Capital

Group

plc

(2)

(17,990)

(384,329)

Legal

&

General

Group

plc

(2)

(52,258)

(167,000)

M&G

plc

(2)

(131,455)

(372,033)

Melrose

Industries

plc

(2)

(32,232)

(232,985)

National

Grid

plc

(2)

(55,101)

(742,283)

Ocado

Group

plc

(2)

(12,643)

(122,131)

Persimmon

plc

(2)

(14,544)

(257,082)

Reckitt

Benckiser

Group

plc

(2)

(11,250)

(776,288)

RELX

plc

(2)

(19,506)

(773,878)

Sage

Group

plc

(The)

(2)

(30,473)

(454,926)

Smith

&

Nephew

plc

(2)

(13,001)

(178,596)

Spirax-Sarco

Engineering

plc

(2)

(3,375)

(451,560)

SSE

plc

(2)

(18,172)

(428,968)

St

James's

Place

plc

(2)

(24,422)

(212,479)

Tate

&

Lyle

plc

(5,358)

(45,007)

TechnipFMC

plc

(7,136)

(143,719)

Unilever

plc

(2)

(6,739)

(326,242)

Weir

Group

plc

(The)

(2)

(8,209)

(197,250)

WH

Smith

plc

(2)

(4,027)

(68,383)

Wise

plc,

Class

A

(2)

(56,918)

(633,013)

WPP

plc

(2)

(43,708)

(417,494)

(12,366,851)

—

United

States

-

(119.1)%

10X

Genomics,

Inc.,

Class

A

(12,973)

(725,969)

Acadia

Healthcare

Co.,

Inc.

(6,566)

(510,572)

ADT,

Inc.

(18,718)

(127,657)

Advanced

Drainage

Systems,

Inc.

(2,286)

(321,503)

Advanced

Micro

Devices,

Inc.

(1,706)

(251,481)

AECOM

(4,256)

(393,382)

AES

Corp.

(The)

(34,133)

(657,060)

Affirm

Holdings,

Inc.,

Class

A

(9,020)

(443,243)

agilon

health,

Inc.

(43,317)

(543,628)

Air

Lease

Corp.,

Class

A

(2,925)

(122,675)

Air

Products

and

Chemicals,

Inc.

(3,237)

(886,291)

Alaska

Air

Group,

Inc.

(11,785)

(460,440)

Alcoa

Corp.

(15,317)

(520,778)

Allegion

plc

(1,881)

(238,304)

Alliant

Energy

Corp.

(11,152)

(572,098)

Allstate

Corp.

(The)

(2,006)

(280,800)

Alnylam

Pharmaceuticals,

Inc.

(1,552)

(297,068)

Alteryx,

Inc.,

Class

A

(20,042)

(945,181)

Amazon.com,

Inc.

(3,801)

(577,524)

Amcor

plc

(45,355)

(437,222)

Ameren

Corp.

(2,000)

(144,680)

American

Airlines

Group,

Inc.

(40,969)

(562,914)

45

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(119.1)%

(continued)

American

Electric

Power

Co.,

Inc.

(5,296)

(430,141)

American

Express

Co.

(3,967)

(743,178)

American

Financial

Group,

Inc.

(919)

(109,260)

American

Water

Works

Co.,

Inc.

(5,942)

(784,285)

AMETEK,

Inc.

(3,084)

(508,521)

Amphenol

Corp.,

Class

A

(3,944)

(390,969)

Antero

Resources

Corp.

(23,256)

(527,446)

Aon

plc,

Class

A

(1,186)

(345,150)

Apellis

Pharmaceuticals,

Inc.

(8,777)

(525,391)

AptarGroup,

Inc.

(3,124)

(386,189)

Aptiv

plc

(10,263)

(920,796)

Armstrong

World

Industries,

Inc.

(2,078)

(204,309)

Arrowhead

Pharmaceuticals,

Inc.

(15,571)

(476,473)

Arthur

J

Gallagher

&

Co.

(3,859)

(867,812)

Ashland,

Inc.

(5,945)

(501,223)

Aspen

Technology,

Inc.

(1,906)

(419,606)

Atlassian

Corp.,

Class

A

(447)

(106,323)

Atmos

Energy

Corp.

(1,391)

(161,217)

Automatic

Data

Processing,

Inc.

(1,977)

(460,582)

AutoZone,

Inc.

(112)

(289,588)

Avery

Dennison

Corp.

(3,089)

(624,472)

Avis

Budget

Group,

Inc.

(1,056)

(187,187)

Axalta

Coating

Systems

Ltd.

(5,587)

(189,790)

Axon

Enterprise,

Inc.

(1,498)

(386,978)

AZEK

Co.,

Inc.

(The),

Class

A

(2,329)

(89,084)

Azenta,

Inc.

(8,788)

(572,450)

Ball

Corp.

(11,230)

(645,950)

Bank

of

America

Corp.

(9,313)

(313,569)

Bath

&

Body

Works,

Inc.

(3,102)

(133,882)

Becton

Dickinson

&

Co.

(1,612)

(393,054)

Bentley

Systems,

Inc.,

Class

B

(3,525)

(183,935)

BILL

Holdings,

Inc.

(6,773)

(552,609)

BioMarin

Pharmaceutical,

Inc.

(6,131)

(591,151)

Bio-Rad

Laboratories,

Inc.,

Class

A

(1,069)

(345,169)

Bio-Techne

Corp.

(4,130)

(318,671)

BJ's

Wholesale

Club

Holdings,

Inc.

(5,865)

(390,961)

BlackRock,

Inc.

(1,023)

(830,471)

Block,

Inc.,

Class

A

(4,935)

(381,722)

Boeing

Co.

(The)

(2,695)

(702,479)

BOK

Financial

Corp.

(3,930)

(336,605)

Booz

Allen

Hamilton

Holding

Corp.,

Class

A

(2,485)

(317,856)

Boston

Scientific

Corp.

(10,788)

(623,654)

Bright

Horizons

Family

Solutions,

Inc.

(4,957)

(467,148)

Brink's

Co.

(The)

(1,700)

(149,515)

Broadridge

Financial

Solutions,

Inc.

(1,791)

(368,498)

Brookfield

Renewable

Corp.,

Class

A

(3,986)

(114,732)

Brown

&

Brown,

Inc.

(483)

(34,346)

Brown-Forman

Corp.,

Class

B

(13,931)

(795,460)

Burlington

Stores,

Inc.

(2,202)

(428,245)

Cable

One,

Inc.

(536)

(298,332)

Cadence

Bank

(19,994)

(591,622)

Calix,

Inc.

(1,303)

(56,928)

Campbell

Soup

Co.

(3,344)

(144,561)

CarMax,

Inc.

(5,764)

(442,329)

Carnival

Corp.

(19,886)

(368,686)

Catalent,

Inc.

(10,226)

(459,454)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(119.1)%

(continued)

CCC

Intelligent

Solutions

Holdings,

Inc.

(6,920)

(78,819)

CDW

Corp.

(1,926)

(437,818)

Celsius

Holdings,

Inc.

(6,048)

(329,737)

CenterPoint

Energy,

Inc.

(14,507)

(414,465)

Ceridian

HCM

Holding,

Inc.

(6,571)

(441,046)

Certara,

Inc.

(7,159)

(125,927)

Charles

Schwab

Corp.

(The)

(7,345)

(505,336)

Chart

Industries,

Inc.

(5,340)

(728,002)

Charter

Communications,

Inc.,

Class

A

(1,239)

(481,575)

Chemed

Corp.

(646)

(377,749)

Cheniere

Energy,

Inc.

(1,188)

(202,803)

Chewy,

Inc.,

Class

A

(7,318)

(172,924)

Chipotle

Mexican

Grill,

Inc.,

Class

A

(114)

(260,713)

Choice

Hotels

International,

Inc.

(767)

(86,901)

Chubb

Ltd.

(788)

(178,088)

Church

&

Dwight

Co.,

Inc.

(4,107)

(388,358)

Churchill

Downs,

Inc.

(3,743)

(505,043)

Ciena

Corp.

(6,698)

(301,477)

Cincinnati

Financial

Corp.

(4,078)

(421,910)

Clarivate

plc

(19,394)

(179,588)

Clearway

Energy,

Inc.,

Class

C

(6,423)

(176,183)

Clorox

Co.

(The)

(1,759)

(250,816)

Cloudflare,

Inc.,

Class

A

(6,195)

(515,796)

CME

Group,

Inc.

(3,177)

(669,076)

CMS

Energy

Corp.

(9,952)

(577,913)

CNX

Resources

Corp.

(10,299)

(205,980)

Cognex

Corp.

(14,265)

(595,421)

Coherent

Corp.

(10,299)

(448,315)

Coinbase

Global,

Inc.,

Class

A

(3,965)

(689,593)

Commerce

Bancshares,

Inc.

(16,257)

(868,286)

Conagra

Brands,

Inc.

(9,157)

(262,440)

Confluent,

Inc.,

Class

A

(35,553)

(831,940)

ConocoPhillips

(4,353)

(505,253)

Constellation

Energy

Corp.

(973)

(113,734)

Core

&

Main,

Inc.,

Class

A

(3,505)

(141,637)

Corning,

Inc.

(9,610)

(292,625)

Corteva,

Inc.

(22,588)

(1,082,417)

CoStar

Group,

Inc.

(11,640)

(1,017,220)

Costco

Wholesale

Corp.

(961)

(634,337)

Crane

Co.

(3,083)

(364,226)

Credit

Acceptance

Corp.

(807)

(429,913)

Crocs,

Inc.

(1,719)

(160,572)

Crown

Holdings,

Inc.

(5,623)

(517,822)

CSL

Ltd.

(2)

(8,249)

(1,608,135)

CSX

Corp.

(8,159)

(282,873)

Cullen/Frost

Bankers,

Inc.

(6,161)

(668,407)

Darling

Ingredients,

Inc.

(3,830)

(190,887)

Datadog,

Inc.,

Class

A

(3,943)

(478,601)

DaVita,

Inc.

(1,724)

(180,606)

Deere

&

Co.

(1,725)

(689,776)

Definitive

Healthcare

Corp.,

Class

A

(18,082)

(179,735)

Delta

Air

Lines,

Inc.

(10,034)

(403,668)

Dexcom,

Inc.

(5,046)

(626,158)

Dollar

General

Corp.

(4,388)

(596,549)

Dollar

Tree,

Inc.

(4,075)

(578,854)

Dominion

Energy,

Inc.

(14,983)

(704,201)

DoorDash,

Inc.,

Class

A

(2,037)

(201,439)

DoubleVerify

Holdings,

Inc.

(5,822)

(214,133)

46

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(119.1)%

(continued)

DR

Horton,

Inc.

(2,180)

(331,316)

DraftKings,

Inc.,

Class

A

(10,334)

(364,274)

Driven

Brands

Holdings,

Inc.

(7,590)

(108,233)

DT

Midstream,

Inc.

(9,446)

(517,641)

DTE

Energy

Co.

(3,665)

(404,103)

Duke

Energy

Corp.

(8,151)

(790,973)

Dun

&

Bradstreet

Holdings,

Inc.

(17,793)

(208,178)

DuPont

de

Nemours,

Inc.

(6,725)

(517,354)

Dynatrace,

Inc.

(3,976)

(217,447)

East

West

Bancorp,

Inc.

(2,529)

(181,962)

Eaton

Corp.

plc

(1,817)

(437,570)

Ecolab,

Inc.

(2,110)

(418,519)

Edison

International

(7,900)

(564,771)

Edwards

Lifesciences

Corp.

(1,772)

(135,115)

Elanco

Animal

Health,

Inc.

(17,799)

(265,205)

Elastic

NV

(478)

(53,871)

Element

Solutions,

Inc.

(7,641)

(176,813)

Emerson

Electric

Co.

(5,336)

(519,353)

Enphase

Energy,

Inc.

(1,278)

(168,875)

Entegris,

Inc.

(3,231)

(387,138)

Envestnet,

Inc.

(15,065)

(746,019)

EQT

Corp.

(2,985)

(115,400)

Equifax,

Inc.

(3,054)

(755,224)

Equitrans

Midstream

Corp.

(6,639)

(67,585)

Essential

Utilities,

Inc.

(7,324)

(273,551)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

(3,303)

(483,064)

Etsy,

Inc.

(4,530)

(367,157)

Eversource

Energy

(3,559)

(219,661)

Exelon

Corp.

(14,230)

(510,857)

ExlService

Holdings,

Inc.

(5,146)

(158,754)

Experian

plc

(2)

(10,629)

(433,614)

Exponent,

Inc.

(2,605)

(229,344)

FactSet

Research

Systems,

Inc.

(1,210)

(577,231)

Ferrovial

SE

(2)

(20,841)

(760,715)

Fifth

Third

Bancorp

(8,705)

(300,235)

First

Citizens

BancShares,

Inc.,

Class

A

(231)

(327,782)

First

Financial

Bankshares,

Inc.

(32,258)

(977,417)

First

Hawaiian,

Inc.

(18,727)

(428,099)

First

Solar,

Inc.

(1,029)

(177,276)

FirstEnergy

Corp.

(17,502)

(641,623)

Five

Below,

Inc.

(3,539)

(754,373)

Five9,

Inc.

(6,682)

(525,807)

Floor

&

Decor

Holdings,

Inc.,

Class

A

(7,267)

(810,707)

FMC

Corp.

(10,921)

(688,569)

Fortune

Brands

Innovations,

Inc.

(1,166)

(88,779)

Fox

Factory

Holding

Corp.

(4,189)

(282,674)

Freeport-McMoRan,

Inc.

(20,051)

(853,571)

Freshpet,

Inc.

(9,520)

(825,955)

Frontier

Communications

Parent,

Inc.

(20,954)

(530,974)

FTI

Consulting,

Inc.

(1,373)

(273,433)

Garmin

Ltd.

(2,237)

(287,544)

GATX

Corp.

(2,541)

(305,479)

Generac

Holdings,

Inc.

(945)

(122,132)

General

Mills,

Inc.

(4,950)

(322,443)

Ginkgo

Bioworks

Holdings,

Inc.,

Class

A

(21,268)

(35,943)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(119.1)%

(continued)

Gitlab,

Inc.,

Class

A

(3,641)

(229,237)

Glacier

Bancorp,

Inc.

(24,897)

(1,028,744)

Globant

SA

(502)

(119,466)

Globe

Life,

Inc.

(1,983)

(241,371)

Goldman

Sachs

Group,

Inc.

(The)

(1,260)

(486,070)

Graphic

Packaging

Holding

Co.

(4,421)

(108,978)

Grocery

Outlet

Holding

Corp.

(16,251)

(438,127)

Guidewire

Software,

Inc.

(1,281)

(139,680)

GXO

Logistics,

Inc.

(1,417)

(86,664)

Hancock

Whitney

Corp.

(2,180)

(105,926)

Hanover

Insurance

Group,

Inc.

(The)

(1,580)

(191,844)

Harley-Davidson,

Inc.

(10,686)

(393,672)

Hasbro,

Inc.

(12,703)

(648,615)

HashiCorp,

Inc.,

Class

A

(13,169)

(311,315)

Hayward

Holdings,

Inc.

(7,528)

(102,381)

HealthEquity,

Inc.

(5,944)

(394,087)

HEICO

Corp.

(1,835)

(328,226)

Helen

of

Troy

Ltd.

(1,843)

(222,653)

Hershey

Co.

(The)

(3,885)

(724,319)

Hertz

Global

Holdings,

Inc.

(6,795)

(70,600)

Hilton

Worldwide

Holdings,

Inc.

(2,999)

(546,088)

Home

BancShares,

Inc.

(24,177)

(612,403)

Home

Depot,

Inc.

(The)

(891)

(308,776)

Honeywell

International,

Inc.

(1,248)

(261,718)

Hormel

Foods

Corp.

(15,227)

(488,939)

Houlihan

Lokey,

Inc.,

Class

A

(1,596)

(191,376)

Howard

Hughes

Holdings,

Inc.

(4,591)

(392,760)

Hyatt

Hotels

Corp.,

Class

A

(3,820)

(498,166)

ICU

Medical,

Inc.

(788)

(78,595)

IDACORP,

Inc.

(1,466)

(144,137)

IDEX

Corp.

(2,189)

(475,254)

IDEXX

Laboratories,

Inc.

(586)

(325,259)

Illinois

Tool

Works,

Inc.

(1,471)

(385,314)

Illumina,

Inc.

(6,854)

(954,351)

Inari

Medical,

Inc.

(4,669)

(303,111)

Ingersoll

Rand,

Inc.

(2,871)

(222,043)

Inspire

Medical

Systems,

Inc.

(1,969)

(400,554)

Insulet

Corp.

(4,702)

(1,020,240)

Intel

Corp.

(4,885)

(245,471)

Intercontinental

Exchange,

Inc.

(4,413)

(566,762)

International

Bancshares

Corp.

(1,045)

(56,764)

International

Flavors

&

Fragrances,

Inc.

(7,044)

(570,353)

Interpublic

Group

of

Cos.,

Inc.

(The)

(6,542)

(213,531)

Intuitive

Surgical,

Inc.

(1,358)

(458,135)

Ionis

Pharmaceuticals,

Inc.

(9,037)

(457,182)

Iridium

Communications,

Inc.

(16,352)

(673,048)

J

M

Smucker

Co.

(The)

(2,245)

(283,723)

Jack

Henry

&

Associates,

Inc.

(3,288)

(537,292)

James

Hardie

Industries

plc,

CHESS

(2)

(30,060)

(1,158,991)

JPMorgan

Chase

&

Co.

(4,891)

(831,959)

Juniper

Networks,

Inc.

(8,976)

(264,612)

Karuna

Therapeutics,

Inc.

(2,008)

(635,552)

KBR,

Inc.

(4,367)

(241,975)

Kellanova

(5,759)

(321,986)

Kemper

Corp.

(3,969)

(193,171)

KeyCorp

(30,673)

(441,691)

Kinder

Morgan,

Inc.

(35,475)

(625,779)

47

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(119.1)%

(continued)

Kinsale

Capital

Group,

Inc.

(924)

(309,457)

Kirby

Corp.

(566)

(44,420)

Knife

River

Corp.

(6,702)

(443,538)

Kraft

Heinz

Co.

(The)

(13,901)

(514,059)

Laboratory

Corp.

of

America

Holdings

(1,600)

(363,664)

Lamb

Weston

Holdings,

Inc.

(6,855)

(740,957)

Lancaster

Colony

Corp.

(297)

(49,418)

Lantheus

Holdings,

Inc.

(1,719)

(106,578)

Las

Vegas

Sands

Corp.

(3,597)

(177,008)

Leggett

&

Platt,

Inc.

(11,714)

(306,555)

Lennox

International,

Inc.

(1,002)

(448,415)

Liberty

Broadband

Corp.,

Class

C

(3,047)

(245,558)

Light

&

Wonder,

Inc.

(3,910)

(321,050)

Linde

plc

(1,200)

(492,852)

Lithia

Motors,

Inc.,

Class

A

(253)

(83,308)

Littelfuse,

Inc.

(605)

(161,874)

LivaNova

plc

(1,896)

(98,099)

Louisiana-Pacific

Corp.

(5,192)

(367,749)

Lowe's

Cos.,

Inc.

(1,136)

(252,817)

LPL

Financial

Holdings,

Inc.

(542)

(123,370)

Lululemon

Athletica,

Inc.

(548)

(280,187)

Lumentum

Holdings,

Inc.

(7,734)

(405,416)

Lyft,

Inc.,

Class

A

(24,089)

(361,094)

Madison

Square

Garden

Sports

Corp.,

Class

A

(3,791)

(689,318)

Maravai

LifeSciences

Holdings,

Inc.,

Class

A

(21,488)

(140,746)

MarketAxess

Holdings,

Inc.

(1,351)

(395,640)

Marsh

&

McLennan

Cos.,

Inc.

(3,691)

(699,334)

Marvell

Technology,

Inc.

(4,849)

(292,443)

Masimo

Corp.

(2,435)

(285,406)

MasTec,

Inc.

(3,499)

(264,944)

Mastercard,

Inc.,

Class

A

(2,677)

(1,141,767)

Match

Group,

Inc.

(5,815)

(212,248)

McCormick

&

Co.,

Inc.

(Non-Voting)

(7,951)

(544,007)

MDU

Resources

Group,

Inc.

(8,295)

(164,241)

Merck

&

Co.,

Inc.

(3,573)

(389,528)

Mercury

Systems,

Inc.

(14,864)

(543,576)

Micron

Technology,

Inc.

(10,130)

(864,494)

Mister

Car

Wash,

Inc.

(24,394)

(210,764)

MKS

Instruments,

Inc.

(522)

(53,698)

Moderna,

Inc.

(6,889)

(685,111)

Mondelez

International,

Inc.,

Class

A

(11,735)

(849,966)

MongoDB,

Inc.,

Class

A

(1,040)

(425,204)

Monolithic

Power

Systems,

Inc.

(280)

(176,618)

Moody's

Corp.

(1,412)

(551,471)

Morgan

Stanley

(8,056)

(751,222)

Morningstar,

Inc.

(127)

(36,352)

Motorola

Solutions,

Inc.

(2,732)

(855,362)

MP

Materials

Corp.

(52,353)

(1,039,207)

MSA

Safety,

Inc.

(1,592)

(268,777)

MSCI,

Inc.,

Class

A

(1,126)

(636,922)

Nasdaq,

Inc.

(8,443)

(490,876)

Natera,

Inc.

(4,809)

(301,236)

nCino,

Inc.

(4,294)

(144,407)

Neogen

Corp.

(21,550)

(433,371)

Nestle

SA

(Registered)

(2)

(11,818)

(1,369,941)

Netflix,

Inc.

(1,477)

(719,122)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(119.1)%

(continued)

New

Fortress

Energy,

Inc.

(3,736)

(140,959)

New

Jersey

Resources

Corp.

(5,740)

(255,889)

New

York

Times

Co.

(The),

Class

A

(2,615)

(128,109)

Newell

Brands,

Inc.

(60,202)

(522,553)

Newmont

Corp.

(16,418)

(679,541)

News

Corp.,

Class

A

(9,207)

(226,032)

NextEra

Energy,

Inc.

(18,490)

(1,123,083)

NIKE,

Inc.,

Class

B

(5,221)

(566,844)

NiSource,

Inc.

(4,464)

(118,519)

Nordson

Corp.

(490)

(129,438)

Norfolk

Southern

Corp.

(2,085)

(492,852)

Northrop

Grumman

Corp.

(975)

(456,437)

Norwegian

Cruise

Line

Holdings

Ltd.

(29,393)

(589,036)

Novanta,

Inc.

(2,419)

(407,384)

Novocure

Ltd.

(19,086)

(284,954)

NRG

Energy,

Inc.

(15,891)

(821,565)

Occidental

Petroleum

Corp.

(3,175)

(189,579)

Okta,

Inc.,

Class

A

(2,068)

(187,216)

Old

Dominion

Freight

Line,

Inc.

(706)

(286,163)

Old

National

Bancorp

(9,135)

(154,290)

Ollie's

Bargain

Outlet

Holdings,

Inc.

(1,151)

(87,349)

Omnicom

Group,

Inc.

(1,931)

(167,051)

ONE

Gas,

Inc.

(677)

(43,138)

ONEOK,

Inc.

(3,567)

(250,475)

Option

Care

Health,

Inc.

(10,419)

(351,016)

Oracle

Corp.

(3,824)

(403,164)

O'Reilly

Automotive,

Inc.

(338)

(321,127)

Ormat

Technologies,

Inc.

(5,765)

(436,929)

Otis

Worldwide

Corp.

(4,071)

(364,232)

Palantir

Technologies,

Inc.,

Class

A

(10,141)

(174,121)

Paramount

Global,

Class

B

(27,009)

(399,463)

Parker-Hannifin

Corp.

(770)

(354,739)

Paycom

Software,

Inc.

(889)

(183,774)

Paycor

HCM,

Inc.

(15,952)

(344,404)

Paylocity

Holding

Corp.

(1,864)

(307,280)

Peloton

Interactive,

Inc.,

Class

A

(30,452)

(185,453)

Penumbra,

Inc.

(2,069)

(520,436)

Permian

Resources

Corp.,

Class

A

(25,466)

(346,338)

Perrigo

Co.

plc

(10,960)

(352,693)

Pfizer,

Inc.

(6,542)

(188,344)

Philip

Morris

International,

Inc.

(5,090)

(478,867)

Pinnacle

Financial

Partners,

Inc.

(2,489)

(217,091)

Planet

Fitness,

Inc.,

Class

A

(3,481)

(254,113)

Plug

Power,

Inc.

(45,474)

(204,633)

PNC

Financial

Services

Group,

Inc.

(The)

(2,742)

(424,599)

Pool

Corp.

(1,552)

(618,798)

PPL

Corp.

(9,555)

(258,941)

Principal

Financial

Group,

Inc.

(3,301)

(259,690)

Procore

Technologies,

Inc.

(4,713)

(326,234)

Progressive

Corp.

(The)

(1,105)

(176,004)

Progyny,

Inc.

(1,879)

(69,861)

Prosperity

Bancshares,

Inc.

(7,113)

(481,763)

PTC,

Inc.

(2,032)

(355,519)

Public

Service

Enterprise

Group,

Inc.

(4,551)

(278,294)

Quanta

Services,

Inc.

(3,424)

(738,899)

QuantumScape

Corp.

(8,883)

(61,737)

Quest

Diagnostics,

Inc.

(5,329)

(734,763)

48

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(119.1)%

(continued)

R1

RCM,

Inc.

(22,299)

(235,700)

Range

Resources

Corp.

(12,431)

(378,400)

RBC

Bearings,

Inc.

(1,371)

(390,584)

Regions

Financial

Corp.

(7,852)

(152,172)

RenaissanceRe

Holdings

Ltd.

(709)

(138,964)

Repligen

Corp.

(4,308)

(774,578)

ResMed,

Inc.

(2,454)

(422,137)

Revvity,

Inc.

(4,397)

(480,636)

RH

(1,363)

(397,287)

Rivian

Automotive,

Inc.,

Class

A

(18,483)

(433,611)

RLI

Corp.

(2,682)

(357,028)

Robinhood

Markets,

Inc.,

Class

A

(35,659)

(454,296)

ROBLOX

Corp.,

Class

A

(10,768)

(492,313)

Rockwell

Automation,

Inc.

(1,947)

(604,505)

Roivant

Sciences

Ltd.

(23,900)

(268,397)

Roku,

Inc.,

Class

A

(6,198)

(568,109)

Rollins,

Inc.

(8,674)

(378,794)

Royal

Gold,

Inc.

(4,744)

(573,834)

Royalty

Pharma

plc,

Class

A

(7,862)

(220,844)

Ryan

Specialty

Holdings,

Inc.,

Class

A

(1,691)

(72,747)

S&P

Global,

Inc.

(653)

(287,660)

Saia,

Inc.

(422)

(184,929)

Schlumberger

NV

(11,030)

(574,001)

Schneider

Electric

SE

(2)

(4,441)

(894,001)

Scotts

Miracle-Gro

Co.

(The)

(7,074)

(450,968)

Sealed

Air

Corp.

(12,900)

(471,108)

Selective

Insurance

Group,

Inc.

(342)

(34,022)

Sempra

(4,282)

(319,994)

SentinelOne,

Inc.,

Class

A

(27,068)

(742,746)

Service

Corp.

International

(10,890)

(745,421)

Sherwin-Williams

Co.

(The)

(1,374)

(428,551)

Shift4

Payments,

Inc.,

Class

A

(1,227)

(91,215)

Shockwave

Medical,

Inc.

(2,993)

(570,346)

Silicon

Laboratories,

Inc.

(2,152)

(284,645)

SiteOne

Landscape

Supply,

Inc.

(1,145)

(186,063)

SLM

Corp.

(23,409)

(447,580)

Smartsheet,

Inc.,

Class

A

(3,124)

(149,390)

Snap,

Inc.,

Class

A

(63,311)

(1,071,855)

Snowflake,

Inc.,

Class

A

(1,801)

(358,399)

SoFi

Technologies,

Inc.

(106,686)

(1,061,526)

SolarEdge

Technologies,

Inc.

(1,794)

(167,918)

Sonoco

Products

Co.

(5,791)

(323,543)

Sotera

Health

Co.

(28,102)

(473,519)

Southern

Co.

(The)

(8,957)

(628,065)

SouthState

Corp.

(6,145)

(518,945)

Southwest

Airlines

Co.

(24,695)

(713,192)

Southwest

Gas

Holdings,

Inc.

(13,008)

(824,057)

Spire,

Inc.

(5,671)

(353,530)

Stanley

Black

&

Decker,

Inc.

(3,281)

(321,866)

Starbucks

Corp.

(2,939)

(282,173)

Stericycle,

Inc.

(2,584)

(128,063)

Stryker

Corp.

(1,153)

(345,277)

Sysco

Corp.

(3,389)

(247,838)

Take-Two

Interactive

Software,

Inc.

(6,840)

(1,100,898)

Tandem

Diabetes

Care,

Inc.

(27,087)

(801,233)

Teledyne

Technologies,

Inc.

(764)

(340,966)

Tempur

Sealy

International,

Inc.

(19,671)

(1,002,631)

Tesla,

Inc.

(3,813)

(947,454)

Texas

Capital

Bancshares,

Inc.

(4,484)

(289,801)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(119.1)%

(continued)

Texas

Instruments,

Inc.

(3,303)

(563,029)

TJX

Cos.,

Inc.

(The)

(1,696)

(159,102)

T-Mobile

US,

Inc.

(6,643)

(1,065,072)

Toast,

Inc.,

Class

A

(24,533)

(447,973)

TopBuild

Corp.

(753)

(281,818)

Topgolf

Callaway

Brands

Corp.

(42,885)

(614,971)

Toro

Co.

(The)

(2,675)

(256,773)

TPG,

Inc.

(6,374)

(275,166)

Tractor

Supply

Co.

(2,282)

(490,698)

Trade

Desk,

Inc.

(The),

Class

A

(3,032)

(218,183)

Trane

Technologies

plc

(2,303)

(561,702)

TransDigm

Group,

Inc.

(327)

(330,793)

Trex

Co.,

Inc.

(13,387)

(1,108,310)

Trimble,

Inc.

(9,083)

(483,216)

Twilio,

Inc.,

Class

A

(3,327)

(252,419)

Tyler

Technologies,

Inc.

(469)

(196,098)

Uber

Technologies,

Inc.

(9,594)

(590,703)

Ubiquiti,

Inc.

(699)

(97,552)

UGI

Corp.

(23,152)

(569,539)

Ultragenyx

Pharmaceutical,

Inc.

(4,798)

(229,440)

UMB

Financial

Corp.

(2,886)

(241,125)

Under

Armour,

Inc.,

Class

A

(44,283)

(389,248)

Union

Pacific

Corp.

(2,885)

(708,614)

United

Bankshares,

Inc.

(8,461)

(317,711)

United

Parcel

Service,

Inc.,

Class

B

(5,143)

(808,634)

UnitedHealth

Group,

Inc.

(1,244)

(654,929)

Unity

Software,

Inc.

(16,621)

(679,633)

US

Bancorp

(9,921)

(429,381)

Valaris

Ltd.

(2,134)

(146,328)

Valmont

Industries,

Inc.

(651)

(152,015)

Valvoline,

Inc.

(17,930)

(673,809)

VF

Corp.

(33,831)

(636,023)

Virtu

Financial,

Inc.,

Class

A

(10,291)

(208,496)

Visa,

Inc.,

Class

A

(2,557)

(665,715)

Visteon

Corp.

(2,285)

(285,397)

W

R

Berkley

Corp.

(2,724)

(192,641)

Walt

Disney

Co.

(The)

(7,858)

(709,499)

Waste

Connections,

Inc.

(4,147)

(619,023)

Waste

Management,

Inc.

(2,995)

(536,405)

Waters

Corp.

(1,344)

(442,485)

Watsco,

Inc.

(1,073)

(459,748)

Wayfair,

Inc.,

Class

A

(5,110)

(315,287)

Weatherford

International

plc

(1,199)

(117,298)

Webster

Financial

Corp.

(4,879)

(247,658)

WEC

Energy

Group,

Inc.

(7,045)

(592,978)

Wells

Fargo

&

Co.

(5,902)

(290,496)

Wendy's

Co.

(The)

(11,300)

(220,124)

West

Pharmaceutical

Services,

Inc.

(516)

(181,694)

Western

Digital

Corp.

(3,027)

(158,524)

Westinghouse

Air

Brake

Technologies

Corp.

(1,203)

(152,661)

WEX,

Inc.

(841)

(163,617)

Whirlpool

Corp.

(4,918)

(598,865)

White

Mountains

Insurance

Group

Ltd.

(213)

(320,567)

Williams

Cos.,

Inc.

(The)

(16,965)

(590,891)

Willis

Towers

Watson

plc

(1,936)

(466,963)

WillScot

Mobile

Mini

Holdings

Corp.

(6,213)

(276,479)

Wingstop,

Inc.

(790)

(202,698)

Wolfspeed,

Inc.

(19,878)

(864,892)

49

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(119.1)%

(continued)

WW

Grainger,

Inc.

(290)

(240,320)

Wynn

Resorts

Ltd.

(3,457)

(314,967)

XPO,

Inc.

(7,172)

(628,195)

Xylem,

Inc.

(9,715)

(1,111,007)

YETI

Holdings,

Inc.

(4,277)

(221,463)

Yum!

Brands,

Inc.

(1,656)

(216,373)

Zebra

Technologies

Corp.,

Class

A

(2,561)

(699,998)

Zillow

Group,

Inc.,

Class

C

(4,600)

(266,156)

Zoetis,

Inc.,

Class

A

(2,682)

(529,346)

ZoomInfo

Technologies,

Inc.,

Class

A

(16,173)

(299,039)

Zscaler,

Inc.

(1,942)

(430,270)

(202,606,142)

—

Zambia

-

(0.1)%

First

Quantum

Minerals

Ltd.

(24,245)

(198,527)

TOTAL

COMMON

STOCKS

(Proceeds

$(385,260,615))

(372,372,027)

PREFERRED

STOCKS

-

(1.0)%

Germany

-

(1.0)%

Dr

Ing

hc

F

Porsche

AG

(Preference)

(2)(b)

(3,954)

(348,257)

Sartorius

AG

(Preference)

(2)

(2,783)

(1,021,975)

Volkswagen

AG

(Preference)

(2)

(3,164)

(389,983)

TOTAL

PREFERRED

STOCKS

(Proceeds

$(1,941,310))

(1,760,215)

NO.

OF

WARRANTS

WARRANTS

-

(0.0)%

†

Canada

-

(0.0)%

†

Cenovus

Energy,

Inc.,

expiring

1/1/2026

(Proceeds

$–)

(674)

(7,879)

TOTAL

SHORT

POSITIONS

(Proceeds

$(387,201,925))

(374,140,121)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

63.5%

(Net

Proceeds

$(915,470))

108,013,100

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

36.5%

‡

62,133,576

NET

ASSETS

-

100.0%

170,146,676

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(4,413,689)

(2.6)

%

Consumer

Discretionary

3,733,072

2.2

Consumer

Staples

(2,824,070)

(1.6)

Energy

7,018,107

4.1

Financials

9,353,864

5.5

Health

Care

(13,008,232)

(7.6)

Industrials

17,656,720

10.4

Information

Technology

8,345,471

4.9

Materials

1,177,515

0.7

Real

Estate

(3,836,423)

(2.3)

Utilities

(12,250,052)

(7.2)

Investment

Companies

69,563,888

40.8

U.S.

Treasury

Obligations

27,496,929

16.2

Total

Investments

In

Securities

At

Value

108,013,100

63.5

Other

Assets

in

Excess

of

Liabilities

‡

62,133,576

36.5

Net

Assets

$

170,146,676

100.0%

*

Non-income

producing

security.

†

Represents

less

than

0.05%

of

net

assets.

‡

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$371,328,005,

which

is

inclusive

of

rehypothecated

amounts disclosed

below.

In

addition,

$37,478,484

of

cash

collateral

was

also

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$(3,434,041),

which

represents

(2.02)%

of

net

assets

of

the

Fund.

(c)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$78,815,710.

(d)

Represents

7-day

effective

yield

as

of

December

31,

2023.

50

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

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

December

31,

2023

amounted

to

$(5,077),

which

represents

(0.00)%

of

net

assets

of

the

Fund.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

(3)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

in

accordance

with

procedures

approved

by

the

Board

of

Trustees

(See

Note

5).

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

December

31,

2023:

Exchange-Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

CORRA

Semi

4.50%

Semi

3/18/2026

CAD

3,800,000

$

26,330

$

22,200

$

48,530

Pay

1D

CORRA

Semi

4.00%

Semi

6/17/2026

CAD

1,500,000

3,474

10,465

13,939

Pay

1D

CORRA

Semi

3.50%

Semi

6/17/2026

CAD

6,800,000

8,905

6,316

15,221

Pay

1D

CORRA

Semi

4.00%

Semi

3/20/2034

CAD

4,300,000

(21,533)

289,771

268,238

Pay

1D

SARON

Annual

1.50%

Annual

3/20/2026

CHF

48,600,000

(230,776)

736,596

505,820

Pay

1D

SOFR

Annual

4.00%

Annual

6/19/2026

USD

12,200,000

18,633

82,021

100,654

Pay

1D

SOFR

Annual

3.75%

Annual

6/19/2034

USD

1,100,000

30,696

2,498

33,194

Pay

1D

SONIA

Annual

4.25%

Annual

3/20/2034

GBP

5,200,000

20,944

533,649

554,593

Pay

1D

SONIA

Annual

3.75%

Annual

6/19/2034

GBP

6,800,000

386,326

9,533

395,859

Pay

1D

SONIA

Annual

4.25%

Annual

6/19/2034

GBP

1,700,000

110,975

77,337

188,312

Pay

1D

TONAR

Annual

0.50%

Annual

3/23/2026

JPY

7,024,000,000

91,592

167,760

259,352

Pay

1D

TONAR

Annual

1.00%

Annual

6/19/2034

JPY

699,300,000

492

36,946

37,438

Pay

3M

BBR

Qtrly

4.50%

Qtrly

3/12/2026

AUD

1,500,000

(3,497)

17,140

13,643

Pay

3M

BBR

Qtrly

4.50%

Qtrly

6/11/2026

AUD

58,100,000

236,455

351,153

587,608

Pay

6M

BBR

Semi

4.50%

Semi

3/09/2034

AUD

7,600,000

23,467

111,382

134,849

Pay

6M

BBR

Semi

5.00%

Semi

3/09/2034

AUD

300,000

13,673

44

13,717

Pay

6M

BBR

Semi

4.50%

Semi

6/08/2034

AUD

1,600,000

(2,077)

29,893

27,816

Pay

6M

BBR

Semi

5.00%

Semi

6/08/2034

AUD

6,000,000

109,188

161,054

270,242

Pay

6M

EURIBOR

Semi

3.00%

Annual

3/20/2034

EUR

5,100,000

(133,968)

402,440

268,472

Pay

6M

EURIBOR

Semi

3.00%

Annual

6/19/2034

EUR

12,600,000

218,254

478,445

696,699

Receive

1D

SOFR

Annual

3.50%

Annual

3/20/2026

USD

37,800,000

622,569

(396,300)

226,269

1,530,122

3,130,343

4,660,465

Pay

1D

SOFR

Annual

3.25%

Annual

3/20/2034

USD

9,500,000

(851,046)

707,725

(143,321)

Pay

6M

BBR

Semi

4.00%

Semi

6/08/2034

AUD

300,000

(3,185)

104

(3,081)

Receive

1D

CORRA

Semi

3.50%

Semi

3/20/2034

CAD

400,000

6,966

(19,164)

(12,198)

Receive

1D

CORRA

Semi

3.50%

Semi

6/19/2034

CAD

1,200,000

(25,049)

(14,759)

(39,808)

Receive

1D

CORRA

Semi

3.00%

Semi

6/19/2034

CAD

900,000

(625)

(742)

(1,367)

Receive

1D

SONIA

Annual

5.25%

Annual

3/20/2026

GBP

22,400,000

(290,779)

(492,884)

(783,663)

Receive

1D

SONIA

Annual

4.25%

Annual

6/19/2026

GBP

32,100,000

(479,743)

(82,842)

(562,585)

Receive

1D

SONIA

Annual

5.00%

Annual

6/19/2026

GBP

7,600,000

(253,791)

(13,784)

(267,575)

Receive

1D

TONAR

Annual

0.50%

Annual

6/19/2026

JPY

3,207,700,000

(65,372)

(28,973)

(94,345)

Receive

1D

TONAR

Annual

1.00%

Annual

3/21/2034

JPY

1,082,100,000

2,247

(87,879)

(85,632)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

3/12/2026

AUD

33,600,000

48,462

(135,291)

(86,829)

Receive

3M

BBR

Qtrly

5.00%

Semi

6/10/2026

NZD

7,000,000

(13,139)

(50,188)

(63,327)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

6/11/2026

AUD

29,500,000

8,981

(118,760)

(109,779)

Receive

3M

STIBOR

Qtrly

4.00%

Annual

3/18/2026

SEK

291,000,000

(131,967)

(595,215)

(727,182)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

3/18/2026

SEK

217,300,000

91,111

(429,391)

(338,280)

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/17/2026

SEK

143,800,000

(12,389)

(142,469)

(154,858)

Receive

6M

EURIBOR

Semi

3.25%

Annual

3/20/2026

EUR

23,700,000

54,546

(397,018)

(342,472)

Receive

6M

EURIBOR

Semi

3.25%

Annual

6/19/2026

EUR

84,600,000

(785,031)

(834,858)

(1,619,889)

Receive

6M

NIBOR

Semi

5.00%

Annual

3/18/2026

NOK

5,000,000

(2,911)

(8,384)

(11,295)

Receive

6M

NIBOR

Semi

4.50%

Annual

3/18/2026

NOK

201,000,000

67,626

(336,339)

(268,713)

51

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

6M

NIBOR

Semi

4.00%

Annual

6/17/2026

NOK

18,500,000

$

(3,402)

$

(12,230)

$

(15,632)

(2,638,490)

(3,093,341)

(5,731,831)

$

(1,108,368)

$

37,002

$

(1,071,366)

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

December

31,

2023

were

as

follows:

1

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

5.06%

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.38%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

5.19%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.70%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.04%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.36%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

4.05%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.45%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.86%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

4.84%

Total

return

swap

contracts

outstanding

as

of

December

31,

2023

:

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Amsterdam

Exchange

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

01/19/2024

EUR

(9,783,848)

$

42,797

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

02/14/2024

BRL

31,639,070

314,624

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/14/2024

KRW

1,450,800,000

80,192

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

03/14/2024

KRW

1,541,475,000

65,831

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/17/2024

TWD

203,718,000

59,992

Total

unrealized

appreciation

563,436

DTOP

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

03/20/2024

ZAR

(1,725,360)

(2,234)

52

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2024

HKD

(9,563,400)

$

(35,166)

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/15/2024

CHF

13,740,440

(26,857)

Total

unrealized

depreciation

(64,257)

Net

unrealized

appreciation

$

499,179

Futures

contracts

outstanding

as

of

December

31,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

208

1/2024

USD

$

16,024,320

$

102,525

Hang

Seng

Index

1

1/2024

HKD

109,701

2,748

IBEX

35

Index

138

1/2024

EUR

15,365,831

(109,604)

LME

Aluminum

Base

Metal

1

1/2024

USD

58,961

2,686

LME

Aluminum

Base

Metal

1

1/2024

USD

58,931

3,531

LME

Aluminum

Base

Metal

1

1/2024

USD

58,794

3,991

LME

Aluminum

Base

Metal

1

1/2024

USD

58,695

2,823

LME

Aluminum

Base

Metal

2

1/2024

USD

117,332

4,013

LME

Copper

Base

Metal

1

1/2024

USD

212,536

12,214

LME

Copper

Base

Metal

1

1/2024

USD

212,428

14,476

LME

Copper

Base

Metal

1

1/2024

USD

212,169

12,499

LME

Copper

Base

Metal

1

1/2024

USD

212,213

14,015

LME

Copper

Base

Metal

1

1/2024

USD

211,598

10,987

LME

Copper

Base

Metal

2

1/2024

USD

424,500

23,195

LME

Copper

Base

Metal

3

1/2024

USD

634,925

36,876

LME

Copper

Base

Metal

3

1/2024

USD

635,056

41,948

LME

Copper

Base

Metal

3

1/2024

USD

636,863

38,980

LME

Copper

Base

Metal

4

1/2024

USD

847,516

37,080

LME

Nickel

Base

Metal

1

1/2024

USD

98,626

(13,222)

LME

Nickel

Base

Metal

1

1/2024

USD

98,481

(13,811)

LME

Nickel

Base

Metal

1

1/2024

USD

98,404

(14,363)

LME

Nickel

Base

Metal

1

1/2024

USD

98,250

(14,613)

LME

Zinc

Base

Metal

1

1/2024

USD

66,000

4,315

LME

Zinc

Base

Metal

1

1/2024

USD

66,218

4,177

LME

Zinc

Base

Metal

1

1/2024

USD

66,144

4,666

LME

Zinc

Base

Metal

2

1/2024

USD

132,313

9,307

LME

Zinc

Base

Metal

2

1/2024

USD

132,263

11,242

LME

Zinc

Base

Metal

3

1/2024

USD

197,756

8,537

LME

Zinc

Base

Metal

3

1/2024

USD

198,370

17,461

RBOB

Gasoline

26

1/2024

USD

2,300,080

1,914

SGX

FTSE

China

A50

Index

130

1/2024

USD

1,494,350

36,693

SGX

FTSE

Taiwan

Index

60

1/2024

USD

3,721,200

52,668

100

oz

Gold

5

2/2024

USD

1,035,900

18,183

LME

Aluminum

Base

Metal

1

2/2024

USD

59,200

3,347

LME

Aluminum

Base

Metal

1

2/2024

USD

59,094

2,267

LME

Aluminum

Base

Metal

1

2/2024

USD

59,078

2,539

LME

Aluminum

Base

Metal

1

2/2024

USD

59,110

3,206

LME

Aluminum

Base

Metal

2

2/2024

USD

118,375

7,257

53

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

2

2/2024

USD

$

118,632

$

8,501

LME

Aluminum

Base

Metal

2

2/2024

USD

118,344

7,638

LME

Aluminum

Base

Metal

2

2/2024

USD

117,969

5,717

LME

Aluminum

Base

Metal

3

2/2024

USD

177,893

12,884

LME

Aluminum

Base

Metal

3

2/2024

USD

177,668

10,446

LME

Aluminum

Base

Metal

4

2/2024

USD

237,116

15,004

LME

Aluminum

Base

Metal

6

2/2024

USD

355,275

23,513

LME

Copper

Base

Metal

1

2/2024

USD

212,963

6,791

LME

Copper

Base

Metal

1

2/2024

USD

213,213

2,071

LME

Copper

Base

Metal

1

2/2024

USD

212,988

8,415

LME

Copper

Base

Metal

1

2/2024

USD

213,100

8,063

LME

Copper

Base

Metal

1

2/2024

USD

212,760

9,637

LME

Copper

Base

Metal

1

2/2024

USD

213,238

3,522

LME

Copper

Base

Metal

1

2/2024

USD

213,392

3,890

LME

Copper

Base

Metal

1

2/2024

USD

213,006

10,879

LME

Copper

Base

Metal

3

2/2024

USD

640,254

7,530

LME

Copper

Base

Metal

4

2/2024

USD

852,800

25,458

LME

Nickel

Base

Metal

1

2/2024

USD

99,069

(5,634)

LME

Nickel

Base

Metal

1

2/2024

USD

99,078

(4,245)

LME

Nickel

Base

Metal

1

2/2024

USD

99,134

(1,057)

LME

Nickel

Base

Metal

1

2/2024

USD

98,985

(9,268)

LME

Nickel

Base

Metal

1

2/2024

USD

99,225

(378)

LME

Nickel

Base

Metal

1

2/2024

USD

99,060

(5,643)

LME

Nickel

Base

Metal

1

2/2024

USD

99,003

(8,433)

LME

Nickel

Base

Metal

1

2/2024

USD

98,967

(8,244)

LME

Nickel

Base

Metal

1

2/2024

USD

98,878

(9,635)

LME

Nickel

Base

Metal

2

2/2024

USD

198,102

(7,104)

LME

Zinc

Base

Metal

1

2/2024

USD

66,461

227

LME

Zinc

Base

Metal

1

2/2024

USD

66,456

2,643

LME

Zinc

Base

Metal

1

2/2024

USD

66,469

4,466

LME

Zinc

Base

Metal

1

2/2024

USD

66,264

3,161

LME

Zinc

Base

Metal

1

2/2024

USD

66,376

1,738

LME

Zinc

Base

Metal

1

2/2024

USD

66,469

2,578

LME

Zinc

Base

Metal

1

2/2024

USD

66,469

3,440

LME

Zinc

Base

Metal

1

2/2024

USD

66,341

2,633

LME

Zinc

Base

Metal

1

2/2024

USD

66,356

978

LME

Zinc

Base

Metal

2

2/2024

USD

132,497

11,791

LME

Zinc

Base

Metal

2

2/2024

USD

132,975

6,469

LME

Zinc

Base

Metal

2

2/2024

USD

132,956

7,950

LME

Zinc

Base

Metal

3

2/2024

USD

199,396

8,549

LME

Zinc

Base

Metal

3

2/2024

USD

199,449

7,365

Low

Sulphur

Gasoil

71

2/2024

USD

5,269,975

(41,505)

Sugar

No.

11

2

2/2024

USD

46,099

(15,373)

Australia

10

Year

Bond

559

3/2024

AUD

44,458,672

1,205,596

Cocoa

4

3/2024

GBP

178,757

1,006

Cocoa

8

3/2024

USD

335,680

18,983

Corn

68

3/2024

USD

1,602,250

(48,899)

DJIA

CBOT

E-Mini

Index

7

3/2024

USD

1,330,420

39,062

Euro-Bobl

17

3/2024

EUR

2,238,358

16,896

Euro-BTP

10

3/2024

EUR

1,316,350

29,906

Euro-Buxl

4

3/2024

EUR

623,069

28,483

Euro-OAT

11

3/2024

EUR

1,595,892

(3,204)

Euro-Schatz

5

3/2024

EUR

588,074

1,088

FTSE

100

Index

31

3/2024

GBP

3,064,915

49,022

FTSE/MIB

Index

144

3/2024

EUR

24,259,434

(92,524)

Japan

10

Year

Bond

17

3/2024

JPY

17,664,326

80,266

54

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

KOSPI

200

Index

46

3/2024

KRW

$

3,238,644

$

214,108

LME

Aluminum

Base

Metal

1

3/2024

USD

59,406

5,332

LME

Aluminum

Base

Metal

1

3/2024

USD

59,334

4,518

LME

Aluminum

Base

Metal

1

3/2024

USD

59,424

5,494

LME

Aluminum

Base

Metal

1

3/2024

USD

59,517

6,088

LME

Aluminum

Base

Metal

1

3/2024

USD

59,442

5,589

LME

Aluminum

Base

Metal

1

3/2024

USD

59,460

5,557

LME

Aluminum

Base

Metal

2

3/2024

USD

119,200

1,070

LME

Aluminum

Base

Metal

2

3/2024

USD

119,063

7,457

LME

Aluminum

Base

Metal

2

3/2024

USD

119,071

12,590

LME

Aluminum

Base

Metal

2

3/2024

USD

119,075

6,061

LME

Aluminum

Base

Metal

3

3/2024

USD

178,606

15,722

LME

Aluminum

Base

Metal

3

3/2024

USD

178,163

14,127

LME

Aluminum

Base

Metal

6

3/2024

USD

357,215

20,835

LME

Aluminum

Base

Metal

16

3/2024

USD

952,400

58,185

LME

Copper

Base

Metal

1

3/2024

USD

213,829

(140)

LME

Copper

Base

Metal

1

3/2024

USD

213,761

4,638

LME

Copper

Base

Metal

1

3/2024

USD

213,663

4,098

LME

Copper

Base

Metal

2

3/2024

USD

427,696

(2,059)

LME

Copper

Base

Metal

2

3/2024

USD

427,365

11,701

LME

Copper

Base

Metal

2

3/2024

USD

427,561

9,547

LME

Copper

Base

Metal

2

3/2024

USD

427,925

(2,605)

LME

Copper

Base

Metal

2

3/2024

USD

427,404

5,518

LME

Copper

Base

Metal

3

3/2024

USD

640,725

3,863

LME

Copper

Base

Metal

3

3/2024

USD

641,400

18,093

LME

Copper

Base

Metal

3

3/2024

USD

641,475

1,142

LME

Copper

Base

Metal

4

3/2024

USD

854,475

17,807

LME

Copper

Base

Metal

7

3/2024

USD

1,496,702

937

LME

Copper

Base

Metal

7

3/2024

USD

1,497,825

(12,705)

LME

Copper

Base

Metal

21

3/2024

USD

4,491,638

60,769

LME

Nickel

Base

Metal

1

3/2024

USD

99,540

(2,073)

LME

Nickel

Base

Metal

1

3/2024

USD

99,558

1,332

LME

Nickel

Base

Metal

1

3/2024

USD

99,242

(1,501)

LME

Nickel

Base

Metal

1

3/2024

USD

99,448

1,040

LME

Zinc

Base

Metal

1

3/2024

USD

66,506

6,003

LME

Zinc

Base

Metal

1

3/2024

USD

66,494

1,486

LME

Zinc

Base

Metal

1

3/2024

USD

66,450

(23)

LME

Zinc

Base

Metal

1

3/2024

USD

66,499

4,596

LME

Zinc

Base

Metal

1

3/2024

USD

66,476

4,323

LME

Zinc

Base

Metal

1

3/2024

USD

66,549

3,921

LME

Zinc

Base

Metal

1

3/2024

USD

66,549

5,471

LME

Zinc

Base

Metal

2

3/2024

USD

133,042

11,386

LME

Zinc

Base

Metal

2

3/2024

USD

133,038

5,121

LME

Zinc

Base

Metal

2

3/2024

USD

133,027

10,521

LME

Zinc

Base

Metal

2

3/2024

USD

133,155

6,291

LME

Zinc

Base

Metal

3

3/2024

USD

199,581

18,305

LME

Zinc

Base

Metal

14

3/2024

USD

931,000

9,676

LME

Zinc

Base

Metal

25

3/2024

USD

1,664,688

48,100

MEX

BOLSA

Index

5

3/2024

MXN

172,334

7,460

MSCI

EAFE

E-Mini

Index

11

3/2024

USD

1,238,820

40,285

MSCI

Emerging

Markets

E-Mini

Index

45

3/2024

USD

2,325,825

96,086

NASDAQ

100

E-Mini

Index

4

3/2024

USD

1,361,880

62,037

Nikkei

225

Index

6

3/2024

JPY

1,423,404

18,079

Russell

2000

E-Mini

Index

7

3/2024

USD

716,695

42,060

S&P

Midcap

400

E-Mini

Index

4

3/2024

USD

1,123,800

36,029

Silver

4

3/2024

USD

481,720

(5,726)

55

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Soybean

119

3/2024

USD

$

7,723,100

$

(190,028)

TOPIX

Index

155

3/2024

JPY

26,009,221

120,612

U.S.

Treasury

10

Year

Note

32

3/2024

USD

3,607,500

5,164

Wheat

13

3/2024

USD

408,200

3,236

3

Month

Euro

Euribor

2

6/2024

EUR

534,864

192

90-Day

Australian

Bank

Bill

8

6/2024

AUD

5,397,170

559

90-Day

New

Zealand

Bill

5

6/2024

NZD

3,120,736

2,344

3

Month

Euro

Euribor

9

9/2024

EUR

2,418,561

6,367

3

Month

SARON

7

9/2024

CHF

2,053,579

3,053

3

Month

SONIA

2

9/2024

GBP

608,550

(90)

90-Day

Australian

Bank

Bill

6

9/2024

AUD

4,049,459

667

90-Day

New

Zealand

Bill

1

9/2024

NZD

624,756

10

3

Month

Euro

Euribor

12

12/2024

EUR

3,235,843

7,571

3

Month

SARON

5

12/2024

CHF

1,469,220

2,779

90-Day

New

Zealand

Bill

1

12/2024

NZD

625,228

126

3

Month

Euro

Euribor

6

3/2025

EUR

1,621,647

2,774

3

Month

SARON

5

3/2025

CHF

1,471,152

1,076

3

Month

SONIA

1

3/2025

GBP

307,143

69

3

Month

Euro

Euribor

8

6/2025

EUR

2,165,288

5,726

3

Month

SARON

4

6/2025

CHF

1,177,932

(237)

3

Month

Euro

Euribor

8

9/2025

EUR

2,166,171

7,634

3

Month

Euro

Euribor

9

12/2025

EUR

2,436,818

8,789

3

Month

SONIA

1

12/2025

GBP

308,895

(60)

3

Month

SONIA

1

3/2026

GBP

309,071

(81)

Total

of

long

contracts

2,751,736

Short

Contracts

CAC

40

10

Euro

Index

(112)

1/2024

EUR

(9,341,183)

50,536

FTSE

Bursa

Malaysia

KLCI

Index

(26)

1/2024

MYR

(410,794)

1,991

HSCEI

(52)

1/2024

HKD

(1,929,897)

(55,810)

IFSC

NIFTY

50

Index

(24)

1/2024

USD

(1,048,728)

(10,580)

LME

Aluminum

Base

Metal

(1)

1/2024

USD

(58,695)

(2,773)

LME

Aluminum

Base

Metal

(1)

1/2024

USD

(58,931)

(3,484)

LME

Aluminum

Base

Metal

(1)

1/2024

USD

(58,961)

(2,635)

LME

Aluminum

Base

Metal

(1)

1/2024

USD

(58,794)

(4,076)

LME

Aluminum

Base

Metal

(2)

1/2024

USD

(117,332)

(3,338)

LME

Copper

Base

Metal

(1)

1/2024

USD

(211,598)

(12,326)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,169)

(12,596)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,213)

(14,165)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,536)

(11,951)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,428)

(15,005)

LME

Copper

Base

Metal

(2)

1/2024

USD

(424,500)

(23,324)

LME

Copper

Base

Metal

(3)

1/2024

USD

(635,056)

(42,056)

LME

Copper

Base

Metal

(3)

1/2024

USD

(636,863)

(39,192)

LME

Copper

Base

Metal

(3)

1/2024

USD

(634,925)

(37,216)

LME

Copper

Base

Metal

(4)

1/2024

USD

(847,516)

(37,506)

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,481)

13,416

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,404)

14,391

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,626)

13,103

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,250)

13,887

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,000)

(4,492)

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,218)

(4,369)

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,144)

(4,343)

LME

Zinc

Base

Metal

(2)

1/2024

USD

(132,263)

(10,793)

LME

Zinc

Base

Metal

(2)

1/2024

USD

(132,313)

(9,130)

LME

Zinc

Base

Metal

(3)

1/2024

USD

(197,756)

(9,535)

LME

Zinc

Base

Metal

(3)

1/2024

USD

(198,370)

(17,251)

56

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

MSCI

Singapore

Index

(166)

1/2024

SGD

$

(3,618,731)

$

(130,306)

Natural

Gas

(122)

1/2024

USD

(3,067,080)

(283,538)

NY

Harbor

ULSD

(44)

1/2024

USD

(4,673,407)

60,434

OMXS30

Index

(648)

1/2024

SEK

(15,427,348)

(334,646)

WTI

Crude

Oil

(277)

1/2024

USD

(19,847,050)

(41,381)

Lean

Hogs

(8)

2/2024

USD

(217,520)

111

Live

Cattle

(1)

2/2024

USD

(67,400)

3,097

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,078)

(2,521)

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,094)

(2,408)

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,110)

(3,036)

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,200)

(3,453)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(117,969)

(5,775)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(118,375)

(7,025)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(118,632)

(8,560)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(118,344)

(7,267)

LME

Aluminum

Base

Metal

(3)

2/2024

USD

(177,893)

(12,320)

LME

Aluminum

Base

Metal

(3)

2/2024

USD

(177,668)

(10,169)

LME

Aluminum

Base

Metal

(4)

2/2024

USD

(237,116)

(15,112)

LME

Aluminum

Base

Metal

(6)

2/2024

USD

(355,275)

(23,734)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,238)

(3,103)

LME

Copper

Base

Metal

(1)

2/2024

USD

(212,760)

(10,256)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,100)

(8,740)

LME

Copper

Base

Metal

(1)

2/2024

USD

(212,963)

(7,108)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,006)

(11,214)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,392)

(3,353)

LME

Copper

Base

Metal

(1)

2/2024

USD

(212,988)

(7,403)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,213)

(1,790)

LME

Copper

Base

Metal

(3)

2/2024

USD

(640,254)

(8,974)

LME

Copper

Base

Metal

(4)

2/2024

USD

(852,800)

(26,154)

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,134)

517

LME

Nickel

Base

Metal

(1)

2/2024

USD

(98,985)

8,742

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,225)

326

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,078)

4,221

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,060)

5,311

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,069)

5,527

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,003)

8,022

LME

Nickel

Base

Metal

(1)

2/2024

USD

(98,967)

8,742

LME

Nickel

Base

Metal

(1)

2/2024

USD

(98,878)

8,909

LME

Nickel

Base

Metal

(2)

2/2024

USD

(198,102)

8,078

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,356)

(1,045)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,469)

(3,175)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,461)

(439)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,469)

(4,391)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,376)

(1,529)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,341)

(2,386)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,264)

(3,689)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,469)

(2,734)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,456)

(2,772)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,497)

(8,742)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,956)

(7,839)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,975)

(5,759)

LME

Zinc

Base

Metal

(3)

2/2024

USD

(199,449)

(7,086)

LME

Zinc

Base

Metal

(3)

2/2024

USD

(199,396)

(7,827)

Australia

3

Year

Bond

(11)

3/2024

AUD

(800,983)

(7,571)

Canada

10

Year

Bond

(177)

3/2024

CAD

(16,578,597)

(409,183)

Coffee

'C'

(1)

3/2024

USD

(70,613)

(5,601)

57

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Copper

(1)

3/2024

USD

$

(97,263)

$

247

Cotton

No.

2

(14)

3/2024

USD

(567,000)

(8,531)

DAX

Index

(35)

3/2024

EUR

(16,337,218)

73,490

Euro

STOXX

50

Index

(55)

3/2024

EUR

(2,758,385)

27,909

Euro-Bund

(120)

3/2024

EUR

(18,171,459)

(380,086)

FTSE/JSE

Top

40

Index

(55)

3/2024

ZAR

(2,146,481)

(58,786)

KC

HRW

Wheat

(13)

3/2024

USD

(417,300)

(2,023)

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,460)

(5,677)

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,424)

(5,426)

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,517)

(6,241)

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,442)

(5,901)

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,406)

(5,398)

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,334)

(4,513)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(119,071)

(12,326)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(119,075)

(6,931)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(119,063)

(7,258)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(119,200)

(1,906)

LME

Aluminum

Base

Metal

(3)

3/2024

USD

(178,606)

(15,190)

LME

Aluminum

Base

Metal

(3)

3/2024

USD

(178,163)

(13,596)

LME

Aluminum

Base

Metal

(6)

3/2024

USD

(357,215)

(17,932)

LME

Aluminum

Base

Metal

(49)

3/2024

USD

(2,916,725)

(216,461)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,829)

843

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,761)

(4,513)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,663)

(3,834)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,365)

(12,145)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,404)

(5,509)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,696)

2,502

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,925)

4,022

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,561)

(8,216)

LME

Copper

Base

Metal

(3)

3/2024

USD

(641,400)

(18,833)

LME

Copper

Base

Metal

(3)

3/2024

USD

(640,725)

(2,820)

LME

Copper

Base

Metal

(3)

3/2024

USD

(641,475)

1,274

LME

Copper

Base

Metal

(4)

3/2024

USD

(854,475)

(18,186)

LME

Copper

Base

Metal

(7)

3/2024

USD

(1,497,825)

12,168

LME

Copper

Base

Metal

(7)

3/2024

USD

(1,496,702)

(1,545)

LME

Copper

Base

Metal

(36)

3/2024

USD

(7,699,950)

(42,358)

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,540)

1,482

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,448)

(1,351)

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,242)

1,780

LME

Nickel

Base

Metal

(15)

3/2024

USD

(1,493,370)

4,761

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,549)

(4,470)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,450)

(303)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,476)

(4,310)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,549)

(5,632)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,494)

(1,703)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,506)

(5,809)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,499)

(4,885)

LME

Zinc

Base

Metal

(2)

3/2024

USD

(133,027)

(10,979)

LME

Zinc

Base

Metal

(2)

3/2024

USD

(133,042)

(12,235)

LME

Zinc

Base

Metal

(2)

3/2024

USD

(133,155)

(5,861)

LME

Zinc

Base

Metal

(2)

3/2024

USD

(133,038)

(5,743)

LME

Zinc

Base

Metal

(3)

3/2024

USD

(199,581)

(18,015)

LME

Zinc

Base

Metal

(14)

3/2024

USD

(931,000)

(11,942)

LME

Zinc

Base

Metal

(37)

3/2024

USD

(2,463,738)

(178,743)

Long

Gilt

(80)

3/2024

GBP

(10,468,446)

(72,692)

Palladium

(2)

3/2024

USD

(221,860)

(5,994)

58

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

S&P/TSX

60

Index

(42)

3/2024

CAD

$

(8,053,553)

$

(219,685)

SET50

Index

(360)

3/2024

THB

(1,841,951)

(18,369)

Soybean

Meal

(3)

3/2024

USD

(115,800)

1,938

Soybean

Oil

(13)

3/2024

USD

(375,804)

16,732

SPI

200

Index

(47)

3/2024

AUD

(6,073,338)

(110,572)

U.S.

Treasury

2

Year

Note

(42)

3/2024

USD

(8,647,406)

(82,342)

U.S.

Treasury

5

Year

Note

(40)

3/2024

USD

(4,347,500)

(70,265)

U.S.

Treasury

Long

Bond

(5)

3/2024

USD

(622,656)

(46,659)

U.S.

Treasury

Ultra

Bond

(9)

3/2024

USD

(1,197,844)

(96,959)

Aluminum

(2)

4/2024

USD

(119,275)

(12,074)

Platinum

(7)

4/2024

USD

(353,220)

(12,994)

3

Month

CORRA

(7)

9/2024

CAD

(1,263,320)

(1,843)

3

Month

SOFR

(12)

9/2024

USD

(2,864,250)

(10,218)

3

Month

CORRA

(1)

12/2024

CAD

(181,238)

(972)

3

Month

SOFR

(9)

12/2024

USD

(2,157,638)

(13,824)

3

Month

CORRA

(4)

3/2025

CAD

(727,633)

(7,654)

3

Month

SOFR

(9)

3/2025

USD

(2,165,850)

(12,527)

90-Day

Australian

Bank

Bill

(1)

3/2025

AUD

(675,322)

(614)

3

Month

CORRA

(4)

6/2025

CAD

(729,859)

(2,675)

3

Month

SOFR

(7)

6/2025

USD

(1,689,975)

(12,341)

3

Month

SOFR

(7)

9/2025

USD

(1,693,650)

(12,387)

3

Month

SOFR

(6)

12/2025

USD

(1,453,350)

(10,525)

3

Month

SOFR

(5)

3/2026

USD

(1,211,500)

(5,949)

Total

of

short

contracts

(3,474,807)

Net

value

$

(723,071)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

6,521,498

USD

4,326,217

CITI

3/20/2024

$

128,256

AUD

6,521,502

USD

4,326,198

JPMC

3/20/2024

128,277

BRL

23,100,599

USD

4,637,217

CITI

**

3/20/2024

83,558

BRL

23,100,599

USD

4,637,194

JPMC

**

3/20/2024

83,582

CAD

18,411,500

USD

13,616,214

CITI

3/20/2024

293,460

CAD

18,411,500

USD

13,615,948

JPMC

3/20/2024

293,726

CHF

2,241,497

USD

2,618,482

CITI

3/20/2024

68,029

CHF

2,241,504

USD

2,618,477

JPMC

3/20/2024

68,041

CNY

14,982,030

USD

2,106,984

CITI

**

3/20/2024

6,922

CNY

14,982,026

USD

2,106,973

JPMC

**

3/20/2024

6,934

COP

650,000,000

USD

159,425

CITI

**

3/20/2024

5,715

COP

650,000,000

USD

159,425

JPMC

**

3/20/2024

5,716

CZK

55,351,000

USD

2,447,254

CITI

3/20/2024

22,731

CZK

55,351,000

USD

2,447,242

JPMC

3/20/2024

22,743

EUR

17,281,370

USD

18,872,338

CITI

3/20/2024

264,891

EUR

17,281,367

USD

18,872,240

JPMC

3/20/2024

264,987

GBP

6,415,500

USD

8,110,722

CITI

3/20/2024

69,923

GBP

6,415,500

USD

8,110,682

JPMC

3/20/2024

69,959

HUF

613,113,001

USD

1,724,612

CITI

3/20/2024

27,513

HUF

613,113,001

USD

1,724,603

JPMC

3/20/2024

27,523

IDR

1,500,000,000

USD

95,869

CITI

**

3/20/2024

1,546

IDR

1,500,000,000

USD

95,869

JPMC

**

3/20/2024

1,546

59

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ILS

852,000

USD

230,746

CITI

3/20/2024

$

5,127

ILS

852,000

USD

230,745

JPMC

3/20/2024

5,129

INR

282,852,500

USD

3,382,055

CITI

**

3/20/2024

4,856

INR

282,852,500

USD

3,382,038

JPMC

**

3/20/2024

4,873

KRW

724,295,251

USD

558,346

CITI

**

3/20/2024

3,486

KRW

724,295,250

USD

558,345

JPMC

**

3/20/2024

3,487

MXN

67,505,500

USD

3,838,588

CITI

3/20/2024

86,864

MXN

67,505,500

USD

3,838,569

JPMC

3/20/2024

86,883

NOK

134,672,502

USD

12,552,541

CITI

3/20/2024

725,579

NOK

134,672,498

USD

12,552,478

JPMC

3/20/2024

725,643

NZD

4,297,000

USD

2,642,201

CITI

3/20/2024

74,689

NZD

4,297,000

USD

2,642,187

JPMC

3/20/2024

74,700

PEN

766,000

USD

202,023

CITI

**

3/20/2024

4,541

PEN

766,000

USD

202,022

JPMC

**

3/20/2024

4,542

PHP

7,558,812

USD

135,786

CITI

**

3/20/2024

743

PHP

7,132,343

USD

128,078

JPMC

**

3/20/2024

747

PLN

23,986,500

USD

5,988,628

CITI

3/20/2024

101,001

PLN

23,986,500

USD

5,988,598

JPMC

3/20/2024

101,033

SEK

33,520,000

USD

3,229,818

CITI

3/20/2024

103,756

SEK

33,520,000

USD

3,229,802

JPMC

3/20/2024

103,773

SGD

2,882,500

USD

2,174,938

CITI

3/20/2024

17,012

SGD

2,882,500

USD

2,174,927

JPMC

3/20/2024

17,023

THB

1,000,000

USD

29,197

CITI

3/20/2024

297

THB

1,000,000

USD

29,197

JPMC

3/20/2024

298

TWD

48,734,501

USD

1,579,400

CITI

**

3/20/2024

35,070

TWD

48,734,501

USD

1,579,392

JPMC

**

3/20/2024

35,078

USD

236,094

CLP

206,175,500

CITI

**

3/20/2024

3,095

USD

236,095

CLP

206,175,500

JPMC

**

3/20/2024

3,096

USD

388,774

CNY

2,752,549

CITI

**

3/20/2024

400

USD

388,776

CNY

2,752,549

JPMC

**

3/20/2024

402

USD

291,023

CZK

6,500,000

CITI

3/20/2024

967

USD

291,025

CZK

6,500,000

JPMC

3/20/2024

968

USD

1,594,769

EUR

1,431,501

CITI

3/20/2024

9,539

USD

1,594,775

EUR

1,431,499

JPMC

3/20/2024

9,546

USD

3,240,414

GBP

2,533,500

CITI

3/20/2024

9,853

USD

3,240,431

GBP

2,533,500

JPMC

3/20/2024

9,870

USD

251,207

HKD

1,957,000

CITI

3/20/2024

139

USD

251,209

HKD

1,957,000

JPMC

3/20/2024

140

USD

215,525

HUF

75,000,000

CITI

3/20/2024

1,194

USD

215,526

HUF

75,000,000

JPMC

3/20/2024

1,195

USD

7,217

ILS

26,000

CITI

3/20/2024

18

USD

7,217

ILS

26,000

JPMC

3/20/2024

19

USD

59,899

INR

5,000,000

CITI

**

3/20/2024

28

USD

59,899

INR

5,000,000

JPMC

**

3/20/2024

29

USD

2,058,093

KRW

2,640,191,917

CITI

**

3/20/2024

10,112

USD

2,058,103

KRW

2,640,191,915

JPMC

**

3/20/2024

10,121

USD

210,262

PLN

824,500

CITI

3/20/2024

940

USD

210,263

PLN

824,500

JPMC

3/20/2024

941

USD

49,871

TWD

1,500,001

CITI

**

3/20/2024

179

USD

49,871

TWD

1,500,001

JPMC

**

3/20/2024

179

ZAR

24,859,000

USD

1,326,518

CITI

3/20/2024

23,280

ZAR

24,859,000

USD

1,326,511

JPMC

3/20/2024

23,287

JPY

2,126,368,000

USD

14,877,886

CITI

3/21/2024

389,258

JPY

2,126,368,000

USD

14,877,812

JPMC

3/21/2024

389,332

Total

unrealized

appreciation

5,169,935

AUD

907,501

USD

621,959

CITI

3/20/2024

(2,095)

AUD

907,499

USD

621,955

JPMC

3/20/2024

(2,093)

BRL

367,500

USD

75,312

CITI

**

3/20/2024

(211)

60

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

367,500

USD

75,312

JPMC

**

3/20/2024

$

(210)

CAD

711,000

USD

539,243

CITI

3/20/2024

(2,090)

CAD

711,000

USD

539,240

JPMC

3/20/2024

(2,088)

CHF

257,000

USD

309,481

CITI

3/20/2024

(1,458)

CHF

257,000

USD

309,479

JPMC

3/20/2024

(1,456)

CLP

200,000,000

USD

226,452

CITI

**

3/20/2024

(431)

CLP

200,000,000

USD

226,450

JPMC

**

3/20/2024

(430)

CNY

4,954,299

USD

699,414

CITI

**

3/20/2024

(381)

CNY

4,954,300

USD

699,411

JPMC

**

3/20/2024

(378)

CZK

4,500,000

USD

200,855

CITI

3/20/2024

(46)

CZK

4,500,000

USD

200,854

JPMC

3/20/2024

(45)

DKK

2,304,500

USD

343,910

CITI

3/20/2024

(1,279)

DKK

2,304,500

USD

343,908

JPMC

3/20/2024

(1,277)

EUR

41,001

USD

45,505

CITI

3/20/2024

(100)

EUR

40,999

USD

45,502

JPMC

3/20/2024

(100)

HUF

166,556,499

USD

478,174

CITI

3/20/2024

(2,197)

HUF

166,556,499

USD

478,172

JPMC

3/20/2024

(2,195)

ILS

231,000

USD

64,117

CITI

3/20/2024

(165)

ILS

231,000

USD

64,117

JPMC

3/20/2024

(165)

INR

5,000,000

USD

59,962

CITI

**

3/20/2024

(91)

INR

5,000,000

USD

59,961

JPMC

**

3/20/2024

(91)

KRW

774,295,250

USD

603,323

CITI

**

3/20/2024

(2,707)

KRW

774,295,249

USD

603,320

JPMC

**

3/20/2024

(2,704)

NOK

3,500,000

USD

346,230

CITI

3/20/2024

(1,146)

NOK

3,500,000

USD

346,229

JPMC

3/20/2024

(1,144)

PHP

4,264,688

USD

77,111

CITI

**

3/20/2024

(83)

PHP

4,691,157

USD

84,816

JPMC

**

3/20/2024

(83)

SEK

3,500,000

USD

351,814

CITI

3/20/2024

(3,738)

SEK

3,500,000

USD

351,813

JPMC

3/20/2024

(3,736)

USD

6,508,803

AUD

9,769,916

CITI

3/20/2024

(164,484)

USD

6,508,838

AUD

9,769,919

JPMC

3/20/2024

(164,452)

USD

1,113,624

BRL

5,550,000

CITI

**

3/20/2024

(20,559)

USD

1,113,629

BRL

5,550,000

JPMC

**

3/20/2024

(20,554)

USD

2,725,145

CAD

3,690,000

CITI

3/20/2024

(62,608)

USD

2,725,029

CAD

3,690,000

JPMC

3/20/2024

(62,723)

USD

20,409,264

CHF

17,663,889

CITI

3/20/2024

(761,520)

USD

20,409,374

CHF

17,663,896

JPMC

3/20/2024

(761,418)

USD

2,121,075

CNY

15,142,649

CITI

**

3/20/2024

(15,495)

USD

2,121,085

CNY

15,142,647

JPMC

**

3/20/2024

(15,484)

USD

36,483

COP

149,134,500

CITI

**

3/20/2024

(1,406)

USD

36,492

COP

149,134,500

JPMC

**

3/20/2024

(1,397)

USD

512,765

CZK

11,500,000

CITI

3/20/2024

(412)

USD

512,768

CZK

11,500,000

JPMC

3/20/2024

(409)

USD

110,502

DKK

745,500

CITI

3/20/2024

(338)

USD

110,503

DKK

745,500

JPMC

3/20/2024

(338)

USD

21,031,975

EUR

19,329,501

CITI

3/20/2024

(373,335)

USD

21,032,078

EUR

19,329,499

JPMC

3/20/2024

(373,229)

USD

2,494,658

GBP

1,974,000

CITI

3/20/2024

(22,460)

USD

2,494,671

GBP

1,974,000

JPMC

3/20/2024

(22,449)

USD

269,786

HUF

95,000,000

CITI

3/20/2024

(1,700)

USD

269,788

HUF

95,000,000

JPMC

3/20/2024

(1,699)

USD

517,083

IDR

8,005,151,000

CITI

**

3/20/2024

(2,796)

USD

517,085

IDR

8,005,151,000

JPMC

**

3/20/2024

(2,793)

USD

1,592,755

ILS

5,885,500

CITI

3/20/2024

(36,630)

USD

1,592,763

ILS

5,885,500

JPMC

3/20/2024

(36,623)

USD

3,408,656

KRW

4,456,858,584

CITI

**

3/20/2024

(48,503)

USD

3,408,673

KRW

4,456,858,584

JPMC

**

3/20/2024

(48,484)

USD

141,237

MXN

2,500,000

CITI

3/20/2024

(4,138)

61

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

141,238

MXN

2,500,000

JPMC

3/20/2024

$

(4,138)

USD

7,346,392

NOK

78,351,502

CITI

3/20/2024

(378,722)

USD

7,346,429

NOK

78,351,498

JPMC

3/20/2024

(378,685)

USD

13,185,660

NZD

21,436,500

CITI

3/20/2024

(368,119)

USD

13,185,726

NZD

21,436,500

JPMC

3/20/2024

(368,053)

USD

180,040

PHP

10,000,000

CITI

**

3/20/2024

(581)

USD

180,041

PHP

10,000,000

JPMC

**

3/20/2024

(580)

USD

995,537

PLN

3,937,500

CITI

3/20/2024

(4,106)

USD

995,541

PLN

3,937,500

JPMC

3/20/2024

(4,101)

USD

1,587,563

SEK

16,322,500

CITI

3/20/2024

(35,715)

USD

1,587,571

SEK

16,322,500

JPMC

3/20/2024

(35,707)

USD

7,778,175

SGD

10,339,262

CITI

3/20/2024

(84,148)

USD

7,778,214

SGD

10,339,262

JPMC

3/20/2024

(84,109)

USD

1,024,611

THB

36,000,000

CITI

3/20/2024

(37,201)

USD

1,024,617

THB

36,000,000

JPMC

3/20/2024

(37,196)

USD

544,502

TWD

16,891,100

CITI

**

3/20/2024

(15,064)

USD

544,511

TWD

16,891,099

JPMC

**

3/20/2024

(15,055)

USD

3,757,832

ZAR

70,947,500

CITI

3/20/2024

(94,491)

USD

3,757,850

ZAR

70,947,500

JPMC

3/20/2024

(94,472)

ZAR

12,000,000

USD

652,459

CITI

3/20/2024

(880)

ZAR

12,000,000

USD

652,456

JPMC

3/20/2024

(877)

USD

7,455,943

JPY

1,070,115,504

CITI

3/21/2024

(227,396)

USD

7,455,981

JPY

1,070,115,504

JPMC

3/21/2024

(227,359)

Total

unrealized

depreciation

(5,561,604)

Net

unrealized

depreciation

$

(391,669)

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

BARC

Cash

$

–

$

10,033,777

$

10,033,777

CITG

Cash

–

3,042,207

3,042,207

CITI

Investment

Companies

981,910

–

981,910

GSCO

Cash

–

1,040,508

1,040,508

GSIN

Investment

Companies

316

–

316

JPMC

Investment

Companies

1,698,783

–

1,698,783

JPMS

Cash

–

2,700,730

2,700,730

MLIN

Cash

2,658,837

–

2,658,837

MSCS

Cash

(330,734)

–

(330,734)

U.S.

Treasury

Bills

2,737,322

–

2,737,322

62

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

GSCO

Cash

$

–

$

5,175,376

$

5,175,376

JPPC

Cash

–

874,112

874,112

MSCL

Cash

–

166,915

166,915

63

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

112.6%

COMMON

STOCKS

-

13.9%

Communication

Services

-

1.4%

Entertainment

-

0.2%

Atlanta

Braves

Holdings,

Inc.,

Class

C

*

57,038

2,257,564

Madison

Square

Garden

Sports

Corp.,

Class

A

*

10,144

1,844,484

4,102,048

Interactive

Media

&

Services

-

0.6%

Alphabet,

Inc.,

Class

A

*(a)

71,100

9,931,959

Media

-

0.6%

DISH

Network

Corp.,

Class

A

*

721,154

4,161,059

Liberty

Media

Corp-Liberty

SiriusXM

*

140,290

4,037,546

Paramount

Global,

Class

B

146,409

2,165,389

10,363,994

Total

Communication

Services

24,398,001

Consumer

Discretionary

-

1.1%

Diversified

Consumer

Services

-

0.1%

Rover

Group,

Inc.

*

260,232

2,831,324

Hotels,

Restaurants

&

Leisure

-

0.6%

Booking

Holdings,

Inc.

*(a)

3,013

10,687,774

Textiles,

Apparel

&

Luxury

Goods

-

0.4%

Under

Armour,

Inc.,

Class

A

*

813,396

7,149,751

Total

Consumer

Discretionary

20,668,849

Consumer

Staples

-

0.2%

Beverages

-

0.1%

Brown-Forman

Corp.,

Class

B

31,231

1,783,290

Household

Products

-

0.1%

Central

Garden

&

Pet

Co.,

Class

A

*

23,572

1,038,111

Total

Consumer

Staples

2,821,401

Financials

-

1.6%

Banks

-

0.0%

†

Patriot

National

Bancorp,

Inc.

*

120,629

462,009

Capital

Markets

-

1.5%

99

Acquisition

Group,

Inc.,

Class

A

*(b)

64,752

659,823

Acri

Capital

Acquisition

Corp.

*(b)

32,879

363,642

Aetherium

Acquisition

Corp.,

Class

A

(2)*(b)

67,895

738,019

Alset

Capital

Acquisition

Corp.,

Class

A

(2)*(b)

41,189

432,484

Aquaron

Acquisition

Corp.

*(b)

38,227

408,264

Bannix

Acquisition

Corp.

(2)*(b)

26,277

283,792

Banyan

Acquisition

Corp.,

Class

B

(acquired

4/28/2023,

Cost

$–)

(3)*(b)(c)

25,000

–

Bellevue

Life

Sciences

Acquisition

Corp.

*(b)

40,023

418,641

Broad

Capital

Acquisition

Corp.

*(b)

69,739

776,892

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

1.5%

(continued)

BurTech

Acquisition

Corp.,

Class

A

(2)*(b)

130,502

1,397,676

byNordic

Acquisition

Corp.

(Sweden)

*(b)

69,207

768,890

Cetus

Capital

Acquisition

Corp.

(Taiwan)

*(b)

126,232

1,325,436

CF

Acquisition

Corp.

VII,

Class

A

*(b)

146,292

1,587,268

Concord

Acquisition

Corp.

III,

Class

B

(acquired

5/11/2023,

Cost

$–)

(3)*(b)(c)

25,000

–

Direct

Selling

Acquisition

Corp.,

Class

A

*(b)

114,980

1,252,121

dMY

Squared

Technology

Group,

Inc.,

Class

A

*(b)

26,311

278,897

DUET

Acquisition

Corp.,

Class

A

*(b)

88,695

972,097

ESH

Acquisition

Corp.,

Class

A

(2)*(b)

125,784

1,285,512

ExcelFin

Acquisition

Corp.,

Class

A

(2)*(b)

83,751

896,136

ExcelFin

Acquisition

Corp.,

Class

B

(acquired

4/28/2023,

Cost

$–)

(3)*(b)(c)

46,529

–

Feutune

Light

Acquisition

Corp.,

Class

A

*(b)

66,386

717,633

Financial

Strategies

Acquisition

Corp.

(3)*(b)

18,686

205,546

Fintech

Ecosystem

Development

Corp.,

Class

A

(2)*(b)

23,032

246,673

Focus

Impact

BH3

Acquisition

Co.,

Class

A

*(b)

60,828

633,828

Four

Leaf

Acquisition

Corp.,

Class

A

*(b)

111,000

1,167,720

FutureTech

II

Acquisition

Corp.,

Class

A

*(b)

62,171

675,177

Global

Blockchain

Acquisition

Corp.

*(b)

12,051

127,138

Global

Star

Acquisition,

Inc.,

Class

A

*(b)

50,064

529,176

Gores

Holdings

IX,

Inc.,

Class

A

*(b)

31,900

334,950

Hennessy

Capital

Investment

Corp.

VI,

Class

A

*(b)

34,013

354,756

Inception

Growth

Acquisition

Ltd.

*(b)

88,000

936,320

Inception

Growth

Acquisition

Ltd.,

Class

B

(acquired

4/26/2023,

Cost

$–)

(3)*(b)(c)

33,755

–

NorthView

Acquisition

Corp.

*(b)

22,823

255,161

Papaya

Growth

Opportunity

Corp.

I,

Class

A

(2)*(b)

2,815

30,261

Plutonian

Acquisition

Corp.

*(b)

39,243

420,685

Qomolangma

Acquisition

Corp.

(2)*(b)

7,258

78,096

Quetta

Acquisition

Corp.

*(b)

46,725

471,922

Sagaliam

Acquisition

Corp.,

Class

A

(2)*(b)

31,501

343,991

ShoulderUp

Technology

Acquisition

Corp.,

Class

A

(3)*(b)

100,000

1,070,000

64

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

1.5%

(continued)

ShoulderUp

Technology

Acquisition

Corp.,

Class

B

(acquired

5/11/2023

-

11/21/2023,

Cost

$–)

(3)*(b)(c)

45,000

–

SilverBox

Corp.

III,

Class

A

*(b)

143,560

1,484,410

Sizzle

Acquisition

Corp.

*(b)

9,584

105,520

TG

Venture

Acquisition

Corp.

(2)*(b)

12,061

130,741

Trailblazer

Merger

Corp.

I

*(b)

157,145

1,643,737

25,809,031

Financial

Services

-

0.1%

EXOR

NV

(Netherlands)

(2)

19,073

1,909,163

Total

Financials

28,180,203

Health

Care

-

4.0%

Biotechnology

-

4.0%

Cerevel

Therapeutics

Holdings,

Inc.

*

475,691

20,169,299

Gracell

Biotechnologies,

Inc.,

ADR

(China)

*

66,578

668,443

Icosavax,

Inc.

*

96,312

1,517,877

ImmunoGen,

Inc.

*

719,919

21,345,598

Karuna

Therapeutics,

Inc.

*

74,518

23,585,692

RayzeBio,

Inc.

*

69,694

4,332,876

Total

Health

Care

71,619,785

Industrials

-

0.9%

Air

Freight

&

Logistics

-

0.2%

Forward

Air

Corp.

64,291

4,041,975

Passenger

Airlines

-

0.6%

Hawaiian

Holdings,

Inc.

*

728,886

10,350,181

Trading

Companies

&

Distributors

-

0.1%

Textainer

Group

Holdings

Ltd.

(China)

41,954

2,064,137

Total

Industrials

16,456,293

Information

Technology

-

0.9%

Electronic

Equipment,

Instruments

&

Components

-

0.1%

Hollysys

Automation

Technologies

Ltd.

(China)

*

60,829

1,602,844

Software

-

0.8%

Alteryx,

Inc.,

Class

A

*

315,654

14,886,243

Total

Information

Technology

16,489,087

Materials

-

3.6%

Chemicals

-

2.0%

Chr

Hansen

Holding

A/S

(Denmark)

(2)

248,503

20,841,260

JSR

Corp.

(Japan)

(2)

527,269

15,003,063

35,844,323

Containers

&

Packaging

-

0.5%

Westrock

Co.

237,664

9,867,809

INVESTMENTS

SHARES

VALUE

($)

Metals

&

Mining

-

1.1%

United

States

Steel

Corp.

412,393

20,062,920

Total

Materials

65,775,052

Real

Estate

-

0.2%

Real

Estate

Management

&

Development

-

0.1%

Zillow

Group,

Inc.,

Class

C

*(a)

28,821

1,667,583

Retail

REITs

-

0.1%

RPT

Realty,

REIT

200,000

2,566,000

Total

Real

Estate

4,233,583

Utilities

-

0.0%

†

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

†

Alternus

Clean

Energy,

Inc.

*

9,246

13,869

TOTAL

COMMON

STOCKS

(Cost

$232,935,411)

250,656,123

CLOSED-END

FUNDS

-

8.6%

Financials

-

8.6%

abrdn

Emerging

Markets

Equity

Income

Fund,

Inc.

(a)

21,876

111,786

abrdn

Global

Dynamic

Dividend

Fund

61,400

573,476

abrdn

Global

Infrastructure

Income

Fund

25,045

449,307

abrdn

Healthcare

Investors

162,512

2,692,824

abrdn

Healthcare

Opportunities

Fund

114,816

2,079,318

abrdn

Life

Sciences

Investors

122,146

1,644,085

abrdn

National

Municipal

Income

Fund

30,838

314,856

abrdn

Total

Dynamic

Dividend

Fund

269,516

2,172,299

Adams

Natural

Resources

Fund,

Inc.

41,902

864,438

Advent

Convertible

and

Income

Fund

(a)

27,662

314,794

AllianceBernstein

Global

High

Income

Fund,

Inc.

1,100

11,132

AllianceBernstein

National

Municipal

Income

Fund,

Inc.

(a)

95,637

1,036,705

Allspring

Income

Opportunities

213,691

1,393,265

Apollo

Senior

Floating

Rate

Fund,

Inc.

(a)

24,629

326,334

Bancroft

Fund

Ltd.

9,545

152,529

Barings

Global

Short

Duration

High

Yield

Fund

12,086

162,436

BlackRock

Credit

Allocation

Income

Trust

(a)

170,834

1,763,007

BlackRock

Energy

and

Resources

Trust

(a)

29,816

371,209

BlackRock

Enhanced

Equity

Dividend

Trust

218,203

1,677,981

BlackRock

Enhanced

Global

Dividend

Trust

(a)

141,916

1,407,807

BlackRock

Enhanced

International

Dividend

Trust

(a)

247,706

1,305,411

BlackRock

Health

Sciences

Term

Trust

91,591

1,341,808

65

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Financials

-

8.6%

(continued)

BlackRock

Innovation

and

Growth

Term

Trust

75,517

553,540

Blackrock

Investment

Quality

Municipal

Trust,

Inc.

(The)

46,543

552,000

BlackRock

Municipal

2030

Target

Term

Trust

72,461

1,507,189

BlackRock

Municipal

Income

Fund,

Inc.

(a)

171,264

1,993,513

BlackRock

Municipal

Income

Quality

Trust

(a)

70,977

795,652

BlackRock

Municipal

Income

Trust

(a)

142,043

1,430,373

BlackRock

Municipal

Income

Trust

II

(a)

129,697

1,385,164

BlackRock

MuniHoldings

California

Quality

Fund,

Inc.

(a)

229,134

2,550,261

BlackRock

MuniHoldings

Fund,

Inc.

(a)

151,038

1,798,863

BlackRock

MuniHoldings

New

Jersey

Quality

Fund,

Inc.

(a)

111,748

1,275,045

BlackRock

MuniHoldings

New

York

Quality

Fund,

Inc.

(a)

70,203

737,834

BlackRock

MuniHoldings

Quality

Fund

II,

Inc.

(a)

76,372

765,247

BlackRock

MuniVest

Fund

II,

Inc.

(a)

65,739

708,009

BlackRock

MuniVest

Fund,

Inc.

(a)

161,478

1,149,723

BlackRock

MuniYield

Fund,

Inc.

(a)

127,473

1,374,159

BlackRock

MuniYield

Michigan

Quality

Fund,

Inc.

(a)

63,471

721,031

BlackRock

MuniYield

New

York

Quality

Fund,

Inc.

(a)

95,958

991,246

BlackRock

MuniYield

Pennsylvania

Quality

Fund

30,641

356,355

BlackRock

MuniYield

Quality

Fund

II,

Inc.

(a)

54,367

562,698

BlackRock

MuniYield

Quality

Fund

III,

Inc.

(a)

156,908

1,826,409

BlackRock

MuniYield

Quality

Fund,

Inc.

(a)

161,669

1,970,745

BlackRock

New

York

Municipal

Income

Trust

(a)

71,988

758,034

BlackRock

Resources

&

Commodities

Strategy

Trust

216,197

1,919,829

BlackRock

Science

and

Technology

Term

Trust

134,703

2,250,887

Blackstone

Long-Short

Credit

Income

Fund

29,921

342,595

Blackstone

Senior

Floating

Rate

2027

Term

Fund

39,114

522,172

Blackstone

Strategic

Credit

2027

Term

Fund

96,517

1,092,572

BNY

Mellon

Municipal

Income,

Inc.

71,166

462,579

BNY

Mellon

Strategic

Municipal

Bond

Fund,

Inc.

165,738

946,364

BNY

Mellon

Strategic

Municipals,

Inc.

189,480

1,110,353

Brookfield

Real

Assets

Income

Fund,

Inc.

162,435

2,080,792

INVESTMENTS

SHARES

VALUE

($)

Financials

-

8.6%

(continued)

Calamos

Global

Dynamic

Income

Fund

136,990

790,432

Calamos

Long

45,712

660,538

CBRE

Global

Real

Estate

Income

Fund

220,076

1,195,013

Central

Securities

Corp.

14,950

564,662

Clough

Global

Equity

Fund

85,719

507,885

Clough

Global

Opportunities

Fund

103,928

488,462

Cohen

&

Steers

Ltd.

Duration

Preferred

and

Income

Fund,

Inc.

43,384

799,567

Duff

&

Phelps

Utility

and

Infrastructure

Fund,

Inc.

7,598

69,674

DWS

Municipal

Income

Trust

86,954

773,021

Eaton

Vance

California

Municipal

Bond

Fund

70,176

642,110

Eaton

Vance

Ltd.

Duration

Income

Fund

233,273

2,234,755

Eaton

Vance

Municipal

Bond

Fund

154,080

1,560,830

Eaton

Vance

Municipal

Income

Trust

110,877

1,088,812

Eaton

Vance

New

York

Municipal

Bond

Fund

29,410

283,807

Eaton

Vance

Tax

Managed

Global

Buy

Write

Opportunities

Fund

158,314

1,230,100

Eaton

Vance

Tax-Advantaged

Dividend

Income

Fund

23,013

512,039

Eaton

Vance

Tax-Advantaged

Global

Dividend

Income

Fund

62,129

1,062,406

Eaton

Vance

Tax-Advantaged

Global

Dividend

Opportunities

Fund

6,318

149,358

Eaton

Vance

Tax-Managed

Buy-

Write

Income

Fund

4,581

59,461

Eaton

Vance

Tax-Managed

Global

Diversified

Equity

Income

Fund

262,232

2,024,431

Ellsworth

Growth

and

Income

Fund

Ltd.

44,118

356,473

Federated

Hermes

Premier

Municipal

Income

Fund

42,116

462,855

First

Trust

Energy

Income

and

Growth

Fund

45,050

652,324

First

Trust

High

Yield

Opportunities

2027

Term

Fund

59,513

829,016

First

Trust

Senior

Floating

Rate

Income

Fund

II

76,138

768,232

Flaherty

&

Crumrine

Preferred

and

Income

Fund,

Inc.

12,552

124,014

Flaherty

&

Crumrine

Preferred

and

Income

Opportunity

Fund,

Inc.

11,617

92,471

Flaherty

&

Crumrine

Preferred

and

Income

Securities

Fund,

Inc.

104,126

1,447,351

Flaherty

&

Crumrine

Total

Return

Fund,

Inc.

20,243

294,536

Franklin

Ltd.

Duration

Income

Trust

163,314

1,015,813

Gabelli

Dividend

&

Income

Trust

(The)

146,261

3,165,088

Gabelli

Global

Small

and

Mid

Cap

Value

Trust

(The)

3,480

40,820

66

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Financials

-

8.6%

(continued)

Gabelli

Healthcare

&

WellnessRx

Trust

(The)

37,688

351,629

GDL

Fund

(The)

3,632

29,201

General

American

Investors

Co.,

Inc.

19,906

854,963

Highland

Global

Allocation

Fund

62,157

488,554

Highland

Opportunities

and

Income

Fund

120,234

924,599

Insight

Select

Income

Fund

17,077

272,720

Invesco

Advantage

Municipal

Income

Trust

II

114,319

965,996

Invesco

California

Value

Municipal

Income

Trust

127,109

1,245,668

Invesco

Municipal

Opportunity

Trust

177,062

1,701,566

Invesco

Municipal

Trust

137,716

1,312,434

Invesco

Pennsylvania

Value

Municipal

Income

Trust

41,535

415,350

Invesco

Quality

Municipal

Income

Trust

128,388

1,220,970

Invesco

Trust

for

Investment

Grade

Municipals

146,808

1,451,931

Invesco

Trust

for

Investment

Grade

New

York

Municipals

41,600

433,056

Invesco

Value

Municipal

Income

Trust

115,747

1,357,712

John

Hancock

Hedged

Equity

&

Income

Fund

12,259

123,203

John

Hancock

Income

Securities

Trust

9,674

105,253

John

Hancock

Premium

Dividend

Fund

41,462

441,570

John

Hancock

Tax-Advantaged

Dividend

Income

Fund

18,322

347,568

Lazard

Global

Total

Return

and

Income

Fund,

Inc.

27,589

422,664

LMP

Capital

and

Income

Fund,

Inc.

20,369

285,370

MFS

Municipal

Income

Trust

88,089

455,420

Neuberger

Berman

Municipal

Fund,

Inc.

57,186

591,875

New

America

High

Income

Fund,

Inc.

(The)

62,681

441,274

New

Germany

Fund,

Inc.

(The)

15,673

136,982

Nuveen

AMT-Free

Municipal

Credit

Income

Fund

326,922

3,864,218

Nuveen

AMT-Free

Quality

Municipal

Income

Fund

394,848

4,343,328

Nuveen

Arizona

Quality

Municipal

Income

Fund

15,160

162,364

Nuveen

California

AMT-Free

Quality

Municipal

Income

Fund

106,569

1,229,806

Nuveen

California

Quality

Municipal

Income

Fund

309,056

3,427,431

Nuveen

Credit

Strategies

Income

Fund

189,030

986,737

Nuveen

Dow

30sm

Dynamic

Overwrite

Fund

79,501

1,113,014

Nuveen

Floating

Rate

Income

Fund

245,512

2,018,109

INVESTMENTS

SHARES

VALUE

($)

Financials

-

8.6%

(continued)

Nuveen

Massachusetts

Quality

Municipal

Income

Fund

5,237

55,041

Nuveen

Municipal

Credit

Income

Fund

342,439

4,047,629

Nuveen

New

Jersey

Quality

Municipal

Income

Fund

85,127

1,002,796

Nuveen

New

York

AMT-Free

Quality

Municipal

Income

Fund

174,891

1,841,602

Nuveen

New

York

Quality

Municipal

Income

Fund

72,149

796,525

Nuveen

Pennsylvania

Quality

Municipal

Income

Fund

69,137

800,607

Nuveen

Preferred

&

Income

Opportunities

Fund

894,320

6,045,603

Nuveen

Quality

Municipal

Income

Fund

375,816

4,303,093

Nuveen

Real

Asset

Income

and

Growth

Fund

73,697

863,729

Nuveen

Real

Estate

Income

Fund

72,981

570,711

Nuveen

S&P

500

Buy-Write

Income

Fund

13,131

168,471

Nuveen

Virginia

Quality

Municipal

Income

Fund

14,518

156,504

PGIM

Global

High

Yield

Fund,

Inc.

4,064

46,167

PGIM

High

Yield

Bond

Fund,

Inc.

22,718

279,886

PGIM

Short

Duration

High

Yield

Opportunities

Fund

15,605

234,075

PIMCO

California

Municipal

Income

Fund

II

8,948

51,898

Pioneer

Floating

Rate

Fund,

Inc.

68,024

623,780

Pioneer

High

Income

Fund,

Inc.

79,548

568,768

Pioneer

Municipal

High

Income

Advantage

Fund,

Inc.

91,034

730,093

Pioneer

Municipal

High

Income

Fund

Trust

108,084

932,765

RiverNorth

Flexible

Municipal

Income

Fund

II,

Inc.

2,894

37,911

Royce

Global

Value

Trust,

Inc.

1,365

13,309

Royce

Micro-Cap

Trust,

Inc.

61,763

570,690

Royce

Value

Trust,

Inc.

194,128

2,826,504

Saba

Capital

Income

&

Opportunities

Fund

6,639

51,187

Source

Capital,

Inc.

4,602

185,806

Sprott

Focus

Trust,

Inc.

2,811

22,488

SRH

Total

Return

Fund,

Inc.

68,038

943,687

Swiss

Helvetia

Fund,

Inc.

(The)

11,383

93,341

Templeton

Emerging

Markets

Fund

14,088

164,548

Thornburg

Income

Builder

Opportunities

Trust

895

13,881

Tri-Continental

Corp.

14,349

413,682

Virtus

Dividend

Interest

&

Premium

Strategy

Fund

194,923

2,456,030

Virtus

Total

Return

Fund,

Inc.

146,395

806,636

Voya

Emerging

Markets

High

Dividend

Equity

Fund

20,154

106,615

Voya

Global

Advantage

and

Premium

Opportunity

Fund

50,176

427,500

Voya

Global

Equity

Dividend

and

Premium

Opportunity

Fund

185,877

923,809

67

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Financials

-

8.6%

(continued)

Voya

Infrastructure

Industrials

and

Materials

Fund

37,319

379,907

Western

Asset

Intermediate

Muni

Fund,

Inc.

27,850

214,445

Western

Asset

Investment

Grade

Income

Fund,

Inc.

570

6,863

Western

Asset

Managed

Municipals

Fund,

Inc.

147,604

1,501,133

Western

Asset

Municipal

High

Income

Fund,

Inc.

37,960

243,703

Total

Financials

154,650,349

TOTAL

CLOSED-END

FUNDS

(Cost

$151,864,966)

154,650,349

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.0%

†

Communication

Services

-

0.0%

†

Media

-

0.0%

†

iHeartCommunications,

Inc.

6.38%,

5/1/2026

(2)

$

423

361

Energy

-

0.0%

†

Oil,

Gas

&

Consumable

Fuels

-

0.0%

†

Black

Elk

Energy

Escrow

13.75%,

12/1/2015

(3)(d)

2,833,436

123,254

Utilities

-

0.0%

†

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

†

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2022

(3)(d)

2,375,000

2,375

TOTAL

CORPORATE

BONDS

(Cost

$880,000)

125,990

CONVERTIBLE

BONDS

-

37.5%

Communication

Services

-

2.9%

Diversified

Telecommunication

Services

-

0.1%

Bandwidth,

Inc.

0.25%,

3/1/2026

(2)(a)

1,875,000

1,549,313

Entertainment

-

0.5%

Liberty

Media

Corp-Liberty

Formula

One

2.25%,

8/15/2027

(2)(a)

1,725,000

1,749,886

Sea

Ltd.

(Singapore)

0.25%,

9/15/2026

(2)(a)

9,900,000

8,142,750

9,892,636

Interactive

Media

&

Services

-

1.7%

Eventbrite,

Inc.

0.75%,

9/15/2026

(2)(a)

7,400,000

6,392,656

Liberty

TripAdvisor

Holdings,

Inc.

0.50%,

6/30/2051

(2)(a)(e)

15,050,000

13,075,440

Snap,

Inc.

0.00%,

5/1/2027

(2)(a)

1,175,000

941,528

0.13%,

3/1/2028

(2)(a)

12,872,000

10,065,904

30,475,528

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Media

-

0.6%

Cable

One,

Inc.

1.13%,

3/15/2028

(2)(a)

$

7,514,000

5,691,855

Liberty

Media

Corp.

3.75%,

3/15/2028

(2)(a)(e)

4,525,000

5,400,587

11,092,442

Total

Communication

Services

53,009,919

Consumer

Discretionary

-

8.1%

Automobile

Components

-

1.0%

LCI

Industries

1.13%,

5/15/2026

(2)(a)

11,400,000

11,143,500

Patrick

Industries,

Inc.

1.75%,

12/1/2028

(2)(a)

5,612,000

6,369,620

17,513,120

Broadline

Retail

-

1.1%

Etsy,

Inc.

0.25%,

6/15/2028

(2)(a)

17,200,000

13,770,320

Match

Group

Financeco

2,

Inc.

0.88%,

6/15/2026

(2)(a)(e)

3,600,000

3,237,840

Match

Group

Financeco

3,

Inc.

2.00%,

1/15/2030

(2)(a)(e)

3,150,000

2,734,515

19,742,675

Hotels,

Restaurants

&

Leisure

-

4.2%

Carnival

Corp.

5.75%,

12/1/2027

(2)(a)

17,245,000

28,299,045

DraftKings

Holdings,

Inc.

0.00%,

3/15/2028

(2)(a)

13,200,000

10,579,800

MakeMyTrip

Ltd.

(India)

0.00%,

2/15/2028

(2)(a)

10,150,000

13,205,150

Marriott

Vacations

Worldwide

Corp.

3.25%,

12/15/2027

(2)(a)

10,675,000

9,442,037

NCL

Corp.

Ltd.

2.50%,

2/15/2027

(2)(a)

275,000

257,400

1.13%,

2/15/2027

(2)(a)

15,638,000

14,279,058

76,062,490

Household

Durables

-

0.1%

GoPro,

Inc.

1.25%,

11/15/2025

(2)(a)

1,225,000

1,080,328

Specialty

Retail

-

1.7%

Burlington

Stores,

Inc.

1.25%,

12/15/2027

(2)(a)(e)

7,800,000

8,778,900

Wayfair,

Inc.

1.13%,

11/1/2024

(2)(a)

2,863,000

2,812,897

1.00%,

8/15/2026

(2)(a)

8,075,000

7,049,475

3.25%,

9/15/2027

(2)(a)

10,150,000

12,497,695

31,138,967

Total

Consumer

Discretionary

145,537,580

Consumer

Staples

-

0.5%

Consumer

Staples

Distribution

&

Retail

-

0.3%

Chefs'

Warehouse,

Inc.

(The)

2.38%,

12/15/2028

(2)

5,100,000

4,841,007

Food

Products

-

0.2%

Freshpet,

Inc.

3.00%,

4/1/2028

(2)(a)(e)

3,200,000

4,588,800

Total

Consumer

Staples

9,429,807

68

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Energy

-

1.3%

Energy

Equipment

&

Services

-

0.5%

Nabors

Industries,

Inc.

1.75%,

6/15/2029

(2)(a)(e)

$

12,646,000

9,129,147

Oil,

Gas

&

Consumable

Fuels

-

0.8%

Northern

Oil

and

Gas,

Inc.

3.63%,

4/15/2029

(2)(a)

10,572,000

12,464,388

World

Kinect

Corp.

3.25%,

7/1/2028

(2)(a)(e)

1,625,000

1,639,625

14,104,013

Total

Energy

23,233,160

Financials

-

2.7%

Capital

Markets

-

0.4%

WisdomTree,

Inc.

5.75%,

8/15/2028

(2)(a)(e)

7,000,000

7,217,000

Consumer

Finance

-

1.2%

EZCORP,

Inc.

2.38%,

5/1/2025

(2)(a)

1,540,000

1,429,274

3.75%,

12/15/2029

(2)(a)(e)

9,850,000

9,943,575

LendingTree,

Inc.

0.50%,

7/15/2025

(2)(a)

2,876,000

2,372,700

SoFi

Technologies,

Inc.

0.00%,

10/15/2026

(2)(a)(e)

10,025,000

8,436,038

22,181,587

Financial

Services

-

1.1%

Block,

Inc.

0.25%,

11/1/2027

(2)(a)

5,550,000

4,557,937

Repay

Holdings

Corp.

0.00%,

2/1/2026

(2)(a)(e)

3,475,000

2,945,063

Shift4

Payments,

Inc.

0.50%,

8/1/2027

(2)(a)

12,438,000

11,590,972

19,093,972

Total

Financials

48,492,559

Health

Care

-

5.2%

Biotechnology

-

2.3%

Alnylam

Pharmaceuticals,

Inc.

1.00%,

9/15/2027

(2)(a)

5,942,000

5,838,015

Cytokinetics,

Inc.

3.50%,

7/1/2027

(2)(a)

6,641,000

11,654,955

Exact

Sciences

Corp.

2.00%,

3/1/2030

(2)(a)(e)

7,300,000

8,756,350

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024

(2)(a)

2,075,000

1,879,120

Intercept

Pharmaceuticals,

Inc.

2.00%,

5/15/2026

(2)

3,082,000

3,066,590

Natera,

Inc.

2.25%,

5/1/2027

(2)(a)

4,700,000

8,037,000

Sarepta

Therapeutics,

Inc.

1.25%,

9/15/2027

(2)(a)

1,875,000

1,897,312

41,129,342

Health

Care

Equipment

&

Supplies

-

0.8%

Cutera,

Inc.

2.25%,

6/1/2028

(2)(a)

4,482,000

1,131,705

4.00%,

6/1/2029

(2)(a)

1,033,000

221,062

Lantheus

Holdings,

Inc.

2.63%,

12/15/2027

(2)(a)

2,500,000

2,801,500

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Health

Care

Equipment

&

Supplies

-

0.8%

(continued)

TransMedics

Group,

Inc.

1.50%,

6/1/2028

(2)(a)(e)

$

8,675,000

9,792,340

13,946,607

Health

Care

Providers

&

Services

-

0.6%

Guardant

Health,

Inc.

0.00%,

11/15/2027

(2)(a)

14,525,000

10,167,500

Health

Care

Technology

-

0.7%

Evolent

Health,

Inc.

3.50%,

12/1/2029

(2)(a)(e)

2,146,000

2,502,236

Teladoc

Health,

Inc.

1.25%,

6/1/2027

(2)(a)

11,425,000

9,390,207

11,892,443

Life

Sciences

Tools

&

Services

-

0.2%

CryoPort,

Inc.

0.75%,

12/1/2026

(2)(a)(e)

3,083,000

2,450,985

Inotiv,

Inc.

3.25%,

10/15/2027

(2)(a)

3,500,000

1,474,236

3,925,221

Pharmaceuticals

-

0.6%

Innoviva,

Inc.

2.13%,

3/15/2028

(2)(a)

13,373,000

11,667,943

Total

Health

Care

92,729,056

Industrials

-

4.2%

Air

Freight

&

Logistics

-

0.8%

Air

Transport

Services

Group,

Inc.

3.88%,

8/15/2029

(2)(a)(e)

15,487,000

13,744,713

Electrical

Equipment

-

1.5%

Array

Technologies,

Inc.

1.00%,

12/1/2028

(2)(a)

12,850,000

12,637,975

Bloom

Energy

Corp.

3.00%,

6/1/2028

(2)(a)(e)

13,365,000

14,233,725

26,871,700

Machinery

-

0.9%

3D

Systems

Corp.

0.00%,

11/15/2026

(2)(a)

6,850,000

5,209,425

Greenbrier

Cos.,

Inc.

(The)

2.88%,

4/15/2028

(2)(a)

11,535,000

11,315,835

16,525,260

Passenger

Airlines

-

0.6%

JetBlue

Airways

Corp.

0.50%,

4/1/2026

(2)(a)

12,675,000

9,125,903

Spirit

Airlines,

Inc.

1.00%,

5/15/2026

(2)(a)

1,846,000

1,279,278

10,405,181

Trading

Companies

&

Distributors

-

0.4%

Xometry,

Inc.

1.00%,

2/1/2027

(2)(a)

8,800,000

8,267,589

Total

Industrials

75,814,443

Information

Technology

-

9.1%

Communications

Equipment

-

1.7%

Infinera

Corp.

2.50%,

3/1/2027

(2)(a)

2,925,000

2,669,935

3.75%,

8/1/2028

(2)(a)

8,750,000

8,591,625

69

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Communications

Equipment

-

1.7%

(continued)

Lumentum

Holdings,

Inc.

0.50%,

6/15/2028

(2)(a)

$

11,406,000

8,975,381

1.50%,

12/15/2029

(2)(a)(e)

11,036,000

10,969,784

31,206,725

IT

Services

-

0.5%

DigitalOcean

Holdings,

Inc.

0.00%,

12/1/2026

(2)(a)

10,530,000

8,680,932

Semiconductors

&

Semiconductor

Equipment

-

1.4%

ON

Semiconductor

Corp.

0.50%,

3/1/2029

(2)(a)(e)

14,350,000

15,246,875

Semtech

Corp.

4.00%,

11/1/2028

(2)(a)(e)

5,155,000

6,590,668

SMART

Global

Holdings,

Inc.

2.25%,

2/15/2026

(2)(a)

900,000

1,006,650

2.00%,

2/1/2029

(2)(a)

1,000,000

1,077,000

Veeco

Instruments,

Inc.

2.88%,

6/1/2029

(2)(a)(e)

1,215,000

1,550,340

25,471,533

Software

-

3.8%

8x8,

Inc.

4.00%,

2/1/2028

(2)(a)

9,300,000

8,016,600

Cerence,

Inc.

1.50%,

7/1/2028

(2)(a)(e)

12,812,000

10,499,434

Envestnet,

Inc.

2.63%,

12/1/2027

(2)(a)

4,200,000

4,142,250

LivePerson,

Inc.

0.00%,

12/15/2026

(2)(a)

200,000

132,160

PagerDuty,

Inc.

1.50%,

10/15/2028

(2)(a)(e)

9,874,000

10,701,441

Rapid7,

Inc.

1.25%,

3/15/2029

(2)(a)(e)

5,175,000

5,750,978

Splunk,

Inc.

1.13%,

6/15/2027

(2)

23,603,000

22,859,505

Unity

Software,

Inc.

0.00%,

11/15/2026

(2)(a)

6,825,000

5,671,575

Veritone,

Inc.

1.75%,

11/15/2026

(2)(a)

1,091,000

242,710

68,016,653

Technology

Hardware,

Storage

&

Peripherals

-

1.7%

Seagate

HDD

Cayman

3.50%,

6/1/2028

(2)(a)(e)

6,900,000

8,324,850

Western

Digital

Corp.

3.00%,

11/15/2028

(2)(a)(e)

18,375,000

22,472,625

30,797,475

Total

Information

Technology

164,173,318

Real

Estate

-

0.9%

Diversified

REITs

-

0.4%

HAT

Holdings

I

LLC

0.00%,

5/1/2025

(2)(a)(e)

6,812,000

6,854,916

Office

REITs

-

0.4%

Corporate

Office

Properties

LP

5.25%,

9/15/2028

(2)(a)(e)

6,375,000

6,716,062

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Real

Estate

Management

&

Development

-

0.1%

Redfin

Corp.

0.50%,

4/1/2027

(2)(a)

$

4,535,000

2,911,017

Total

Real

Estate

16,481,995

Utilities

-

2.6%

Electric

Utilities

-

2.1%

Alliant

Energy

Corp.

3.88%,

3/15/2026

(2)(a)(e)

5,075,000

5,036,938

Duke

Energy

Corp.

4.13%,

4/15/2026

(2)(a)(e)

6,450,000

6,466,125

Evergy,

Inc.

4.50%,

12/15/2027

(2)(a)(e)

10,141,000

10,409,736

FirstEnergy

Corp.

4.00%,

5/1/2026

(2)(a)(e)

7,708,000

7,634,774

PPL

Capital

Funding,

Inc.

2.88%,

3/15/2028

(2)(a)(e)

8,215,000

7,956,227

37,503,800

Multi-Utilities

-

0.5%

CenterPoint

Energy,

Inc.

4.25%,

8/15/2026

(2)(a)(e)

8,809,000

8,848,641

Total

Utilities

46,352,441

TOTAL

CONVERTIBLE

BONDS

(Cost

$662,501,563)

675,254,278

NO.

OF

RIGHTS

RIGHTS

-

0.0%

†

Financials

-

0.0%

†

Capital

Markets

-

0.0%

†

99

Acquisition

Group,

Inc.,

expiring

5/18/2024

*(b)

9,622

1,443

Alset

Capital

Acquisition

Corp.,

expiring

2/3/2025

*(b)

122,496

25,724

Aquaron

Acquisition

Corp.,

expiring

2/6/2024

(3)*(a)(b)

35,605

6,409

Bannix

Acquisition

Corp.,

expiring

1/14/2024

*(b)

26,277

7,095

Bellevue

Life

Sciences

Acquisition

Corp.,

expiring

2/14/2024

*(b)

25,053

3,756

Breeze

Holdings

Acquisition

Corp.,

expiring

1/26/2024

*(b)

55,000

3,575

Broad

Capital

Acquisition

Corp.,

expiring

1/13/2024

*(b)

69,739

8,180

Cetus

Capital

Acquisition

Corp.,

expiring

2/3/2024

(2)*(b)

27,102

4,732

Clean

Energy

Special

Situations

Corp.,

expiring

5/28/2024

(2)*(b)

40,212

33,778

Deep

Medicine

Acquisition

Corp.,

expiring

1/29/2024

*(b)

152,927

45,878

Edoc

Acquisition

Corp.,

expiring

1/12/2024

(2)*(b)

55,000

3,850

ESH

Acquisition

Corp.,

expiring

12/16/2024

(2)*(b)

97,905

10,779

Feutune

Light

Acquisition

Corp.,

expiring

1/21/2024

(2)*(b)

94,079

724

Financial

Strategies

Acquisition

Corp.,

expiring

7/1/2024

(2)*(b)

131,193

26

Fintech

Ecosystem

Development

Corp.,

expiring

1/21/2024

*(b)

10,730

1,073

70

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

NO.

OF

RIGHTS

VALUE

($)

Capital

Markets

-

0.0%

†

(continued)

Global

Blockchain

Acquisition

Corp.,

expiring

1/12/2024

*(b)

161,196

17,441

Global

Star

Acquisition,

Inc.,

expiring

1/22/2024

(2)*(b)

50,064

5,397

Globalink

Investment,

Inc.,

expiring

2/9/2024

(2)*(b)

74,843

8,121

Goldenstone

Acquisition

Ltd.,

expiring

6/21/2024

(2)*(b)

32,200

2,141

Inception

Growth

Acquisition

Ltd.,

expiring

2/13/2024

*(b)

112,518

14,751

Metal

Sky

Star

Acquisition

Corp.,

expiring

2/5/2024

*(b)

103,342

9,301

Monterey

Capital

Acquisition

Corp.,

expiring

1/13/2024

(3)*(b)

71,394

8,439

NorthView

Acquisition

Corp.,

expiring

1/22/2024

(2)*(b)

154,598

13,481

PHP

Ventures

Acquisition

Corp.,

expiring

1/16/2024

(3)*(b)

29,400

4,116

Plutonian

Acquisition

Corp.,

expiring

2/15/2024

*(b)

15,166

2,096

Qomolangma

Acquisition

Corp.,

expiring

2/4/2024

(2)*(b)

23,684

2,395

Quetta

Acquisition

Corp.,

expiring

7/10/2024

*(b)

1,196

1,555

Redwoods

Acquisition

Corp.,

expiring

2/4/2024

(3)*(b)

74,885

5,759

RF

Acquisition

Corp.,

expiring

3/28/2024

(3)*(b)

114,573

11,457

Sagaliam

Acquisition

Corp.,

expiring

5/31/2028

*(b)

70,003

5,250

Trailblazer

Merger

Corp.

I,

expiring

3/29/2024

(2)*(b)

149,105

15,224

Welsbach

Technology

Metals

Acquisition

Corp.,

expiring

6/30/2024

*(b)

9,289

918

Yotta

Acquisition

Corp.,

expiring

8/22/2024

(3)*(b)

68,693

8,243

Total

Financials

293,107

Health

Care

-

0.0%

Biotechnology

-

0.0%

Ambit

Biosciences

Corp.,

CVR

(3)*

146,272

–

Tobira

Therapeutics,

Inc.,

CVR

(3)*

11,880

–

Total

Health

Care

–

TOTAL

RIGHTS

(Cost

$–)

293,107

NO.

OF

WARRANTS

WARRANTS

-

0.1%

Communication

Services

-

0.0%

†

Interactive

Media

&

Services

-

0.0%

†

Leafly

Holdings,

Inc.,

expiring

11/7/2026

*

20,325

319

Media

-

0.0%

†

Banzai

International,

Inc.,

expiring

12/31/2026

*

66,042

3,031

Total

Communication

Services

3,350

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Consumer

Discretionary

-

0.0%

†

Automobiles

-

0.0%

†

Srivaru

Holding

Ltd.,

expiring

5/30/2028

(India)

*

95,419

1,422

Hotels,

Restaurants

&

Leisure

-

0.0%

†

Hall

of

Fame

Resort

&

Entertainment

Co.,

expiring

7/1/2025

*

77,682

994

Specialty

Retail

-

0.0%

†

ECD

Automotive

Design,

Inc.,

expiring

12/8/2027

*

31,906

766

Total

Consumer

Discretionary

3,182

Energy

-

0.0%

†

Oil,

Gas

&

Consumable

Fuels

-

0.0%

†

Brooge

Energy

Ltd.,

expiring

12/20/2024

(United

Arab

Emirates)

*

64,699

957

HNR

Acquisition

Corp.,

expiring

7/29/2028

(2)*

33,455

1,857

Vast

Solar

Pty.

Ltd.,

expiring

6/29/2028

(Australia)

(2)*

117,701

11,782

Total

Energy

14,596

Financials

-

0.1%

Capital

Markets

-

0.1%

26

Capital

Acquisition

Corp.,

expiring

12/31/2027

(3)*(b)

74,200

482

99

Acquisition

Group,

Inc.,

expiring

5/18/2024

*(b)

9,622

154

Achari

Ventures

Holdings

Corp.

I,

expiring

1/19/2024

(2)*(a)(b)

42,909

648

Acri

Capital

Acquisition

Corp.,

expiring

1/14/2024

(2)*(a)(b)

27,498

2,475

Adit

EdTech

Acquisition

Corp.,

expiring

1/14/2024

*(b)

913

77

Aetherium

Acquisition

Corp.,

expiring

2/3/2024

(3)*(a)(b)

175,712

7,028

Alset

Capital

Acquisition

Corp.,

expiring

2/2/2027

(2)*(b)

53,070

531

AltEnergy

Acquisition

Corp.,

expiring

5/2/2024

*(a)(b)

61,463

2,274

Altitude

Acquisition

Corp.,

expiring

2/11/2024

*(b)

96,300

2,215

Armada

Acquisition

Corp.

I,

expiring

1/17/2024

*(b)

64,166

1,033

Arogo

Capital

Acquisition

Corp.,

expiring

1/29/2024

*(b)

96,774

2,419

Arrowroot

Acquisition

Corp.,

expiring

2/6/2024

*(a)(b)

41,500

3,362

Athena

Technology

Acquisition

Corp.

II,

expiring

2/14/2024

*(b)

319,116

7,978

Atlantic

Coastal

Acquisition

Corp.

II,

expiring

3/19/2024

(2)*(a)(b)

206,631

4,153

71

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Ault

Disruptive

Technologies

Corp.,

expiring

1/20/2024

(2)*(a)(b)

54,855

2,743

Bannix

Acquisition

Corp.,

expiring

1/14/2024

*(b)

26,277

328

Banyan

Acquisition

Corp.,

expiring

1/24/2024

*(b)

164,007

60,519

Bellevue

Life

Sciences

Acquisition

Corp.,

expiring

2/14/2024

*(b)

25,053

481

Berenson

Acquisition

Corp.

I,

expiring

9/30/2024

*(b)

15,392

462

Bite

Acquisition

Corp.,

expiring

1/17/2024

*(b)

41,600

1,248

Breeze

Holdings

Acquisition

Corp.,

expiring

1/26/2024

*(b)

55,000

7,150

BurTech

Acquisition

Corp.,

expiring

1/15/2024

*(b)

447,209

40,249

byNordic

Acquisition

Corp.,

expiring

2/12/2024

*(b)

69,207

8,305

Canna-Global

Acquisition

Corp.,

expiring

2/2/2024

*(b)

188,580

3,545

Cetus

Capital

Acquisition

Corp.,

expiring

2/3/2024

(2)*(b)

27,102

388

CF

Acquisition

Corp.

VII,

expiring

1/20/2024

(2)*(b)

48,764

1,414

Churchill

Capital

Corp.

VII,

expiring

1/17/2024

*(b)

16,600

2,160

Clean

Energy

Special

Situations

Corp.,

expiring

5/28/2024

(3)*(b)

20,106

1,508

Concord

Acquisition

Corp.

II,

expiring

6/3/2024

*(b)

95,464

12,410

Concord

Acquisition

Corp.

III,

expiring

8/8/2024

*(b)

215,234

21,523

Conx

Corp.,

expiring

5/3/2024

*(b)

92,500

28,305

Corner

Growth

Acquisition

Corp.,

expiring

3/20/2024

*(b)

110,400

7,728

Digital

Health

Acquisition

Corp.,

expiring

2/8/2024

*(b)

71,745

1,865

Direct

Selling

Acquisition

Corp.,

expiring

1/28/2024

*(b)

51,291

513

dMY

Squared

Technology

Group,

Inc.,

expiring

1/29/2024

*(b)

6,140

921

DUET

Acquisition

Corp.,

expiring

1/24/2024

*(b)

73,788

3,689

Edify

Acquisition

Corp.,

expiring

1/20/2024

*(b)

41,550

598

Edoc

Acquisition

Corp.,

expiring

1/12/2024

*(b)

55,000

710

Everest

Consolidator

Acquisition

Corp.,

expiring

2/28/2024

*(b)

65,508

8,516

ExcelFin

Acquisition

Corp.,

expiring

1/25/2024

(2)*(b)

67,393

1,368

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Feutune

Light

Acquisition

Corp.,

expiring

1/21/2024

(3)*(b)

94,079

1,129

Financial

Strategies

Acquisition

Corp.,

expiring

3/31/2028

(3)*(b)

131,193

26

Fintech

Ecosystem

Development

Corp.,

expiring

1/21/2024

*(b)

5,365

50

Flame

Acquisition

Corp.,

expiring

3/1/2024

*(b)

65,866

127,121

Focus

Impact

Acquisition

Corp.,

expiring

4/1/2024

(2)*(b)

50,975

1,020

Focus

Impact

BH3

Acquisition

Co.,

expiring

7/31/2024

*(b)

42,289

2,537

Fortune

Rise

Acquisition

Corp.,

expiring

2/5/2024

(2)*(b)

49,324

1,973

Four

Leaf

Acquisition

Corp.,

expiring

3/22/2024

(2)*(b)

111,000

3,330

FTAC

Emerald

Acquisition

Corp.,

expiring

1/19/2024

*(b)

118,863

5,955

Future

Health

ESG

Corp.,

expiring

12/31/2024

(3)*(b)

45,911

1,267

FutureTech

II

Acquisition

Corp.,

expiring

1/18/2024

(3)*(b)

38,964

581

GigCapital5,

Inc.,

expiring

3/31/2024

*(b)

123,100

800

Global

Blockchain

Acquisition

Corp.,

expiring

1/12/2024

(3)*(b)

161,196

2,418

Global

Star

Acquisition,

Inc.,

expiring

1/22/2024

(2)*(b)

50,064

501

Global

Systems

Dynamics,

Inc.,

expiring

12/31/2027

*(b)

69,500

327

Globalink

Investment,

Inc.,

expiring

2/9/2024

*(b)

74,843

247

Goal

Acquisitions

Corp.,

expiring

2/10/2024

(2)*(b)

84,630

313

Golden

Arrow

Merger

Corp.,

expiring

1/19/2024

*(b)

131,733

17,138

Goldenstone

Acquisition

Ltd.,

expiring

6/21/2024

(3)*(b)

32,200

644

Gores

Holdings

IX,

Inc.,

expiring

12/6/2024

(2)*(b)

552,098

65,148

Hennessy

Capital

Investment

Corp.

VI,

expiring

9/30/2024

*(b)

232,490

14,205

Inception

Growth

Acquisition

Ltd.,

expiring

2/13/2024

(2)*(b)

56,259

956

Insight

Acquisition

Corp.,

expiring

2/8/2024

*(b)

25,170

956

Integral

Acquisition

Corp.

1,

expiring

2/5/2024

(2)*(b)

53,808

3,772

72

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Integrated

Rail

and

Resources

Acquisition

Corp.,

expiring

1/15/2024

(2)*(b)

54,219

5,422

InterPrivate

III

Financial

Partners,

Inc.,

expiring

12/31/2027

(3)*(b)

16,500

166

Iris

Acquisition

Corp.,

expiring

3/9/2024

(3)*(b)

63,888

1,923

Kingswood

Acquisition

Corp.,

expiring

1/24/2024

*(b)

112,062

11,206

Landcadia

Holdings

IV,

Inc.,

expiring

3/29/2024

*(b)

84,500

5,484

Learn

CW

Investment

Corp.,

expiring

1/13/2024

*(b)

13,352

267

Maquia

Capital

Acquisition

Corp.,

expiring

2/7/2024

*(b)

113,500

2,270

Marblegate

Acquisition

Corp.,

expiring

10/5/2024

*(b)

573,387

17,202

Metal

Sky

Star

Acquisition

Corp.,

expiring

2/5/2024

(3)*(b)

103,342

620

Monterey

Capital

Acquisition

Corp.,

expiring

1/13/2024

(3)*(b)

71,394

643

New

Providence

Acquisition

Corp.

II,

expiring

5/9/2024

*(b)

41,859

2,072

Newbury

Street

Acquisition

Corp.,

expiring

1/25/2024

(2)*(b)

88,000

6,160

Northern

Star

Investment

Corp.

II,

expiring

12/8/2024

(2)*(b)

16,500

86

Northern

Star

Investment

Corp.

III,

expiring

3/4/2024

(2)*(b)

13,777

21

Northern

Star

Investment

Corp.

IV,

expiring

3/4/2024

(2)*(b)

13,777

277

NorthView

Acquisition

Corp.,

expiring

1/22/2024

(2)*(b)

77,299

665

Nubia

Brand

International

Corp.,

expiring

11/16/2026

*(b)

141,397

6,646

OCA

Acquisition

Corp.,

expiring

1/20/2024

*(b)

55,769

3,898

OceanTech

Acquisitions

I

Corp.,

expiring

2/2/2024

*(b)

104,000

2,444

Osiris

Acquisition

Corp.,

expiring

5/18/2024

*(b)

254,000

7,620

Papaya

Growth

Opportunity

Corp.

I,

expiring

1/19/2024

*(b)

206,644

4,133

Phoenix

Biotech

Acquisition

Corp.,

expiring

2/8/2024

(2)*(b)

106,172

2,495

PHP

Ventures

Acquisition

Corp.,

expiring

1/16/2024

(3)*(b)

14,700

103

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Plutonian

Acquisition

Corp.,

expiring

2/15/2024

*(b)

15,166

419

PMV

Consumer

Acquisition

Corp.,

expiring

8/31/2027

*(b)

146,000

29

Pono

Capital

Two,

Inc.,

expiring

2/9/2024

*(b)

92,094

2,597

Power

&

Digital

Infrastructure

Acquisition

II

Corp.,

expiring

1/14/2024

*(b)

159,558

4,771

PowerUp

Acquisition

Corp.,

expiring

5/23/2024

*(b)

226,462

13,588

Priveterra

Acquisition

Corp.

II,

expiring

1/7/2027

*(b)

72,083

1,261

Qomolangma

Acquisition

Corp.,

expiring

2/4/2024

(3)*(b)

23,684

417

Redwoods

Acquisition

Corp.,

expiring

2/4/2024

(3)*(b)

74,885

1,692

Relativity

Acquisition

Corp.,

expiring

2/15/2024

(3)*(b)

89,748

–

RF

Acquisition

Corp.,

expiring

3/28/2024

*(b)

114,573

2,280

Roth

CH

Acquisition

V

Co.,

expiring

2/3/2024

*(b)

14,143

566

ShoulderUp

Technology

Acquisition

Corp.,

expiring

5/19/2024

(3)*(b)

108,870

2,722

SilverBox

Corp.

III,

expiring

8/28/2024

(3)*(b)

35,738

2,859

Sizzle

Acquisition

Corp.,

expiring

2/8/2024

*(b)

35,872

3,264

Social

Leverage

Acquisition

Corp.

I,

expiring

2/17/2024

(2)*(b)

20,666

397

Southport

Acquisition

Corp.,

expiring

1/14/2024

*(b)

182,986

4,575

TG

Venture

Acquisition

Corp.,

expiring

2/5/2024

(2)*(b)

215,235

3,185

Thunder

Bridge

Capital

Partners

IV,

Inc.,

expiring

7/2/2024

*(b)

64,400

5,152

Twelve

Seas

Investment

Co.

II,

expiring

2/2/2024

(2)*(b)

32,933

1,330

Vision

Sensing

Acquisition

Corp.,

expiring

2/3/2024

*(b)

38,412

730

Western

Acquisition

Ventures

Corp.,

expiring

1/11/2024

*(b)

67,539

2,154

Williams

Rowland

Acquisition

Corp.,

expiring

1/29/2024

*(b)

115,833

2,896

Yotta

Acquisition

Corp.,

expiring

8/22/2024

*(b)

68,693

893

Zalatoris

Acquisition

Corp.,

expiring

10/14/2024

*(b)

54,960

2,182

647,671

Financial

Services

-

0.0%

†

XBP

Europe

Holdings,

Inc.,

expiring

12/31/2027

*

11,309

659

73

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Insurance

-

0.0%

†

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)

*

85,665

323

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%

†

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

(3)*

255,656

1,304

Total

Financials

649,957

Health

Care

-

0.0%

†

Biotechnology

-

0.0%

†

180

Life

Sciences

Corp.,

expiring

11/7/2025

*

223,232

937

Carmell

Corp.,

expiring

7/12/2028

*

45,200

10,396

DermTech,

Inc.,

expiring

8/29/2024

*

39,932

152

Ensysce

Biosciences,

Inc.,

expiring

2/1/2026

*

55,105

72

NKGen

Biotech,

Inc.,

expiring

10/2/2028

*

70,011

4,950

Peak

Bio,

Inc.,

expiring

12/31/2027

(3)*

5,171

52

ZyVersa

Therapeutics,

Inc.,

expiring

12/20/2026

(3)*

38,655

–

16,559

Health

Care

Equipment

&

Supplies

-

0.0%

†

Envoy

Medical,

Inc.,

expiring

9/29/2028

*

36,248

725

Health

Care

Technology

-

0.0%

†

iCoreConnect,

Inc.,

expiring

5/15/2028

(2)*

66,031

7

Life

Sciences

Tools

&

Services

-

0.0%

†

Conduit

Pharmaceuticals,

Inc.,

expiring

2/3/2027

(2)*

76,151

5,277

Total

Health

Care

22,568

Industrials

-

0.0%

†

Aerospace

&

Defense

-

0.0%

†

AERWINS

Technology,

Inc.,

expiring

6/16/2026

*(a)

26,570

345

Commercial

Services

&

Supplies

-

0.0%

†

ESGL

Holdings

Ltd.,

expiring

4/13/2028

(Singapore)

*

27,207

103

Royalty

Management

Holding

Corp.,

expiring

5/28/2026

*

49,760

1,732

1,835

Construction

&

Engineering

-

0.0%

†

Southland

Holdings,

Inc.,

expiring

9/1/2026

*

32,087

13,473

Electrical

Equipment

-

0.0%

†

Noco-Noco,

Inc.,

expiring

8/11/2028

(2)*

6,145

44

Machinery

-

0.0%

†

Nuburu,

Inc.,

expiring

9/7/2027

*

253,579

279

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Passenger

Airlines

-

0.0%

†

flyExclusive,

Inc.,

expiring

5/28/2028

*

155,270

34,159

Volato

Group,

Inc.,

expiring

12/3/2028

*

63,985

7,109

41,268

Total

Industrials

57,244

Information

Technology

-

0.0%

†

Electronic

Equipment,

Instruments

&

Components

-

0.0%

†

Infrared

Cameras

Holdings,

Inc.,

expiring

12/19/2028

*

57,216

2,632

Ouster,

Inc.,

expiring

9/29/2025

*

41,936

1,069

Syntec

Optics

Holdings,

Inc.,

expiring

11/8/2026

*

16,022

1,618

5,319

Software

-

0.0%

†

Nvni

Group

Ltd.,

expiring

11/1/2028

(Cayman

Islands)

*

66,869

2,374

Technology

Hardware,

Storage

&

Peripherals

-

0.0%

†

CompoSecure,

Inc.,

expiring

10/31/2025

*

11,296

4,215

Total

Information

Technology

11,908

Materials

-

0.0%

†

Chemicals

-

0.0%

†

Global

Gas

Corp.,

expiring

10/29/2027

*

19,311

676

Metals

&

Mining

-

0.0%

†

NioCorp

Developments

Ltd.,

expiring

3/17/2028

(Canada)

*

96,961

51,389

Total

Materials

52,065

Utilities

-

0.0%

†

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

†

Alternus

Clean

Energy,

Inc.,

expiring

12/22/2028

(3)*

95,543

3,822

Total

Utilities

3,822

TOTAL

WARRANTS

(Cost

$312,091)

818,692

NO.

OF

UNITS

SECURITIES

IN

LITIGATION

-

0.0%

Health

Care

-

0.0%

Health

Care

Equipment

&

Supplies

-

0.0%

DEMC

Ltd.,

Class

A

(United

Kingdom)

(acquired

1/24/2014

-

10/29/2015,

Cost

$129,686)

(3)*(c)

12,969

–

DEMC

Ltd.,

Class

A-2

(acquired

2/8/2023,

Cost

$–)

(3)*(c)

368,190,309

–

DEMC

Ltd.,

Class

A-3

(acquired

2/8/2023,

Cost

$–)

(3)*(c)

292,030,544,028

–

DEMC

Ltd.,

Class

A-4

(acquired

2/8/2023,

Cost

$–)

(3)*(c)

40,321,771,424,070

–

DEMC

Ltd.,

Class

B

(acquired

1/27/2014,

Cost

$11)

(3)*(c)

10,488

–

74

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

NO.

OF

UNITS

VALUE

($)

Health

Care

Equipment

&

Supplies

-

0.0%

(continued)

DEMC

Ltd.,

Class

B-2

(Malaysia)

(acquired

4/12/2017,

Cost

$–)

(3)*(c)

513,897,326

–

DEMC

Ltd.,

Class

B-3

(acquired

9/5/2019,

Cost

$–)

(3)*(c)

489,352,292,604

–

DEMC

Ltd.,

Class

B-4

(acquired

1/31/2022,

Cost

$–)

(3)*(c)

40,321,771,424,070

–

Total

Health

Care

–

TOTAL

SECURITIES

IN

LITIGATION

(Cost

$129,697)

–

UNITS

-

0.0%

†

Financials

-

0.0%

†

Capital

Markets

-

0.0%

†

Iron

Horse

Acquisitions

Corp.

*(b)

(Cost

$634,649)

63,190

634,427

SHARES

SHORT-TERM

INVESTMENTS

-

52.5%

INVESTMENT

COMPANIES

-

19.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.19%

(f)(g)

14,472,367

14,472,367

Limited

Purpose

Cash

Investment

Fund,

5.37%

(f)(h)

333,931,136

333,797,563

TOTAL

INVESTMENT

COMPANIES

(Cost

$348,145,759)

348,269,930

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

33.1%

U.S.

Treasury

Bills

5.40%,

1/4/2024

(2)(i)

$

47,494,000

47,480,198

5.41%,

1/11/2024

(2)(a)(i)(j)

79,701,000

79,596,854

5.39%,

1/18/2024

(2)(i)(j)

6,627,000

6,611,445

5.41%,

2/8/2024

(2)(i)(j)

5,211,000

5,182,779

5.44%,

2/15/2024

(2)(i)

105,733,000

105,055,709

5.44%,

2/22/2024

(2)(i)(j)

123,952,000

123,030,568

5.45%,

3/7/2024

(2)(i)(j)

30,979,000

30,687,792

5.45%,

3/21/2024

(2)(a)(i)(j)

21,230,000

20,988,126

5.46%,

3/28/2024

(2)(i)(j)

25,755,000

25,435,266

5.47%,

4/11/2024

(2)(a)(i)(j)

36,203,000

35,681,476

5.48%,

4/18/2024

(2)(i)(j)

64,919,000

63,917,136

5.47%,

4/25/2024

(2)(i)(j)

53,643,000

52,764,180

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$596,243,197)

596,431,529

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$944,388,956)

944,701,459

TOTAL

LONG

POSITIONS

(Cost

$1,993,647,333)

2,027,134,425

INVESTMENTS

SHARES

VALUE

($)

SHORT

POSITIONS

-

(16.6)%

COMMON

STOCKS

-

(15.7)%

Communication

Services

-

(1.4)%

Diversified

Telecommunication

Services

-

(0.2)%

Bandwidth,

Inc.,

Class

A

(497)

(7,192)

EchoStar

Corp.,

Class

A

(253,034)

(4,192,773)

(4,199,965)

Entertainment

-

(0.2)%

Atlanta

Braves

Holdings,

Inc.,

Class

A

(49,621)

(2,122,787)

Liberty

Media

Corp-Liberty

Formula

One,

Class

C

(10,809)

(682,372)

(2,805,159)

Interactive

Media

&

Services

-

(0.7)%

Alphabet,

Inc.,

Class

C

(70,479)

(9,932,605)

Eventbrite,

Inc.,

Class

A

(48,660)

(406,798)

Match

Group,

Inc.

(23,861)

(870,926)

Snap,

Inc.,

Class

A

(62,872)

(1,064,423)

(12,274,752)

Media

-

(0.3)%

Cable

One,

Inc.

(132)

(73,470)

Liberty

Media

Corp-Liberty

SiriusXM,

Class

A

(117,121)

(3,366,057)

Paramount

Global,

Class

A

(115,406)

(2,268,882)

(5,708,409)

Total

Communication

Services

(24,988,285)

Consumer

Discretionary

-

(3.8)%

Automobile

Components

-

(0.4)%

LCI

Industries

(32,977)

(4,145,539)

Patrick

Industries,

Inc.

(39,343)

(3,948,070)

(8,093,609)

Automobiles

-

(0.1)%

Ferrari

NV

(Italy)

(3,622)

(1,225,794)

Stellantis

NV

(36,632)

(854,258)

(2,080,052)

Broadline

Retail

-

(0.1)%

Etsy,

Inc.

(20,907)

(1,694,512)

Hotels,

Restaurants

&

Leisure

-

(2.0)%

Carnival

Corp.

(1,055,921)

(19,576,776)

DraftKings,

Inc.,

Class

A

(48,209)

(1,699,367)

MakeMyTrip

Ltd.

(India)

(197,335)

(9,270,798)

Marriott

Vacations

Worldwide

Corp.

(11,820)

(1,003,400)

Norwegian

Cruise

Line

Holdings

Ltd.

(226,648)

(4,542,026)

(36,092,367)

Household

Durables

-

(0.0)%

†

GoPro,

Inc.,

Class

A

(17,071)

(59,236)

75

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

(0.8)%

Burlington

Stores,

Inc.

(26,135)

(5,082,735)

Wayfair,

Inc.,

Class

A

(147,442)

(9,097,171)

(14,179,906)

Textiles,

Apparel

&

Luxury

Goods

-

(0.4)%

Under

Armour,

Inc.,

Class

C

(861,391)

(7,192,615)

Total

Consumer

Discretionary

(69,392,297)

Consumer

Staples

-

(0.4)%

Beverages

-

(0.1)%

Brown-Forman

Corp.,

Class

A

(30,481)

(1,816,363)

Consumer

Staples

Distribution

&

Retail

-

(0.1)%

Chefs'

Warehouse,

Inc.

(The)

(72,586)

(2,136,206)

Food

Products

-

(0.2)%

Freshpet,

Inc.

(37,199)

(3,227,385)

Household

Products

-

(0.0)%

†

Central

Garden

&

Pet

Co.

(20,978)

(1,051,208)

Total

Consumer

Staples

(8,231,162)

Energy

-

(0.6)%

Energy

Equipment

&

Services

-

(0.2)%

Nabors

Industries

Ltd.

(32,020)

(2,613,792)

Oil,

Gas

&

Consumable

Fuels

-

(0.4)%

Northern

Oil

and

Gas,

Inc.

(184,600)

(6,843,122)

World

Kinect

Corp.

(32,006)

(729,097)

(7,572,219)

Total

Energy

(10,186,011)

Financials

-

(0.7)%

Capital

Markets

-

(0.1)%

Penson

Worldwide,

Inc.

(3)

(212,307)

–

WisdomTree,

Inc.

(385,094)

(2,668,701)

(2,668,701)

Consumer

Finance

-

(0.4)%

EZCORP,

Inc.,

Class

A

(614,869)

(5,373,955)

SoFi

Technologies,

Inc.

(143,125)

(1,424,094)

(6,798,049)

Financial

Services

-

(0.2)%

Block,

Inc.,

Class

A

(3,154)

(243,962)

Shift4

Payments,

Inc.,

Class

A

(50,700)

(3,769,038)

(4,013,000)

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

(0.0)%

†

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

(6,407)

(176,705)

Total

Financials

(13,656,455)

Health

Care

-

(2.0)%

Biotechnology

-

(1.3)%

Alnylam

Pharmaceuticals,

Inc.

(11,419)

(2,185,711)

Cytokinetics,

Inc.

(107,916)

(9,009,907)

Exact

Sciences

Corp.

(67,739)

(5,011,331)

Natera,

Inc.

(105,916)

(6,634,578)

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

(1.3)%

(continued)

Sarepta

Therapeutics,

Inc.

(7,396)

(713,196)

(23,554,723)

Health

Care

Equipment

&

Supplies

-

(0.4)%

Cutera,

Inc.

(885)

(3,120)

Lantheus

Holdings,

Inc.

(19,420)

(1,204,040)

TransMedics

Group,

Inc.

(64,997)

(5,130,213)

(6,337,373)

Health

Care

Providers

&

Services

-

(0.0)%

†

Guardant

Health,

Inc.

(17,515)

(473,781)

Health

Care

Technology

-

(0.1)%

Evolent

Health,

Inc.,

Class

A

(40,656)

(1,342,868)

Teladoc

Health,

Inc.

(943)

(20,321)

(1,363,189)

Life

Sciences

Tools

&

Services

-

(0.0)%

†

CryoPort,

Inc.

(1,049)

(16,249)

Inotiv,

Inc.

(14,786)

(54,265)

(70,514)

Pharmaceuticals

-

(0.2)%

Innoviva,

Inc.

(244,843)

(3,927,282)

Total

Health

Care

(35,726,862)

Industrials

-

(1.5)%

Air

Freight

&

Logistics

-

(0.3)%

Air

Transport

Services

Group,

Inc.

(271,338)

(4,778,262)

Electrical

Equipment

-

(0.7)%

Array

Technologies,

Inc.

(350,015)

(5,880,252)

Bloom

Energy

Corp.,

Class

A

(472,424)

(6,991,875)

(12,872,127)

Machinery

-

(0.3)%

3D

Systems

Corp.

(15,106)

(95,923)

CNH

Industrial

NV

(United

Kingdom)

(29,909)

(364,292)

Greenbrier

Cos.,

Inc.

(The)

(114,689)

(5,066,960)

(5,527,175)

Passenger

Airlines

-

(0.0)%

†

JetBlue

Airways

Corp.

(14,670)

(81,419)

Spirit

Airlines,

Inc.

(35,478)

(581,484)

(662,903)

Professional

Services

-

(0.0)%

†

Clarivate

plc

(2,647)

(24,511)

Trading

Companies

&

Distributors

-

(0.2)%

Xometry,

Inc.,

Class

A

(83,119)

(2,984,804)

Total

Industrials

(26,849,782)

Information

Technology

-

(3.3)%

Communications

Equipment

-

(0.6)%

Infinera

Corp.

(959,553)

(4,557,877)

Lumentum

Holdings,

Inc.

(137,517)

(7,208,641)

(11,766,518)

76

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

IT

Services

-

(0.0)%

†

DigitalOcean

Holdings,

Inc.

(4,129)

(151,493)

Semiconductors

&

Semiconductor

Equipment

-

(0.8)%

ON

Semiconductor

Corp.

(92,566)

(7,732,038)

Semtech

Corp.

(207,470)

(4,545,668)

SMART

Global

Holdings,

Inc.

(59,051)

(1,117,835)

Veeco

Instruments,

Inc.

(32,013)

(993,363)

(14,388,904)

Software

-

(0.9)%

8x8,

Inc.

(657,078)

(2,483,755)

Cerence,

Inc.

(154,176)

(3,031,100)

Envestnet,

Inc.

(28,051)

(1,389,085)

PagerDuty,

Inc.

(251,525)

(5,822,804)

Rapid7,

Inc.

(57,460)

(3,280,966)

Unity

Software,

Inc.

(1,326)

(54,220)

Veritone,

Inc.

(2,375)

(4,299)

(16,066,229)

Technology

Hardware,

Storage

&

Peripherals

-

(1.0)%

Seagate

Technology

Holdings

plc

(53,545)

(4,571,137)

Western

Digital

Corp.

(249,941)

(13,089,410)

(17,660,547)

Total

Information

Technology

(60,033,691)

Materials

-

(1.2)%

Chemicals

-

(1.2)%

Novozymes

A/S,

Class

B

(Denmark)

(2)

(380,858)

(20,937,056)

Real

Estate

-

(0.3)%

Office

REITs

-

(0.1)%

COPT

Defense

Properties,

REIT

(82,359)

(2,110,861)

Real

Estate

Management

&

Development

-

(0.0)%

†

Redfin

Corp.

(3,394)

(35,026)

Retail

REITs

-

(0.2)%

Kimco

Realty

Corp.,

REIT

(120,980)

(2,578,084)

Total

Real

Estate

(4,723,971)

Utilities

-

(0.5)%

Electric

Utilities

-

(0.4)%

Alliant

Energy

Corp.

(18,146)

(930,890)

Duke

Energy

Corp.

(12,977)

(1,259,288)

Evergy,

Inc.

(30,096)

(1,571,011)

FirstEnergy

Corp.

(34,579)

(1,267,666)

PPL

Corp.

(73,096)

(1,980,902)

(7,009,757)

Multi-Utilities

-

(0.1)%

CenterPoint

Energy,

Inc.

(54,963)

(1,570,293)

Total

Utilities

(8,580,050)

TOTAL

COMMON

STOCKS

(Proceeds

$(273,292,462))

(283,305,622)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

CORPORATE

BONDS

-

(0.1)%

Real

Estate

-

(0.1)%

Diversified

REITs

-

(0.1)%

HAT

Holdings

I

LLC

3.75%,

9/15/2030

(2)(e)

(Proceeds

$(1,972,022))

$

(2,375,000)

(2,000,119)

CONVERTIBLE

BONDS

-

(0.8)%

Consumer

Discretionary

-

(0.7)%

Hotels,

Restaurants

&

Leisure

-

(0.7)%

Booking

Holdings,

Inc.

0.75%,

5/1/2025

(2)

(6,200,000)

(11,679,560)

Real

Estate

-

(0.1)%

Real

Estate

Management

&

Development

-

(0.1)%

Zillow

Group,

Inc.

1.38%,

9/1/2026

(2)

(1,650,000)

(2,248,950)

TOTAL

CONVERTIBLE

BONDS

(Proceeds

$(9,332,391))

(13,928,510)

TOTAL

SHORT

POSITIONS

(Proceeds

$(284,596,875))

(299,234,251)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.0%

(Cost

$1,709,050,458)

1,727,900,174

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

4.0%

‡

71,823,688

NET

ASSETS

-

100.0%

1,799,723,862

77

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

*

Non-income

producing

security.

†

Represents

less

than

0.05%

of

net

assets.

‡

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$684,418,999;

additional

securities

sold

but

not

yet

settled

totaling

$1,245,517

were

also

segregated.

In

addition,

$51,830,875

of

cash

collateral

was

also

pledged.

(b)

Special

Purpose

Acquisition

Company.

(c)

Restricted

securities. 

Securities

acquired

through

a

private

placement

transaction

exempt

from

registration

under

the

Securities

Act

of 1933

and/

or may

be

subject

to

legal

or

contractual

restrictions

on

resale

(excluding

144A

securities).

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$0,

which

represents

0.00%

of

net

assets

of

the

Fund.

(d)

Defaulted

security.

(e)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$278,637,174,

which

represents

15.48%

of

net

assets

of

the

Fund.

(f)

Represents

7-day

effective

yield

as

of

December

31,

2023.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(h)

For

the

period

ended

December

31,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(i)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(j)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

52,423,346

2.9

%

Consumer

Discretionary

85,137,754

4.7

Consumer

Staples

4,020,046

0.3

Energy

13,184,999

0.7

Financials

219,244,147

12.3

Health

Care

128,644,547

7.2

Industrials

65,478,198

3.6

Information

Technology

120,640,622

6.7

Materials

44,890,061

2.4

Real

Estate

11,742,538

0.6

Utilities

37,792,457

2.1

Investment

Companies

348,269,930

19.4

U.S.

Treasury

Obligations

596,431,529

33.1

Total

Investments

In

Securities

At

Value

1,727,900,174

96.0

Other

Assets

in

Excess

of

Liabilities

‡

71,823,688

4.0

Net

Assets

$

1,799,723,862

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2023

Shares

Held

At

12/31/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

18.6%

INVESTMENT

COMPANIES

-

18.6%

Limited

Purpose

Cash

Investment

Fund,

5.37%

(a)

(Cost

$333,673,392)

$519,255,218

$1,320,480,685

$(1,505,945,419)

$44,282

$(37,203)

$333,797,563

333,931,136

$23,716,954

$–

(a)

Represents

7-day

effective

yield

as

of

December

31,

2023.

All

bonds

are

denominated

in

US

dollars,

unless

noted

otherwise.

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

78

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

(3)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

in

accordance

with

procedures

approved

by

the

Board

of

Trustees

(See

Note

5).

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

December

31,

2023:

Exchange-Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

High

Yield

Index

Series

41.V2

5.00

%

Quarterly

12/20/2028

3.56

%

USD

100,525,000

$

(1,128,906)

$

(4,814,558)

$

(5,943,464)

$

(1,128,906)

$

(4,814,558)

$

(5,943,464)

Total

return

swap

contracts

outstanding

as

of

December

31,

2023

:

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

S&P

500

Total

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

OBFR

plus

or

minus

a

specified

spread

(0.57%)

Monthly

JPMC

03/28/2024

USD

(49,976,360)

$

–

Net

unrealized

appreciation

$

–

Futures

contracts

outstanding

as

of

December

31,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

U.S.

Treasury

10

Year

Note

(588)

3/2024

USD

$

(66,287,813)

$

(2,040,277)

U.S.

Treasury

2

Year

Note

(786)

3/2024

USD

(161,830,029)

(1,105,196)

U.S.

Treasury

5

Year

Note

(1,059)

3/2024

USD

(115,100,063)

(1,547,738)

Net

value

$

(4,693,211)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

92,694

USD

100,794

CITI

3/20/2024

$

1,855

USD

21,100

EUR

19,015

CITI

3/20/2024

43

Total

unrealized

appreciation

1,898

EUR

211,534

USD

235,061

CITI

3/20/2024

(811)

USD

5,047,313

EUR

4,631,156

CITI

3/20/2024

(81,185)

79

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

4,551,153

EUR

4,181,944

JPMC

3/20/2024

$

(79,893)

USD

7,943,130

JPY

1,146,810,075

CITI

3/21/2024

(290,870)

USD

7,943,170

JPY

1,146,810,075

JPMC

3/21/2024

(290,830)

Total

unrealized

depreciation

(743,589)

Net

unrealized

depreciation

$

(741,691)

Total

return

basket

swap

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

52

months

maturity

03/30/2028

$2,660,429

$209,943

$433,444

$643,387

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/21/2028

-

12/19/2028

$10,355,527

$(92,230)

$13,063

$(79,167)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NOWA

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

60

months

maturity

11/24/2028

$5,435,608

$(7,267)

$(10,920)

$(18,187)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.03%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

49-61

months

maturity

ranging

from

10/15/2026

-

07/21/2028

$7,616,165

$(691,910)

$(116,650)

$(808,560)

80

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-0.25%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

12

months

maturity

10/08/2024

$12,392,490

$(208,680)

$6,258

$(202,422)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

short

equity

positions

and

fixed

income

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.02%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43

months

maturity

06/25/2025

$137,758,395

$(10,517,107)

$(3,942,230)

$(14,459,337)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

PRINCIPAL

AMOUNT

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

United

States

Bandwidth,

Inc.,

0.50%,

4/1/2028

9,255,000

5,809,637

(2,370,183)

16.4

Cable

One,

Inc.,

0.00%,

3/15/2026

7,050,000

5,981,925

(1,247,850)

8.6

Coherus

Biosciences,

Inc.,

1.50%,

4/15/2026

7,600,000

4,258,338

(4,565,513)

31.6

Exact

Sciences

Corp.,

0.38%,

3/1/2028

11,850,000

11,094,400

(181,557)

1.3

Exact

Sciences

Corp.,

0.38%,

3/15/2027

9,889,000

9,578,407

(1,134,919)

7.8

Green

Plains,

Inc.,

2.25%,

3/15/2027

5,650,000

5,923,755

(1,779,240)

12.3

Liberty

Broadband

Corp.,

3.13%,

3/31/2053

7,075,000

7,045,481

(132,462)

0.9

Liberty

Media

Corp.,

2.38%,

9/30/2053

14,968,000

16,284,111

1,512,686

(10.5)

PetIQ,

Inc.,

4.00%,

6/1/2026

2,975,000

3,010,609

(1,254,119)

8.7

Redfin

Corp.,

0.00%,

10/15/2025

3,550,000

2,957,594

(643,881)

4.5

Spotify

USA,

Inc.,

0.00%,

3/15/2026

4,000,000

3,520,000

(160,000)

1.1

Stride,

Inc.,

1.13%,

9/1/2027

18,800,000

23,870,533

5,717,330

(39.5)

81

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Bandwidth,

Inc.

(2,239)

(32,398)

(5,062)

0.0

Charter

Communications,

Inc.

(5,616)

(2,182,827)

132,706

(0.9)

Exact

Sciences

Corp.

(100,330)

(7,422,413)

296,522

(2.1)

Green

Plains,

Inc.

(110,768)

(2,793,569)

572,073

(4.0)

Live

Nation

Entertainment,

Inc.

(95,592)

(8,947,411)

(955,944)

6.6

PetIQ,

Inc.

(44,148)

(871,923)

(564)

0.0

Spotify

Technology

SA

(699)

(131,349)

(9,530)

0.1

Stride,

Inc.

(270,199)

(16,041,715)

(4,307,600)

29.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

55

months

maturity

ranging

from

06/07/2028

-

06/13/2028

$25,472,104

$46,518

$(57,099)

$(10,581)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

Arab

Emirates

Network

International

Holdings

plc

2,139,844

10,631,998

(27,276)

257.8

United

Kingdom

Dechra

Pharmaceuticals

plc

301,966

14,840,106

73,794

(697.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

03/12/2027

-

07/30/2027

$19,856,788

$1,647,533

$(1,485,828)

$161,705

82

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

(Continued)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Athena

Technology

Acquisition

Corp.

II

99,000

1,070,190

97,020

60.0

Gores

Holdings

IX,

Inc.

1,656,294

17,391,087

1,449,257

896.2

Papaya

Growth

Opportunity

Corp.

I

129,815

1,395,511

101,256

62.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.03%

to

0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

36-61

months

maturity

ranging

from

10/23/2025

-

11/08/2028

$492,585,775

$(4,148,244)

$473,658

$(3,674,586)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Textainer

Group

Holdings

Ltd.

293,698

14,449,942

12,393

(0.3)

Sweden

Olink

Holding

AB,

ADR

265,436

6,675,715

96,103

(2.6)

United

States

Albertsons

Cos.,

Inc.

1,963,221

45,154,083

2,414,646

(65.7)

Amedisys,

Inc.

352,502

33,508,840

887,021

(24.1)

American

Equity

Investment

Life

Holding

Co.

403,328

22,505,702

843,684

(23.0)

Bluegreen

Vacations

Holding

Corp.

66,102

4,965,582

118,773

(3.2)

Capri

Holdings

Ltd.

590,296

29,656,471

(1,101,711)

30.0

Chico's

FAS,

Inc.

2,077,845

15,750,065

201,865

(5.5)

EngageSmart,

Inc.

127,694

2,924,193

36,542

(1.0)

GNC

Holdings,

Inc.

Escrow

(a)

32,241

–

–

0.0

Healthpeak

Properties,

Inc.

186,236

3,687,473

635,237

(17.3)

Hess

Corp.

219,921

31,703,811

(1,315,597)

35.8

iRobot

Corp.

183,503

7,101,566

(3,160,040)

86.0

Lakeland

Bancorp,

Inc.

241,688

3,574,566

(479,122)

13.0

National

Western

Life

Group,

Inc.

15,970

7,713,829

51,569

(1.4)

Pioneer

Natural

Resources

Co.

140,598

31,617,678

(2,472,804)

67.3

PNM

Resources,

Inc.

825,045

34,321,872

(4,191,706)

114.1

RPT

Realty

745,585

9,565,856

1,154,994

(31.4)

Sovos

Brands,

Inc.

832,363

18,336,957

(424,703)

11.6

SP

Plus

Corp.

153,259

7,854,524

(7,888)

0.2

Spirit

Realty

Capital,

Inc.

632,787

27,646,464

2,913,350

(79.3)

Splunk,

Inc.

146,901

22,380,367

1,071,843

(29.2)

83

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Canada

Brookfield

Asset

Management

Ltd.

(15,436)

(620,064)

(101,752)

2.8

United

States

Chevron

Corp.

(225,419)

(33,623,498)

435,398

(11.8)

Exxon

Mobil

Corp.

(326,468)

(32,640,271)

2,383,654

(64.9)

Kimco

Realty

Corp.

(451,081)

(9,612,536)

(1,161,059)

31.6

Physicians

Realty

Trust

(276,617)

(3,681,772)

(544,364)

14.8

Provident

Financial

Services,

Inc.

(201,061)

(3,625,130)

497,277

(13.5)

Realty

Income

Corp.

(482,183)

(27,686,948)

(2,941,847)

80.1

(a)

Security

fair

valued

using

significant

unobservable

inputs

as

of

December

31,

2023

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

BANA

Investment

Companies

$

53

$

–

$

53

BARC

Cash

–

3,513,345

3,513,345

BNPP

Cash

26,970,000

–

26,970,000

CITG

Cash

–

11,490,837

11,490,837

CITI

Cash

(25,540)

–

(25,540)

Investment

Companies

856,189

–

856,189

GSIN

Cash

1,914,975

–

1,914,975

U.S.

Treasury

Bills

112,858,107

–

112,858,107

JPMC

Investment

Companies

13,616,125

–

13,616,125

JPMS

Cash

–

4,965,106

4,965,106

MSIP

U.S.

Treasury

Bills

16,982,069

–

16,982,069

84

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

of

Investments

December

31,

2023

†

Represents

less

than

0.05%

of

net

assets.

(a)

For

the

period

ended

December

31,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(b)

Represents

7-day

effective

yield

as

of

December

31,

2023.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

5).

The

Schedule

of

Investments

of

the

affiliated

investment

funds

held

by

the

AQR

Diversifying

Strategies

Fund

can

be

found

within

this

report

as

well

as

on

Form

N-CSR

and

Form

N-PORT

(Part

F)

which

are

filed

with

the

Securities

and

Exchange

Commission.

INVESTMENTS

SHARES

VALUE

($)

INVESTMENT

COMPANIES

-

98.0%

ALTERNATIVE

FUNDS

-

69.5%

AQR

Diversified

Arbitrage

Fund,

Class

R6

(a)

2,490,074

29,606,975

AQR

Equity

Market

Neutral

Fund,

Class

R6

(a)

10,133,198

86,334,843

AQR

Macro

Opportunities

Fund,

Class

R6

(a)

5,699,719

55,914,242

AQR

Managed

Futures

Strategy

HV

Fund,

Class

R6

(a)

7,224,062

55,914,242

AQR

Style

Premia

Alternative

Fund,

Class

R6

(a)

12,548,669

86,334,843

TOTAL

ALTERNATIVE

FUNDS

(Cost

$329,909,172)

314,105,145

ASSET

ALLOCATION

FUNDS

-

28.5%

AQR

Multi-Asset

Fund,

Class

R6

(a)

(Cost

$123,959,050)

13,465,982

128,869,445

TOTAL

INVESTMENT

COMPANIES

(Cost

$453,868,222)

442,974,590

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

2.0%

INVESTMENT

COMPANIES

-

2.0%

Limited

Purpose

Cash

Investment

Fund,

5.37%

(b)

(Cost

$9,211,457)

9,215,809

9,212,123

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.0%

(Cost

$463,079,679)

452,186,713

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.0)%

†

(196,324)

NET

ASSETS

-

100.0%

451,990,389

SECTOR

VALUE

%

OF

NET

ASSETS

Equity

Market

Neutral

$

86,334,843

19.1

%

Global

Flexible

Allocation

128,869,445

28.5

Global

Macro

55,914,242

12.4

Multi-Strategy

86,334,843

19.1

Relative

Value

Arbitrage

29,606,975

6.5

Systematic

Trend

55,914,242

12.4

Investment

Companies

9,212,123

2.0

Total

Investments

In

Securities

At

Value

452,186,713

100.0

Liabilities

in

Excess

of

Other

Assets

(196,324)

(0.0)†

Net

Assets

$

451,990,389

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2023

Shares

Held

At

12/31/2023

Dividend

Income

Capital

Gain

Distributions

INVESTMENT

COMPANIES

-

98.0%

ALTERNATIVE

FUNDS

-

69.5%

AQR

Diversified

Arbitrage

Fund

$

24,491,514

$

29,675,107

$

(24,948,066)

$

(89,890)

$

478,310

$

29,606,975

2,490,074

$

895,360

$

–

AQR

Equity

Market

Neutral

Fund

36,767,279

75,621,673

(19,883,073)

(1,653,961)

(4,517,075)

86,334,843

10,133,198

16,274,284

–

AQR

Macro

Opportunities

Fund

24,511,520

50,221,689

(13,607,678)

(956,054)

(4,255,235)

55,914,242

5,699,719

5,622,829

–

AQR

Managed

Futures

Strategy

HV

Fund

24,511,520

49,060,424

(13,165,090)

(1,648,457)

(2,844,155)

55,914,242

7,224,062

4,046,485

–

AQR

Style

Premia

Alternative

Fund

36,767,279

80,601,014

(21,287,967)

(3,135,264)

(6,610,219)

86,334,843

12,548,669

16,950,398

–

(7,483,626)

(17,748,374)

314,105,145

43,789,356

–

ASSET

ALLOCATION

FUNDS

-

28.5%

AQR

Multi-Asset

Fund

37,710,030

113,387,396

(28,764,061)

(1,045,935)

7,582,015

128,869,445

13,465,982

3,571,863

–

TOTAL

$(8,529,561)

$(10,166,359)

$442,974,590

$47,361,219

$–

85

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

101.6%

COMMON

STOCKS

-

4.3%

Italy

-

3.9%

Assicurazioni

Generali

SpA

(a)

20,283

428,530

Azimut

Holding

SpA

(a)

11,185

292,381

Banca

Generali

SpA

441

16,405

Banco

BPM

SpA

(a)

260,454

1,380,131

Buzzi

SpA

(a)

29,062

883,910

Enel

SpA

(a)

91,826

683,168

Intesa

Sanpaolo

SpA

(a)

323,203

945,820

Italgas

SpA

(a)

19,973

114,363

Leonardo

SpA

(a)

80,040

1,322,509

Pirelli

&

C

SpA

(a)(b)

179,468

979,223

Poste

Italiane

SpA

(a)(b)

115,024

1,307,447

Prysmian

SpA

(a)

528

24,069

UniCredit

SpA

(a)

27,104

738,034

Unipol

Gruppo

SpA

(a)

168,879

963,796

10,079,786

—

United

States

-

0.4%

Stellantis

NV

(a)

14,489

339,487

Tenaris

SA

(a)

34,260

595,890

935,377

—

TOTAL

COMMON

STOCKS

(Cost

$8,373,713)

11,015,163

SHORT-TERM

INVESTMENTS

-

97.3%

INVESTMENT

COMPANIES

-

44.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.19%

(1)(c)(d)

9,431,658

9,431,658

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(c)

104,118,128

104,076,481

TOTAL

INVESTMENT

COMPANIES

(Cost

$113,479,271)

113,508,139

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

52.6%

U.S.

Treasury

Bills

5.41%,

1/11/2024

(e)

$

803,000

801,951

5.39%,

1/18/2024

(e)

4,072,000

4,062,442

5.41%,

1/25/2024

(e)

1,176,000

1,172,038

5.41%,

2/8/2024

(e)

2,014,000

2,003,093

5.44%,

2/15/2024

(e)

4,889,000

4,857,683

5.44%,

2/22/2024

(e)(f)

13,656,000

13,554,484

5.50%,

2/29/2024

(e)

1,969,000

1,952,300

5.45%,

3/7/2024

(e)(f)

3,993,000

3,955,465

5.45%,

3/14/2024

(e)(f)

18,730,000

18,535,639

5.45%,

3/21/2024

(e)(f)

8,742,000

8,642,402

5.46%,

3/28/2024

(e)(f)

1,639,000

1,618,653

5.49%,

4/4/2024

(e)(f)

3,376,000

3,330,649

5.47%,

4/11/2024

(e)(f)

4,337,000

4,274,523

5.48%,

4/18/2024

(e)(f)

9,903,000

9,750,172

5.47%,

4/25/2024

(e)(f)

21,083,000

20,737,602

5.47%,

5/2/2024

(e)(f)

2,544,000

2,499,902

5.40%,

5/9/2024

(e)(f)

3,773,000

3,704,071

5.41%,

5/16/2024

(e)(f)

20,882,000

20,481,614

5.37%,

5/23/2024

(e)(f)

1,105,000

1,082,772

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

52.6%

(continued)

5.33%,

6/6/2024

(e)(f)

$

6,334,000

6,195,391

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$133,147,288)

133,212,846

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$246,626,559)

246,720,985

TOTAL

LONG

POSITIONS

(Cost

$255,000,272)

257,736,148

SHARES

SHORT

POSITIONS

-

(3.3)%

COMMON

STOCKS

-

(3.3)%

Italy

-

(3.3)%

A2A

SpA

(26,331)

(54,086)

Amplifon

SpA

(16,130)

(558,915)

Brunello

Cucinelli

SpA

(1,333)

(130,464)

Davide

Campari-Milano

NV

(91,777)

(1,036,412)

DiaSorin

SpA

(3,567)

(367,628)

Eni

SpA

(290)

(4,919)

Ferrari

NV

(4,551)

(1,536,449)

FinecoBank

Banca

Fineco

SpA

(68,257)

(1,026,869)

Hera

SpA

(17,748)

(58,283)

Infrastrutture

Wireless

Italiane

SpA

(b)

(50,343)

(637,388)

Interpump

Group

SpA

(6,942)

(360,157)

Moncler

SpA

(9,108)

(560,774)

Nexi

SpA

(b)

(23,599)

(193,347)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(10,498)

(566,081)

Reply

SpA

(3,161)

(417,786)

Snam

SpA

(54,226)

(278,988)

Telecom

Italia

SpA

(1)

(1,147,130)

(372,567)

Terna

-

Rete

Elettrica

Nazionale

(18,180)

(151,670)

TOTAL

COMMON

STOCKS

(Proceeds

$(7,896,948))

(8,312,783)

TOTAL

SHORT

POSITIONS

(Proceeds

$(7,896,948))

(8,312,783)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.3%

(Cost

$247,103,324)

249,423,365

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.7%

‡

4,249,289

NET

ASSETS

-

100.0%

253,672,654

86

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(1,009,956)

(0.4)

%

Consumer

Discretionary

(908,976)

(0.3)

Consumer

Staples

(1,036,412)

(0.4)

Energy

590,971

0.2

Financials

4,852,327

1.9

Health

Care

(1,492,624)

(0.6)

Industrials

986,422

0.3

Information

Technology

(417,786)

(0.2)

Materials

883,910

0.4

Utilities

254,504

0.1

Investment

Companies

113,508,139

44.7

U.S.

Treasury

Obligations

133,212,846

52.6

Total

Investments

In

Securities

At

Value

249,423,365

98.3

Other

Assets

in

Excess

of

Liabilities

‡

4,249,289

1.7

Net

Assets

$

253,672,654

100.0%

‡

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange

and

swap

contracts.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$8,849,355;

additional

securities

sold

but

not

yet

settled

totaling

$1,196,383

were

also

segregated.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$1,455,935,

which

represents

0.57%

of

net

assets

of

the

Fund.

(c)

Represents

7-day

effective

yield

as

of

December

31,

2023.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Forward

foreign

currency

exchange

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CHF

500

USD

578

CITI

3/20/2024

$

21

CHF

500

USD

578

JPMC

3/20/2024

21

SEK

500

USD

48

CITI

3/20/2024

1

SEK

500

USD

48

JPMC

3/20/2024

1

SGD

680,500

USD

511,892

CITI

3/20/2024

5,584

SGD

680,500

USD

511,889

JPMC

3/20/2024

5,585

USD

25,673

HKD

200,000

CITI

3/20/2024

14

USD

25,673

HKD

200,000

JPMC

3/20/2024

14

USD

538,878

SGD

708,000

CITI

3/20/2024

491

USD

538,880

SGD

708,000

JPMC

3/20/2024

493

Total

unrealized

appreciation

12,225

EUR

1,512,500

USD

1,682,130

CITI

3/20/2024

(7,201)

EUR

1,512,500

USD

1,682,122

JPMC

3/20/2024

(7,191)

USD

109

CAD

147

CITI

3/20/2024

(2)

USD

109

CAD

147

JPMC

3/20/2024

(2)

USD

296

DKK

2,000

CITI

3/20/2024

(1)

USD

296

DKK

2,000

JPMC

3/20/2024

(1)

USD

3,016,465

EUR

2,769,500

CITI

3/20/2024

(50,453)

USD

3,016,480

EUR

2,769,500

JPMC

3/20/2024

(50,439)

USD

139

NOK

1,500

CITI

3/20/2024

(9)

87

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

139

NOK

1,500

JPMC

3/20/2024

$

(9)

Total

unrealized

depreciation

(115,308)

Net

unrealized

depreciation

$

(103,083)

Total

return

basket

swap

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

44

months

maturity

08/09/2027

$1,248,897

$(28,326)

$1,340

$(26,986)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.50%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-61

months

maturity

ranging

from

04/23/2025

-

01/04/2029

$29,273,473

$173,271

$(2,165)

$171,106

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

32,324

1,435,126

(4,186)

(2.4)

Adecco

Group

AG

(Registered)

28,808

1,414,862

(13,121)

(7.7)

Clariant

AG

(Registered)

10,594

156,523

(2,818)

(1.6)

DKSH

Holding

AG

7,315

507,932

9,132

5.3

Flughafen

Zurich

AG

(Registered)

756

157,962

(202)

(0.1)

Galenica

AG

1,945

168,251

935

0.5

Georg

Fischer

AG

(Registered)

21,612

1,572,795

7,881

4.6

Julius

Baer

Group

Ltd.

610

34,220

52

0.0

Kuehne

+

Nagel

International

AG

(Registered)

914

315,419

940

0.5

88

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Logitech

International

SA

(Registered)

6,145

584,318

(243)

(0.1)

Lonza

Group

AG

(Registered)

1,289

543,425

17,788

10.4

Novartis

AG

(Registered)

33,813

3,415,468

(12,267)

(7.2)

SGS

SA

(Registered)

2,745

236,978

871

0.5

Swatch

Group

AG

(The)

1,880

511,529

(9,296)

(5.4)

Swiss

Life

Holding

AG

(Registered)

39

27,103

79

0.0

Temenos

AG

(Registered)

3,182

296,525

2,835

1.7

Zurich

Insurance

Group

AG

214

111,885

157

0.1

United

States

Holcim

AG

21,943

1,723,435

(71)

(0.0)

Roche

Holding

AG

2,769

804,930

(2,345)

(1.4)

Swiss

Re

AG

5,523

621,506

(8,775)

(5.1)

Short

Positions

Common

Stocks

Switzerland

Alcon,

Inc.

(4,078)

(319,047)

(2,523)

(1.5)

Avolta

AG

(6,941)

(273,275)

(149)

(0.1)

Bachem

Holding

AG

(9,187)

(711,454)

44,981

26.3

Baloise

Holding

AG

(Registered)

(36)

(5,644)

(9)

(0.0)

Barry

Callebaut

AG

(Registered)

(120)

(202,581)

(1,052)

(0.6)

Belimo

Holding

AG

(Registered)

(285)

(157,307)

1,483

0.9

BKW

AG

(172)

(30,593)

(81)

(0.0)

Chocoladefabriken

Lindt

&

Spruengli

AG

(105)

(1,260,381)

99,171

58.0

Cie

Financiere

Richemont

SA

(Registered)

(66)

(9,116)

(26)

(0.0)

EMS-Chemie

Holding

AG

(Registered)

(797)

(646,230)

5,736

3.4

Geberit

AG

(Registered)

(1,271)

(815,879)

(4,059)

(2.4)

Givaudan

SA

(Registered)

(212)

(879,103)

1,615

0.9

Helvetia

Holding

AG

(Registered)

(1,122)

(154,709)

(563)

(0.3)

Partners

Group

Holding

AG

(334)

(482,948)

(2,628)

(1.5)

Schindler

Holding

AG

(264)

(66,094)

(201)

(0.1)

SIG

Group

AG

(96,278)

(2,217,381)

115,945

67.8

Sika

AG

(Registered)

(3,858)

(1,258,002)

(31,864)

(18.6)

Sonova

Holding

AG

(Registered)

(1,355)

(443,150)

(1,848)

(1.1)

Straumann

Holding

AG

(Registered)

(9,020)

(1,457,658)

(15,187)

(8.9)

Swisscom

AG

(Registered)

(790)

(475,477)

4,707

2.8

Tecan

Group

AG

(Registered)

(1,032)

(422,199)

(3,288)

(1.9)

UBS

Group

AG

(Registered)

(40,728)

(1,265,076)

(8,137)

(4.8)

VAT

Group

AG

(2,051)

(1,030,131)

(16,397)

(9.6)

United

States

Nestle

SA

(Registered)

(430)

(49,846)

299

0.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.85%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-61

months

maturity

ranging

from

04/24/2025

-

01/03/2029

$9,785,136

$4,777

$(77,199)

$(72,422)

89

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Carlsberg

A/S

10,858

1,362,507

23,755

(32.8)

Danske

Bank

A/S

17,331

463,280

4,273

(5.9)

Demant

A/S

9,290

407,461

(2,600)

3.6

Genmab

A/S

1,565

499,005

11,152

(15.4)

ISS

A/S

77,665

1,483,372

65,259

(90.1)

Pandora

A/S

3,681

508,917

5,776

(8.0)

ROCKWOOL

A/S

696

203,630

2,644

(3.7)

Vestas

Wind

Systems

A/S

1,433

45,343

(192)

0.3

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(31,947)

(497,697)

(18,952)

26.2

AP

Moller

-

Maersk

A/S

(81)

(145,802)

(260)

0.4

Coloplast

A/S

(3,750)

(428,498)

5,662

(7.8)

DSV

A/S

(5,165)

(907,525)

(53,155)

73.4

GN

Store

Nord

A/S

(7,446)

(189,473)

5,699

(7.9)

Novo

Nordisk

A/S

(12,439)

(1,289,068)

(39,955)

55.2

Novozymes

A/S

(12,508)

(687,607)

(18,373)

25.4

Orsted

A/S

(230)

(12,750)

41

(0.1)

Royal

Unibrew

A/S

(220)

(14,697)

(102)

0.1

Tryg

A/S

(29,340)

(638,504)

14,105

(19.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.75%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-64

months

maturity

ranging

from

04/23/2025

-

01/03/2029

$46,751,514

$(186,509)

$72,233

$(114,276)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

23,704

1,030,426

(4,258)

3.7

Proximus

SADP

76,870

722,680

(1,690)

1.5

Syensqo

SA

4,138

430,593

(8,817)

7.7

90

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Finland

Fortum

OYJ

74,375

1,074,283

(3,316)

2.9

Kone

OYJ

7,171

358,702

14,702

(12.9)

UPM-Kymmene

OYJ

15,793

595,723

(2,483)

2.2

Valmet

OYJ

11,890

343,830

9,642

(8.4)

Wartsila

OYJ

Abp

31,455

457,148

5,206

(4.6)

Netherlands

Aegon

Ltd.

62,275

362,070

2,378

(2.1)

Akzo

Nobel

NV

7,492

620,389

6,481

(5.7)

Argenx

SE

921

350,320

(302)

0.3

ASML

Holding

NV

1,078

813,769

(2,479)

2.2

BE

Semiconductor

Industries

NV

5,774

871,735

(4,487)

3.9

EXOR

NV

4,094

409,800

(1,474)

1.3

Koninklijke

Ahold

Delhaize

NV

55,029

1,583,264

(11,404)

10.0

Koninklijke

Philips

NV

70,953

1,660,458

31,870

(27.9)

Koninklijke

Vopak

NV

10,632

357,804

(1,155)

1.0

NN

Group

NV

21,746

859,421

7,430

(6.5)

Spain

Acerinox

SA

83,732

986,782

14,356

(12.6)

Banco

de

Sabadell

SA

1,860,351

2,290,012

(11,187)

9.8

Banco

Santander

SA

375,388

1,570,129

346

(0.3)

Bankinter

SA

67,418

432,395

380

(0.3)

Industria

de

Diseno

Textil

SA

21,363

932,154

15,269

(13.4)

Mapfre

SA

299,864

644,415

(1,103)

1.0

Repsol

SA

91,963

1,364,173

(13,996)

12.2

Telefonica

SA

145,131

567,444

(8,057)

7.1

United

States

Signify

NV

31,686

1,062,629

2,043

(1.8)

Short

Positions

Common

Stocks

Belgium

D'ieteren

Group

(4,223)

(826,071)

(31,203)

27.3

Elia

Group

SA/NV

(7,147)

(894,626)

(10,953)

9.6

Lotus

Bakeries

NV

(52)

(472,446)

5,347

(4.7)

Finland

Neste

OYJ

(14,138)

(502,603)

13,541

(11.8)

Nokia

OYJ

(146,603)

(499,320)

(3,205)

2.8

Sampo

OYJ

(8,812)

(386,074)

2,365

(2.1)

Stora

Enso

OYJ

(65,708)

(910,421)

(9,997)

8.7

Netherlands

Adyen

NV

(1,001)

(1,292,232)

8,638

(7.6)

ASM

International

NV

(926)

(481,960)

8,724

(7.6)

ASR

Nederland

NV

(8,769)

(414,247)

75

(0.1)

Heineken

NV

(10,800)

(1,097,274)

(13,028)

11.4

IMCD

NV

(4,284)

(746,117)

(13,738)

12.0

SBM

Offshore

NV

(32,755)

(450,006)

(9,895)

8.7

Spain

Acciona

SA

(3,606)

(530,963)

(3,170)

2.8

Banco

Bilbao

Vizcaya

Argentaria

SA

(38,302)

(349,094)

(256)

0.2

Cellnex

Telecom

SA

(54,864)

(2,160,160)

1,480

(1.3)

Corp.

ACCIONA

Energias

Renovables

SA

(37,643)

(1,168,290)

(8,771)

7.7

Fluidra

SA

(23,534)

(490,635)

1,691

(1.5)

Grifols

SA

(24,811)

(424,451)

(42,552)

37.2

Iberdrola

SA

(75,207)

(986,474)

(13,304)

11.6

Naturgy

Energy

Group

SA

(30,290)

(903,467)

5,605

(4.9)

Switzerland

DSM-Firmenich

AG

(25,002)

(2,542,539)

(86,054)

75.3

91

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

Ferrovial

SE

(19,090)

(696,802)

(16,941)

14.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-61

months

maturity

ranging

from

04/24/2025

-

01/03/2029

$3,607,487

$11,792

$(2,601)

$9,191

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

9,541

338,960

(3,994)

(43.5)

Norway

Equinor

ASA

2,593

82,177

(2,415)

(26.3)

Mowi

ASA

7,289

130,530

(1,226)

(13.3)

Norsk

Hydro

ASA

185,335

1,245,749

13,254

144.2

Orkla

ASA

31,262

242,773

2,964

32.2

United

Kingdom

Subsea

7

SA

4,583

66,761

(199)

(2.2)

Short

Positions

Common

Stocks

Norway

Gjensidige

Forsikring

ASA

(8,779)

(162,006)

(2,237)

(24.3)

Kongsberg

Gruppen

ASA

(3,250)

(148,788)

(1,705)

(18.6)

Salmar

ASA

(13,473)

(754,553)

(1,331)

(14.5)

Schibsted

ASA

(1,837)

(52,887)

2,802

30.5

Telenor

ASA

(13,565)

(155,679)

4,072

44.3

TOMRA

Systems

ASA

(18,692)

(226,624)

1,807

19.7

92

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-61

months

maturity

ranging

from

04/23/2025

-

01/02/2029

$25,268,298

$(86,642)

$(49,364)

$(136,006)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Guatemala

Millicom

International

Cellular

SA

21,910

392,570

16,001

(11.8)

Sweden

Alfa

Laval

AB

8,130

325,477

(695)

0.5

Billerud

Aktiebolag

68,519

698,302

(2,441)

1.8

Boliden

AB

12,716

398,005

(2,594)

1.9

Electrolux

AB

56,725

609,362

4,259

(3.1)

Elekta

AB

74,548

610,547

15,556

(11.4)

Embracer

Group

AB

90,102

244,433

(1,234)

0.9

Essity

AB

5,918

146,661

(1,670)

1.2

Evolution

AB

4,174

497,167

4,744

(3.5)

Getinge

AB

44,474

990,324

(4,008)

2.9

H

&

M

Hennes

&

Mauritz

AB

73,183

1,283,633

(28,408)

20.9

Hexpol

AB

13,847

167,766

(200)

0.1

Husqvarna

AB

10,040

82,815

(1,096)

0.8

Saab

AB

3,703

223,156

9,627

(7.1)

Skanska

AB

13,459

243,845

3,449

(2.5)

SKF

AB

31,228

625,827

(10,434)

7.7

SSAB

AB

92,890

711,215

(4,751)

3.5

Swedbank

AB

34,817

703,918

2,818

(2.1)

Telia

Co.

AB

170,508

435,039

1,300

(1.0)

Trelleborg

AB

47,454

1,592,750

2,959

(2.2)

Volvo

AB

36,521

950,277

10,461

(7.7)

Volvo

Car

AB

182,078

590,513

(7,091)

5.2

Short

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

(18,421)

(228,686)

(1,094)

0.8

Sweden

AddTech

AB

(188)

(4,136)

54

(0.0)

Assa

Abloy

AB

(5,458)

(157,295)

(5,017)

3.7

Atlas

Copco

AB

(38,154)

(657,436)

(16,621)

12.2

Axfood

AB

(12,841)

(347,568)

(12,095)

8.9

Beijer

Ref

AB

(54,577)

(732,366)

(13,226)

9.7

Epiroc

AB

(92,441)

(1,860,735)

(13,024)

9.6

EQT

AB

(61,541)

(1,742,450)

(38,274)

28.1

Hexagon

AB

(72,486)

(870,652)

(17,224)

12.7

93

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Holmen

AB

(13,915)

(587,726)

8,826

(6.5)

Indutrade

AB

(23,416)

(610,281)

(391)

0.3

Lifco

AB

(21,587)

(529,980)

8,087

(5.9)

Nibe

Industrier

AB

(98,328)

(690,500)

32,216

(23.7)

Sandvik

AB

(5,707)

(123,987)

(493)

0.4

Securitas

AB

(41,125)

(403,189)

(5,171)

3.8

Skandinaviska

Enskilda

Banken

AB

(7,601)

(104,899)

(1,918)

1.4

Svenska

Cellulosa

AB

SCA

(73,033)

(1,097,136)

8,558

(6.3)

Svenska

Handelsbanken

AB

(49,596)

(538,982)

(1,180)

0.9

Swedish

Orphan

Biovitrum

AB

(30,360)

(803,696)

(15,327)

11.3

Tele2

AB

(25,942)

(222,989)

(2,872)

2.1

Telefonaktiebolaget

LM

Ericsson

(68,329)

(430,007)

(7,008)

5.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CORRA

plus

or

minus

a

specified

spread

(-0.23%

to

0.24%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

14

months

maturity

ranging

from

08/26/2024

-

02/25/2025

$33,392,899

$(60,603)

$115,527

$54,924

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

90,765

1,280,252

(1,370)

(2.5)

Alamos

Gold,

Inc.

37,340

502,169

(11,922)

(21.7)

Atco

Ltd.

18,329

534,910

8,991

16.4

Bank

of

Nova

Scotia

(The)

12,079

587,974

5,470

10.0

Bombardier,

Inc.

10,436

419,078

5,041

9.2

CCL

Industries,

Inc.

7,194

323,528

1,814

3.3

Cenovus

Energy,

Inc.

28,726

478,676

(2,963)

(5.4)

Empire

Co.

Ltd.

18,880

499,411

4,845

8.8

Fairfax

Financial

Holdings

Ltd.

811

748,240

7,657

13.9

Finning

International,

Inc.

24,338

703,847

(10,102)

(18.4)

George

Weston

Ltd.

4,013

498,199

4,391

8.0

Imperial

Oil

Ltd.

12,195

694,675

(2,853)

(5.2)

Manulife

Financial

Corp.

32,869

726,315

2,729

5.0

Northland

Power,

Inc.

21,883

397,512

495

0.9

Open

Text

Corp.

10,978

461,390

(4,888)

(8.9)

Parkland

Corp.

15,545

501,058

(5,866)

(10.7)

Shopify,

Inc.

8,586

668,452

(2,544)

(4.6)

SNC-Lavalin

Group,

Inc.

9,598

309,008

452

0.8

Stantec,

Inc.

4,195

336,790

2,671

4.9

Suncor

Energy,

Inc.

24,986

800,465

(5,280)

(9.6)

94

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

TFI

International,

Inc.

4,584

623,539

(5,819)

(10.6)

West

Fraser

Timber

Co.

Ltd.

3,917

335,105

(1,301)

(2.4)

Whitecap

Resources,

Inc.

82,895

554,906

(12,512)

(22.8)

Zambia

First

Quantum

Minerals

Ltd.

66,402

543,724

(13,860)

(25.2)

Short

Positions

Common

Stocks

Canada

Alimentation

Couche-Tard,

Inc.

(8,126)

(478,527)

(3,844)

(7.0)

Aritzia,

Inc.

(17,998)

(373,529)

6,599

12.0

BCE,

Inc.

(17,644)

(694,681)

(7,833)

(14.3)

Brookfield

Corp.

(19,467)

(780,854)

9,843

17.9

Canadian

National

Railway

Co.

(2,289)

(287,712)

(890)

(1.6)

Canadian

Pacific

Kansas

City

Ltd.

(6,460)

(511,125)

2,486

4.5

Element

Fleet

Management

Corp.

(31,699)

(515,777)

(8,373)

(15.2)

Enbridge,

Inc.

(11,030)

(397,065)

1,831

3.3

Fortis,

Inc.

(7,104)

(292,245)

(1,448)

(2.6)

GFL

Environmental,

Inc.

(11,347)

(391,435)

(2,055)

(3.7)

Gildan

Activewear,

Inc.

(9,230)

(305,240)

(2,162)

(3.9)

Hydro

One

Ltd.

(32,909)

(985,991)

(8,941)

(16.3)

Intact

Financial

Corp.

(4,222)

(649,558)

(6,691)

(12.2)

Pan

American

Silver

Corp.

(19,825)

(323,622)

10,324

18.8

RB

Global,

Inc.

(15,006)

(1,004,175)

(7,474)

(13.6)

Restaurant

Brands

International,

Inc.

(6,613)

(516,693)

(1,093)

(2.0)

Rogers

Communications,

Inc.

(10,179)

(476,513)

(2,305)

(4.2)

Royal

Bank

of

Canada

(7,688)

(777,474)

1,334

2.4

TC

Energy

Corp.

(7,432)

(290,314)

9,142

16.6

Teck

Resources

Ltd.

(16,554)

(699,739)

3,333

6.1

Thomson

Reuters

Corp.

(2,828)

(413,470)

(4,290)

(7.8)

TMX

Group

Ltd.

(12,178)

(294,559)

(3,492)

(6.4)

Tourmaline

Oil

Corp.

(6,531)

(293,711)

(246)

(0.4)

WSP

Global,

Inc.

(2,677)

(375,251)

(4,041)

(7.4)

Chile

Lundin

Mining

Corp.

(68,489)

(560,296)

3,359

6.1

United

States

Brookfield

Renewable

Corp.

(14,073)

(405,075)

–

–

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.30%

to

0.23%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

12/29/2025

$5,365,856

$(260)

$(74,115)

$(74,375)

95

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

163,200

440,865

10,529

(14.2)

Yangzijiang

Shipbuilding

Holdings

Ltd.

161,076

181,725

2,311

(3.1)

Singapore

Genting

Singapore

Ltd.

604,819

458,124

11,298

(15.2)

Jardine

Cycle

&

Carriage

Ltd.

10,200

229,882

9,149

(12.3)

Oversea-Chinese

Banking

Corp.

Ltd.

22,900

225,323

5,823

(7.8)

Singapore

Airlines

Ltd.

118,500

588,392

11,942

(16.1)

United

Overseas

Bank

Ltd.

21,100

455,406

13,284

(17.9)

Short

Positions

Common

Stocks

Singapore

CapitaLand

Investment

Ltd/Singapore

(166,200)

(397,364)

(7,839)

10.5

City

Developments

Ltd.

(119,400)

(601,179)

(8,257)

11.1

DBS

Group

Holdings

Ltd.

(5,435)

(137,445)

(6,074)

8.2

Keppel

Corp.

Ltd.

(33,900)

(181,392)

(3,640)

4.9

Seatrium

Ltd.

(5,433,000)

(485,122)

(14,872)

20.0

Singapore

Technologies

Engineering

Ltd.

(315,600)

(929,349)

(23,022)

31.0

Singapore

Telecommunications

Ltd.

(29,000)

(54,288)

(892)

1.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

RBACR

plus

or

minus

a

specified

spread

(-2.13%

to

0.30%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-49

months

maturity

07/22/2025

$22,918,173

$(135,443)

$(58,887)

$(194,330)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

50,859

328,764

10,416

(5.4)

Allkem

Ltd.

41,787

283,839

(19,428)

10.0

ANZ

Group

Holdings

Ltd.

11,978

211,628

3,241

(1.7)

Aristocrat

Leisure

Ltd.

23,928

664,804

(297)

0.2

BlueScope

Steel

Ltd.

54,324

866,059

33,870

(17.4)

Brambles

Ltd.

29,170

270,373

3,204

(1.6)

96

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Cochlear

Ltd.

1,182

240,473

(485)

0.2

Coles

Group

Ltd.

15,616

171,543

2,768

(1.4)

Harvey

Norman

Holdings

Ltd.

101,183

289,695

10,443

(5.4)

Incitec

Pivot

Ltd.

158,486

306,965

244

(0.1)

JB

Hi-Fi

Ltd.

16,462

594,919

21,229

(10.9)

Lendlease

Corp.

Ltd.

61,261

311,843

2,085

(1.1)

Northern

Star

Resources

Ltd.

51,913

481,654

13,982

(7.2)

Orica

Ltd.

14,983

162,869

(836)

0.4

Origin

Energy

Ltd.

139,867

807,130

40,596

(20.9)

Qantas

Airways

Ltd.

257,560

943,446

(14,862)

7.6

QBE

Insurance

Group

Ltd.

42,146

427,048

16,683

(8.6)

Seven

Group

Holdings

Ltd.

14,349

361,188

21,345

(11.0)

Sonic

Healthcare

Ltd.

13,110

286,463

6,567

(3.4)

South32

Ltd.

125,940

284,831

5,910

(3.0)

Westpac

Banking

Corp.

21,221

331,100

6,016

(3.1)

Whitehaven

Coal

Ltd.

44,500

225,826

6,883

(3.5)

Woolworths

Group

Ltd.

14,634

371,264

1,818

(0.9)

Worley

Ltd.

15,275

182,074

2

(0.0)

Yancoal

Australia

Ltd.

57,278

193,293

4,289

(2.2)

New

Zealand

Xero

Ltd.

6,046

461,241

5,388

(2.8)

United

States

James

Hardie

Industries

plc

15,070

581,038

13,093

(6.7)

Short

Positions

Common

Stocks

Australia

ALS

Ltd.

(14,986)

(131,263)

(3,621)

1.9

APA

Group

(45,166)

(262,846)

4,003

(2.1)

Cleanaway

Waste

Management

Ltd.

(385,481)

(706,691)

(21,080)

10.8

Commonwealth

Bank

of

Australia

(21,021)

(1,602,158)

(26,435)

13.6

Computershare

Ltd.

(17,483)

(291,186)

(11,808)

6.1

Domino's

Pizza

Enterprises

Ltd.

(18,396)

(738,477)

(28,566)

14.7

Endeavour

Group

Ltd.

(106,672)

(378,825)

(5,615)

2.9

Insurance

Australia

Group

Ltd.

(34,255)

(132,408)

(2,387)

1.2

Liontown

Resources

Ltd.

(464,739)

(521,239)

(57,279)

29.5

Lynas

Rare

Earths

Ltd.

(131,602)

(642,381)

(42,420)

21.8

Macquarie

Group

Ltd.

(1,738)

(217,566)

(5,163)

2.7

Mineral

Resources

Ltd.

(20,806)

(991,065)

(35,168)

18.1

National

Australia

Bank

Ltd.

(17,331)

(362,233)

(4,368)

2.2

NEXTDC

Ltd.

(25,005)

(233,518)

(6,379)

3.3

Ramsay

Health

Care

Ltd.

(14,812)

(531,339)

(12,869)

6.6

REA

Group

Ltd.

(3,098)

(382,012)

(17,145)

8.8

Reece

Ltd.

(29,812)

(454,723)

(15,708)

8.1

Santos

Ltd.

(87,109)

(452,924)

(4)

0.0

Transurban

Group

(42,953)

(401,369)

(2,122)

1.1

Treasury

Wine

Estates

Ltd.

(32,283)

(237,522)

(4,770)

2.5

Wesfarmers

Ltd.

(4,306)

(167,456)

(6,567)

3.4

WiseTech

Global

Ltd.

(3,220)

(165,040)

(3,585)

1.8

United

States

CSL

Ltd.

(5,270)

(1,027,382)

(23,558)

12.1

97

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.75%

to

0.28%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

8-37

months

maturity

08/21/2024

$76,612,038

$273,597

$213,275

$486,872

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

France-KLM

66,440

999,795

20,620

4.2

Bouygues

SA

26,792

1,010,842

(8,087)

(1.7)

Cie

de

Saint-Gobain

SA

19,092

1,407,984

37,582

7.7

Dassault

Aviation

SA

4,366

865,036

4,212

0.9

Eiffage

SA

9,935

1,066,529

27,006

5.5

Engie

SA

81,554

1,436,680

(11,568)

(2.4)

Ipsen

SA

6,138

732,198

14,886

3.1

Orange

SA

110,164

1,255,611

(11,587)

(2.4)

Rexel

SA

36,436

1,000,031

(13,200)

(2.7)

Safran

SA

4,169

735,038

(2,927)

(0.6)

Societe

Generale

SA

50,224

1,336,226

(3,915)

(0.8)

Sodexo

SA

8,546

940,816

8,890

1.8

Verallia

SA

17,776

684,853

10,971

2.3

Vivendi

SE

73,305

784,729

9,648

2.0

Worldline

SA

67,823

1,179,442

23,774

4.9

Germany

Bayerische

Motoren

Werke

AG

16,048

1,785,688

(4,002)

(0.8)

Daimler

Truck

Holding

AG

28,155

1,057,616

(4,757)

(1.0)

Deutsche

Bank

AG

(Registered)

96,024

1,310,833

40,036

8.2

Fresenius

Medical

Care

AG

15,334

641,088

3,750

0.8

GEA

Group

AG

16,683

693,582

42,350

8.7

HOCHTIEF

AG

10,178

1,127,171

8,066

1.7

Mercedes-Benz

Group

AG

38,432

2,651,725

(44,087)

(9.1)

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

1,556

645,450

(3,398)

(0.7)

TeamViewer

SE

59,906

930,492

18,189

3.7

thyssenkrupp

AG

202,668

1,409,849

(15,792)

(3.2)

Singapore

STMicroelectronics

NV

25,672

1,287,682

(2,099)

(0.4)

Preferred

Stocks

Germany

Volkswagen

AG

(Preference)

5,537

682,470

(8,342)

(1.7)

98

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Aeroports

de

Paris

SA

(5,727)

(743,108)

(5,293)

(1.1)

Air

Liquide

SA

(4,035)

(785,596)

(1,704)

(0.3)

Capgemini

SE

(6,147)

(1,284,671)

20,577

4.2

EssilorLuxottica

SA

(6,242)

(1,253,386)

12,878

2.6

Hermes

International

SCA

(661)

(1,404,966)

52,121

10.7

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(857)

(696,344)

5,462

1.1

Pernod

Ricard

SA

(7,165)

(1,266,212)

13,437

2.8

Sartorius

Stedim

Biotech

(5,925)

(1,571,207)

(47,176)

(9.7)

SOITEC

(3,400)

(608,411)

2,015

0.4

Germany

adidas

AG

(4,808)

(977,018)

43,352

8.9

Beiersdorf

AG

(7,512)

(1,124,958)

(12,055)

(2.5)

Carl

Zeiss

Meditec

AG

(5,665)

(616,660)

8,728

1.8

Continental

AG

(7,752)

(658,388)

(7,994)

(1.6)

Deutsche

Telekom

AG

(Registered)

(30,319)

(728,969)

(8,178)

(1.7)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(10,492)

(633,080)

17,169

3.5

Merck

KGaA

(13,432)

(2,138,570)

(53,151)

(10.9)

Puma

SE

(12,612)

(701,600)

35,763

7.3

SAP

SE

(5,407)

(832,254)

8,441

1.7

Siemens

Healthineers

AG

(31,060)

(1,803,301)

16,057

3.3

Wacker

Chemie

AG

(6,247)

(787,620)

(1,806)

(0.4)

Luxembourg

Eurofins

Scientific

SE

(24,391)

(1,591,084)

(39,394)

(8.1)

Preferred

Stocks

Germany

Dr

Ing

hc

F

Porsche

AG

(Preference)

(20,332)

(1,790,784)

20,609

4.2

Sartorius

AG

(Preference)

(5,503)

(2,020,816)

16,672

3.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.28%

to

0.28%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-36

months

maturity

07/19/2024

$73,609,345

$(72,532)

$243,169

$170,637

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Netherlands

Shell

plc

45,721

1,496,635

18,116

10.6

99

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

Associated

British

Foods

plc

46,715

1,407,944

260

0.2

Aviva

plc

119,999

664,006

736

0.4

BAE

Systems

plc

54,738

774,816

29,304

17.2

Barclays

plc

389,013

761,714

35,286

20.7

Barratt

Developments

plc

93,009

666,271

12,327

7.2

BP

plc

234,114

1,387,845

(375)

(0.2)

British

American

Tobacco

plc

80,799

2,364,113

(29,385)

(17.2)

Burberry

Group

plc

115,893

2,090,355

(99,230)

(58.2)

Centrica

plc

1,617,887

2,900,391

(29,020)

(17.0)

DCC

plc

10,555

776,648

13,272

7.8

easyJet

plc

102,818

667,006

13,949

8.2

Hiscox

Ltd.

58,004

779,273

10,351

6.1

HSBC

Holdings

plc

178,031

1,440,265

26,787

15.7

Imperial

Brands

plc

43,303

997,173

(7,122)

(4.2)

InterContinental

Hotels

Group

plc

12,913

1,164,441

(1,026)

(0.6)

Kingfisher

plc

292,869

907,421

15,221

8.9

Man

Group

plc

246,397

730,527

4,820

2.8

Marks

&

Spencer

Group

plc

352,768

1,222,556

43,357

25.4

Melrose

Industries

plc

203,131

1,468,309

28,168

16.5

Rightmove

plc

89,080

654,826

1,498

0.9

Rolls-Royce

Holdings

plc

428,148

1,633,115

32,632

19.1

Spectris

plc

19,605

943,015

10,615

6.2

Taylor

Wimpey

plc

726,226

1,359,435

31,541

18.5

Tesco

plc

314,798

1,166,241

21,313

12.5

Vodafone

Group

plc

971,546

848,490

15,927

9.3

Weir

Group

plc

(The)

25,455

611,646

11,685

6.8

United

States

GSK

plc

38,443

710,012

3,118

1.8

Short

Positions

Common

Stocks

Australia

Glencore

plc

(164,227)

(987,176)

(6,063)

(3.6)

Rio

Tinto

plc

(22,054)

(1,640,401)

(9,935)

(5.8)

Burkina

Faso

Endeavour

Mining

plc

(41,653)

(932,036)

14,595

8.6

Chile

Antofagasta

plc

(76,556)

(1,636,918)

(38,524)

(22.6)

Hong

Kong

Prudential

plc

(81,752)

(922,383)

(22,050)

(12.9)

South

Africa

Anglo

American

plc

(28,744)

(719,368)

(52,033)

(30.5)

United

Kingdom

Admiral

Group

plc

(24,251)

(829,106)

(3,768)

(2.2)

Ashtead

Group

plc

(26,615)

(1,849,933)

(22,065)

(12.9)

AstraZeneca

plc

(24,671)

(3,327,869)

(45,988)

(27.0)

Croda

International

plc

(18,140)

(1,166,837)

(3,794)

(2.2)

Diageo

plc

(37,182)

(1,349,527)

18

0.0

Legal

&

General

Group

plc

(240,119)

(767,346)

(3,656)

(2.1)

Lloyds

Banking

Group

plc

(2,254,506)

(1,367,441)

(3,572)

(2.1)

Next

plc

(6,925)

(715,871)

(1,770)

(1.0)

Persimmon

plc

(35,355)

(624,941)

(16,786)

(9.8)

Rentokil

Initial

plc

(202,466)

(1,141,152)

(24,546)

(14.4)

Severn

Trent

plc

(45,729)

(1,503,776)

11,023

6.5

Spirax-Sarco

Engineering

plc

(9,707)

(1,298,755)

(31,300)

(18.3)

SSE

plc

(40,030)

(944,948)

(2,275)

(1.3)

Unilever

plc

(15,009)

(726,601)

(6,406)

(3.8)

100

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

United

Utilities

Group

plc

(63,151)

(853,061)

14,680

8.6

Wise

plc

(102,812)

(1,143,423)

(45,185)

(26.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-49

months

maturity

07/22/2025

$10,530,560

$(73,085)

$(17,582)

$(90,667)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

240,500

653,325

17,309

(19.1)

Hong

Kong

ASMPT

Ltd.

5,600

53,400

(1,105)

1.2

CK

Asset

Holdings

Ltd.

108,821

546,183

11,729

(12.9)

CLP

Holdings

Ltd.

36,000

297,436

4,678

(5.2)

Hang

Lung

Properties

Ltd.

72,000

100,102

2,558

(2.8)

Henderson

Land

Development

Co.

Ltd.

153,000

471,154

18,532

(20.4)

HKT

Trust

&

HKT

Ltd.

55,000

65,666

231

(0.3)

Man

Wah

Holdings

Ltd.

174,800

119,886

4,151

(4.6)

New

World

Development

Co.

Ltd.

235,000

364,372

3,156

(3.5)

Sun

Hung

Kai

Properties

Ltd.

18,000

194,785

5,184

(5.7)

Swire

Pacific

Ltd.

54,500

461,596

31,305

(34.5)

Swire

Properties

Ltd.

27,000

54,655

982

(1.1)

WH

Group

Ltd.

595,000

384,251

2,494

(2.8)

Macau

Sands

China

Ltd.

41,600

121,762

7,753

(8.6)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

336,500

1,807,881

30,251

(33.4)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(236,400)

(443,179)

(21,150)

23.3

ESR

Group

Ltd.

(520,600)

(719,966)

(47,923)

52.9

SITC

International

Holdings

Co.

Ltd.

(101,000)

(174,329)

(129)

0.1

Xinyi

Glass

Holdings

Ltd.

(355,341)

(399,112)

(20,595)

22.7

Hong

Kong

AIA

Group

Ltd.

(12,800)

(111,397)

(1,486)

1.6

Hang

Seng

Bank

Ltd.

(3,900)

(45,534)

(1,432)

1.6

Hong

Kong

&

China

Gas

Co.

Ltd.

(682,000)

(522,947)

(18,304)

20.2

101

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

MTR

Corp.

Ltd.

(137,420)

(533,374)

(20,547)

22.7

Power

Assets

Holdings

Ltd.

(41,000)

(237,706)

(3,263)

3.6

Sino

Land

Co.

Ltd.

(90,000)

(97,873)

(710)

0.8

Techtronic

Industries

Co.

Ltd.

(47,500)

(565,967)

(6,929)

7.6

Wharf

Real

Estate

Investment

Co.

Ltd.

(241,000)

(814,696)

(63,162)

69.7

Macau

Galaxy

Entertainment

Group

Ltd.

(30,000)

(168,026)

(6,663)

7.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-2.56%

to

0.28%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-49

months

maturity

07/23/2025

$193,848,133

$(472,881)

$77,128

$(395,753)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Aisin

Corp.

32,300

1,126,019

(4,563)

1.2

ANA

Holdings,

Inc.

77,500

1,679,080

(5,034)

1.3

Honda

Motor

Co.

Ltd.

231,200

2,384,878

43,787

(11.1)

Japan

Airlines

Co.

Ltd.

93,400

1,834,850

(10,628)

2.7

Japan

Post

Bank

Co.

Ltd.

131,900

1,342,337

(9,404)

2.4

Japan

Post

Insurance

Co.

Ltd.

74,400

1,320,647

2,026

(0.5)

JFE

Holdings,

Inc.

104,100

1,610,553

59,020

(14.9)

Kansai

Paint

Co.

Ltd.

80,900

1,379,462

11,062

(2.8)

Komatsu

Ltd.

46,100

1,199,676

19,712

(5.0)

Mazda

Motor

Corp.

146,600

1,567,020

(20,627)

5.2

Mitsubishi

Corp.

126,000

2,007,088

36,662

(9.3)

Mitsubishi

Motors

Corp.

556,600

1,761,669

42,920

(10.8)

Mizuho

Financial

Group,

Inc.

217,330

3,707,175

70,366

(17.8)

NGK

Insulators

Ltd.

108,100

1,289,188

(5,410)

1.4

NSK

Ltd.

257,400

1,390,950

35,128

(8.9)

Panasonic

Holdings

Corp.

190,200

1,873,010

15,524

(3.9)

Persol

Holdings

Co.

Ltd.

673,900

1,152,981

36,317

(9.2)

Santen

Pharmaceutical

Co.

Ltd.

135,800

1,351,099

20,225

(5.1)

Shimamura

Co.

Ltd.

18,800

2,099,282

(55,385)

14.0

Shionogi

&

Co.

Ltd.

27,500

1,323,520

(32,367)

8.2

Sojitz

Corp.

75,100

1,691,920

(11,944)

3.0

Subaru

Corp.

85,800

1,564,942

2,286

(0.6)

Sumitomo

Mitsui

Trust

Holdings,

Inc.

77,400

1,482,356

46,339

(11.7)

Toyo

Suisan

Kaisha

Ltd.

22,400

1,155,758

30,992

(7.8)

Toyota

Tsusho

Corp.

26,600

1,560,946

(21,239)

5.4

102

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Yamada

Holdings

Co.

Ltd.

449,000

1,395,252

40,928

(10.3)

Short

Positions

Common

Stocks

Japan

Advantest

Corp.

(52,400)

(1,765,647)

3,317

(0.8)

Aeon

Co.

Ltd.

(94,000)

(2,097,562)

(73,562)

18.6

Ajinomoto

Co.,

Inc.

(30,000)

(1,154,815)

(77,794)

19.7

Asahi

Intecc

Co.

Ltd.

(96,800)

(1,962,995)

(48,964)

12.4

Chiba

Bank

Ltd.

(The)

(182,500)

(1,314,842)

45,495

(11.5)

Ibiden

Co.

Ltd.

(29,200)

(1,610,839)

(31,133)

7.9

Keisei

Electric

Railway

Co.

Ltd.

(28,400)

(1,340,216)

(32,607)

8.2

Keyence

Corp.

(5,800)

(2,548,268)

(3,672)

0.9

LY

Corp.

(333,800)

(1,180,412)

(24,845)

6.3

MINEBEA

MITSUMI,

Inc.

(75,400)

(1,543,290)

(25,785)

6.5

Nippon

Telegraph

&

Telephone

Corp.

(985,000)

(1,202,768)

(17,948)

4.5

Nissan

Chemical

Corp.

(44,000)

(1,713,301)

(65,953)

16.7

Nitori

Holdings

Co.

Ltd.

(19,200)

(2,578,110)

(89,610)

22.6

NTT

Data

Group

Corp.

(140,300)

(1,983,231)

(105,598)

26.7

Rakuten

Group,

Inc.

(342,200)

(1,525,636)

(115,334)

29.1

Resonac

Holdings

Corp.

(85,900)

(1,707,076)

52,351

(13.2)

SMC

Corp.

(4,200)

(2,246,731)

(74,646)

18.9

SoftBank

Group

Corp.

(26,300)

(1,160,842)

(32,926)

8.3

Sysmex

Corp.

(37,400)

(2,079,086)

(15,928)

4.0

Taiyo

Yuden

Co.

Ltd.

(48,100)

(1,267,335)

(36,812)

9.3

Terumo

Corp.

(37,100)

(1,213,207)

16,092

(4.1)

Unicharm

Corp.

(32,000)

(1,157,355)

(45,724)

11.6

Yamaha

Motor

Co.

Ltd.

(138,300)

(1,230,643)

11,441

(2.9)

Yaskawa

Electric

Corp.

(52,400)

(2,180,986)

(80,527)

20.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-5.55%

to

0.26%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-24

months

maturity

07/19/2024

$615,430,386

$(507,603)

$(876,652)

$(1,384,255)

103

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

3M

Co.

27,096

2,962,135

81,675

(5.9)

Adobe,

Inc.

3,495

2,085,117

(7,593)

0.5

Altria

Group,

Inc.

42,097

1,698,193

(57,194)

4.1

Amazon.com,

Inc.

21,927

3,331,588

(40,141)

2.9

AT&T,

Inc.

114,914

1,928,257

34,104

(2.5)

Baker

Hughes

Co.

51,314

1,753,913

5,008

(0.4)

Booking

Holdings,

Inc.

625

2,217,012

46,779

(3.4)

Centene

Corp.

23,968

1,778,665

(13,901)

1.0

Cisco

Systems,

Inc.

58,405

2,950,621

16,353

(1.2)

Citigroup,

Inc.

42,851

2,204,255

76,275

(5.5)

Citizens

Financial

Group,

Inc.

64,510

2,137,861

11,612

(0.8)

Comcast

Corp.

40,390

1,771,102

(25,770)

1.9

CVS

Health

Corp.

30,468

2,405,753

124,310

(9.0)

Dell

Technologies,

Inc.

26,428

2,021,742

81,154

(5.9)

DocuSign,

Inc.

42,858

2,547,908

(89,573)

6.5

Flowserve

Corp.

49,417

2,036,969

44,556

(3.2)

Humana,

Inc.

5,586

2,557,327

(332)

0.0

Kimberly-Clark

Corp.

18,493

2,247,084

15,557

(1.1)

Las

Vegas

Sands

Corp.

34,208

1,683,376

50,628

(3.7)

Molson

Coors

Beverage

Co.

44,164

2,703,278

(31,798)

2.3

NVIDIA

Corp.

4,971

2,461,739

(15,081)

1.1

Owens

Corning

11,748

1,741,406

(7,754)

0.6

PayPal

Holdings,

Inc.

28,390

1,743,430

(1,703)

0.1

PPG

Industries,

Inc.

12,801

1,914,390

9,947

(0.7)

Skechers

USA,

Inc.

32,065

1,998,932

8,337

(0.6)

Starbucks

Corp.

18,169

1,744,406

(4,353)

0.3

TD

SYNNEX

Corp.

15,832

1,703,682

23,273

(1.7)

Toll

Brothers,

Inc.

20,636

2,121,174

29,097

(2.1)

Travel

+

Leisure

Co.

43,100

1,684,779

(38,790)

2.8

Valero

Energy

Corp.

13,523

1,757,990

(25,964)

1.9

Walmart,

Inc.

13,779

2,172,259

31,118

(2.2)

Wendy's

Co.

(The)

97,409

1,897,527

(53,382)

3.9

Short

Positions

Common

Stocks

United

States

Accenture

plc

(5,351)

(1,877,719)

(26,384)

1.9

Apple,

Inc.

(11,295)

(2,174,626)

37,951

(2.7)

Avery

Dennison

Corp.

(8,613)

(1,741,204)

(27,648)

2.0

Bentley

Systems,

Inc.

(35,312)

(1,842,580)

(35,912)

2.6

BJ's

Wholesale

Club

Holdings,

Inc.

(31,205)

(2,080,125)

(19,035)

1.4

Brown-Forman

Corp.

(30,799)

(1,758,623)

27,836

(2.0)

Celanese

Corp.

(16,608)

(2,580,385)

(81,877)

5.9

Churchill

Downs,

Inc.

(18,526)

(2,499,713)

(91,889)

6.6

HEICO

Corp.

(11,016)

(1,970,432)

38,989

(2.8)

Ionis

Pharmaceuticals,

Inc.

(39,481)

(1,997,344)

(5,248)

0.4

Marriott

International,

Inc.

(8,819)

(1,988,773)

(29,153)

2.1

Neogen

Corp.

(104,932)

(2,110,183)

(28,015)

2.0

Norwegian

Cruise

Line

Holdings

Ltd.

(85,280)

(1,709,011)

23,891

(1.7)

Planet

Fitness,

Inc.

(23,770)

(1,735,210)

(83,195)

6.0

Repligen

Corp.

(9,961)

(1,790,988)

(30,281)

2.2

104

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Toro

Co.

(The)

(18,377)

(1,764,008)

(157,122)

11.4

UnitedHealth

Group,

Inc.

(4,920)

(2,590,232)

(3,190)

0.2

Waters

Corp.

(5,320)

(1,751,504)

(36,974)

2.7

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

CITI

Investment

Companies

$

62,112

$

–

$

62,112

JPMC

Investment

Companies

9,369,546

–

9,369,546

MLIN

Cash

29,159

–

29,159

MSIP

U.S.

Treasury

Bills

74,375,330

–

74,375,330

105

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

7

‡

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

Represents

7-day

effective

yield

as

of

December

31,

2023.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

December

31,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

90.2%

INVESTMENT

COMPANIES

-

28.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.19%

(1)(a)(b)

219,495

219,495

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(a)(c)

267,340,941

267,234,005

TOTAL

INVESTMENT

COMPANIES

(Cost

$267,393,561)

267,453,500

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

62.2%

U.S.

Treasury

Bills

5.41%,

1/11/2024

(d)

$

1,710,000

1,707,766

5.39%,

1/18/2024

(d)(e)

23,257,000

23,202,409

5.41%,

1/25/2024

(d)(e)

16,824,000

16,767,325

5.41%,

2/1/2024

(d)(e)

32,787,000

32,642,921

5.41%,

2/8/2024

(d)(e)

8,992,000

8,943,302

5.44%,

2/15/2024

(d)(e)

8,959,000

8,901,612

5.44%,

2/22/2024

(d)(e)

21,624,000

21,463,252

5.50%,

2/29/2024

(d)(e)

15,011,000

14,883,687

5.45%,

3/14/2024

(d)(e)

43,526,000

43,074,331

5.45%,

3/21/2024

(d)(e)

14,414,000

14,249,781

5.49%,

4/4/2024

(d)(e)

79,756,000

78,684,611

5.48%,

4/18/2024

(d)(e)

24,309,000

23,933,851

5.47%,

4/25/2024

(d)(e)

29,305,000

28,824,904

5.47%,

5/2/2024

(d)(e)

26,543,000

26,082,901

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

62.2%

(continued)

5.40%,

5/9/2024

(d)(e)

$

24,588,000

24,138,801

5.41%,

5/16/2024

(d)(e)

93,442,000

91,650,365

5.37%,

5/23/2024

(d)(e)

87,641,000

85,878,013

5.38%,

5/30/2024

(d)(e)

5,305,000

5,194,157

5.33%,

6/6/2024

(d)(e)

34,345,000

33,593,417

5.33%,

6/13/2024

(d)(e)

11,333,000

11,073,810

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$594,575,379)

594,891,216

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$861,968,940)

862,344,716

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

90.2%

(Cost

$861,968,940)

862,344,716

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

9.8%

‡

93,990,852

NET

ASSETS

-

100.0%

956,335,568

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

$

267,453,500

28.0

%

U.S.

Treasury

Obligations

594,891,216

62.2

Total

Investments

In

Securities

At

Value

862,344,716

90.2

Other

Assets

in

Excess

of

Liabilities

‡

93,990,852

9.8

Net

Assets

$

956,335,568

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2023

Shares

Held

At

12/31/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

28.0%

INVESTMENT

COMPANIES

-

28.0%

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(a)

(Cost

$267,174,066)

$157,298,176

$1,731,214,008

$(1,621,265,559)

$(12,217)

$(403)

$267,234,005

267,340,941

$11,351,715

$–

(1)

Level

1

security

(See

Note

5).

(a)

Represents

7-day

effective

yield

as

of

December

31,

2023.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

106

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

Total

return

swap

contracts

outstanding

as

of

December

31,

2023

:

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2024

HKD

3,426,400

$

11,617

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

01/30/2024

HKD

3,426,400

13,400

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

AUD

5,772,803

176,271

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

CORRA

plus

or

minus

a

specified

spread

(-0.80%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

CAD

4,813,769

66,868

MSCI

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.13%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

EUR

2,979,857

6,505

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

HKD

4,029,998

41,767

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TONAR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/21/2024

JPY

1,737,377,273

59,393

107

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

EUR

3,328,252

$

14,066

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SORA

plus

or

minus

a

specified

spread

(0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

SGD

922,428

31,519

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(0.16%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

SEK

20,740,418

76,270

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SONIA

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

GBP

2,876,108

85,547

Total

unrealized

appreciation

583,223

Amsterdam

Exchange

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/19/2024

EUR

789,020

(3,722)

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

03/15/2024

CHF

775,670

(3,464)

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/15/2024

CHF

6,316,170

(2,408)

MSCI

Germany

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

EUR

2,734,005

(3,913)

108

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.04%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

EUR

1,639,526

$

(3,426)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.04%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

EUR

2,168,390

(5,895)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(-0.02%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

CHF

2,855,586

(14,085)

Total

unrealized

depreciation

(36,913)

Net

unrealized

appreciation

$

546,310

Futures

contracts

outstanding

as

of

December

31,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

CAC

40

10

Euro

Index

89

1/2024

EUR

$

7,422,905

$

(44,826)

Hang

Seng

Index

4

1/2024

HKD

438,804

13,393

IBEX

35

Index

11

1/2024

EUR

1,224,813

(7,656)

MSCI

Singapore

Index

34

1/2024

SGD

741,186

26,574

OMXS30

Index

29

1/2024

SEK

690,421

17,336

FTSE

100

Index

56

3/2024

GBP

5,536,621

109,857

FTSE/MIB

Index

6

3/2024

EUR

1,010,810

(4,344)

S&P

500

E-Mini

Index

874

3/2024

USD

210,633,999

7,790,447

S&P/TSX

60

Index

33

3/2024

CAD

6,327,791

194,298

SPI

200

Index

15

3/2024

AUD

1,938,299

32,923

TOPIX

Index

40

3/2024

JPY

6,712,057

38,388

Net

value

$

8,166,390

109

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

Forward

foreign

currency

exchange

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

8,025,500

USD

5,341,642

CITI

3/20/2024

$

140,132

AUD

8,025,500

USD

5,341,615

JPMC

3/20/2024

140,156

CAD

11,686,205

USD

8,633,600

CITI

3/20/2024

195,193

CAD

11,686,205

USD

8,633,260

JPMC

3/20/2024

195,531

CHF

6,009,791

USD

6,944,539

CITI

3/20/2024

258,404

CHF

6,009,791

USD

6,944,505

JPMC

3/20/2024

258,438

DKK

16,875,222

USD

2,499,500

CITI

3/20/2024

9,495

DKK

16,875,221

USD

2,499,488

JPMC

3/20/2024

9,508

EUR

22,652,940

USD

24,677,260

CITI

3/20/2024

408,395

EUR

22,652,940

USD

24,677,137

JPMC

3/20/2024

408,518

GBP

8,594,501

USD

10,856,712

CITI

3/20/2024

102,457

GBP

8,594,500

USD

10,856,656

JPMC

3/20/2024

102,510

ILS

1,699,500

USD

459,737

CITI

3/20/2024

10,764

ILS

1,699,500

USD

459,735

JPMC

3/20/2024

10,768

NOK

4,897,258

USD

454,383

CITI

3/20/2024

28,463

NOK

4,897,257

USD

454,381

JPMC

3/20/2024

28,470

NZD

115,499

USD

71,048

CITI

3/20/2024

1,980

NZD

115,500

USD

71,048

JPMC

3/20/2024

1,980

SEK

22,091,001

USD

2,131,970

CITI

3/20/2024

64,987

SEK

22,091,000

USD

2,131,959

JPMC

3/20/2024

64,997

SGD

3,432,358

USD

2,581,889

CITI

3/20/2024

28,191

SGD

3,432,357

USD

2,581,876

JPMC

3/20/2024

28,206

USD

101,645

HKD

792,000

CITI

3/20/2024

37

USD

101,645

HKD

792,000

JPMC

3/20/2024

37

JPY

2,414,797,501

USD

16,740,227

CITI

3/21/2024

597,816

JPY

2,414,797,500

USD

16,740,144

JPMC

3/21/2024

597,900

Total

unrealized

appreciation

3,693,333

HKD

11,803,000

USD

1,515,241

CITI

3/20/2024

(1,004)

HKD

11,803,000

USD

1,515,233

JPMC

3/20/2024

(997)

USD

579,296

AUD

854,500

CITI

3/20/2024

(4,366)

USD

579,299

AUD

854,500

JPMC

3/20/2024

(4,363)

USD

930,501

CAD

1,240,000

CITI

3/20/2024

(6,304)

USD

930,506

CAD

1,240,000

JPMC

3/20/2024

(6,300)

USD

367,649

CHF

314,000

CITI

3/20/2024

(8,691)

USD

367,651

CHF

314,000

JPMC

3/20/2024

(8,689)

USD

341,048

DKK

2,308,000

CITI

3/20/2024

(2,104)

USD

341,049

DKK

2,308,000

JPMC

3/20/2024

(2,103)

USD

3,168,137

EUR

2,882,000

CITI

3/20/2024

(23,363)

USD

3,168,153

EUR

2,882,000

JPMC

3/20/2024

(23,347)

USD

1,475,719

GBP

1,165,500

CITI

3/20/2024

(10,453)

USD

1,475,727

GBP

1,165,500

JPMC

3/20/2024

(10,446)

USD

66,755

SEK

679,620

CITI

3/20/2024

(834)

USD

66,755

SEK

679,619

JPMC

3/20/2024

(833)

USD

246,262

SGD

326,000

CITI

3/20/2024

(1,640)

USD

246,263

SGD

326,000

JPMC

3/20/2024

(1,638)

USD

2,643,468

JPY

375,000,000

CITI

3/21/2024

(49,001)

USD

2,643,481

JPY

375,000,000

JPMC

3/21/2024

(48,987)

Total

unrealized

depreciation

(215,463)

Net

unrealized

appreciation

$

3,477,870

110

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

Total

return

basket

swap

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.20%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

02/26/2024

-

03/25/2024

$6,043,748

$(24,718)

$723,062

$698,344

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NOWA

plus

or

minus

a

specified

spread

(-0.02%

to

0.03%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/14/2028

$8,789,328

$55,504

$(3,978)

$51,526

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

20-25

months

maturity

02/21/2024

$4,634,178

$4,828

$20,022

$24,850

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.35%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$85,754,525

$(364,385)

$(253,272)

$(617,657)

111

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

186,041

1,202,611

38,291

(6.2)

Allkem

Ltd.

143,343

973,660

(66,643)

10.8

ANZ

Group

Holdings

Ltd.

50,442

891,211

13,650

(2.2)

Aristocrat

Leisure

Ltd.

96,816

2,689,890

(1,199)

0.2

BlueScope

Steel

Ltd.

196,780

3,137,160

122,687

(19.9)

Brambles

Ltd.

128,490

1,190,959

26,660

(4.3)

Cochlear

Ltd.

5,136

1,044,898

(2,388)

0.4

Coles

Group

Ltd.

71,952

790,397

12,755

(2.1)

Harvey

Norman

Holdings

Ltd.

352,349

1,008,805

36,366

(5.9)

Incitec

Pivot

Ltd.

569,309

1,102,671

877

(0.1)

JB

Hi-Fi

Ltd.

60,454

2,184,744

77,962

(12.6)

Lendlease

Corp.

Ltd.

232,073

1,181,343

7,507

(1.2)

Northern

Star

Resources

Ltd.

186,577

1,731,081

47,963

(7.8)

Orica

Ltd.

55,660

605,038

753

(0.1)

Origin

Energy

Ltd.

488,484

2,818,892

140,484

(22.7)

Qantas

Airways

Ltd.

928,057

3,399,488

(53,550)

8.7

QBE

Insurance

Group

Ltd.

170,535

1,727,962

65,106

(10.5)

Seven

Group

Holdings

Ltd.

60,244

1,516,441

87,884

(14.2)

Sonic

Healthcare

Ltd.

44,176

965,278

22,128

(3.6)

South32

Ltd.

485,774

1,098,646

22,797

(3.7)

Telstra

Group

Ltd.

238,245

643,805

13,879

(2.2)

Westpac

Banking

Corp.

83,759

1,306,849

23,745

(3.8)

Whitehaven

Coal

Ltd.

131,116

665,380

20,280

(3.3)

Woolworths

Group

Ltd.

54,977

1,394,764

9,923

(1.6)

Worley

Ltd.

55,807

665,205

(1,586)

0.3

Yancoal

Australia

Ltd.

208,594

703,931

15,854

(2.6)

New

Zealand

Xero

Ltd.

23,054

1,758,756

19,248

(3.1)

United

States

James

Hardie

Industries

plc

55,907

2,155,546

19,368

(3.1)

Short

Positions

Common

Stocks

Australia

ALS

Ltd.

(71,200)

(623,642)

(18,226)

3.0

APA

Group

(161,374)

(939,123)

14,302

(2.3)

Cleanaway

Waste

Management

Ltd.

(1,422,199)

(2,607,275)

(77,773)

12.6

Commonwealth

Bank

of

Australia

(79,141)

(6,031,892)

(99,522)

16.1

Computershare

Ltd.

(65,814)

(1,096,157)

(44,449)

7.2

Domino's

Pizza

Enterprises

Ltd.

(60,621)

(2,433,531)

(94,135)

15.2

Endeavour

Group

Ltd.

(421,673)

(1,497,490)

(28,055)

4.5

Liontown

Resources

Ltd.

(1,943,672)

(2,179,972)

(112,664)

18.2

Lynas

Rare

Earths

Ltd.

(492,198)

(2,402,536)

(158,655)

25.7

Macquarie

Group

Ltd.

(6,386)

(799,411)

(18,970)

3.1

Mineral

Resources

Ltd.

(74,129)

(3,531,033)

(125,297)

20.3

National

Australia

Bank

Ltd.

(73,978)

(1,546,206)

(19,170)

3.1

NEXTDC

Ltd.

(82,012)

(765,897)

(20,922)

3.4

Pilbara

Minerals

Ltd.

(283,150)

(760,009)

(188)

0.0

Ramsay

Health

Care

Ltd.

(54,748)

(1,963,932)

(45,363)

7.3

REA

Group

Ltd.

(10,764)

(1,327,302)

(59,572)

9.6

Reece

Ltd.

(96,751)

(1,475,746)

(50,978)

8.3

112

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Santos

Ltd.

(330,330)

(1,717,553)

(11)

0.0

Transurban

Group

(134,343)

(1,255,352)

(6,637)

1.1

Treasury

Wine

Estates

Ltd.

(127,378)

(937,184)

(18,821)

3.0

Wesfarmers

Ltd.

(17,721)

(689,151)

(27,025)

4.4

United

States

CSL

Ltd.

(17,861)

(3,481,986)

(79,842)

12.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.03%

to

0.02%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/19/2028

$81,151,438

$387,781

$68,991

$456,772

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

65,917

2,926,594

(8,537)

(1.9)

Adecco

Group

AG

(Registered)

88,585

4,350,721

(40,348)

(8.8)

Baloise

Holding

AG

(Registered)

889

139,385

71

0.0

Clariant

AG

(Registered)

13,752

203,182

(3,658)

(0.8)

DKSH

Holding

AG

5,581

387,528

6,898

1.5

Flughafen

Zurich

AG

(Registered)

2,482

518,601

(424)

(0.1)

Galenica

AG

2,988

258,475

1,437

0.3

Georg

Fischer

AG

(Registered)

55,054

4,006,508

20,077

4.4

Julius

Baer

Group

Ltd.

555

31,134

47

0.0

Kuehne

+

Nagel

International

AG

(Registered)

2,641

911,401

3,834

0.8

Logitech

International

SA

(Registered)

22,290

2,119,520

897

0.2

Lonza

Group

AG

(Registered)

4,222

1,779,938

52,736

11.5

Novartis

AG

(Registered)

78,637

7,943,162

(28,529)

(6.2)

SGS

SA

(Registered)

5,352

462,042

999

0.2

Swatch

Group

AG

(The)

3,064

833,684

(15,150)

(3.3)

Swiss

Life

Holding

AG

(Registered)

362

251,573

381

0.1

Temenos

AG

(Registered)

12,994

1,210,888

10,227

2.2

Zurich

Insurance

Group

AG

1,091

570,404

1,189

0.3

United

States

Holcim

AG

73,331

5,759,521

(238)

(0.1)

Nestle

SA

(Registered)

309

35,819

41

0.0

Roche

Holding

AG

9,098

2,644,730

(7,704)

(1.7)

Swiss

Re

AG

17,522

1,971,759

(27,838)

(6.1)

113

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Switzerland

Alcon,

Inc.

(13,800)

(1,079,657)

(8,539)

(1.9)

Avolta

AG

(23,049)

(907,464)

(220)

(0.0)

Bachem

Holding

AG

(20,205)

(1,564,702)

98,928

21.7

Barry

Callebaut

AG

(Registered)

(404)

(682,024)

(5,374)

(1.2)

Belimo

Holding

AG

(Registered)

(1,155)

(637,509)

6,012

1.3

BKW

AG

(1,075)

(191,207)

423

0.1

Chocoladefabriken

Lindt

&

Spruengli

AG

(364)

(4,369,320)

343,789

75.3

Cie

Financiere

Richemont

SA

(Registered)

(1,864)

(257,463)

(1,108)

(0.2)

EMS-Chemie

Holding

AG

(Registered)

(2,435)

(1,974,366)

17,525

3.8

Geberit

AG

(Registered)

(3,483)

(2,235,803)

(11,123)

(2.4)

Givaudan

SA

(Registered)

(704)

(2,919,285)

5,364

1.2

Helvetia

Holding

AG

(Registered)

(6,831)

(941,905)

(3,399)

(0.7)

Partners

Group

Holding

AG

(1,227)

(1,774,182)

(9,654)

(2.1)

Schindler

Holding

AG

(1,655)

(414,337)

(850)

(0.2)

SIG

Group

AG

(180,074)

(4,147,288)

194,843

42.7

Sika

AG

(Registered)

(13,696)

(4,465,940)

(113,118)

(24.8)

Sonova

Holding

AG

(Registered)

(4,837)

(1,581,931)

(7,611)

(1.7)

Straumann

Holding

AG

(Registered)

(17,021)

(2,750,643)

(28,659)

(6.3)

Swisscom

AG

(Registered)

(2,101)

(1,264,528)

12,473

2.7

Tecan

Group

AG

(Registered)

(2,192)

(896,763)

(6,984)

(1.5)

UBS

Group

AG

(Registered)

(149,411)

(4,640,942)

(27,319)

(6.0)

VAT

Group

AG

(4,256)

(2,137,610)

(34,026)

(7.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Denmark

Tomorrow/Next

plus

or

minus

a

specified

spread

(-0.05%

to

0.03%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/19/2028

$23,267,056

$(111,979)

$(179,758)

$(291,737)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Carlsberg

A/S

28,076

3,523,093

50,589

(17.3)

Danske

Bank

A/S

69,389

1,854,858

16,435

(5.6)

Demant

A/S

31,459

1,379,797

(7,187)

2.5

Genmab

A/S

1,127

359,347

5,290

(1.8)

ISS

A/S

133,727

2,554,135

111,909

(38.4)

Pandora

A/S

4,715

651,873

7,398

(2.5)

ROCKWOOL

A/S

523

153,015

1,687

(0.6)

Vestas

Wind

Systems

A/S

1,507

47,684

(254)

0.1

114

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(57,054)

(888,834)

(18,831)

6.5

AP

Moller

-

Maersk

A/S

(301)

(541,807)

(879)

0.3

Coloplast

A/S

(14,981)

(1,711,821)

22,618

(7.8)

DSV

A/S

(19,013)

(3,340,713)

(195,671)

67.1

GN

Store

Nord

A/S

(14,817)

(377,038)

11,341

(3.9)

Novo

Nordisk

A/S

(44,098)

(4,569,928)

(141,647)

48.6

Orsted

A/S

(1,981)

(109,820)

(3)

0.0

Royal

Unibrew

A/S

(440)

(29,395)

(203)

0.1

Tryg

A/S

(53,942)

(1,173,898)

25,429

(8.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.05%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

06/14/2028

-

06/19/2028

$249,113,297

$(164,966)

$216,133

$51,167

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

58,380

2,537,810

(10,406)

(20.3)

Finland

Fortum

OYJ

281,664

4,068,396

(13,688)

(26.8)

UPM-Kymmene

OYJ

52,487

1,979,847

(9,106)

(17.8)

Germany

Allianz

SE

(Registered)

7,979

2,132,318

9,340

18.3

Bayerische

Motoren

Werke

AG

38,628

4,298,202

(9,633)

(18.8)

Daimler

Truck

Holding

AG

98,196

3,688,641

(16,590)

(32.4)

Deutsche

Bank

AG

(Registered)

348,676

4,759,809

145,377

284.1

Fresenius

Medical

Care

AG

56,432

2,359,324

13,800

27.0

HOCHTIEF

AG

25,450

2,818,482

20,168

39.4

KION

Group

AG

48,765

2,081,262

43,222

84.5

Mercedes-Benz

Group

AG

139,437

9,620,854

(159,952)

(312.6)

Muenchener

Rueckversicherungs-Gesellschaft

AG

(Registered)

5,803

2,407,164

(13,061)

(25.5)

Scout24

SE

30,247

2,138,804

34,102

66.6

Siemens

AG

(Registered)

9,401

1,763,715

67,912

132.7

TeamViewer

SE

123,920

1,924,791

28,395

55.5

thyssenkrupp

AG

326,814

2,273,464

(25,353)

(49.6)

115

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Netherlands

Akzo

Nobel

NV

24,244

2,007,568

19,945

39.0

ASML

Holding

NV

3,736

2,820,259

(7,084)

(13.8)

BE

Semiconductor

Industries

NV

20,701

3,125,354

(17,499)

(34.2)

Koninklijke

Ahold

Delhaize

NV

114,809

3,303,222

(23,792)

(46.5)

Koninklijke

Philips

NV

256,771

6,009,014

105,321

205.8

NN

Group

NV

76,686

3,030,697

26,202

51.2

Spain

Banco

de

Sabadell

SA

4,021,100

4,949,800

(7,285)

(14.2)

Banco

Santander

SA

1,183,486

4,950,148

1,090

2.1

Industria

de

Diseno

Textil

SA

51,210

2,234,500

24,240

47.4

Repsol

SA

237,521

3,523,370

(36,149)

(70.6)

Preferred

Stocks

Germany

Volkswagen

AG

(Preference)

21,829

2,690,563

(30,220)

(59.1)

Short

Positions

Common

Stocks

Belgium

Elia

Group

SA/NV

(20,615)

(2,580,482)

(31,554)

(61.7)

Finland

Nokia

OYJ

(557,302)

(1,898,133)

(13,308)

(26.0)

Stora

Enso

OYJ

(225,522)

(3,124,734)

(31,087)

(60.8)

Germany

Beiersdorf

AG

(27,772)

(4,158,990)

(44,566)

(87.1)

Continental

AG

(26,997)

(2,292,894)

(27,840)

(54.4)

Deutsche

Post

AG

(40,375)

(1,998,404)

246

0.5

Deutsche

Telekom

AG

(Registered)

(98,864)

(2,377,017)

(26,668)

(52.1)

Merck

KGaA

(44,101)

(7,021,520)

(167,841)

(328.0)

Puma

SE

(38,928)

(2,165,546)

110,387

215.7

SAP

SE

(18,776)

(2,890,032)

33,162

64.8

Siemens

Healthineers

AG

(111,748)

(6,487,936)

57,769

112.9

Wacker

Chemie

AG

(23,008)

(2,900,840)

(6,291)

(12.3)

Netherlands

Adyen

NV

(2,024)

(2,612,865)

17,465

34.1

Heineken

NV

(39,180)

(3,980,667)

(47,261)

(92.4)

IMCD

NV

(14,689)

(2,558,289)

(44,049)

(86.1)

Spain

Corp.

ACCIONA

Energias

Renovables

SA

(116,735)

(3,622,995)

(23,143)

(45.2)

Iberdrola

SA

(279,010)

(3,659,713)

(52,785)

(103.2)

Naturgy

Energy

Group

SA

(96,083)

(2,865,891)

17,400

34.0

Switzerland

DSM-Firmenich

AG

(87,282)

(8,876,006)

(300,414)

(587.1)

United

States

Ferrovial

SE

(63,287)

(2,310,031)

(56,164)

(109.8)

QIAGEN

NV

(45,962)

(1,998,258)

(13,089)

(25.6)

Preferred

Stocks

Germany

Dr

Ing

hc

F

Porsche

AG

(Preference)

(72,998)

(6,429,454)

67,044

131.0

Sartorius

AG

(Preference)

(11,368)

(4,174,565)

29,411

57.5

116

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.02%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$268,328,986

$(677,344)

$782,750

$105,406

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Netherlands

Shell

plc

163,482

5,351,434

64,775

61.5

United

Kingdom

Associated

British

Foods

plc

173,212

5,220,440

(49)

(0.0)

Aviva

plc

464,373

2,569,577

3,016

2.9

BAE

Systems

plc

189,449

2,681,648

101,422

96.2

Barclays

plc

1,487,313

2,912,260

134,908

128.0

Barratt

Developments

plc

328,413

2,352,590

43,528

41.3

BP

plc

900,411

5,337,701

(2,397)

(2.3)

British

American

Tobacco

plc

302,213

8,842,507

(106,686)

(101.2)

Burberry

Group

plc

421,738

7,606,862

(342,828)

(325.2)

Centrica

plc

5,910,001

10,594,877

(106,009)

(100.6)

DCC

plc

37,584

2,765,469

46,991

44.6

Hiscox

Ltd.

210,053

2,822,022

37,484

35.6

HSBC

Holdings

plc

630,196

5,098,264

98,404

93.4

Imperial

Brands

plc

167,967

3,867,910

(27,624)

(26.2)

InterContinental

Hotels

Group

plc

49,933

4,502,753

(5,698)

(5.4)

Kingfisher

plc

1,017,753

3,153,391

52,894

50.2

Man

Group

plc

863,911

2,561,354

16,460

15.6

Marks

&

Spencer

Group

plc

1,256,912

4,355,965

147,756

140.2

Melrose

Industries

plc

743,584

5,374,911

95,799

90.9

Rightmove

plc

356,455

2,620,296

11,391

10.8

Rolls-Royce

Holdings

plc

1,596,180

6,088,422

111,272

105.6

Spectris

plc

67,512

3,247,379

35,639

33.8

Taylor

Wimpey

plc

2,589,177

4,846,724

112,095

106.3

Tesco

plc

1,168,378

4,328,521

69,750

66.2

Vodafone

Group

plc

3,586,430

3,132,174

58,793

55.8

Weir

Group

plc

(The)

93,251

2,240,684

38,541

36.6

United

States

GSK

plc

142,915

2,639,526

11,591

11.0

117

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Australia

Glencore

plc

(616,883)

(3,708,112)

(21,687)

(20.6)

Rio

Tinto

plc

(80,365)

(5,977,638)

(35,399)

(33.6)

Burkina

Faso

Endeavour

Mining

plc

(152,789)

(3,418,837)

53,487

50.7

Chile

Antofagasta

plc

(280,172)

(5,990,630)

(140,985)

(133.8)

Hong

Kong

Prudential

plc

(300,790)

(3,393,721)

(81,128)

(77.0)

South

Africa

Anglo

American

plc

(105,703)

(2,645,397)

(191,346)

(181.5)

United

Kingdom

Admiral

Group

plc

(84,567)

(2,891,220)

(12,162)

(11.5)

Ashtead

Group

plc

(98,086)

(6,817,681)

(80,247)

(76.1)

AstraZeneca

plc

(91,267)

(12,310,997)

(166,595)

(158.1)

Croda

International

plc

(64,239)

(4,132,107)

(7,806)

(7.4)

Diageo

plc

(132,298)

(4,801,779)

64

0.1

Halma

plc

(77,473)

(2,252,598)

(17,293)

(16.4)

Legal

&

General

Group

plc

(888,076)

(2,838,016)

(16,570)

(15.7)

Lloyds

Banking

Group

plc

(8,163,412)

(4,951,412)

(11,697)

(11.1)

Next

plc

(23,353)

(2,414,113)

(5,970)

(5.7)

Rentokil

Initial

plc

(710,511)

(4,004,629)

(76,435)

(72.5)

RS

GROUP

plc

(213,239)

(2,225,844)

9,405

8.9

Severn

Trent

plc

(161,403)

(5,307,660)

39,460

37.4

Spirax-Sarco

Engineering

plc

(35,182)

(4,707,200)

(96,752)

(91.8)

SSE

plc

(149,126)

(3,520,268)

(8,476)

(8.0)

Unilever

plc

(52,935)

(2,562,638)

(22,594)

(21.4)

United

Utilities

Group

plc

(209,939)

(2,835,914)

48,801

46.3

Wise

plc

(360,000)

(4,003,736)

(150,917)

(143.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.03%

to

0.04%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$37,130,531

$(296,873)

$(76,382)

$(373,255)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

852,000

2,314,481

61,321

(16.4)

118

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

CK

Asset

Holdings

Ltd.

362,956

1,821,711

39,120

(10.5)

CLP

Holdings

Ltd.

119,000

983,192

15,465

(4.1)

Hang

Lung

Properties

Ltd.

288,000

400,409

9,993

(2.7)

Henderson

Land

Development

Co.

Ltd.

505,000

1,555,116

61,167

(16.4)

HKT

Trust

&

HKT

Ltd.

237,000

282,961

995

(0.3)

Man

Wah

Holdings

Ltd.

208,400

142,930

4,949

(1.3)

New

World

Development

Co.

Ltd.

746,000

1,156,688

10,791

(2.9)

Sun

Hung

Kai

Properties

Ltd.

59,500

643,872

17,135

(4.6)

Swire

Pacific

Ltd.

184,000

1,558,415

103,925

(27.8)

WH

Group

Ltd.

2,300,500

1,485,662

9,641

(2.6)

Macau

Sands

China

Ltd.

139,200

407,434

25,942

(7.0)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

1,231,500

6,616,361

106,100

(28.4)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(923,700)

(1,731,662)

(82,641)

22.1

ESR

Group

Ltd.

(1,848,400)

(2,556,253)

(166,673)

44.7

SITC

International

Holdings

Co.

Ltd.

(345,000)

(595,480)

(916)

0.2

Xinyi

Glass

Holdings

Ltd.

(1,235,000)

(1,387,129)

(68,436)

18.3

Hong

Kong

AIA

Group

Ltd.

(47,800)

(415,998)

(5,549)

1.5

Hang

Seng

Bank

Ltd.

(8,900)

(103,912)

(3,269)

0.9

Hong

Kong

&

China

Gas

Co.

Ltd.

(2,405,045)

(1,844,149)

(63,881)

17.1

MTR

Corp.

Ltd.

(528,619)

(2,051,753)

(84,108)

22.5

Power

Assets

Holdings

Ltd.

(196,000)

(1,136,350)

(15,597)

4.2

Sino

Land

Co.

Ltd.

(504,000)

(548,091)

(6,375)

1.7

Swire

Properties

Ltd.

(60,200)

(121,860)

(2,362)

0.6

Techtronic

Industries

Co.

Ltd.

(159,500)

(1,900,457)

(23,266)

6.2

Wharf

Real

Estate

Investment

Co.

Ltd.

(834,000)

(2,819,320)

(218,577)

58.6

Macau

Galaxy

Entertainment

Group

Ltd.

(98,000)

(548,885)

(21,767)

5.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-0.38%

to

0.03%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/10/2026

$707,592,489

$(1,810,798)

$(6,708,993)

$(8,519,791)

119

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Aisin

Corp.

124,100

4,326,282

(16,754)

0.2

ANA

Holdings,

Inc.

293,000

6,348,005

(19,030)

0.2

Honda

Motor

Co.

Ltd.

872,400

8,998,996

152,524

(1.8)

Japan

Airlines

Co.

Ltd.

351,700

6,909,172

(34,485)

0.4

Japan

Post

Bank

Co.

Ltd.

492,000

5,007,050

(35,078)

0.4

Japan

Post

Insurance

Co.

Ltd.

283,900

5,039,404

11,154

(0.1)

JFE

Holdings,

Inc.

392,600

6,073,998

222,587

(2.6)

Kansai

Paint

Co.

Ltd.

288,400

4,917,638

37,831

(0.4)

Komatsu

Ltd.

166,700

4,338,091

71,280

(0.8)

Mazda

Motor

Corp.

555,000

5,932,443

(78,089)

0.9

Mitsubishi

Corp.

430,200

6,852,770

125,174

(1.5)

Mitsubishi

Motors

Corp.

2,074,500

6,565,904

159,966

(1.9)

Mizuho

Financial

Group,

Inc.

818,900

13,968,645

265,138

(3.1)

NGK

Insulators

Ltd.

407,600

4,860,989

(17,921)

0.2

NSK

Ltd.

827,400

4,471,144

112,616

(1.3)

Panasonic

Holdings

Corp.

699,600

6,889,366

57,103

(0.7)

Persol

Holdings

Co.

Ltd.

2,408,900

4,121,408

111,914

(1.3)

Santen

Pharmaceutical

Co.

Ltd.

483,000

4,805,454

72,563

(0.9)

Shimamura

Co.

Ltd.

60,000

6,699,836

(176,760)

2.1

Shionogi

&

Co.

Ltd.

102,500

4,933,119

(120,640)

1.4

Sojitz

Corp.

275,700

6,211,218

(43,848)

0.5

Subaru

Corp.

309,700

5,648,746

8,252

(0.1)

Sumitomo

Mitsui

Trust

Holdings,

Inc.

247,600

4,742,006

148,236

(1.7)

Toyota

Tsusho

Corp.

101,200

5,938,638

(78,108)

0.9

Yamada

Holdings

Co.

Ltd.

1,577,300

4,901,406

143,548

(1.7)

Short

Positions

Common

Stocks

Japan

Advantest

Corp.

(194,900)

(6,567,264)

12,339

(0.1)

Aeon

Co.

Ltd.

(333,000)

(7,430,724)

(260,596)

3.1

Ajinomoto

Co.,

Inc.

(108,100)

(4,161,183)

(280,316)

3.3

Asahi

Intecc

Co.

Ltd.

(343,400)

(6,963,767)

(173,702)

2.0

Chiba

Bank

Ltd.

(The)

(661,400)

(4,765,131)

153,937

(1.8)

Ibiden

Co.

Ltd.

(109,300)

(6,029,615)

(105,922)

1.2

Kao

Corp.

(101,100)

(4,155,779)

10,766

(0.1)

Keisei

Electric

Railway

Co.

Ltd.

(101,500)

(4,789,856)

(116,298)

1.4

Keyence

Corp.

(21,800)

(9,577,971)

(13,801)

0.2

LY

Corp.

(1,249,300)

(4,417,880)

(90,026)

1.1

MINEBEA

MITSUMI,

Inc.

(251,900)

(5,155,897)

(81,619)

1.0

Nippon

Telegraph

&

Telephone

Corp.

(3,658,500)

(4,467,337)

(59,309)

0.7

Nissan

Chemical

Corp.

(160,400)

(6,245,760)

(229,818)

2.7

Nitori

Holdings

Co.

Ltd.

(71,200)

(9,560,492)

(300,064)

3.5

NTT

Data

Group

Corp.

(471,900)

(6,670,611)

(355,183)

4.2

Rakuten

Group,

Inc.

(1,273,800)

(5,679,002)

(426,856)

5.0

Resonac

Holdings

Corp.

(308,700)

(6,134,741)

188,136

(2.2)

SMC

Corp.

(16,100)

(8,612,470)

(266,185)

3.1

SoftBank

Group

Corp.

(92,900)

(4,100,464)

(116,306)

1.4

Sysmex

Corp.

(135,100)

(7,510,280)

(53,907)

0.6

Taiyo

Yuden

Co.

Ltd.

(182,300)

(4,803,225)

(135,980)

1.6

Terumo

Corp.

(133,200)

(4,355,775)

57,774

(0.7)

120

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Unicharm

Corp.

(125,500)

(4,539,002)

(164,455)

1.9

Yamaha

Motor

Co.

Ltd.

(485,400)

(4,319,265)

40,154

(0.5)

Yaskawa

Electric

Corp.

(195,900)

(8,153,726)

(292,809)

3.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.02%

to

0.03%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/14/2028

$68,185,685

$(312,376)

$(154,150)

$(466,526)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Guatemala

Millicom

International

Cellular

SA

13,764

246,615

9,807

(2.1)

Sweden

Alfa

Laval

AB

30,133

1,206,346

(2,034)

0.4

Billerud

Aktiebolag

85,374

870,078

(3,007)

0.6

Boliden

AB

42,815

1,340,089

(8,287)

1.8

Electrolux

AB

210,143

2,257,438

15,402

(3.3)

Elekta

AB

120,420

986,238

23,098

(5.0)

Embracer

Group

AB

356,476

967,064

(4,882)

1.0

Essity

AB

21,892

542,531

(6,177)

1.3

Evolution

AB

13,838

1,648,250

14,888

(3.2)

Getinge

AB

131,317

2,924,099

(11,835)

2.5

H

&

M

Hennes

&

Mauritz

AB

141,618

2,483,985

(49,361)

10.6

Hexpol

AB

89,310

1,082,052

4,194

(0.9)

Husqvarna

AB

37,488

309,222

(2,744)

0.6

Saab

AB

6,004

361,823

15,610

(3.3)

Skanska

AB

3,168

57,397

812

(0.2)

SKF

AB

98,043

1,964,837

(32,758)

7.0

SSAB

AB

313,221

2,398,185

(16,021)

3.4

Swedbank

AB

119,240

2,410,754

9,651

(2.1)

Telia

Co.

AB

687,955

1,755,269

5,116

(1.1)

Trelleborg

AB

162,100

5,440,737

10,182

(2.2)

Volvo

AB

90,674

2,359,338

25,973

(5.6)

Volvo

Car

AB

544,440

1,765,722

(18,742)

4.0

121

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

(63,035)

(782,542)

(4,096)

0.9

Sweden

AddTech

AB

(3,199)

(70,386)

914

(0.2)

Assa

Abloy

AB

(20,378)

(587,277)

(18,733)

4.0

Atlas

Copco

AB

(125,730)

(2,166,468)

(54,773)

11.7

Axfood

AB

(54,812)

(1,483,601)

(51,442)

11.0

Beijer

Ref

AB

(51,722)

(694,055)

(12,534)

2.7

Epiroc

AB

(244,085)

(4,913,162)

(34,384)

7.4

EQT

AB

(115,984)

(3,283,930)

(72,134)

15.5

Hexagon

AB

(240,181)

(2,884,888)

(57,072)

12.2

Holmen

AB

(20,105)

(849,172)

12,710

(2.7)

Indutrade

AB

(26,932)

(701,917)

(449)

0.1

Lifco

AB

(67,009)

(1,645,131)

25,103

(5.4)

Nibe

Industrier

AB

(260,867)

(1,831,916)

81,646

(17.5)

Sandvik

AB

(29,419)

(639,138)

(3,230)

0.7

Securitas

AB

(67,105)

(657,897)

(5,514)

1.2

Skandinaviska

Enskilda

Banken

AB

(32,394)

(447,060)

(8,173)

1.8

Svenska

Cellulosa

AB

SCA

(145,900)

(2,191,778)

7,158

(1.5)

Svenska

Handelsbanken

AB

(173,056)

(1,880,676)

(4,255)

0.9

Swedish

Orphan

Biovitrum

AB

(111,088)

(2,940,744)

(55,243)

11.8

Tele2

AB

(67,028)

(576,151)

(7,420)

1.6

Telefonaktiebolaget

LM

Ericsson

(251,022)

(1,579,727)

(29,340)

6.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.05%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-46

months

maturity

ranging

from

01/13/2025

-

09/23/2027

$26,699,450

$(164,980)

$(19,028)

$(184,008)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

France-KLM

27,203

409,353

42,437

(23.1)

Amundi

SA

4,902

334,363

21,845

(11.9)

Bouygues

SA

47,266

1,783,310

(105,058)

57.1

Cie

de

Saint-Gobain

SA

14,494

1,068,894

69,333

(37.7)

Dassault

Aviation

SA

9,506

1,883,425

(12,867)

7.0

Eiffage

SA

29,592

3,176,720

22,290

(12.1)

Ipsen

SA

16,621

1,982,708

101,961

(55.4)

La

Francaise

des

Jeux

SAEM

27,959

1,015,605

(38,755)

21.1

122

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Orange

SA

96,131

1,095,667

(82,731)

45.0

Rexel

SA

101,879

2,796,195

55,317

(30.1)

Safran

SA

819

144,398

(5,218)

2.8

Sodexo

SA

5,715

629,155

(3,329)

1.8

Singapore

STMicroelectronics

NV

26,245

1,316,423

27,117

(14.7)

Short

Positions

Common

Stocks

France

Accor

SA

(6,620)

(253,388)

2,251

(1.2)

Aeroports

de

Paris

SA

(7,601)

(986,269)

(7,864)

4.3

Air

Liquide

SA

(7,326)

(1,426,339)

2,082

(1.1)

Alstom

SA

(10,383)

(140,017)

(9,978)

5.4

Bollore

SE

(154,869)

(969,142)

(46,771)

25.4

Bureau

Veritas

SA

(12,215)

(309,036)

(19,923)

10.8

Cie

Generale

des

Etablissements

Michelin

SCA

(14,394)

(517,127)

(5,461)

3.0

EssilorLuxottica

SA

(4,473)

(898,173)

6,562

(3.6)

Pernod

Ricard

SA

(4,858)

(858,515)

(16,257)

8.8

Remy

Cointreau

SA

(7,347)

(937,146)

(85,926)

46.7

Sartorius

Stedim

Biotech

(1,757)

(465,926)

(60,929)

33.1

SEB

SA

(1,194)

(149,519)

(2,945)

1.6

SOITEC

(5,335)

(954,669)

914

(0.5)

Luxembourg

Eurofins

Scientific

SE

(2,467)

(160,928)

(11,901)

6.5

United

States

Schneider

Electric

SE

(184)

(37,040)

(1,176)

0.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.61%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-61

months

maturity

ranging

from

01/13/2025

-

01/03/2029

$1,271,569,439

$(4,686,911)

$(2,100,309)

$(6,787,220)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Adobe,

Inc.

13,437

8,016,514

(304,184)

4.5

Altria

Group,

Inc.

156,897

6,329,225

(101,404)

1.5

Amazon.com,

Inc.

80,007

12,156,264

186,251

(2.7)

Axis

Capital

Holdings

Ltd.

93,544

5,179,531

6,002

(0.1)

123

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Booking

Holdings,

Inc.

2,490

8,832,578

342,949

(5.1)

Caesars

Entertainment,

Inc.

115,434

5,411,546

335,913

(4.9)

Cincinnati

Financial

Corp.

49,310

5,101,613

(22,190)

0.3

Citigroup,

Inc.

160,186

8,239,968

527,012

(7.8)

Citizens

Financial

Group,

Inc.

228,251

7,564,238

810,292

(11.9)

Comcast

Corp.

146,034

6,403,591

103,976

(1.5)

DocuSign,

Inc.

154,840

9,205,238

861,329

(12.7)

Federated

Hermes,

Inc.

141,411

4,788,176

162,688

(2.4)

First

Horizon

Corp.

399,291

5,653,961

229,792

(3.4)

GoDaddy,

Inc.

47,471

5,039,521

9,380

(0.1)

Kimberly-Clark

Corp.

64,763

7,869,352

50,347

(0.7)

Las

Vegas

Sands

Corp.

121,165

5,962,530

193,864

(2.9)

Molson

Coors

Beverage

Co.

159,181

9,743,469

(264,240)

3.9

NVIDIA

Corp.

18,551

9,186,826

269,925

(4.0)

PayPal

Holdings,

Inc.

102,060

6,267,505

241,882

(3.6)

Smartsheet,

Inc.

102,217

4,888,017

236,708

(3.5)

Snowflake,

Inc.

26,652

5,303,748

49,263

(0.7)

Starbucks

Corp.

62,958

6,044,598

(78,950)

1.2

Texas

Roadhouse,

Inc.

47,101

5,757,155

347,134

(5.1)

Travel

+

Leisure

Co.

148,300

5,797,047

16,313

(0.2)

Ulta

Beauty,

Inc.

10,860

5,321,291

79,821

(1.2)

Unum

Group

121,685

5,502,596

57,192

(0.8)

VeriSign,

Inc.

28,673

5,905,491

(152,647)

2.2

Wendy's

Co.

(The)

390,451

7,605,985

326

(0.0)

Western

Union

Co.

(The)

511,474

6,096,770

30,806

(0.5)

Workday,

Inc.

17,667

4,877,152

239

(0.0)

Short

Positions

Common

Stocks

United

States

Accenture

plc

(20,136)

(7,065,924)

(81,816)

1.2

Bentley

Systems,

Inc.

(131,473)

(6,860,261)

(136,799)

2.0

Brown-Forman

Corp.

(99,070)

(5,656,897)

(37,941)

0.6

Church

&

Dwight

Co.,

Inc.

(56,285)

(5,322,310)

(60,824)

0.9

Churchill

Downs,

Inc.

(64,165)

(8,657,783)

(734,047)

10.8

Entegris,

Inc.

(41,127)

(4,927,837)

(401,400)

5.9

JPMorgan

Chase

&

Co.

(29,253)

(4,975,935)

(321,783)

4.7

MACOM

Technology

Solutions

Holdings,

Inc.

(55,401)

(5,149,523)

(243,381)

3.6

Marriott

International,

Inc.

(32,782)

(7,392,669)

(276,258)

4.1

McDonald's

Corp.

(18,213)

(5,400,337)

(96,561)

1.4

Norwegian

Cruise

Line

Holdings

Ltd.

(308,764)

(6,187,631)

(452,195)

6.7

Philip

Morris

International,

Inc.

(55,255)

(5,198,390)

(52,425)

0.8

Planet

Fitness,

Inc.

(84,866)

(6,195,218)

(420,935)

6.2

RH

(21,142)

(6,162,470)

(168,630)

2.5

Southern

Co.

(The)

(76,007)

(5,329,611)

94,044

(1.4)

SouthState

Corp.

(59,528)

(5,027,140)

(255,375)

3.8

Southwest

Gas

Holdings,

Inc.

(75,885)

(4,807,315)

(174,536)

2.6

Tractor

Supply

Co.

(22,879)

(4,919,671)

19,928

(0.3)

US

Bancorp

(127,340)

(5,511,275)

(350,185)

5.2

Visa,

Inc.

(22,047)

(5,739,936)

(80,070)

1.2

124

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-0.95%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-64

months

maturity

ranging

from

01/21/2025

-

01/03/2029

$114,556,997

$359,437

$573,933

$933,370

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

324,433

4,576,169

134,665

14.4

Alamos

Gold,

Inc.

127,678

1,717,084

(36,016)

(3.9)

Atco

Ltd.

63,164

1,843,366

56,726

6.1

Bank

of

Nova

Scotia

(The)

40,752

1,983,702

64,893

7.0

Bombardier,

Inc.

36,300

1,457,698

76,707

8.2

Canadian

Tire

Corp.

Ltd.

8,754

929,673

(12,420)

(1.3)

CCL

Industries,

Inc.

22,512

1,012,407

2,039

0.2

Cenovus

Energy,

Inc.

105,606

1,759,768

(7,830)

(0.8)

Descartes

Systems

Group,

Inc.

(The)

10,708

899,680

5,736

0.6

Empire

Co.

Ltd.

67,408

1,783,065

64,099

6.9

Fairfax

Financial

Holdings

Ltd.

2,802

2,585,165

43,583

4.7

Finning

International,

Inc.

85,130

2,461,931

39,254

4.2

George

Weston

Ltd.

14,648

1,818,494

83,021

8.9

Imperial

Oil

Ltd.

42,567

2,424,782

(9,637)

(1.0)

Manulife

Financial

Corp.

123,716

2,733,787

98,035

10.5

Northland

Power,

Inc.

68,936

1,252,247

1,041

0.1

Open

Text

Corp.

39,472

1,658,953

13,703

1.5

Parkland

Corp.

52,906

1,705,306

(1,198)

(0.1)

Shopify,

Inc.

31,564

2,457,373

(5,030)

(0.5)

SNC-Lavalin

Group,

Inc.

37,347

1,202,387

7,580

0.8

Stantec,

Inc.

15,479

1,242,712

20,972

2.2

Suncor

Energy,

Inc.

84,677

2,712,757

20,450

2.2

TFI

International,

Inc.

16,570

2,253,935

234,694

25.1

West

Fraser

Timber

Co.

Ltd.

12,846

1,098,994

99,953

10.7

Whitecap

Resources,

Inc.

292,366

1,957,123

(39,716)

(4.3)

Zambia

First

Quantum

Minerals

Ltd.

241,383

1,976,533

7,319

0.8

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(19,035)

(939,072)

575

0.1

Canada

Alimentation

Couche-Tard,

Inc.

(30,457)

(1,793,562)

(65,893)

(7.1)

Aritzia,

Inc.

(64,876)

(1,346,432)

(52,159)

(5.6)

BCE,

Inc.

(68,680)

(2,704,076)

(25,271)

(2.7)

125

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Brookfield

Corp.

(69,941)

(2,805,452)

(87,093)

(9.3)

Canadian

National

Railway

Co.

(10,211)

(1,283,455)

(4,410)

(0.5)

Canadian

Pacific

Kansas

City

Ltd.

(20,885)

(1,652,453)

(44,290)

(4.7)

Element

Fleet

Management

Corp.

(102,559)

(1,668,746)

23,994

2.6

Enbridge,

Inc.

(41,017)

(1,476,556)

(4,334)

(0.5)

GFL

Environmental,

Inc.

(33,281)

(1,148,088)

(43,201)

(4.6)

Gildan

Activewear,

Inc.

(27,574)

(911,885)

25,312

2.7

Hydro

One

Ltd.

(122,053)

(3,656,846)

(66,070)

(7.1)

Intact

Financial

Corp.

(15,069)

(2,318,378)

(15,353)

(1.6)

RB

Global,

Inc.

(53,206)

(3,560,451)

(123,490)

(13.2)

Rogers

Communications,

Inc.

(34,987)

(1,637,858)

(41,455)

(4.4)

Royal

Bank

of

Canada

(23,733)

(2,400,077)

(28,658)

(3.1)

TC

Energy

Corp.

(27,213)

(1,063,013)

9,447

1.0

Teck

Resources

Ltd.

(61,961)

(2,619,098)

6,013

0.6

Thomson

Reuters

Corp.

(8,373)

(1,224,181)

(32,480)

(3.5)

TMX

Group

Ltd.

(44,724)

(1,081,774)

(40,166)

(4.3)

Tourmaline

Oil

Corp.

(24,156)

(1,086,341)

(2,552)

(0.3)

WSP

Global,

Inc.

(8,542)

(1,197,382)

(3,481)

(0.4)

Chile

Lundin

Mining

Corp.

(257,258)

(2,104,582)

11,700

1.3

United

States

Brookfield

Renewable

Corp.

(46,118)

(1,327,452)

(4,525)

(0.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.40%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-62

months

maturity

ranging

from

01/21/2025

-

01/03/2029

$183,456,024

$538,750

$85,426

$624,176

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

France-KLM

224,935

3,384,842

69,358

11.1

Bouygues

SA

68,003

2,565,702

(19,014)

(3.0)

Cie

de

Saint-Gobain

SA

53,859

3,971,956

106,020

17.0

Dassault

Aviation

SA

6,884

1,363,928

6,641

1.1

Engie

SA

301,402

5,309,588

(42,751)

(6.8)

Gaztransport

Et

Technigaz

SA

9,232

1,222,926

(4,003)

(0.6)

Orange

SA

372,994

4,251,255

(33,487)

(5.4)

Safran

SA

14,094

2,484,919

(11,599)

(1.9)

SCOR

SE

48,354

1,416,823

(427)

(0.1)

Societe

Generale

SA

192,212

5,113,864

(15,512)

(2.5)

126

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Sodexo

SA

25,335

2,789,090

26,355

4.2

Verallia

SA

65,515

2,524,084

40,434

6.5

Vinci

SA

11,920

1,500,076

13,625

2.2

Vivendi

SE

314,129

3,362,745

39,467

6.3

Worldline

SA/France

249,669

4,341,743

87,516

14.0

Italy

Assicurazioni

Generali

SpA

69,816

1,475,039

3,708

0.6

Banco

BPM

SpA

930,700

4,931,728

22,590

3.6

Buzzi

SpA

105,689

3,214,493

10,588

1.7

Enel

SpA

382,126

2,842,946

15,437

2.5

Intesa

Sanpaolo

SpA

1,197,714

3,504,985

34,167

5.5

Leonardo

SpA

290,111

4,793,536

130,433

20.9

Pirelli

&

C

SpA

648,555

3,538,682

105,051

16.8

Poste

Italiane

SpA

433,023

4,922,057

45,119

7.2

UniCredit

SpA

99,796

2,717,414

60,119

9.6

Unipol

Gruppo

SpA

607,109

3,464,785

18,524

3.0

Singapore

STMicroelectronics

NV

72,727

3,647,913

(5,947)

(1.0)

United

States

Stellantis

NV

53,355

1,250,142

(17,118)

(2.7)

Tenaris

SA

132,000

2,295,899

(8,685)

(1.4)

Short

Positions

Common

Stocks

France

Aeroports

de

Paris

SA

(13,501)

(1,751,824)

(12,477)

(2.0)

Air

Liquide

SA

(6,668)

(1,298,229)

(2,816)

(0.5)

AXA

SA

(40,533)

(1,323,664)

(3,541)

(0.6)

Capgemini

SE

(19,767)

(4,131,137)

66,532

10.7

EssilorLuxottica

SA

(18,657)

(3,746,303)

38,491

6.2

Hermes

International

SCA

(2,408)

(5,118,241)

189,876

30.4

L'Oreal

SA

(3,406)

(1,697,894)

(15,458)

(2.5)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(2,933)

(2,383,171)

18,692

3.0

Pernod

Ricard

SA

(23,461)

(4,146,070)

36,060

5.8

Sartorius

Stedim

Biotech

(18,944)

(5,023,618)

(150,836)

(24.2)

Teleperformance

SE

(11,730)

(1,717,357)

(31,112)

(5.0)

Italy

Amplifon

SpA

(65,472)

(2,268,646)

(4,605)

(0.7)

Davide

Campari-Milano

NV

(277,147)

(3,129,745)

(17,433)

(2.8)

Ferrari

NV

(19,210)

(6,485,426)

222,310

35.6

FinecoBank

Banca

Fineco

SpA

(221,154)

(3,327,077)

(33,588)

(5.4)

Infrastrutture

Wireless

Italiane

SpA

(152,517)

(1,931,004)

(35,145)

(5.6)

Interpump

Group

SpA

(23,611)

(1,224,959)

(11,281)

(1.8)

Moncler

SpA

(36,398)

(2,241,001)

(45,480)

(7.3)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(48,330)

(2,606,088)

(44,765)

(7.2)

Reply

SpA

(9,773)

(1,291,688)

(39,473)

(6.3)

Telecom

Italia

SpA

(4,775,964)

(1,551,148)

(70,123)

(11.2)

Luxembourg

Eurofins

Scientific

SE

(81,533)

(5,318,594)

(115,324)

(18.5)

127

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.75%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-61

months

maturity

ranging

from

01/21/2025

-

12/29/2028

$17,848,687

$(19,728)

$(22,432)

$(42,160)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

571,100

1,542,756

32,516

(77.1)

Yangzijiang

Shipbuilding

Holdings

Ltd.

377,200

425,556

13,987

(33.2)

Singapore

Genting

Singapore

Ltd.

2,279,400

1,726,547

42,580

(101.0)

Jardine

Cycle

&

Carriage

Ltd.

36,700

827,125

40,150

(95.2)

Oversea-Chinese

Banking

Corp.

Ltd.

79,700

784,201

29,323

(69.6)

Singapore

Airlines

Ltd.

380,900

1,891,295

47,043

(111.6)

United

Overseas

Bank

Ltd.

85,300

1,841,048

46,257

(109.7)

Short

Positions

Common

Stocks

Singapore

CapitaLand

Investment

Ltd/Singapore

(504,900)

(1,207,154)

(23,929)

56.8

City

Developments

Ltd.

(510,400)

(2,569,863)

(35,137)

83.3

DBS

Group

Holdings

Ltd.

(8,000)

(202,311)

(11,365)

27.0

Keppel

Corp.

Ltd.

(102,400)

(547,922)

(18,312)

43.4

Seatrium

Ltd.

(19,310,500)

(1,724,269)

(88,332)

209.5

Singapore

Technologies

Engineering

Ltd.

(801,700)

(2,360,769)

(88,856)

210.8

Singapore

Telecommunications

Ltd.

(105,700)

(197,871)

(5,653)

13.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-4.57%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-64

months

maturity

ranging

from

01/22/2025

-

01/03/2029

$1,012,524,982

$(3,217,090)

$(13,887,818)

$(17,104,908)

128

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

3M

Co.

88,315

9,654,596

244,075

(1.4)

AGCO

Corp.

49,066

5,957,103

174,901

(1.0)

AT&T,

Inc.

446,907

7,499,099

124,574

(0.7)

Baker

Hughes

Co.

193,142

6,601,594

15,357

(0.1)

Centene

Corp.

92,236

6,844,834

(48,665)

0.3

Cisco

Systems,

Inc.

209,620

10,590,002

58,694

(0.3)

Crocs,

Inc.

66,897

6,248,849

(683,686)

4.0

CVS

Health

Corp.

115,193

9,095,639

469,987

(2.7)

Dell

Technologies,

Inc.

102,023

7,804,760

289,592

(1.7)

Flowserve

Corp.

184,623

7,610,160

152,510

(0.9)

Fortive

Corp.

70,021

5,155,646

20,593

(0.1)

Gates

Industrial

Corp.

plc

403,228

5,411,320

399,196

(2.3)

General

Electric

Co.

53,467

6,823,993

64,132

(0.4)

Humana,

Inc.

22,743

10,411,973

5,083

(0.0)

Huntington

Ingalls

Industries,

Inc.

22,685

5,889,933

97,535

(0.6)

Johnson

&

Johnson

34,240

5,366,778

44,512

(0.3)

Marathon

Petroleum

Corp.

33,985

5,042,015

(117,248)

0.7

Neurocrine

Biosciences,

Inc.

42,750

5,632,740

472,308

(2.8)

Owens

Corning

43,151

6,396,273

(28,480)

0.2

PPG

Industries,

Inc.

46,760

6,992,958

32,997

(0.2)

PulteGroup,

Inc.

50,455

5,207,965

61,555

(0.4)

Skechers

USA,

Inc.

106,939

6,666,577

27,804

(0.2)

TD

SYNNEX

Corp.

58,931

6,341,565

86,629

(0.5)

Terex

Corp.

98,976

5,687,161

12,867

(0.1)

Toll

Brothers,

Inc.

69,988

7,194,067

98,683

(0.6)

Valero

Energy

Corp.

50,995

6,629,350

(97,910)

0.6

Walmart,

Inc.

46,564

7,340,815

86,342

(0.5)

Short

Positions

Common

Stocks

United

States

Abbott

Laboratories

(53,672)

(5,907,677)

86

(0.0)

Apple,

Inc.

(41,160)

(7,924,535)

138,298

(0.8)

Arrowhead

Pharmaceuticals,

Inc.

(163,504)

(5,003,222)

(434,921)

2.5

Biogen,

Inc.

(22,274)

(5,763,843)

(130,290)

0.8

BJ's

Wholesale

Club

Holdings,

Inc.

(103,707)

(6,913,109)

(63,261)

0.4

Celanese

Corp.

(60,383)

(9,381,707)

(297,688)

1.7

Columbia

Sportswear

Co.

(63,232)

(5,029,473)

131,014

(0.8)

Dover

Corp.

(35,682)

(5,488,248)

(24,051)

0.1

Graphic

Packaging

Holding

Co.

(211,581)

(5,215,472)

21,844

(0.1)

Hayward

Holdings,

Inc.

(372,238)

(5,062,437)

(93,201)

0.5

HEICO

Corp.

(41,372)

(7,400,210)

133,910

(0.8)

Honeywell

International,

Inc.

(28,273)

(5,929,131)

(91,421)

0.5

Ionis

Pharmaceuticals,

Inc.

(147,812)

(7,477,809)

(22,627)

0.1

Neogen

Corp.

(379,100)

(7,623,701)

(93,832)

0.5

Novanta,

Inc.

(33,022)

(5,561,235)

(41,288)

0.2

Quanta

Services,

Inc.

(28,601)

(6,172,096)

(22,881)

0.1

Quest

Diagnostics,

Inc.

(37,318)

(5,145,406)

(68,345)

0.4

Repligen

Corp.

(36,583)

(6,577,623)

(111,212)

0.7

Tempur

Sealy

International,

Inc.

(118,032)

(6,016,091)

(93,245)

0.5

Toro

Co.

(The)

(68,865)

(6,610,351)

(552,043)

3.2

129

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

UnitedHealth

Group,

Inc.

(18,287)

(9,627,557)

(12,350)

0.1

Waters

Corp.

(19,222)

(6,328,459)

(133,593)

0.8

Williams

Cos.,

Inc.

(The)

(169,235)

(5,894,455)

(16,568)

0.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.28%

to

0.28%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-76

months

maturity

05/14/2024

$21,488,677

$213,621

$(35,544)

$178,077

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

43,350

1,924,660

(5,614)

(3.2)

Adecco

Group

AG

(Registered)

8,121

398,851

(3,699)

(2.1)

Clariant

AG

(Registered)

5,017

74,125

(1,335)

(0.7)

DKSH

Holding

AG

19,143

1,329,233

23,899

13.4

Galenica

AG

3,689

319,114

1,774

1.0

Georg

Fischer

AG

(Registered)

22,305

1,623,228

8,134

4.6

Novartis

AG

(Registered)

43,754

4,419,613

(15,874)

(8.9)

Swatch

Group

AG

(The)

2,922

795,047

(14,448)

(8.1)

Short

Positions

Common

Stocks

Switzerland

Bachem

Holding

AG

(12,917)

(1,000,310)

63,244

35.5

BKW

AG

(570)

(101,384)

2,782

1.6

EMS-Chemie

Holding

AG

(Registered)

(958)

(776,773)

6,895

3.9

SIG

Group

AG

(162,603)

(3,744,913)

199,087

111.8

Straumann

Holding

AG

(Registered)

(16,296)

(2,633,481)

(27,438)

(15.4)

Swisscom

AG

(Registered)

(550)

(331,028)

3,399

1.9

Tecan

Group

AG

(Registered)

(1,479)

(605,070)

(4,712)

(2.6)

VAT

Group

AG

(2,811)

(1,411,847)

(22,473)

(12.6)

130

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-25

months

maturity

02/21/2024

$10,358,785

$134,066

$(104,503)

$29,563

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Carlsberg

A/S

9,957

1,249,446

26,478

89.6

Genmab

A/S

3,197

1,019,373

22,781

77.1

ISS

A/S

132,058

2,522,258

110,963

375.3

Pandora

A/S

7,431

1,027,374

11,660

39.4

ROCKWOOL

A/S

1,371

401,117

5,209

17.6

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(39,339)

(612,855)

(30,988)

(104.8)

GN

Store

Nord

A/S

(10,238)

(260,520)

7,836

26.5

Novozymes

A/S

(34,293)

(1,885,203)

(50,372)

(170.4)

Tryg

A/S

(63,442)

(1,380,639)

30,499

103.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.75%

to

0.28%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-85

months

maturity

12/18/2024

$56,929,698

$158,188

$423,094

$581,282

131

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

21,949

954,135

(3,943)

(0.7)

Anheuser-Busch

InBev

SA/NV

5,572

359,662

6,706

1.2

Proximus

SADP

237,278

2,230,728

(5,218)

(0.9)

Solvay

SA

8,318

254,938

14,995

2.6

Finland

Wartsila

OYJ

Abp

15,145

220,108

2,506

0.4

Germany

Bayerische

Motoren

Werke

AG

17,063

1,898,628

(4,255)

(0.7)

Bechtle

AG

4,949

247,883

4,760

0.8

Brenntag

SE

7,571

695,832

16,326

2.8

Evonik

Industries

AG

22,093

451,337

9,276

1.6

Freenet

AG

29,223

817,906

9,452

1.6

GEA

Group

AG

42,446

1,764,658

107,750

18.5

HOCHTIEF

AG

11,165

1,236,478

8,848

1.5

Knorr-Bremse

AG

1,981

127,944

665

0.1

TeamViewer

SE

86,183

1,338,640

32,820

5.6

thyssenkrupp

AG

383,619

2,668,625

(29,892)

(5.1)

Netherlands

Koninklijke

Ahold

Delhaize

NV

73,860

2,125,060

(15,306)

(2.6)

Spain

Acerinox

SA

178,819

2,107,383

30,659

5.3

Banco

de

Sabadell

SA

2,580,187

3,176,099

(22,652)

(3.9)

Banco

Santander

SA

186,102

778,406

171

0.0

Industria

de

Diseno

Textil

SA

10,340

451,176

12,732

2.2

Mapfre

SA

807,652

1,735,663

(2,971)

(0.5)

Repsol

SA

77,290

1,146,514

(11,763)

(2.0)

United

States

Signify

NV

66,351

2,225,163

4,278

0.7

Short

Positions

Common

Stocks

Belgium

D'ieteren

Group

(7,467)

(1,460,637)

(55,173)

(9.5)

Elia

Group

SA/NV

(5,254)

(657,669)

(8,052)

(1.4)

Umicore

SA

(22,473)

(618,164)

(12,327)

(2.1)

Finland

Neste

OYJ

(20,075)

(713,663)

19,228

3.3

Stora

Enso

OYJ

(14,621)

(202,582)

(2,920)

(0.5)

Germany

adidas

AG

(11,519)

(2,340,739)

103,862

17.9

Aurubis

AG

(7,297)

(597,096)

19,957

3.4

Carl

Zeiss

Meditec

AG

(6,836)

(744,128)

10,532

1.8

Evotec

SE

(4,713)

(110,534)

(3,094)

(0.5)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(30,178)

(1,820,920)

49,384

8.5

Merck

KGaA

(6,184)

(984,583)

(24,731)

(4.3)

Rheinmetall

AG

(2,276)

(721,802)

(9,985)

(1.7)

Netherlands

Adyen

NV

(1,711)

(2,208,800)

14,764

2.5

IMCD

NV

(1,854)

(322,899)

(7,295)

(1.3)

Koninklijke

KPN

NV

(60,489)

(208,392)

(716)

(0.1)

SBM

Offshore

NV

(50,588)

(695,006)

(22,613)

(3.9)

132

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Netherlands

(continued)

Universal

Music

Group

NV

(6,481)

(185,014)

3,083

0.5

South

Korea

Delivery

Hero

SE

(7,019)

(193,184)

26,877

4.6

Spain

Acciona

SA

(7,406)

(1,090,492)

(9,235)

(1.6)

Amadeus

IT

Group

SA

(3,208)

(230,404)

1,067

0.2

Cellnex

Telecom

SA

(146,394)

(5,763,971)

3,949

0.7

Corp.

ACCIONA

Energias

Renovables

SA

(19,350)

(600,548)

(5,418)

(0.9)

Fluidra

SA

(37,249)

(776,564)

(1,432)

(0.2)

Grifols

SA

(66,249)

(1,133,347)

(121,150)

(20.8)

Iberdrola

SA

(10,801)

(141,674)

(2,226)

(0.4)

Naturgy

Energy

Group

SA

(13,799)

(411,586)

3,067

0.5

Preferred

Stocks

Germany

Sartorius

AG

(Preference)

(7,717)

(2,833,843)

27,751

4.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

14-25

months

maturity

02/21/2024

$20,174,314

$5,469

$(28,989)

$(23,520)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Guatemala

Millicom

International

Cellular

SA

60,556

1,085,006

44,224

(188.0)

Sweden

Billerud

Aktiebolag

157,570

1,605,854

(5,614)

23.9

Elekta

AB

131,476

1,076,787

27,435

(116.6)

Getinge

AB

21,116

470,200

(1,903)

8.1

H

&

M

Hennes

&

Mauritz

AB

107,181

1,879,959

(46,017)

195.6

Saab

AB

1,624

97,868

4,222

(18.0)

Skanska

AB

32,962

597,192

8,448

(35.9)

Trelleborg

AB

11,256

377,797

702

(3.0)

Volvo

AB

32,705

850,984

9,368

(39.8)

Volvo

Car

AB

74,985

243,191

(4,082)

17.4

133

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Sweden

Beijer

Ref

AB

(116,281)

(1,560,370)

(28,180)

119.8

Epiroc

AB

(82,681)

(1,664,277)

(11,649)

49.5

EQT

AB

(70,234)

(1,988,581)

(43,681)

185.7

Hexagon

AB

(42,625)

(511,982)

(10,129)

43.1

Holmen

AB

(30,668)

(1,295,319)

19,452

(82.7)

Indutrade

AB

(59,145)

(1,541,470)

(987)

4.2

Lifco

AB

(10,672)

(262,007)

3,998

(17.0)

Nibe

Industrier

AB

(114,721)

(805,618)

38,577

(164.0)

Securitas

AB

(77,312)

(757,966)

(14,898)

63.3

Svenska

Cellulosa

AB

SCA

(99,976)

(1,501,886)

16,183

(68.8)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

BANA

Cash

$

(788,460)

$

–

$

(788,460)

Investment

Companies

1,324

–

1,324

BARC

Cash

–

4,658,205

4,658,205

BNPP

Cash

91,235,651

–

91,235,651

CITI

Investment

Companies

218,171

–

218,171

GSIN

Cash

3,901,397

–

3,901,397

U.S.

Treasury

Bills

70,597,050

–

70,597,050

JPMC

U.S.

Treasury

Bills

97,425,491

–

97,425,491

MSIP

Cash

(640,280)

–

(640,280)

U.S.

Treasury

Bills

11,796,217

–

11,796,217

134

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

L

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

11.0%

Energy

-

4.0%

Oil,

Gas

&

Consumable

Fuels

-

4.0%

Antero

Resources

Corp.

(1)*

2,321

52,640

APA

Corp.

(1)

2,126

76,281

Cheniere

Energy,

Inc.

(1)

775

132,300

Chesapeake

Energy

Corp.

(1)

838

64,476

Chevron

Corp.

(1)

3,384

504,758

ConocoPhillips

(1)

2,197

255,006

Coterra

Energy,

Inc.

(1)

3,055

77,964

Devon

Energy

Corp.

(1)

1,856

84,077

Diamondback

Energy,

Inc.

(1)

741

114,914

DT

Midstream,

Inc.

(1)

1,365

74,802

EOG

Resources,

Inc.

(1)

1,245

150,583

EQT

Corp.

(1)

2,229

86,173

Exxon

Mobil

Corp.

(1)

5,932

593,081

Hess

Corp.

(1)

913

131,618

HF

Sinclair

Corp.

(1)

1,475

81,966

Kinder

Morgan,

Inc.

(1)

6,263

110,479

Marathon

Oil

Corp.

(1)

3,613

87,290

Marathon

Petroleum

Corp.

(1)

1,436

213,045

New

Fortress

Energy,

Inc.

(1)

1,553

58,595

Occidental

Petroleum

Corp.

(1)

1,991

118,883

ONEOK,

Inc.

(1)

1,720

120,778

Ovintiv,

Inc.

(1)

1,770

77,738

Phillips

66

(1)

1,365

181,736

Pioneer

Natural

Resources

Co.

(1)

542

121,885

Range

Resources

Corp.

(1)

2,702

82,249

Southwestern

Energy

Co.

(1)*

11,217

73,471

Targa

Resources

Corp.

(1)

1,393

121,010

Valero

Energy

Corp.

(1)

1,075

139,750

Williams

Cos.,

Inc.

(The)

(1)

3,452

120,233

Total

Energy

4,107,781

Financials

-

7.0%

Banks

-

7.0%

ABN

AMRO

Bank

NV,

CVA

(Netherlands)

(a)

10,059

151,272

Banco

Bilbao

Vizcaya

Argentaria

SA

(Spain)

44,089

401,839

Banco

Santander

SA

(Spain)

106,908

447,162

Barclays

plc

(United

Kingdom)

139,041

272,252

BNP

Paribas

SA

(France)

6,806

472,647

CaixaBank

SA

(Spain)

56,069

230,911

Commerzbank

AG

(Germany)

16,378

194,665

Credit

Agricole

SA

(France)

17,694

251,549

DNB

Bank

ASA

(Norway)

7,870

167,326

FinecoBank

Banca

Fineco

SpA

(Italy)

11,403

171,549

HSBC

Holdings

plc

(United

Kingdom)

107,526

869,882

ING

Groep

NV

(Netherlands)

26,262

393,787

Intesa

Sanpaolo

SpA

(Italy)

119,981

351,112

KBC

Group

NV

(Belgium)

3,078

199,760

Lloyds

Banking

Group

plc

(United

Kingdom)

529,751

321,314

INVESTMENTS

SHARES

VALUE

($)

Banks

-

7.0%

(continued)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(Italy)

16,044

198,814

NatWest

Group

plc

(United

Kingdom)

63,998

178,260

Nordea

Bank

Abp

(Finland)

27,051

335,822

Skandinaviska

Enskilda

Banken

AB,

Class

A

(Sweden)

21,080

290,919

Societe

Generale

SA

(France)

8,889

236,495

Standard

Chartered

plc

(United

Kingdom)

28,075

238,248

Svenska

Handelsbanken

AB,

Class

A

(Sweden)

22,778

247,539

Swedbank

AB,

Class

A

(Sweden)

12,044

243,501

UniCredit

SpA

(Italy)

14,605

397,690

Total

Financials

7,264,315

TOTAL

COMMON

STOCKS

(Cost

$10,345,057)

11,372,096

SHORT-TERM

INVESTMENTS

-

68.9%

INVESTMENT

COMPANIES

-

39.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.19%

(1)(b)(c)

2,748,761

2,748,761

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(b)

38,387,117

38,371,763

TOTAL

INVESTMENT

COMPANIES

(Cost

$41,109,451)

41,120,524

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

29.2%

U.S.

Treasury

Bills

5.40%,

1/4/2024

(d)

$

4,061,000

4,059,820

5.41%,

1/11/2024

(d)(e)

4,217,000

4,211,490

5.39%,

1/18/2024

(d)

606,000

604,578

5.41%,

1/25/2024

(d)

418,000

416,592

5.41%,

2/1/2024

(d)

160,000

159,297

5.41%,

2/8/2024

(d)

139,000

138,247

5.50%,

2/29/2024

(d)(e)

239,000

236,973

5.45%,

3/14/2024

(d)

909,000

899,567

5.45%,

3/21/2024

(d)(e)

2,283,000

2,256,990

5.49%,

4/4/2024

(d)

11,483,000

11,328,745

5.48%,

4/18/2024

(d)(e)

1,826,000

1,797,820

5.47%,

4/25/2024

(d)

1,582,000

1,556,082

5.40%,

5/9/2024

(d)(e)

1,166,000

1,144,698

5.41%,

5/16/2024

(d)(e)

713,000

699,329

135

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

29.2%

(continued)

5.21%,

6/27/2024

(d)

$

743,000

724,576

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$30,222,742)

30,234,804

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$71,332,193)

71,355,328

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

79.9%

(Cost

$81,677,250)

82,727,424

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

20.1%

‡

20,837,256

NET

ASSETS

-

100.0%

103,564,680

SECTOR

VALUE

%

OF

NET

ASSETS

Energy

$

4,107,781

4.0

%

Financials

7,264,315

7.0

Investment

Companies

41,120,524

39.7

U.S.

Treasury

Obligations

30,234,804

29.2

Total

Investments

In

Securities

At

Value

82,727,424

79.9

Other

Assets

in

Excess

of

Liabilities

‡

20,837,256

20.1

Net

Assets

$

103,564,680

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

December

31,

2023

amounted

to

$151,272,

which

represents

0.15%

of

net

assets

of

the

Fund.

(b)

Represents

7-day

effective

yield

as

of

December

31,

2023.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

136

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

December

31,

2023:

Exchange-Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Main

Index

Series

40.V1

1.00

%

Quarterly

12/20/2028

0.58

%

EUR

8,020,000

$

(103,675)

$

(70,741)

$

(174,416)

Markit

CDX

North

America

Investment

Grade

Index

Series

41.V1

1.00

Quarterly

12/20/2028

0.57

USD

5,008,000

(66,750)

(31,782)

(98,532)

$

(170,425)

$

(102,523)

$

(272,948)

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

December

31,

2023

:

Exchange-Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

40.V1

5.00

%

Quarterly

12/20/2028

3.10

%

EUR

8,566,000

$

287,782

$

478,652

$

766,434

Markit

CDX

North

America

High

Yield

Index

Series

41.V2

5.00

Quarterly

12/20/2028

3.56

USD

3,537,000

83,076

126,047

209,123

370,858

604,699

975,557

Markit

CDX

North

America

Emerging

Markets

Index

Series

40.V1

1.00

%

Quarterly

12/20/2028

1.67

%

USD

996,000

$

(45,029)

$

16,486

$

(28,543)

(45,029)

16,486

(28,543)

$

325,829

$

621,185

$

947,014

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

December

31,

2023:

Exchange-Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

CORRA

Semi

4.50%

Semi

3/18/2026

CAD

12,300,000

$

97,106

$

59,977

$

157,083

Pay

1D

CORRA

Semi

4.00%

Semi

6/17/2026

CAD

5,900,000

21,739

33,088

54,827

Pay

1D

CORRA

Semi

3.50%

Semi

6/17/2026

CAD

2,200,000

(6,590)

11,515

4,925

Pay

1D

CORRA

Semi

3.50%

Semi

6/19/2034

CAD

400,000

7,839

5,430

13,269

Pay

1D

SARON

Annual

1.50%

Annual

3/20/2026

CHF

84,100,000

(262,226)

1,137,673

875,447

Pay

1D

SARON

Annual

2.00%

Annual

3/20/2026

CHF

24,000,000

132,020

401,142

533,162

Pay

1D

SARON

Annual

1.00%

Annual

6/19/2026

CHF

30,200,000

(63,172)

75,919

12,747

Pay

1D

SARON

Annual

2.00%

Annual

3/20/2029

CHF

7,700,000

89,815

344,552

434,367

Pay

1D

SARON

Annual

1.50%

Annual

3/20/2029

CHF

6,500,000

(64,189)

241,663

177,474

Pay

1D

SOFR

Annual

3.75%

Annual

6/19/2034

USD

23,500,000

(190,269)

899,401

709,132

Pay

1D

SOFR

Annual

4.00%

Annual

3/20/2054

USD

1,700,000

26,779

196,651

223,430

Pay

1D

SONIA

Annual

4.75%

Annual

3/20/2026

GBP

7,300,000

(141,423)

310,117

168,694

Pay

1D

SONIA

Annual

5.25%

Annual

3/20/2026

GBP

2,100,000

4,710

68,759

73,469

Pay

1D

SONIA

Annual

5.00%

Annual

6/19/2026

GBP

7,200,000

119,152

134,340

253,492

Pay

1D

SONIA

Annual

3.75%

Annual

6/19/2034

GBP

5,500,000

310,626

9,554

320,180

Pay

1D

SONIA

Annual

4.00%

Annual

3/20/2054

GBP

4,800,000

(123,718)

877,023

753,305

Pay

1D

SONIA

Annual

3.75%

Annual

3/20/2054

GBP

1,900,000

(100,538)

286,555

186,017

Pay

1D

SONIA

Annual

4.00%

Annual

6/19/2054

GBP

2,300,000

56,631

315,250

371,881

Pay

1D

SORA

Semi

3.50%

Semi

3/18/2026

SGD

7,200,000

26,961

59,833

86,794

Pay

1D

SORA

Semi

3.00%

Semi

3/18/2026

SGD

1,400,000

(245)

7,235

6,990

137

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

TONAR

Annual

0.50%

Annual

6/19/2026

JPY

1,154,300,000

$

32,537

$

1,413

$

33,950

Pay

1D

TONAR

Annual

0.50%

Annual

3/21/2029

JPY

13,502,100,000

(918,981)

946,122

27,141

Pay

1D

TONAR

Annual

1.50%

Annual

3/22/2044

JPY

2,020,000,000

51,079

282,453

333,532

Pay

1D

TONAR

Annual

1.50%

Annual

6/20/2044

JPY

856,100,000

75,038

38,929

113,967

Pay

1M

TIIE

Monthly

9.00%

Monthly

6/17/2026

MXN

269,000,000

20,738

10,355

31,093

Pay

3M

BBR

Qtrly

4.50%

Qtrly

3/12/2026

AUD

29,600,000

104,533

164,688

269,221

Pay

3M

BBR

Qtrly

4.00%

Qtrly

3/12/2026

AUD

1,600,000

(6,771)

10,906

4,135

Pay

3M

BBR

Qtrly

5.00%

Semi

6/10/2026

NZD

28,300,000

124,513

131,507

256,020

Pay

3M

BBR

Qtrly

4.50%

Semi

6/10/2026

NZD

1,100,000

(3,183)

6,717

3,534

Pay

3M

BBR

Qtrly

5.00%

Semi

3/14/2029

NZD

5,000,000

(37,134)

176,171

139,037

Pay

3M

BBR

Qtrly

5.00%

Semi

3/15/2034

NZD

10,100,000

2,956

457,251

460,207

Pay

3M

BBR

Qtrly

5.00%

Semi

6/14/2034

NZD

600,000

6,443

21,740

28,183

Pay

3M

BBR

Qtrly

4.50%

Semi

6/14/2034

NZD

3,100,000

6,489

60,363

66,852

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

3/18/2026

KRW

4,136,600,000

(16,016)

38,707

22,691

Pay

3M

CD_KSDA

Qtrly

4.00%

Qtrly

3/18/2026

KRW

18,900,000,000

54,546

190,069

244,615

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

6/17/2026

KRW

5,188,800,000

8,147

29,100

37,247

Pay

3M

STIBOR

Qtrly

3.50%

Annual

3/21/2029

SEK

26,000,000

12,182

132,163

144,345

Pay

3M

STIBOR

Qtrly

3.00%

Annual

6/20/2029

SEK

190,000,000

301,578

393,774

695,352

Pay

3M

STIBOR

Qtrly

3.50%

Annual

3/15/2034

SEK

25,000,000

32,848

224,348

257,196

Pay

3M

STIBOR

Qtrly

3.00%

Annual

3/15/2034

SEK

32,700,000

(25,080)

219,101

194,021

Pay

3M

STIBOR

Qtrly

2.50%

Annual

6/21/2034

SEK

7,000,000

13,890

(408)

13,482

Pay

6M

BBR

Semi

4.50%

Semi

6/07/2029

AUD

28,600,000

82,866

436,095

518,961

Pay

6M

BBR

Semi

4.00%

Semi

6/07/2029

AUD

100,000

292

9

301

Pay

6M

BBR

Semi

5.00%

Semi

6/08/2034

AUD

8,000,000

113,043

247,280

360,323

Pay

6M

BBR

Semi

4.50%

Semi

6/08/2034

AUD

900,000

(14,842)

30,489

15,647

Pay

6M

EURIBOR

Semi

3.00%

Annual

3/20/2029

EUR

85,600,000

(975,429)

3,829,331

2,853,902

Pay

6M

EURIBOR

Semi

3.00%

Annual

6/19/2029

EUR

36,000,000

660,813

671,093

1,331,906

Pay

6M

EURIBOR

Semi

3.00%

Annual

6/19/2034

EUR

32,600,000

554,970

1,247,603

1,802,573

Pay

6M

NIBOR

Semi

4.00%

Annual

3/21/2029

NOK

16,100,000

(12,952)

58,970

46,018

Pay

6M

NIBOR

Semi

4.50%

Annual

3/21/2029

NOK

18,000,000

12,599

78,820

91,419

Pay

6M

NIBOR

Semi

3.50%

Annual

6/20/2029

NOK

36,600,000

(8,513)

47,650

39,137

Pay

6M

NIBOR

Semi

4.00%

Annual

3/15/2034

NOK

152,100,000

(34,707)

926,330

891,623

Pay

6M

NIBOR

Semi

3.50%

Annual

6/21/2034

NOK

12,900,000

12,217

15,057

27,274

Pay

6M

WIBOR

Semi

5.00%

Annual

3/18/2026

PLN

3,000,000

1,837

1,914

3,751

Receive

1D

SARON

Annual

1.00%

Annual

6/19/2034

CHF

500,000

7,634

630

8,264

Receive

1D

SOFR

Annual

3.50%

Annual

3/20/2026

USD

77,000,000

1,356,171

(895,251)

460,920

Receive

1D

SOFR

Annual

3.25%

Annual

3/20/2034

USD

2,600,000

116,843

(77,618)

39,225

Receive

1D

SOFR

Annual

3.00%

Annual

3/20/2054

USD

4,000,000

496,046

(279,846)

216,200

Receive

1D

TONAR

Annual

0.00%

Annual

3/23/2026

JPY

10,000,000

491

(152)

339

Receive

3M

JIBAR

Qtrly

7.50%

Qtrly

6/17/2026

ZAR

14,000,000

1,081

185

1,266

Receive

6M

NIBOR

Semi

3.50%

Annual

6/17/2026

NOK

46,000,000

2,004

1,237

3,241

2,153,824

15,350,972

17,504,796

Pay

1D

SARON

Annual

1.00%

Annual

6/19/2029

CHF

22,300,000

(76,814)

60,842

(15,972)

Pay

1D

SOFR

Annual

3.25%

Annual

3/20/2029

USD

47,300,000

(2,133,639)

1,740,387

(393,252)

Pay

1D

SORA

Semi

2.50%

Semi

6/17/2026

SGD

6,600,000

(14,496)

12,107

(2,389)

Pay

1D

TONAR

Annual

0.50%

Annual

6/19/2029

JPY

2,092,400,000

(59,349)

30,106

(29,243)

Pay

6M

WIBOR

Semi

4.50%

Annual

3/18/2026

PLN

2,100,000

(3,871)

1,639

(2,232)

Receive

1D

CORRA

Semi

3.50%

Semi

6/18/2029

CAD

1,800,000

(12,777)

(23,901)

(36,678)

Receive

1D

CORRA

Semi

3.00%

Semi

6/18/2029

CAD

600,000

718

(2,779)

(2,061)

Receive

1D

CORRA

Semi

4.00%

Semi

3/20/2034

CAD

2,600,000

(113,869)

(48,322)

(162,191)

Receive

1D

SARON

Annual

2.00%

Annual

3/20/2034

CHF

13,900,000

(274,437)

(1,059,234)

(1,333,671)

Receive

1D

SARON

Annual

1.50%

Annual

3/20/2034

CHF

3,500,000

60,425

(198,263)

(137,838)

Receive

1D

SARON

Annual

1.50%

Annual

6/19/2034

CHF

15,900,000

(398,557)

(235,426)

(633,983)

Receive

1D

SOFR

Annual

4.00%

Annual

6/19/2026

USD

54,300,000

(261,018)

(187,055)

(448,073)

Receive

1D

SOFR

Annual

4.25%

Annual

3/20/2029

USD

2,500,000

(20,515)

(71,393)

(91,908)

Receive

1D

SOFR

Annual

3.75%

Annual

6/19/2029

USD

5,500,000

(9,736)

(91,568)

(101,304)

Receive

1D

SOFR

Annual

4.25%

Annual

3/20/2034

USD

2,200,000

(33,349)

(116,716)

(150,065)

138

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

1D

SOFR

Annual

3.50%

Annual

6/19/2054

USD

4,400,000

$

186,280

$

(378,360)

$

(192,080)

Receive

1D

SONIA

Annual

4.25%

Annual

6/19/2026

GBP

9,400,000

(156,877)

(7,890)

(164,767)

Receive

1D

SONIA

Annual

4.25%

Annual

3/20/2029

GBP

3,700,000

37,748

(244,885)

(207,137)

Receive

1D

SONIA

Annual

4.75%

Annual

3/20/2029

GBP

2,200,000

(51,570)

(134,197)

(185,767)

Receive

1D

SONIA

Annual

4.50%

Annual

6/19/2029

GBP

4,800,000

(159,450)

(206,796)

(366,246)

Receive

1D

SONIA

Annual

3.75%

Annual

6/19/2029

GBP

100,000

(2,066)

(1,327)

(3,393)

Receive

1D

SONIA

Annual

4.25%

Annual

3/20/2034

GBP

7,400,000

(211,722)

(577,506)

(789,228)

Receive

1D

SONIA

Annual

4.00%

Annual

3/20/2034

GBP

1,700,000

21,490

(157,782)

(136,292)

Receive

1D

SONIA

Annual

4.25%

Annual

6/19/2034

GBP

3,200,000

(141,456)

(213,013)

(354,469)

Receive

1D

TONAR

Annual

0.50%

Annual

3/23/2026

JPY

3,770,200,000

(81,121)

(58,088)

(139,209)

Receive

1D

TONAR

Annual

1.00%

Annual

3/21/2034

JPY

9,699,500,000

192,727

(960,303)

(767,576)

Receive

1D

TONAR

Annual

1.00%

Annual

6/19/2034

JPY

3,147,600,000

(50,711)

(117,801)

(168,512)

Receive

3M

BBR

Qtrly

5.00%

Semi

3/11/2026

NZD

18,700,000

(6,618)

(112,311)

(118,929)

Receive

3M

BBR

Qtrly

5.50%

Semi

3/11/2026

NZD

10,400,000

(54,774)

(72,601)

(127,375)

Receive

3M

BBR

Qtrly

4.50%

Qtrly

6/11/2026

AUD

16,300,000

(85,703)

(79,151)

(164,854)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

6/11/2026

AUD

66,400,000

53,819

(300,913)

(247,094)

Receive

3M

BBR

Qtrly

4.50%

Semi

6/13/2029

NZD

7,100,000

21,596

(135,504)

(113,908)

Receive

3M

HIBOR

Qtrly

4.50%

Qtrly

3/18/2026

HKD

11,000,000

(3,887)

(21,048)

(24,935)

Receive

3M

HIBOR

Qtrly

3.50%

Qtrly

6/17/2026

HKD

6,800,000

373

(2,269)

(1,896)

Receive

3M

HIBOR

Qtrly

4.00%

Qtrly

6/17/2026

HKD

58,400,000

(20,247)

(65,332)

(85,579)

Receive

3M

STIBOR

Qtrly

4.00%

Annual

3/18/2026

SEK

224,000,000

(119,433)

(440,324)

(559,757)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

3/18/2026

SEK

162,900,000

(3,911)

(249,716)

(253,627)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

6/17/2026

SEK

1,000,000

(495)

(1,519)

(2,014)

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/17/2026

SEK

624,900,000

(115,367)

(557,588)

(672,955)

Receive

3M

STIBOR

Qtrly

2.50%

Annual

6/17/2026

SEK

34,000,000

(1,984)

(2,766)

(4,750)

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/21/2034

SEK

22,000,000

(54,429)

(83,380)

(137,809)

Receive

6M

BBR

Semi

4.50%

Semi

3/09/2034

AUD

700,000

(4,650)

(7,771)

(12,421)

Receive

6M

BBR

Semi

5.00%

Semi

3/09/2034

AUD

7,500,000

(152,947)

(189,997)

(342,944)

Receive

6M

BBR

Semi

5.00%

Semi

6/09/2044

AUD

1,200,000

(18,907)

(58,212)

(77,119)

Receive

6M

BUBOR

Semi

7.00%

Annual

3/18/2026

HUF

1,968,100,000

21,641

(126,294)

(104,653)

Receive

6M

EURIBOR

Semi

3.25%

Annual

3/20/2026

EUR

91,000,000

212,621

(1,527,598)

(1,314,977)

Receive

6M

EURIBOR

Semi

3.25%

Annual

6/19/2026

EUR

175,800,000

(1,734,540)

(1,631,610)

(3,366,150)

Receive

6M

EURIBOR

Semi

3.00%

Annual

3/20/2034

EUR

6,600,000

(368,378)

20,944

(347,434)

Receive

6M

EURIBOR

Semi

2.50%

Annual

3/20/2054

EUR

8,700,000

433,643

(822,333)

(388,690)

Receive

6M

EURIBOR

Semi

2.75%

Annual

6/19/2054

EUR

4,400,000

(264,084)

(208,364)

(472,448)

Receive

6M

NIBOR

Semi

5.00%

Annual

3/18/2026

NOK

114,000,000

(67,536)

(189,971)

(257,507)

Receive

6M

NIBOR

Semi

4.50%

Annual

3/18/2026

NOK

708,800,000

77,464

(1,024,398)

(946,934)

Receive

6M

NIBOR

Semi

4.00%

Annual

6/17/2026

NOK

221,900,000

(35,329)

(152,168)

(187,497)

Receive

6M

PRIBOR

Semi

4.00%

Annual

6/17/2026

CZK

4,900,000

(205)

(2,153)

(2,358)

Receive

6M

PRIBOR

Semi

3.50%

Annual

6/17/2026

CZK

23,000,000

1,678

(3,047)

(1,369)

(6,058,601)

(11,294,918)

(17,353,519)

$

(3,904,777)

$

4,056,054

$

151,277

Abbreviations:

1D:

1

Day

1M:

1

Month

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

139

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

(a)

Floating

rate

indices

at

December

31,

2023

were

as

follows:

1

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

5.06%

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.38%

1

Day

Singapore

Overnight

Rate

Average

(“SORA”):

3.62%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

5.19%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.70%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.04%

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.50%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.36%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

5.15%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

8.40%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

3.83%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

4.05%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.45%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

9.59%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.86%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

4.84%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

6.43%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

5.72%

Total

return

swap

contracts

outstanding

as

of

December

31,

2023

:

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Amsterdam

Exchange

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/19/2024

EUR

(946,824)

$

614

DTOP

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/20/2024

ZAR

132,720

150

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/14/2024

BRL

41,415,950

414,880

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/14/2024

KRW

816,075,000

34,707

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/14/2024

KRW

5,168,475,000

273,620

Swiss

Market

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

03/15/2024

CHF

(5,208,070)

6,755

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/17/2024

TWD

17,870,000

5,815

WIG20

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/15/2024

PLN

3,316,600

10,139

140

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Brazil

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

CDI

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/20/2024

BRL

2,700,443

$

14,865

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TONAR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/21/2024

JPY

226,467,321

7,814

Total

unrealized

appreciation

769,359

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2024

HKD

(16,808,400)

(28,769)

MSCI

Australia

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BBR

plus

or

minus

a

specified

spread

(0.10%)

Monthly

GSIN

03/20/2024

AUD

(153,941)

(4,705)

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

(-0.95%)

Monthly

GSIN

03/20/2024

CAD

(811,624)

(11,302)

MSCI

Emerging

Markets

Thailand

Net

Total

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.05%)

Monthly

GSIN

03/20/2024

USD

(1,334,754)

(124,269)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.41%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/20/2024

EUR

4,471,412

(9,740)

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

(0.05%)

Monthly

GSIN

03/20/2024

EUR

(310,123)

(1,326)

141

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.05%)

Monthly

GSIN

03/20/2024

SGD

(2,714,874)

$

(92,859)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.12%)

Monthly

GSIN

03/20/2024

ZAR

(6,544,142)

(20,428)

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

(-0.19%)

Monthly

GSIN

03/20/2024

SEK

(5,079,286)

(18,732)

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

(-0.15%)

Monthly

GSIN

03/20/2024

CHF

(653,518)

(2,681)

Tel

Aviv

Stock

Exchange

35

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TELBOR

plus

or

minus

a

specified

spread

(-0.50%)

Monthly

BANA

03/20/2024

ILS

(663,841)

(6,877)

Total

unrealized

depreciation

(321,688)

Net

unrealized

appreciation

$

447,671

Futures

contracts

outstanding

as

of

December

31,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

242

1/2024

USD

$

18,643,680

$

103,813

Hang

Seng

Index

1

1/2024

HKD

109,701

2,443

IBEX

35

Index

15

1/2024

EUR

1,670,199

(11,417)

LME

Aluminum

Base

Metal

1

1/2024

USD

58,788

4,560

LME

Aluminum

Base

Metal

1

1/2024

USD

58,913

3,709

LME

Aluminum

Base

Metal

1

1/2024

USD

58,969

2,415

LME

Aluminum

Base

Metal

2

1/2024

USD

117,650

6,738

LME

Aluminum

Base

Metal

3

1/2024

USD

176,381

11,971

142

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

4

1/2024

USD

$

235,200

$

17,125

LME

Aluminum

Base

Metal

4

1/2024

USD

235,250

15,099

LME

Aluminum

Base

Metal

5

1/2024

USD

294,656

17,141

LME

Aluminum

Base

Metal

7

1/2024

USD

411,663

20,349

LME

Aluminum

Base

Metal

8

1/2024

USD

469,328

16,051

LME

Aluminum

Base

Metal

11

1/2024

USD

640,888

373

LME

Aluminum

Base

Metal

11

1/2024

USD

645,013

13,766

LME

Aluminum

Base

Metal

22

1/2024

USD

1,294,425

69,392

LME

Aluminum

Base

Metal

40

1/2024

USD

2,347,790

112,297

LME

Copper

Base

Metal

1

1/2024

USD

212,169

12,578

LME

Copper

Base

Metal

1

1/2024

USD

212,536

12,214

LME

Copper

Base

Metal

1

1/2024

USD

212,721

9,587

LME

Copper

Base

Metal

1

1/2024

USD

212,288

13,381

LME

Copper

Base

Metal

2

1/2024

USD

426,513

12,926

LME

Copper

Base

Metal

2

1/2024

USD

424,500

23,247

LME

Copper

Base

Metal

3

1/2024

USD

635,752

34,719

LME

Copper

Base

Metal

7

1/2024

USD

1,483,153

65,285

LME

Copper

Base

Metal

14

1/2024

USD

2,963,594

190,095

LME

Lead

Base

Metal

1

1/2024

USD

51,225

(1,517)

LME

Lead

Base

Metal

1

1/2024

USD

50,863

(2,275)

LME

Lead

Base

Metal

1

1/2024

USD

51,123

(1,566)

LME

Lead

Base

Metal

1

1/2024

USD

51,012

(1,057)

LME

Lead

Base

Metal

1

1/2024

USD

51,241

(1,011)

LME

Lead

Base

Metal

1

1/2024

USD

51,087

(227)

LME

Lead

Base

Metal

2

1/2024

USD

102,643

(3,756)

LME

Lead

Base

Metal

2

1/2024

USD

102,281

(3,024)

LME

Lead

Base

Metal

2

1/2024

USD

101,957

(3,711)

LME

Lead

Base

Metal

4

1/2024

USD

203,587

(12,674)

LME

Lead

Base

Metal

5

1/2024

USD

254,809

(14,079)

LME

Lead

Base

Metal

6

1/2024

USD

308,025

(8,753)

LME

Nickel

Base

Metal

1

1/2024

USD

98,301

(13,302)

LME

Nickel

Base

Metal

1

1/2024

USD

98,404

(14,363)

LME

Nickel

Base

Metal

1

1/2024

USD

98,754

(10,461)

LME

Nickel

Base

Metal

1

1/2024

USD

98,705

(12,538)

LME

Nickel

Base

Metal

1

1/2024

USD

98,720

(9,553)

LME

Nickel

Base

Metal

2

1/2024

USD

197,252

(26,443)

LME

Nickel

Base

Metal

3

1/2024

USD

294,827

(42,538)

LME

Nickel

Base

Metal

3

1/2024

USD

294,750

(41,859)

LME

Nickel

Base

Metal

3

1/2024

USD

295,290

(41,289)

LME

Nickel

Base

Metal

5

1/2024

USD

492,407

(69,058)

LME

Zinc

Base

Metal

1

1/2024

USD

66,218

4,177

LME

Zinc

Base

Metal

1

1/2024

USD

66,144

4,310

LME

Zinc

Base

Metal

1

1/2024

USD

65,969

4,060

LME

Zinc

Base

Metal

1

1/2024

USD

66,091

5,374

LME

Zinc

Base

Metal

1

1/2024

USD

66,000

4,772

LME

Zinc

Base

Metal

1

1/2024

USD

66,233

5,255

LME

Zinc

Base

Metal

2

1/2024

USD

132,313

9,632

LME

Zinc

Base

Metal

2

1/2024

USD

132,263

11,242

LME

Zinc

Base

Metal

2

1/2024

USD

132,247

11,641

LME

Zinc

Base

Metal

6

1/2024

USD

395,513

18,975

RBOB

Gasoline

42

1/2024

USD

3,715,513

70,873

SGX

FTSE

China

A50

Index

106

1/2024

USD

1,218,470

30,006

SGX

FTSE

Taiwan

Index

30

1/2024

USD

1,860,600

14,931

100

oz

Gold

43

2/2024

USD

8,908,740

253,444

Lean

Hogs

11

2/2024

USD

299,090

(7,223)

LME

Aluminum

Base

Metal

2

2/2024

USD

118,157

5,078

143

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

2

2/2024

USD

$

118,375

$

7,257

LME

Aluminum

Base

Metal

2

2/2024

USD

118,450

6,194

LME

Aluminum

Base

Metal

2

2/2024

USD

118,188

4,534

LME

Aluminum

Base

Metal

3

2/2024

USD

176,954

8,575

LME

Aluminum

Base

Metal

5

2/2024

USD

295,000

16,110

LME

Aluminum

Base

Metal

6

2/2024

USD

355,335

20,892

LME

Aluminum

Base

Metal

6

2/2024

USD

355,787

25,769

LME

Aluminum

Base

Metal

6

2/2024

USD

355,674

22,506

LME

Aluminum

Base

Metal

8

2/2024

USD

473,600

27,276

LME

Aluminum

Base

Metal

10

2/2024

USD

591,720

38,190

LME

Aluminum

Base

Metal

12

2/2024

USD

711,789

50,931

LME

Aluminum

Base

Metal

14

2/2024

USD

828,975

52,346

LME

Aluminum

Base

Metal

14

2/2024

USD

829,196

45,871

LME

Aluminum

Base

Metal

15

2/2024

USD

886,643

51,698

LME

Copper

Base

Metal

1

2/2024

USD

212,760

9,637

LME

Copper

Base

Metal

1

2/2024

USD

212,800

8,913

LME

Copper

Base

Metal

1

2/2024

USD

213,150

6,746

LME

Copper

Base

Metal

1

2/2024

USD

212,988

8,415

LME

Copper

Base

Metal

1

2/2024

USD

212,975

8,907

LME

Copper

Base

Metal

1

2/2024

USD

213,006

10,879

LME

Copper

Base

Metal

2

2/2024

USD

426,200

16,126

LME

Copper

Base

Metal

2

2/2024

USD

426,785

7,779

LME

Copper

Base

Metal

3

2/2024

USD

638,888

20,511

LME

Copper

Base

Metal

4

2/2024

USD

852,800

25,458

LME

Copper

Base

Metal

6

2/2024

USD

1,279,430

21,134

LME

Copper

Base

Metal

9

2/2024

USD

1,920,301

32,077

LME

Copper

Base

Metal

14

2/2024

USD

2,987,852

35,141

LME

Lead

Base

Metal

1

2/2024

USD

51,481

(2,985)

LME

Lead

Base

Metal

1

2/2024

USD

51,494

(2,752)

LME

Lead

Base

Metal

1

2/2024

USD

51,516

(4,084)

LME

Lead

Base

Metal

1

2/2024

USD

51,428

(3,021)

LME

Lead

Base

Metal

2

2/2024

USD

103,078

(11,228)

LME

Lead

Base

Metal

3

2/2024

USD

155,073

(4,572)

LME

Lead

Base

Metal

3

2/2024

USD

154,088

(5,911)

LME

Lead

Base

Metal

4

2/2024

USD

206,231

(22,570)

LME

Lead

Base

Metal

4

2/2024

USD

206,250

(20,428)

LME

Lead

Base

Metal

4

2/2024

USD

206,225

(18,167)

LME

Nickel

Base

Metal

1

2/2024

USD

99,134

(1,057)

LME

Nickel

Base

Metal

1

2/2024

USD

99,069

(5,634)

LME

Nickel

Base

Metal

1

2/2024

USD

98,967

(8,244)

LME

Nickel

Base

Metal

1

2/2024

USD

99,051

(3,552)

LME

Nickel

Base

Metal

1

2/2024

USD

99,060

(5,643)

LME

Nickel

Base

Metal

1

2/2024

USD

98,985

(9,268)

LME

Nickel

Base

Metal

2

2/2024

USD

198,378

6,630

LME

Nickel

Base

Metal

2

2/2024

USD

198,246

(4,007)

LME

Nickel

Base

Metal

2

2/2024

USD

197,757

(18,760)

LME

Nickel

Base

Metal

2

2/2024

USD

198,156

(8,490)

LME

Nickel

Base

Metal

2

2/2024

USD

198,006

(16,867)

LME

Nickel

Base

Metal

4

2/2024

USD

396,900

(12,163)

LME

Nickel

Base

Metal

5

2/2024

USD

496,035

(87)

LME

Zinc

Base

Metal

1

2/2024

USD

66,249

5,896

LME

Zinc

Base

Metal

2

2/2024

USD

132,913

3,979

LME

Zinc

Base

Metal

2

2/2024

USD

132,528

6,322

LME

Zinc

Base

Metal

2

2/2024

USD

132,937

5,156

LME

Zinc

Base

Metal

2

2/2024

USD

132,713

1,957

LME

Zinc

Base

Metal

3

2/2024

USD

199,434

11,925

144

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

3

2/2024

USD

$

199,463

$

9,704

LME

Zinc

Base

Metal

3

2/2024

USD

199,449

7,365

LME

Zinc

Base

Metal

3

2/2024

USD

199,396

8,549

LME

Zinc

Base

Metal

4

2/2024

USD

265,505

6,952

LME

Zinc

Base

Metal

5

2/2024

USD

332,343

17,003

LME

Zinc

Base

Metal

5

2/2024

USD

332,343

23,378

LME

Zinc

Base

Metal

8

2/2024

USD

531,650

21,146

Low

Sulphur

Gasoil

88

2/2024

USD

6,531,800

(19,526)

Sugar

No.

11

18

2/2024

USD

414,893

(10,041)

Australia

10

Year

Bond

404

3/2024

AUD

32,131,132

893,190

Cocoa

3

3/2024

GBP

134,068

625

Corn

399

3/2024

USD

9,401,438

(283,333)

Euro-Bobl

7

3/2024

EUR

921,677

7,081

Euro-BTP

4

3/2024

EUR

526,540

2,157

Euro-Buxl

2

3/2024

EUR

311,535

8,603

Euro-OAT

4

3/2024

EUR

580,324

511

Euro-Schatz

3

3/2024

EUR

352,845

669

Feeder

Cattle

3

3/2024

USD

334,650

(2,647)

FTSE

100

Index

87

3/2024

GBP

8,601,536

149,649

FTSE/MIB

Index

72

3/2024

EUR

12,129,717

(25,057)

Japan

10

Year

Bond

4

3/2024

JPY

4,156,312

7,953

KOSPI

200

Index

35

3/2024

KRW

2,464,186

159,621

LME

Aluminum

Base

Metal

1

3/2024

USD

59,538

3,030

LME

Aluminum

Base

Metal

1

3/2024

USD

59,600

535

LME

Aluminum

Base

Metal

2

3/2024

USD

119,071

12,590

LME

Aluminum

Base

Metal

2

3/2024

USD

118,847

10,987

LME

Aluminum

Base

Metal

3

3/2024

USD

178,550

18,266

LME

Aluminum

Base

Metal

5

3/2024

USD

297,676

25,836

LME

Aluminum

Base

Metal

5

3/2024

USD

297,679

17,362

LME

Aluminum

Base

Metal

9

3/2024

USD

534,974

50,297

LME

Aluminum

Base

Metal

10

3/2024

USD

593,338

45,183

LME

Aluminum

Base

Metal

12

3/2024

USD

713,973

76,437

LME

Aluminum

Base

Metal

14

3/2024

USD

833,350

56,289

LME

Aluminum

Base

Metal

15

3/2024

USD

891,083

81,125

LME

Aluminum

Base

Metal

16

3/2024

USD

950,200

73,674

LME

Aluminum

Base

Metal

19

3/2024

USD

1,131,213

50,717

LME

Copper

Base

Metal

1

3/2024

USD

213,780

4,003

LME

Copper

Base

Metal

1

3/2024

USD

213,702

2,759

LME

Copper

Base

Metal

1

3/2024

USD

213,848

(1,080)

LME

Copper

Base

Metal

2

3/2024

USD

427,325

8,195

LME

Copper

Base

Metal

2

3/2024

USD

427,950

(3,387)

LME

Copper

Base

Metal

2

3/2024

USD

427,650

732

LME

Copper

Base

Metal

2

3/2024

USD

427,659

(280)

LME

Copper

Base

Metal

4

3/2024

USD

854,729

23,402

LME

Copper

Base

Metal

5

3/2024

USD

1,069,073

2,322

LME

Copper

Base

Metal

5

3/2024

USD

1,067,219

(205)

LME

Copper

Base

Metal

5

3/2024

USD

1,068,804

23,189

LME

Copper

Base

Metal

6

3/2024

USD

1,283,775

(7,816)

LME

Copper

Base

Metal

7

3/2024

USD

1,497,213

54

LME

Copper

Base

Metal

8

3/2024

USD

1,708,950

35,614

LME

Copper

Base

Metal

10

3/2024

USD

2,135,750

12,877

LME

Copper

Base

Metal

37

3/2024

USD

7,913,838

96,563

LME

Lead

Base

Metal

1

3/2024

USD

51,819

1,028

LME

Lead

Base

Metal

1

3/2024

USD

51,799

559

LME

Lead

Base

Metal

1

3/2024

USD

51,763

(65)

LME

Lead

Base

Metal

2

3/2024

USD

103,632

(470)

145

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

3

3/2024

USD

$

155,138

$

(474)

LME

Lead

Base

Metal

3

3/2024

USD

155,453

(1,338)

LME

Lead

Base

Metal

3

3/2024

USD

155,372

(73)

LME

Lead

Base

Metal

3

3/2024

USD

155,423

3,435

LME

Lead

Base

Metal

36

3/2024

USD

1,865,250

(27,676)

LME

Nickel

Base

Metal

1

3/2024

USD

99,448

1,345

LME

Nickel

Base

Metal

1

3/2024

USD

99,558

(456)

LME

Nickel

Base

Metal

1

3/2024

USD

99,540

(2,073)

LME

Nickel

Base

Metal

1

3/2024

USD

99,525

(1,308)

LME

Nickel

Base

Metal

1

3/2024

USD

99,242

(1,501)

LME

Nickel

Base

Metal

1

3/2024

USD

99,360

(1,916)

LME

Nickel

Base

Metal

3

3/2024

USD

298,854

(2,119)

LME

Nickel

Base

Metal

3

3/2024

USD

298,454

(8,565)

LME

Nickel

Base

Metal

6

3/2024

USD

597,615

(9,179)

LME

Nickel

Base

Metal

17

3/2024

USD

1,692,486

(31,981)

LME

Zinc

Base

Metal

1

3/2024

USD

66,549

5,471

LME

Zinc

Base

Metal

1

3/2024

USD

66,578

3,145

LME

Zinc

Base

Metal

1

3/2024

USD

66,494

1,486

LME

Zinc

Base

Metal

1

3/2024

USD

66,521

5,943

LME

Zinc

Base

Metal

1

3/2024

USD

66,594

2,381

LME

Zinc

Base

Metal

1

3/2024

USD

66,549

3,921

LME

Zinc

Base

Metal

1

3/2024

USD

66,519

2,560

LME

Zinc

Base

Metal

2

3/2024

USD

133,090

13,548

LME

Zinc

Base

Metal

2

3/2024

USD

132,900

(46)

LME

Zinc

Base

Metal

3

3/2024

USD

199,581

18,305

LME

Zinc

Base

Metal

5

3/2024

USD

332,380

22,745

LME

Zinc

Base

Metal

5

3/2024

USD

332,568

26,628

LME

Zinc

Base

Metal

6

3/2024

USD

399,336

18,918

LME

Zinc

Base

Metal

6

3/2024

USD

399,036

36,365

LME

Zinc

Base

Metal

6

3/2024

USD

398,991

27,698

LME

Zinc

Base

Metal

12

3/2024

USD

798,000

8,294

LME

Zinc

Base

Metal

81

3/2024

USD

5,393,588

291,498

MEX

BOLSA

Index

8

3/2024

MXN

275,734

11,997

MSCI

EAFE

E-Mini

Index

8

3/2024

USD

900,960

30,785

MSCI

Emerging

Markets

E-Mini

Index

37

3/2024

USD

1,912,345

80,448

NASDAQ

100

E-Mini

Index

7

3/2024

USD

2,383,290

108,565

Nikkei

225

Index

10

3/2024

JPY

2,372,340

35,162

S&P

Midcap

400

E-Mini

Index

70

3/2024

USD

19,666,499

1,070,230

Soybean

Meal

147

3/2024

USD

5,674,200

(203,733)

TOPIX

Index

50

3/2024

JPY

8,390,071

43,203

U.S.

Treasury

5

Year

Note

233

3/2024

USD

25,324,187

316,755

U.S.

Treasury

Long

Bond

39

3/2024

USD

4,856,719

275,616

Wheat

37

3/2024

USD

1,161,800

5,154

3

Month

Euro

Euribor

2

6/2024

EUR

534,864

114

90-Day

Australian

Bank

Bill

7

6/2024

AUD

4,722,524

537

90-Day

New

Zealand

Bill

4

6/2024

NZD

2,496,589

1,890

3

Month

Euro

Euribor

8

9/2024

EUR

2,149,832

5,609

3

Month

SARON

6

9/2024

CHF

1,760,210

2,954

3

Month

SONIA

2

9/2024

GBP

608,550

(84)

90-Day

Australian

Bank

Bill

5

9/2024

AUD

3,374,549

494

90-Day

New

Zealand

Bill

1

9/2024

NZD

624,756

10

3

Month

Euro

Euribor

10

12/2024

EUR

2,696,536

7,699

3

Month

SARON

4

12/2024

CHF

1,175,376

1,427

90-Day

New

Zealand

Bill

1

12/2024

NZD

625,228

(5)

3

Month

Euro

Euribor

5

3/2025

EUR

1,351,373

2,808

3

Month

SARON

5

3/2025

CHF

1,471,152

1,234

146

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

3

Month

SONIA

1

3/2025

GBP

$

307,143

$

69

3

Month

Euro

Euribor

7

6/2025

EUR

1,894,627

6,334

3

Month

SARON

3

6/2025

CHF

883,449

(474)

3

Month

Euro

Euribor

8

9/2025

EUR

2,166,171

6,765

3

Month

Euro

Euribor

8

12/2025

EUR

2,166,060

7,346

3

Month

SONIA

1

12/2025

GBP

308,895

(60)

3

Month

SONIA

1

3/2026

GBP

309,071

(81)

Total

of

long

contracts

5,261,220

Short

Contracts

CAC

40

10

Euro

Index

(39)

1/2024

EUR

(3,252,733)

15,880

FTSE

Bursa

Malaysia

KLCI

Index

(23)

1/2024

MYR

(363,395)

1,752

HSCEI

(7)

1/2024

HKD

(259,794)

(7,320)

IFSC

NIFTY

50

Index

(82)

1/2024

USD

(3,583,154)

(24,318)

LME

Aluminum

Base

Metal

(1)

1/2024

USD

(58,969)

(2,645)

LME

Aluminum

Base

Metal

(1)

1/2024

USD

(58,913)

(3,624)

LME

Aluminum

Base

Metal

(1)

1/2024

USD

(58,788)

(4,521)

LME

Aluminum

Base

Metal

(2)

1/2024

USD

(117,650)

(6,906)

LME

Aluminum

Base

Metal

(3)

1/2024

USD

(176,381)

(12,229)

LME

Aluminum

Base

Metal

(4)

1/2024

USD

(235,200)

(17,053)

LME

Aluminum

Base

Metal

(4)

1/2024

USD

(235,250)

(14,536)

LME

Aluminum

Base

Metal

(5)

1/2024

USD

(294,656)

(17,748)

LME

Aluminum

Base

Metal

(7)

1/2024

USD

(411,663)

(19,208)

LME

Aluminum

Base

Metal

(8)

1/2024

USD

(469,328)

(13,402)

LME

Aluminum

Base

Metal

(11)

1/2024

USD

(640,888)

1,680

LME

Aluminum

Base

Metal

(11)

1/2024

USD

(645,013)

(12,020)

LME

Aluminum

Base

Metal

(22)

1/2024

USD

(1,294,425)

(66,402)

LME

Aluminum

Base

Metal

(40)

1/2024

USD

(2,347,790)

(109,801)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,536)

(11,951)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,288)

(13,153)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,169)

(12,390)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,721)

(9,386)

LME

Copper

Base

Metal

(2)

1/2024

USD

(424,500)

(23,093)

LME

Copper

Base

Metal

(2)

1/2024

USD

(426,513)

(17,080)

LME

Copper

Base

Metal

(3)

1/2024

USD

(635,752)

(34,727)

LME

Copper

Base

Metal

(7)

1/2024

USD

(1,483,153)

(65,635)

LME

Copper

Base

Metal

(14)

1/2024

USD

(2,963,594)

(189,347)

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,225)

1,497

LME

Lead

Base

Metal

(1)

1/2024

USD

(50,863)

2,185

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,241)

1,137

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,123)

1,523

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,012)

885

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,087)

95

LME

Lead

Base

Metal

(2)

1/2024

USD

(102,643)

3,802

LME

Lead

Base

Metal

(2)

1/2024

USD

(101,957)

3,322

LME

Lead

Base

Metal

(2)

1/2024

USD

(102,281)

2,495

LME

Lead

Base

Metal

(4)

1/2024

USD

(203,587)

11,571

LME

Lead

Base

Metal

(5)

1/2024

USD

(254,809)

13,282

LME

Lead

Base

Metal

(6)

1/2024

USD

(308,025)

7,781

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,754)

9,896

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,404)

14,391

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,705)

11,869

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,301)

12,549

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,720)

10,245

LME

Nickel

Base

Metal

(2)

1/2024

USD

(197,252)

26,207

LME

Nickel

Base

Metal

(3)

1/2024

USD

(294,827)

43,525

LME

Nickel

Base

Metal

(3)

1/2024

USD

(294,750)

43,634

147

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(3)

1/2024

USD

$

(295,290)

$

40,131

LME

Nickel

Base

Metal

(5)

1/2024

USD

(492,407)

67,078

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,233)

(5,219)

LME

Zinc

Base

Metal

(1)

1/2024

USD

(65,969)

(4,037)

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,000)

(4,984)

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,144)

(4,647)

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,091)

(5,619)

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,218)

(4,369)

LME

Zinc

Base

Metal

(2)

1/2024

USD

(132,313)

(9,644)

LME

Zinc

Base

Metal

(2)

1/2024

USD

(132,247)

(11,501)

LME

Zinc

Base

Metal

(2)

1/2024

USD

(132,263)

(10,793)

LME

Zinc

Base

Metal

(6)

1/2024

USD

(395,513)

(16,237)

MSCI

Singapore

Index

(85)

1/2024

SGD

(1,852,965)

(67,594)

Natural

Gas

(144)

1/2024

USD

(3,620,160)

(335,754)

NY

Harbor

ULSD

(49)

1/2024

USD

(5,204,476)

67,740

OMXS30

Index

(173)

1/2024

SEK

(4,118,721)

(92,453)

WTI

Crude

Oil

(288)

1/2024

USD

(20,635,201)

7,695

Live

Cattle

(21)

2/2024

USD

(1,415,400)

(3,172)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(118,188)

(4,815)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(118,157)

(5,043)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(118,450)

(6,056)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(118,375)

(7,025)

LME

Aluminum

Base

Metal

(3)

2/2024

USD

(176,954)

(8,662)

LME

Aluminum

Base

Metal

(5)

2/2024

USD

(295,000)

(15,349)

LME

Aluminum

Base

Metal

(6)

2/2024

USD

(355,335)

(20,338)

LME

Aluminum

Base

Metal

(6)

2/2024

USD

(355,674)

(22,668)

LME

Aluminum

Base

Metal

(6)

2/2024

USD

(355,787)

(24,641)

LME

Aluminum

Base

Metal

(8)

2/2024

USD

(473,600)

(27,627)

LME

Aluminum

Base

Metal

(10)

2/2024

USD

(591,720)

(36,334)

LME

Aluminum

Base

Metal

(12)

2/2024

USD

(711,789)

(51,358)

LME

Aluminum

Base

Metal

(14)

2/2024

USD

(829,196)

(47,545)

LME

Aluminum

Base

Metal

(14)

2/2024

USD

(828,975)

(53,467)

LME

Aluminum

Base

Metal

(15)

2/2024

USD

(886,643)

(50,999)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,150)

(7,203)

LME

Copper

Base

Metal

(1)

2/2024

USD

(212,800)

(8,634)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,006)

(11,214)

LME

Copper

Base

Metal

(1)

2/2024

USD

(212,760)

(10,256)

LME

Copper

Base

Metal

(1)

2/2024

USD

(212,988)

(7,403)

LME

Copper

Base

Metal

(1)

2/2024

USD

(212,975)

(8,833)

LME

Copper

Base

Metal

(2)

2/2024

USD

(426,200)

(17,143)

LME

Copper

Base

Metal

(2)

2/2024

USD

(426,785)

(6,706)

LME

Copper

Base

Metal

(3)

2/2024

USD

(638,888)

(21,325)

LME

Copper

Base

Metal

(4)

2/2024

USD

(852,800)

(26,154)

LME

Copper

Base

Metal

(6)

2/2024

USD

(1,279,430)

(18,420)

LME

Copper

Base

Metal

(9)

2/2024

USD

(1,920,301)

(33,713)

LME

Copper

Base

Metal

(14)

2/2024

USD

(2,987,852)

(37,801)

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,428)

2,970

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,481)

3,067

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,516)

3,856

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,494)

2,503

LME

Lead

Base

Metal

(2)

2/2024

USD

(103,078)

11,130

LME

Lead

Base

Metal

(3)

2/2024

USD

(155,073)

4,937

LME

Lead

Base

Metal

(3)

2/2024

USD

(154,088)

5,610

LME

Lead

Base

Metal

(4)

2/2024

USD

(206,250)

20,089

LME

Lead

Base

Metal

(4)

2/2024

USD

(206,225)

19,964

LME

Lead

Base

Metal

(4)

2/2024

USD

(206,231)

20,958

148

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

2/2024

USD

$

(99,060)

$

5,311

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,069)

5,527

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,134)

517

LME

Nickel

Base

Metal

(1)

2/2024

USD

(98,985)

8,742

LME

Nickel

Base

Metal

(1)

2/2024

USD

(98,967)

8,742

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,051)

4,039

LME

Nickel

Base

Metal

(2)

2/2024

USD

(198,246)

3,828

LME

Nickel

Base

Metal

(2)

2/2024

USD

(198,378)

(7,284)

LME

Nickel

Base

Metal

(2)

2/2024

USD

(198,156)

8,443

LME

Nickel

Base

Metal

(2)

2/2024

USD

(198,006)

16,044

LME

Nickel

Base

Metal

(2)

2/2024

USD

(197,757)

18,042

LME

Nickel

Base

Metal

(4)

2/2024

USD

(396,900)

9,978

LME

Nickel

Base

Metal

(5)

2/2024

USD

(496,035)

(6,300)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,249)

(4,371)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,713)

(2,091)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,937)

(5,468)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,528)

(7,377)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,913)

(5,218)

LME

Zinc

Base

Metal

(3)

2/2024

USD

(199,434)

(11,758)

LME

Zinc

Base

Metal

(3)

2/2024

USD

(199,449)

(7,086)

LME

Zinc

Base

Metal

(3)

2/2024

USD

(199,463)

(8,639)

LME

Zinc

Base

Metal

(3)

2/2024

USD

(199,396)

(7,827)

LME

Zinc

Base

Metal

(4)

2/2024

USD

(265,505)

(6,117)

LME

Zinc

Base

Metal

(5)

2/2024

USD

(332,343)

(21,958)

LME

Zinc

Base

Metal

(5)

2/2024

USD

(332,343)

(15,873)

LME

Zinc

Base

Metal

(8)

2/2024

USD

(531,650)

(22,174)

Australia

3

Year

Bond

(5)

3/2024

AUD

(364,083)

(3,467)

Canada

10

Year

Bond

(65)

3/2024

CAD

(6,088,185)

(179,777)

Cocoa

(12)

3/2024

USD

(503,520)

4,592

Coffee

'C'

(4)

3/2024

USD

(282,450)

10,419

Copper

(3)

3/2024

USD

(291,788)

1,392

Cotton

No.

2

(8)

3/2024

USD

(324,000)

(2,697)

DAX

Index

(24)

3/2024

EUR

(11,202,664)

53,964

DJIA

CBOT

E-Mini

Index

(2)

3/2024

USD

(380,120)

(2,282)

Euro

STOXX

50

Index

(49)

3/2024

EUR

(2,457,470)

2,816

Euro-Bund

(124)

3/2024

EUR

(18,777,174)

(216,336)

FTSE/JSE

Top

40

Index

(8)

3/2024

ZAR

(312,215)

1,196

KC

HRW

Wheat

(18)

3/2024

USD

(577,800)

(28,199)

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,600)

(953)

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,538)

(3,465)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(119,071)

(12,326)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(118,847)

(10,853)

LME

Aluminum

Base

Metal

(3)

3/2024

USD

(178,550)

(18,722)

LME

Aluminum

Base

Metal

(5)

3/2024

USD

(297,679)

(14,919)

LME

Aluminum

Base

Metal

(5)

3/2024

USD

(297,676)

(25,450)

LME

Aluminum

Base

Metal

(9)

3/2024

USD

(534,974)

(53,105)

LME

Aluminum

Base

Metal

(10)

3/2024

USD

(593,338)

(45,132)

LME

Aluminum

Base

Metal

(12)

3/2024

USD

(713,973)

(76,742)

LME

Aluminum

Base

Metal

(15)

3/2024

USD

(891,083)

(80,308)

LME

Aluminum

Base

Metal

(16)

3/2024

USD

(950,200)

(74,524)

LME

Aluminum

Base

Metal

(19)

3/2024

USD

(1,131,213)

(52,869)

LME

Aluminum

Base

Metal

(157)

3/2024

USD

(9,345,425)

(697,073)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,702)

(2,754)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,848)

1,251

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,780)

(4,793)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,659)

1,836

149

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(2)

3/2024

USD

$

(427,650)

$

849

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,325)

(7,880)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,950)

3,007

LME

Copper

Base

Metal

(4)

3/2024

USD

(854,729)

(24,290)

LME

Copper

Base

Metal

(5)

3/2024

USD

(1,067,219)

(707)

LME

Copper

Base

Metal

(5)

3/2024

USD

(1,068,804)

(22,817)

LME

Copper

Base

Metal

(5)

3/2024

USD

(1,069,073)

(961)

LME

Copper

Base

Metal

(6)

3/2024

USD

(1,283,775)

12,066

LME

Copper

Base

Metal

(7)

3/2024

USD

(1,497,213)

(2,806)

LME

Copper

Base

Metal

(8)

3/2024

USD

(1,708,950)

(37,284)

LME

Copper

Base

Metal

(10)

3/2024

USD

(2,135,750)

(9,239)

LME

Copper

Base

Metal

(46)

3/2024

USD

(9,838,825)

(89,736)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,819)

(1,097)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,799)

(1,027)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,763)

(90)

LME

Lead

Base

Metal

(2)

3/2024

USD

(103,632)

563

LME

Lead

Base

Metal

(3)

3/2024

USD

(155,372)

(79)

LME

Lead

Base

Metal

(3)

3/2024

USD

(155,423)

(4,305)

LME

Lead

Base

Metal

(3)

3/2024

USD

(155,138)

467

LME

Lead

Base

Metal

(3)

3/2024

USD

(155,453)

1,158

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,540)

1,482

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,242)

1,780

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,360)

1,437

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,448)

(1,109)

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,558)

(51)

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,525)

1,602

LME

Nickel

Base

Metal

(3)

3/2024

USD

(298,454)

11,767

LME

Nickel

Base

Metal

(3)

3/2024

USD

(298,854)

2,613

LME

Nickel

Base

Metal

(6)

3/2024

USD

(597,615)

11,127

LME

Nickel

Base

Metal

(46)

3/2024

USD

(4,579,668)

3,552

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,521)

(6,118)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,578)

(2,930)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,494)

(1,703)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,519)

(2,872)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,549)

(4,470)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,549)

(5,632)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,594)

(2,447)

LME

Zinc

Base

Metal

(2)

3/2024

USD

(133,090)

(13,845)

LME

Zinc

Base

Metal

(2)

3/2024

USD

(132,900)

(780)

LME

Zinc

Base

Metal

(3)

3/2024

USD

(199,581)

(18,015)

LME

Zinc

Base

Metal

(5)

3/2024

USD

(332,568)

(27,448)

LME

Zinc

Base

Metal

(5)

3/2024

USD

(332,380)

(21,548)

LME

Zinc

Base

Metal

(6)

3/2024

USD

(398,991)

(29,310)

LME

Zinc

Base

Metal

(6)

3/2024

USD

(399,336)

(20,667)

LME

Zinc

Base

Metal

(6)

3/2024

USD

(399,036)

(34,855)

LME

Zinc

Base

Metal

(12)

3/2024

USD

(798,000)

(10,236)

LME

Zinc

Base

Metal

(16)

3/2024

USD

(1,065,400)

(62,299)

Long

Gilt

(28)

3/2024

GBP

(3,663,956)

(12,910)

Palladium

(2)

3/2024

USD

(221,860)

(5,994)

Russell

2000

E-Mini

Index

(45)

3/2024

USD

(4,607,325)

(355,500)

S&P

500

E-Mini

Index

(75)

3/2024

USD

(18,075,000)

(588,679)

S&P/TSX

60

Index

(9)

3/2024

CAD

(1,725,761)

(54,846)

SET50

Index

(322)

3/2024

THB

(1,647,523)

(16,505)

Silver

(26)

3/2024

USD

(3,131,180)

18,693

Soybean

(32)

3/2024

USD

(2,076,800)

49,672

Soybean

Oil

(182)

3/2024

USD

(5,261,256)

174,806

150

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

SPI

200

Index

(31)

3/2024

AUD

$

(4,005,819)

$

(66,453)

U.S.

Treasury

10

Year

Note

(57)

3/2024

USD

(6,425,859)

(72,508)

U.S.

Treasury

2

Year

Note

(17)

3/2024

USD

(3,500,141)

(27,173)

U.S.

Treasury

Ultra

Bond

(4)

3/2024

USD

(532,375)

(47,983)

Aluminum

(4)

4/2024

USD

(238,550)

(24,149)

Platinum

(6)

4/2024

USD

(302,760)

(10,784)

3

Month

CORRA

(6)

9/2024

CAD

(1,082,846)

(1,635)

3

Month

SOFR

(11)

9/2024

USD

(2,625,563)

(9,393)

Platinum

(10)

10/2024

JPY

(160,106)

(5,094)

3

Month

CORRA

(1)

12/2024

CAD

(181,238)

(972)

3

Month

SOFR

(8)

12/2024

USD

(1,917,900)

(11,784)

Platinum

(2)

12/2024

JPY

(31,972)

(112)

3

Month

CORRA

(4)

3/2025

CAD

(727,633)

(7,654)

3

Month

SOFR

(8)

3/2025

USD

(1,925,200)

(11,292)

90-Day

Australian

Bank

Bill

(1)

3/2025

AUD

(675,322)

(614)

3

Month

CORRA

(4)

6/2025

CAD

(729,859)

(2,909)

3

Month

SOFR

(6)

6/2025

USD

(1,448,550)

(10,309)

3

Month

SOFR

(6)

9/2025

USD

(1,451,700)

(10,332)

3

Month

SOFR

(5)

12/2025

USD

(1,211,125)

(8,426)

3

Month

SOFR

(4)

3/2026

USD

(969,200)

(4,759)

Total

of

short

contracts

(4,482,708)

Net

value

$

778,512

Forward

foreign

currency

exchange

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

27,912,676

USD

18,560,701

CITI

3/20/2024

$

504,898

AUD

27,912,678

USD

18,560,610

JPMC

3/20/2024

504,992

BRL

16,388,000

USD

3,298,670

CITI

**

3/20/2024

50,337

BRL

16,388,003

USD

3,298,654

JPMC

**

3/20/2024

50,354

CAD

14,978,150

USD

11,081,770

CITI

3/20/2024

234,050

CAD

14,978,150

USD

11,081,537

JPMC

3/20/2024

234,282

CHF

8,674,996

USD

10,066,505

CITI

3/20/2024

330,778

CHF

8,674,997

USD

10,066,456

JPMC

3/20/2024

330,829

CLP

100,000,000

USD

112,611

CITI

**

3/20/2024

399

CLP

100,000,000

USD

112,610

JPMC

**

3/20/2024

400

CNY

15,699,672

USD

2,206,058

CITI

**

3/20/2024

9,106

CNY

15,699,669

USD

2,206,047

JPMC

**

3/20/2024

9,116

COP

8,336,272,503

USD

2,046,630

CITI

**

3/20/2024

71,300

COP

8,336,272,497

USD

2,046,620

JPMC

**

3/20/2024

71,310

CZK

99,152,002

USD

4,380,121

CITI

3/20/2024

44,442

CZK

99,151,999

USD

4,380,099

JPMC

3/20/2024

44,464

EUR

18,939,346

USD

20,711,726

CITI

3/20/2024

261,529

EUR

18,939,340

USD

20,711,616

JPMC

3/20/2024

261,633

GBP

11,141,083

USD

14,111,328

CITI

3/20/2024

95,079

GBP

11,141,087

USD

14,111,263

JPMC

3/20/2024

95,150

HUF

1,412,633,669

USD

3,976,876

CITI

3/20/2024

60,079

HUF

1,412,633,666

USD

3,976,857

JPMC

3/20/2024

60,098

IDR

48,500,000,000

USD

3,129,274

CITI

**

3/20/2024

20,462

IDR

48,500,000,000

USD

3,129,017

JPMC

**

3/20/2024

20,719

ILS

1,022,000

USD

276,891

CITI

3/20/2024

6,047

151

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ILS

1,022,000

USD

276,890

JPMC

3/20/2024

$

6,048

INR

432,499,000

USD

5,171,640

CITI

**

3/20/2024

7,155

INR

432,499,000

USD

5,171,615

JPMC

**

3/20/2024

7,181

KRW

850,000,001

USD

655,973

CITI

**

3/20/2024

3,366

KRW

849,999,999

USD

655,970

JPMC

**

3/20/2024

3,371

MXN

119,303,499

USD

6,778,500

CITI

3/20/2024

159,011

MXN

119,303,486

USD

6,778,465

JPMC

3/20/2024

159,046

NOK

146,327,475

USD

13,691,718

CITI

3/20/2024

735,528

NOK

146,327,464

USD

13,691,648

JPMC

3/20/2024

735,597

NZD

7,455,337

USD

4,595,948

CITI

3/20/2024

117,881

NZD

7,455,333

USD

4,595,923

JPMC

3/20/2024

117,904

PEN

660,500

USD

174,168

CITI

**

3/20/2024

3,946

PEN

660,500

USD

174,167

JPMC

**

3/20/2024

3,946

PHP

13,750,000

USD

246,882

CITI

**

3/20/2024

1,473

PHP

13,125,000

USD

235,587

JPMC

**

3/20/2024

1,479

PLN

66,527,544

USD

16,660,227

CITI

3/20/2024

229,614

PLN

66,527,543

USD

16,660,144

JPMC

3/20/2024

229,697

SEK

30,155,285

USD

2,915,744

CITI

3/20/2024

83,209

SEK

30,155,278

USD

2,915,729

JPMC

3/20/2024

83,224

SGD

3,697,000

USD

2,782,034

CITI

3/20/2024

29,289

SGD

3,697,000

USD

2,782,020

JPMC

3/20/2024

29,303

THB

28,000,000

USD

810,895

CITI

3/20/2024

14,959

THB

28,000,000

USD

810,891

JPMC

3/20/2024

14,963

TWD

105,007,501

USD

3,404,041

CITI

**

3/20/2024

74,632

TWD

105,007,501

USD

3,404,024

JPMC

**

3/20/2024

74,649

USD

164,015

AUD

238,499

CITI

3/20/2024

1,110

USD

164,017

AUD

238,501

JPMC

3/20/2024

1,111

USD

773,348

CHF

643,501

CITI

3/20/2024

2,090

USD

773,350

CHF

643,499

JPMC

3/20/2024

2,094

USD

1,746,196

CLP

1,524,291,627

CITI

**

3/20/2024

23,589

USD

1,746,204

CLP

1,524,291,624

JPMC

**

3/20/2024

23,598

USD

582,711

CNY

4,123,779

CITI

**

3/20/2024

862

USD

582,714

CNY

4,123,779

JPMC

**

3/20/2024

865

USD

850,577

CZK

19,000,000

CITI

3/20/2024

2,721

USD

850,582

CZK

19,000,000

JPMC

3/20/2024

2,725

USD

2,795,984

EUR

2,519,654

CITI

3/20/2024

5,742

USD

2,796,000

EUR

2,519,656

JPMC

3/20/2024

5,756

USD

3,461,608

GBP

2,706,500

CITI

3/20/2024

10,449

USD

3,461,625

GBP

2,706,500

JPMC

3/20/2024

10,467

USD

817,791

HUF

284,262,882

CITI

3/20/2024

5,438

USD

817,795

HUF

284,262,881

JPMC

3/20/2024

5,442

USD

832,500

KRW

1,068,094,002

CITI

**

3/20/2024

3,986

USD

832,504

KRW

1,068,093,997

JPMC

**

3/20/2024

3,991

USD

77,988

NZD

122,499

CITI

3/20/2024

534

USD

77,989

NZD

122,501

JPMC

3/20/2024

535

USD

2,844,039

PHP

157,244,688

CITI

**

3/20/2024

3,866

USD

2,844,054

PHP

157,244,688

JPMC

**

3/20/2024

3,881

USD

2,425,074

PLN

9,489,000

CITI

3/20/2024

16,030

USD

2,425,086

PLN

9,489,000

JPMC

3/20/2024

16,044

USD

49,920

SEK

500,001

CITI

3/20/2024

195

USD

49,920

SEK

499,999

JPMC

3/20/2024

195

USD

99,741

TWD

3,000,001

CITI

**

3/20/2024

358

USD

99,742

TWD

3,000,001

JPMC

**

3/20/2024

358

ZAR

64,794,000

USD

3,462,925

CITI

3/20/2024

55,273

ZAR

64,794,000

USD

3,462,908

JPMC

3/20/2024

55,290

JPY

3,474,139,335

USD

24,172,688

CITI

3/21/2024

771,340

JPY

3,474,139,335

USD

24,172,568

JPMC

3/21/2024

771,461

Total

unrealized

appreciation

8,105,720

152

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,363,499

USD

934,181

CITI

3/20/2024

$

(2,850)

AUD

1,363,501

USD

934,177

JPMC

3/20/2024

(2,846)

BRL

2,355,000

USD

482,859

CITI

**

3/20/2024

(1,597)

BRL

2,355,000

USD

482,857

JPMC

**

3/20/2024

(1,595)

CAD

584,500

USD

443,303

CITI

3/20/2024

(1,720)

CAD

584,500

USD

443,301

JPMC

3/20/2024

(1,718)

CLP

2,698,481,995

USD

3,078,670

CITI

**

3/20/2024

(29,107)

CLP

2,698,481,992

USD

3,078,655

JPMC

**

3/20/2024

(29,092)

CNY

2,377,522

USD

335,634

CITI

**

3/20/2024

(175)

CNY

2,377,523

USD

335,632

JPMC

**

3/20/2024

(172)

CZK

16,500,000

USD

740,947

CITI

3/20/2024

(4,651)

CZK

16,500,000

USD

740,943

JPMC

3/20/2024

(4,647)

HUF

519,233,501

USD

1,493,241

CITI

3/20/2024

(9,401)

HUF

519,233,498

USD

1,493,234

JPMC

3/20/2024

(9,393)

ILS

101,500

USD

28,153

CITI

3/20/2024

(53)

ILS

101,500

USD

28,153

JPMC

3/20/2024

(53)

INR

70,000,000

USD

839,093

CITI

**

3/20/2024

(904)

INR

70,000,000

USD

839,089

JPMC

**

3/20/2024

(900)

KRW

850,000,001

USD

662,552

CITI

**

3/20/2024

(3,212)

KRW

849,999,999

USD

662,549

JPMC

**

3/20/2024

(3,210)

MXN

19,499,999

USD

1,138,113

CITI

3/20/2024

(4,185)

MXN

19,500,001

USD

1,138,107

JPMC

3/20/2024

(4,180)

NOK

2,500,000

USD

247,042

CITI

3/20/2024

(553)

NOK

2,500,000

USD

247,041

JPMC

3/20/2024

(552)

PHP

6,250,000

USD

113,009

CITI

**

3/20/2024

(121)

PHP

6,875,000

USD

124,299

JPMC

**

3/20/2024

(122)

PLN

401,999

USD

102,543

CITI

3/20/2024

(485)

PLN

402,001

USD

102,543

JPMC

3/20/2024

(484)

SEK

2,500,001

USD

250,630

CITI

3/20/2024

(2,004)

SEK

2,499,999

USD

250,629

JPMC

3/20/2024

(2,003)

USD

6,460,415

AUD

9,663,817

CITI

3/20/2024

(140,402)

USD

6,460,448

AUD

9,663,818

JPMC

3/20/2024

(140,370)

USD

4,358,599

BRL

21,596,500

CITI

**

3/20/2024

(54,804)

USD

4,356,782

BRL

21,596,502

JPMC

**

3/20/2024

(56,621)

USD

7,474,629

CAD

10,118,357

CITI

3/20/2024

(169,673)

USD

7,474,394

CAD

10,118,357

JPMC

3/20/2024

(169,908)

USD

21,497,960

CHF

18,515,830

CITI

3/20/2024

(693,904)

USD

21,498,070

CHF

18,515,832

JPMC

3/20/2024

(693,796)

USD

168,856

CLP

150,000,000

CITI

**

3/20/2024

(660)

USD

168,857

CLP

150,000,000

JPMC

**

3/20/2024

(659)

USD

4,432,305

CNY

31,630,468

CITI

**

3/20/2024

(30,632)

USD

4,432,327

CNY

31,630,467

JPMC

**

3/20/2024

(30,610)

USD

12,230

COP

50,000,002

CITI

**

3/20/2024

(473)

USD

12,234

COP

49,999,997

JPMC

**

3/20/2024

(469)

USD

5,326,568

CZK

120,039,423

CITI

3/20/2024

(30,077)

USD

5,326,594

CZK

120,039,420

JPMC

3/20/2024

(30,050)

USD

26,936,675

EUR

24,704,010

CITI

3/20/2024

(420,316)

USD

26,936,802

EUR

24,704,003

JPMC

3/20/2024

(420,181)

USD

9,448,589

GBP

7,482,339

CITI

3/20/2024

(92,418)

USD

9,448,640

GBP

7,482,342

JPMC

3/20/2024

(92,371)

USD

3,955,343

HUF

1,403,429,551

CITI

3/20/2024

(55,309)

USD

3,955,363

HUF

1,403,429,547

JPMC

3/20/2024

(55,289)

USD

953,855

IDR

14,766,048,419

CITI

**

3/20/2024

(5,096)

USD

953,860

IDR

14,766,048,419

JPMC

**

3/20/2024

(5,091)

USD

2,434,458

ILS

9,001,500

CITI

3/20/2024

(57,584)

USD

2,434,470

ILS

9,001,500

JPMC

3/20/2024

(57,571)

USD

2,526,485

KRW

3,309,047,000

CITI

**

3/20/2024

(40,323)

USD

2,526,498

KRW

3,309,047,000

JPMC

**

3/20/2024

(40,311)

153

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

(Continued)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

3,134,404

MXN

55,115,509

CITI

3/20/2024

$

(70,569)

USD

3,134,419

MXN

55,115,497

JPMC

3/20/2024

(70,553)

USD

3,331,212

NOK

35,789,505

CITI

3/20/2024

(197,476)

USD

3,331,228

NOK

35,789,495

JPMC

3/20/2024

(197,459)

USD

18,652,075

NZD

30,321,473

CITI

3/20/2024

(519,456)

USD

18,652,165

NZD

30,321,468

JPMC

3/20/2024

(519,364)

USD

2,832,100

PHP

157,346,812

CITI

**

3/20/2024

(9,916)

USD

2,832,115

PHP

157,346,812

JPMC

**

3/20/2024

(9,903)

USD

2,588,300

PLN

10,254,499

CITI

3/20/2024

(15,085)

USD

2,588,314

PLN

10,254,501

JPMC

3/20/2024

(15,073)

USD

5,635,727

SEK

57,951,872

CITI

3/20/2024

(127,606)

USD

5,635,755

SEK

57,951,866

JPMC

3/20/2024

(127,577)

USD

12,580,827

SGD

16,720,254

CITI

3/20/2024

(133,817)

USD

12,580,890

SGD

16,720,254

JPMC

3/20/2024

(133,754)

USD

910,644

THB

32,000,000

CITI

3/20/2024

(33,189)

USD

910,649

THB

32,000,000

JPMC

3/20/2024

(33,185)

USD

609,480

TWD

18,854,999

CITI

**

3/20/2024

(15,145)

USD

609,488

TWD

18,855,000

JPMC

**

3/20/2024

(15,138)

USD

4,172,242

ZAR

79,000,000

CITI

3/20/2024

(117,317)

USD

4,172,263

ZAR

79,000,000

JPMC

3/20/2024

(117,296)

ZAR

9,000,000

USD

489,479

CITI

3/20/2024

(796)

ZAR

9,000,000

USD

489,477

JPMC

3/20/2024

(793)

USD

8,745,811

JPY

1,247,963,925

CITI

3/21/2024

(214,465)

USD

8,745,855

JPY

1,247,963,925

JPMC

3/21/2024

(214,421)

Total

unrealized

depreciation

(6,616,306)

Net

unrealized

appreciation

$

1,489,414

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

BARC

Cash

$

–

$

4,396,696

$

4,396,696

CITG

Cash

–

232,306

232,306

CITI

Cash

(831,121)

–

(831,121)

Investment

Companies

1,266,407

–

1,266,407

GSCO

Cash

–

1,320,659

1,320,659

GSIN

U.S.

Treasury

Bills

1,807,245

–

1,807,245

JPMC

Investment

Companies

1,482,354

–

1,482,354

JPMS

Cash

–

3,338,526

3,338,526

MLIN

Cash

(710,318)

–

(710,318)

MSCL

Cash

–

932,550

932,550

154

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

GSCO

Cash

$

–

$

1,990,577

$

1,990,577

GSIN

Cash

32,333

–

32,333

JPPC

Cash

–

2,401,226

2,401,226

MSCL

Cash

–

4,606,765

4,606,765

155

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

‡

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

Represents

7-day

effective

yield

as

of

December

31,

2023.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

December

31,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

93.0%

INVESTMENT

COMPANIES

-

15.9%

BlackRock

Liquidity

Funds

Treasury

Trust

Fund

Portfolio,

5.25%

(1)(a)(b)

26,244,676

26,244,676

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.19%

(1)(a)(b)

13,468,592

13,468,592

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(a)(c)

174,856,661

174,786,719

TOTAL

INVESTMENT

COMPANIES

(Cost

$214,437,394)

214,499,987

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

77.1%

U.S.

Treasury

Bills

5.41%,

1/11/2024

(d)

$

8,152,000

8,141,348

5.41%,

2/1/2024

(d)

94,385,000

93,970,236

5.41%,

2/8/2024

(d)

6,885,000

6,847,713

5.44%,

2/15/2024

(d)

1,042,000

1,035,325

5.44%,

2/22/2024

(d)

8,304,000

8,242,270

5.50%,

2/29/2024

(d)

14,559,000

14,435,521

5.45%,

3/7/2024

(d)

81,075,000

80,312,881

5.45%,

3/14/2024

(d)(e)

108,789,000

107,660,097

5.45%,

3/21/2024

(d)(e)

57,559,000

56,903,230

5.49%,

4/4/2024

(d)

135,485,000

133,664,985

5.48%,

4/18/2024

(d)

155,794,000

153,389,706

5.47%,

4/25/2024

(d)(e)

164,337,000

161,644,708

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

77.1%

(continued)

5.47%,

5/2/2024

(d)(e)

$

157,190,000

154,465,254

5.40%,

5/9/2024

(d)(e)

9,450,000

9,277,358

5.41%,

5/16/2024

(d)(e)

34,949,000

34,278,897

5.37%,

5/23/2024

(d)

800,000

783,907

5.21%,

6/27/2024

(d)

14,294,000

13,939,560

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$1,038,475,983)

1,038,992,996

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,252,913,377)

1,253,492,983

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

93.0%

(Cost

$1,252,913,377)

1,253,492,983

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

7.0%

‡

94,602,833

NET

ASSETS

-

100.0%

1,348,095,816

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

$

214,499,987

15.9

%

U.S.

Treasury

Obligations

1,038,992,996

77.1

Total

Investments

In

Securities

At

Value

1,253,492,983

93.0

Other

Assets

in

Excess

of

Liabilities

‡

94,602,833

7.0

Net

Assets

$

1,348,095,816

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2023

Shares

Held

At

12/31/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

13.0%

INVESTMENT

COMPANIES

-

13.0%

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)^(a)

(Cost

$174,724,126)

$304,515,851

$2,936,885,373

$(3,066,625,526)

$21,443

$(10,422)

$174,786,719

174,856,661

$12,566,122

$–

^    No

longer

affiliated

as

of

December

31,

2023.

(1)

Level

1

security

(See

Note

5).

(a)

Represents

7-day

effective

yield

as

of

December

31,

2023.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

156

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

December

31,

2023

:

Exchange-Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

40.V1

5.00

%

Quarterly

12/20/2028

3.10

%

EUR

10,167,000

$

401,229

$

508,452

$

909,681

iTraxx

Europe

Main

Index

Series

40.V1

1.00

Quarterly

12/20/2028

0.58

EUR

26,656,000

307,379

272,324

579,703

Markit

CDX

North

America

High

Yield

Index

Series

41.V2

5.00

Quarterly

12/20/2028

3.56

USD

11,998,000

309,277

399,287

708,564

Markit

CDX

North

America

Investment

Grade

Index

Series

41.V1

1.00

Quarterly

12/20/2028

0.57

USD

49,400,000

705,423

265,995

971,418

1,723,308

1,446,058

3,169,366

Markit

CDX

North

America

Emerging

Markets

Index

Series

40.V1

1.00

%

Quarterly

12/20/2028

1.67

%

USD

15,591,000

$

(702,228)

$

255,418

$

(446,810)

(702,228)

255,418

(446,810)

$

1,021,080

$

1,701,476

$

2,722,556

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

December

31,

2023:

Exchange-Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

CORRA

Semi

4.00%

Semi

3/19/2029

CAD

9,700,000

$

31,837

$

296,618

$

328,455

Pay

1D

CORRA

Semi

3.00%

Semi

6/18/2029

CAD

100,000

224

119

343

Pay

1D

CORRA

Semi

3.50%

Semi

3/20/2034

CAD

3,000,000

(80,396)

171,881

91,485

Pay

1D

SARON

Annual

1.50%

Annual

3/20/2026

CHF

341,300,000

401,114

3,153,385

3,554,499

Pay

1D

SARON

Annual

1.00%

Annual

6/19/2026

CHF

33,200,000

(52,704)

66,717

14,013

Pay

1D

SARON

Annual

1.50%

Annual

6/19/2026

CHF

22,400,000

119,610

153,717

273,327

Pay

1D

SARON

Annual

1.50%

Annual

3/20/2034

CHF

19,900,000

(133,985)

917,691

783,706

Pay

1D

SARON

Annual

2.00%

Annual

3/20/2034

CHF

5,200,000

143,307

355,620

498,927

Pay

1D

SOFR

Annual

4.25%

Annual

3/20/2029

USD

12,400,000

201,117

254,747

455,864

Pay

1D

SOFR

Annual

3.75%

Annual

6/19/2029

USD

82,500,000

(618,965)

2,138,519

1,519,554

Pay

1D

SOFR

Annual

4.25%

Annual

3/20/2034

USD

2,400,000

153,549

10,117

163,666

Pay

1D

SOFR

Annual

4.00%

Annual

3/20/2054

USD

1,700,000

26,900

196,356

223,256

Pay

1D

SOFR

Annual

3.50%

Annual

6/19/2054

USD

4,100,000

(155,176)

334,160

178,984

Pay

1D

SONIA

Annual

4.25%

Annual

6/19/2026

GBP

9,100,000

123,666

35,858

159,524

Pay

1D

SONIA

Annual

5.00%

Annual

6/19/2026

GBP

76,100,000

1,356,885

1,322,383

2,679,268

Pay

1D

SONIA

Annual

4.25%

Annual

6/19/2034

GBP

15,000,000

610,129

1,051,448

1,661,577

Pay

1D

SONIA

Annual

3.75%

Annual

6/19/2034

GBP

1,500,000

76,044

10,966

87,010

Pay

1D

SONIA

Annual

4.00%

Annual

3/20/2054

GBP

1,700,000

34,859

232,947

267,806

Pay

1D

SONIA

Annual

4.00%

Annual

6/19/2054

GBP

5,200,000

119,951

720,825

840,776

Pay

1D

SORA

Semi

3.00%

Semi

3/18/2026

SGD

7,200,000

2,281

33,668

35,949

Pay

1D

SORA

Semi

3.50%

Semi

3/18/2026

SGD

8,900,000

31,859

75,429

107,288

Pay

1D

SORA

Semi

3.00%

Semi

6/17/2026

SGD

3,000,000

5,752

14,741

20,493

Pay

1D

SORA

Semi

3.50%

Semi

3/21/2029

SGD

2,500,000

29,964

57,965

87,929

Pay

1D

SORA

Semi

3.00%

Semi

3/21/2029

SGD

3,700,000

12,602

52,649

65,251

Pay

1D

SORA

Semi

3.00%

Semi

6/20/2029

SGD

400,000

2,619

4,980

7,599

Pay

1D

SORA

Semi

2.50%

Semi

6/20/2029

SGD

3,400,000

(14,465)

19,786

5,321

Pay

1D

TONAR

Annual

0.50%

Annual

6/19/2026

JPY

25,867,400,000

452,202

308,649

760,851

Pay

1D

TONAR

Annual

0.50%

Annual

3/21/2029

JPY

40,370,000,000

(2,936,339)

3,017,489

81,150

Pay

1D

TONAR

Annual

1.00%

Annual

6/19/2034

JPY

1,663,400,000

81,838

7,291

89,129

157

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

TONAR

Annual

1.50%

Annual

3/22/2044

JPY

3,530,000,000

$

(330,442)

$

912,788

$

582,346

Pay

1D

TONAR

Annual

1.50%

Annual

6/20/2044

JPY

860,000,000

5,780

109,308

115,088

Pay

3M

BBR

Qtrly

5.00%

Semi

3/11/2026

NZD

31,900,000

16,680

186,200

202,880

Pay

3M

BBR

Qtrly

5.00%

Semi

6/10/2026

NZD

36,800,000

11,387

321,529

332,916

Pay

3M

BBR

Qtrly

4.50%

Semi

6/10/2026

NZD

29,500,000

(82,024)

176,809

94,785

Pay

3M

BBR

Qtrly

4.00%

Semi

6/13/2029

NZD

1,100,000

403

1,952

2,355

Pay

3M

BBR

Qtrly

5.00%

Semi

3/15/2034

NZD

5,400,000

164,252

81,799

246,051

Pay

3M

BBR

Qtrly

5.00%

Semi

6/14/2034

NZD

500,000

5,454

18,032

23,486

Pay

3M

BBR

Qtrly

4.50%

Semi

6/14/2034

NZD

11,100,000

(80,925)

320,298

239,373

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

6/20/2029

KRW

1,400,000,000

18,260

11,466

29,726

Pay

3M

HIBOR

Qtrly

4.50%

Qtrly

3/18/2026

HKD

20,200,000

2,631

43,159

45,790

Pay

3M

HIBOR

Qtrly

4.00%

Qtrly

6/17/2026

HKD

52,200,000

20,244

56,250

76,494

Pay

3M

HIBOR

Qtrly

4.50%

Qtrly

3/21/2029

HKD

7,600,000

19,230

33,706

52,936

Pay

3M

HIBOR

Qtrly

4.00%

Qtrly

3/21/2029

HKD

3,200,000

(144)

13,357

13,213

Pay

3M

HIBOR

Qtrly

4.00%

Qtrly

6/20/2029

HKD

28,700,000

66,160

59,086

125,246

Pay

3M

JIBAR

Qtrly

8.00%

Qtrly

3/18/2026

ZAR

2,000,000

29

1,133

1,162

Pay

3M

JIBAR

Qtrly

8.50%

Qtrly

3/22/2029

ZAR

28,000,000

3,649

21,619

25,268

Pay

3M

JIBAR

Qtrly

8.50%

Qtrly

6/20/2029

ZAR

42,000,000

29,116

2,657

31,773

Pay

3M

STIBOR

Qtrly

2.50%

Annual

6/17/2026

SEK

295,000,000

45,700

(4,492)

41,208

Pay

3M

STIBOR

Qtrly

3.50%

Annual

3/21/2029

SEK

42,000,000

(10,155)

243,328

233,173

Pay

3M

STIBOR

Qtrly

2.50%

Annual

6/20/2029

SEK

13,000,000

20,220

(2,350)

17,870

Pay

3M

STIBOR

Qtrly

3.50%

Annual

3/15/2034

SEK

4,000,000

42,748

(1,597)

41,151

Pay

3M

STIBOR

Qtrly

3.00%

Annual

3/15/2034

SEK

36,800,000

(70,169)

288,517

218,348

Pay

3M

STIBOR

Qtrly

2.50%

Annual

6/21/2034

SEK

21,000,000

51,481

(11,037)

40,444

Pay

3M

TELBOR

Qtrly

3.50%

Annual

6/17/2026

ILS

7,400,000

11,124

116

11,240

Pay

3M

TELBOR

Qtrly

3.50%

Annual

6/20/2029

ILS

5,800,000

8,782

6,764

15,546

Pay

6M

BBR

Semi

4.50%

Semi

3/08/2029

AUD

63,300,000

(53,758)

1,184,944

1,131,186

Pay

6M

BBR

Semi

4.50%

Semi

6/07/2029

AUD

63,000,000

331,467

811,698

1,143,165

Pay

6M

BBR

Semi

5.00%

Semi

3/09/2034

AUD

5,000,000

190,722

37,907

228,629

Pay

6M

BBR

Semi

4.50%

Semi

6/08/2034

AUD

1,000,000

(13,485)

30,870

17,385

Pay

6M

BBR

Semi

5.00%

Semi

3/10/2044

AUD

3,800,000

(631)

245,529

244,898

Pay

6M

BBR

Semi

4.50%

Semi

3/10/2044

AUD

3,100,000

(139,616)

195,307

55,691

Pay

6M

BBR

Semi

5.00%

Semi

6/09/2044

AUD

4,200,000

4,195

265,720

269,915

Pay

6M

BUBOR

Semi

7.50%

Annual

3/18/2026

HUF

3,110,000,000

44,316

202,106

246,422

Pay

6M

BUBOR

Semi

7.00%

Annual

3/18/2026

HUF

390,000,000

3,755

16,983

20,738

Pay

6M

BUBOR

Semi

6.50%

Annual

6/17/2026

HUF

460,000,000

5,248

21,999

27,247

Pay

6M

BUBOR

Semi

7.00%

Annual

3/21/2029

HUF

730,000,000

38,323

99,510

137,833

Pay

6M

BUBOR

Semi

6.50%

Annual

3/21/2029

HUF

300,000,000

5,314

32,888

38,202

Pay

6M

BUBOR

Semi

6.50%

Annual

6/20/2029

HUF

130,000,000

5,707

14,503

20,210

Pay

6M

BUBOR

Semi

6.00%

Annual

6/20/2029

HUF

260,000,000

11,080

13,524

24,604

Pay

6M

EURIBOR

Semi

3.25%

Annual

3/20/2026

EUR

151,000,000

(89,608)

2,271,604

2,181,996

Pay

6M

EURIBOR

Semi

3.25%

Annual

6/19/2026

EUR

274,500,000

4,256,968

999,085

5,256,053

Pay

6M

EURIBOR

Semi

3.00%

Annual

3/20/2034

EUR

25,600,000

(296,577)

1,644,200

1,347,623

Pay

6M

EURIBOR

Semi

3.00%

Annual

6/19/2034

EUR

23,200,000

1,278,521

4,292

1,282,813

Pay

6M

NIBOR

Semi

3.50%

Annual

6/20/2029

NOK

356,100,000

(122,130)

502,920

380,790

Pay

6M

NIBOR

Semi

4.00%

Annual

3/15/2034

NOK

80,200,000

326,558

143,581

470,139

Pay

6M

PRIBOR

Semi

4.50%

Annual

3/18/2026

CZK

37,800,000

3,138

16,601

19,739

Pay

6M

PRIBOR

Semi

3.50%

Annual

6/17/2026

CZK

18,000,000

(684)

1,756

1,072

Pay

6M

PRIBOR

Semi

4.00%

Annual

6/17/2026

CZK

282,000,000

51,113

84,579

135,692

Pay

6M

PRIBOR

Semi

4.00%

Annual

3/21/2029

CZK

85,000,000

11,265

95,029

106,294

Pay

6M

PRIBOR

Semi

4.00%

Annual

6/20/2029

CZK

15,000,000

8,940

14,921

23,861

Pay

6M

PRIBOR

Semi

3.50%

Annual

6/20/2029

CZK

54,000,000

(1,525)

32,338

30,813

Pay

6M

WIBOR

Semi

4.50%

Annual

6/17/2026

PLN

27,800,000

29,809

(26,762)

3,047

Pay

6M

WIBOR

Semi

4.50%

Annual

6/20/2029

PLN

12,400,000

48,502

(11,958)

36,544

Receive

1D

SOFR

Annual

3.50%

Annual

3/20/2026

USD

84,400,000

1,182,297

(677,081)

505,216

Receive

1D

SOFR

Annual

3.25%

Annual

3/20/2034

USD

7,200,000

127,940

(19,318)

108,622

158

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

1M

TIIE

Monthly

9.00%

Monthly

3/18/2026

MXN

35,200,000

$

7,047

$

5,047

$

12,094

7,249,961

26,161,440

33,411,401

Pay

1D

SARON

Annual

1.00%

Annual

6/19/2029

CHF

800,000

(9,531)

8,958

(573)

Pay

1D

SARON

Annual

1.00%

Annual

6/19/2034

CHF

200,000

(2,455)

(850)

(3,305)

Pay

1D

SOFR

Annual

3.25%

Annual

3/20/2029

USD

42,100,000

(1,864,459)

1,514,438

(350,021)

Pay

1D

SOFR

Annual

3.00%

Annual

3/20/2054

USD

2,000,000

(351,372)

243,272

(108,100)

Pay

1D

SORA

Semi

2.50%

Semi

6/17/2026

SGD

5,100,000

(13,277)

10,852

(2,425)

Pay

1D

TONAR

Annual

0.50%

Annual

6/19/2029

JPY

790,000,000

(11,535)

494

(11,041)

Pay

3M

JIBAR

Qtrly

7.50%

Qtrly

6/17/2026

ZAR

150,000,000

(4,911)

(8,653)

(13,564)

Pay

3M

TELBOR

Qtrly

3.00%

Annual

6/17/2026

ILS

6,300,000

(4,956)

(1,867)

(6,823)

Pay

6M

NIBOR

Semi

3.50%

Annual

6/17/2026

NOK

74,000,000

(10,347)

5,134

(5,213)

Pay

6M

WIBOR

Semi

4.00%

Annual

6/20/2029

PLN

3,600,000

28

(8,689)

(8,661)

Receive

1D

CORRA

Semi

4.50%

Semi

3/18/2026

CAD

91,600,000

(33,869)

(1,135,954)

(1,169,823)

Receive

1D

CORRA

Semi

3.50%

Semi

6/17/2026

CAD

1,500,000

533

(3,891)

(3,358)

Receive

1D

CORRA

Semi

4.00%

Semi

6/17/2026

CAD

2,300,000

(8,773)

(12,600)

(21,373)

Receive

1D

CORRA

Semi

4.00%

Semi

3/20/2034

CAD

1,200,000

(64,673)

(10,184)

(74,857)

Receive

1D

CORRA

Semi

3.50%

Semi

6/19/2034

CAD

100,000

319

(3,637)

(3,318)

Receive

1D

SARON

Annual

1.50%

Annual

3/20/2029

CHF

81,200,000

(612,600)

(1,604,467)

(2,217,067)

Receive

1D

SARON

Annual

1.50%

Annual

6/19/2034

CHF

1,700,000

(12,335)

(55,449)

(67,784)

Receive

1D

SOFR

Annual

4.00%

Annual

3/20/2026

USD

73,500,000

517,560

(773,440)

(255,880)

Receive

1D

SOFR

Annual

4.00%

Annual

6/19/2026

USD

189,100,000

593,653

(2,153,494)

(1,559,841)

Receive

1D

SOFR

Annual

3.75%

Annual

6/19/2034

USD

27,400,000

327,887

(1,154,574)

(826,687)

Receive

1D

SONIA

Annual

4.75%

Annual

3/20/2029

GBP

2,600,000

(104,429)

(115,114)

(219,543)

Receive

1D

SONIA

Annual

4.50%

Annual

6/19/2029

GBP

80,800,000

(2,555,932)

(3,609,219)

(6,165,151)

Receive

1D

SONIA

Annual

3.75%

Annual

6/19/2029

GBP

4,200,000

(91,330)

(51,294)

(142,624)

Receive

1D

SONIA

Annual

4.25%

Annual

3/20/2034

GBP

3,500,000

(138,505)

(234,779)

(373,284)

Receive

1D

TONAR

Annual

0.50%

Annual

3/23/2026

JPY

73,040,000,000

(1,647,769)

(1,049,139)

(2,696,908)

Receive

1D

TONAR

Annual

1.00%

Annual

3/21/2034

JPY

11,650,000,000

(329,514)

(592,415)

(921,929)

Receive

1M

TIIE

Monthly

10.00%

Monthly

3/18/2026

MXN

64,000,000

(429)

(44,738)

(45,167)

Receive

1M

TIIE

Monthly

9.00%

Monthly

6/17/2026

MXN

226,400,000

2,992

(29,161)

(26,169)

Receive

1M

TIIE

Monthly

8.50%

Monthly

3/14/2029

MXN

8,000,000

4,531

(6,746)

(2,215)

Receive

1M

TIIE

Monthly

9.50%

Monthly

3/14/2029

MXN

9,000,000

(4,238)

(19,186)

(23,424)

Receive

1M

TIIE

Monthly

8.50%

Monthly

6/13/2029

MXN

94,000,000

(13,222)

(52,658)

(65,880)

Receive

3M

BBR

Qtrly

5.50%

Semi

3/11/2026

NZD

7,000,000

(28,561)

(57,172)

(85,733)

Receive

3M

BBR

Qtrly

4.50%

Qtrly

3/12/2026

AUD

182,200,000

(242,415)

(1,414,749)

(1,657,164)

Receive

3M

BBR

Qtrly

4.50%

Qtrly

6/11/2026

AUD

137,800,000

(358,422)

(1,035,252)

(1,393,674)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

6/11/2026

AUD

63,500,000

90,389

(326,699)

(236,310)

Receive

3M

BBR

Qtrly

5.00%

Semi

3/14/2029

NZD

13,900,000

(105,246)

(281,276)

(386,522)

Receive

3M

BBR

Qtrly

4.50%

Semi

6/13/2029

NZD

30,100,000

171,020

(653,800)

(482,780)

Receive

3M

CD_KSDA

Qtrly

3.50%

Qtrly

6/17/2026

KRW

1,500,000,000

327

(11,094)

(10,767)

Receive

3M

STIBOR

Qtrly

4.00%

Annual

3/18/2026

SEK

132,000,000

(58,844)

(271,012)

(329,856)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

3/18/2026

SEK

165,500,000

53,430

(311,105)

(257,675)

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/17/2026

SEK

3,000,000

(1,593)

(1,638)

(3,231)

Receive

6M

BBR

Semi

4.50%

Semi

3/09/2034

AUD

8,200,000

137,761

(283,255)

(145,494)

Receive

6M

BBR

Semi

5.00%

Semi

6/08/2034

AUD

800,000

(17,242)

(18,590)

(35,832)

Receive

6M

EURIBOR

Semi

3.00%

Annual

3/20/2029

EUR

97,000,000

(5,933)

(3,228,043)

(3,233,976)

Receive

6M

EURIBOR

Semi

3.00%

Annual

6/19/2029

EUR

70,500,000

(2,432,950)

(175,365)

(2,608,315)

Receive

6M

EURIBOR

Semi

2.75%

Annual

6/19/2054

EUR

3,100,000

(279,904)

(53,660)

(333,564)

Receive

6M

NIBOR

Semi

4.50%

Annual

3/18/2026

NOK

367,000,000

(57,867)

(432,433)

(490,300)

Receive

6M

NIBOR

Semi

4.00%

Annual

6/17/2026

NOK

294,300,000

(59,228)

(189,443)

(248,671)

Receive

6M

NIBOR

Semi

4.50%

Annual

3/21/2029

NOK

11,000,000

(44,695)

(11,159)

(55,854)

Receive

6M

NIBOR

Semi

3.50%

Annual

6/21/2034

NOK

95,400,000

34,199

(235,904)

(201,705)

(9,648,732)

(19,940,699)

(29,589,431)

$

(2,398,771)

$

6,220,741

$

3,821,970

159

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Abbreviations:

1D:

1

Day

1M:

1

Month

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

December

31,

2023

were

as

follows:

1

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

5.06%

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.38%

1

Day

Singapore

Overnight

Rate

Average

(“SORA”):

3.62%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

5.19%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.70%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.04%

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.50%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.36%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

5.15%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

8.40%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

3.83%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

4.05%

3

Month

Tel

Aviv

Interbank

Offer

Rate

(''TELBOR''):

4.60%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.45%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

9.59%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.86%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

4.84%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

6.43%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

5.72%

Total

return

swap

contracts

outstanding

as

of

December

31,

2023

:

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2024

HKD

43,180,200

$

154,145

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2024

HKD

82,882,800

308,549

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

02/14/2024

BRL

314,353,850

3,018,021

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

03/14/2024

KRW

7,163,325,000

393,825

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/14/2024

KRW

36,088,650,000

2,026,152

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/17/2024

TWD

35,740,000

15,587

Total

unrealized

appreciation

5,916,279

160

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

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

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

01/19/2024

EUR

52,548,732

$

(268,935)

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/15/2024

CHF

14,959,350

(170,788)

Total

unrealized

depreciation

(439,723)

Net

unrealized

appreciation

$

5,476,556

Futures

contracts

outstanding

as

of

December

31,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

CAC

40

10

Euro

Index

469

1/2024

EUR

$

39,116,205

$

(250,413)

HSCEI

122

1/2024

HKD

4,527,835

120,813

IBEX

35

Index

305

1/2024

EUR

33,960,714

(240,209)

IFSC

NIFTY

50

Index

389

1/2024

USD

16,998,133

187,427

LME

Aluminum

Base

Metal

5

1/2024

USD

294,806

13,429

LME

Aluminum

Base

Metal

13

1/2024

USD

766,106

45,909

LME

Aluminum

Base

Metal

15

1/2024

USD

882,000

65,318

LME

Aluminum

Base

Metal

26

1/2024

USD

1,529,775

82,009

LME

Aluminum

Base

Metal

31

1/2024

USD

1,822,413

141,346

LME

Aluminum

Base

Metal

31

1/2024

USD

1,822,606

123,715

LME

Aluminum

Base

Metal

38

1/2024

USD

2,234,742

110,468

LME

Aluminum

Base

Metal

54

1/2024

USD

3,167,964

108,343

LME

Aluminum

Base

Metal

64

1/2024

USD

3,756,464

180,698

LME

Aluminum

Base

Metal

102

1/2024

USD

5,998,875

355,474

LME

Copper

Base

Metal

2

1/2024

USD

423,911

20,489

LME

Copper

Base

Metal

3

1/2024

USD

637,388

37,181

LME

Copper

Base

Metal

9

1/2024

USD

1,911,848

130,287

LME

Copper

Base

Metal

18

1/2024

USD

3,825,639

219,855

LME

Copper

Base

Metal

19

1/2024

USD

4,037,481

224,956

LME

Copper

Base

Metal

20

1/2024

USD

4,232,835

247,750

LME

Copper

Base

Metal

21

1/2024

USD

4,443,558

230,730

LME

Copper

Base

Metal

22

1/2024

USD

4,667,713

276,715

LME

Copper

Base

Metal

22

1/2024

USD

4,668,675

308,321

LME

Copper

Base

Metal

39

1/2024

USD

8,267,756

422,729

LME

Copper

Base

Metal

47

1/2024

USD

9,977,513

625,024

LME

Copper

Base

Metal

57

1/2024

USD

12,098,250

662,530

LME

Copper

Base

Metal

70

1/2024

USD

14,817,968

969,596

LME

Lead

Base

Metal

1

1/2024

USD

51,208

(1,220)

LME

Lead

Base

Metal

1

1/2024

USD

51,087

(228)

LME

Lead

Base

Metal

2

1/2024

USD

102,281

(1,725)

LME

Lead

Base

Metal

3

1/2024

USD

152,642

(5,406)

LME

Lead

Base

Metal

9

1/2024

USD

459,106

(5,407)

LME

Lead

Base

Metal

9

1/2024

USD

461,315

(12,082)

LME

Lead

Base

Metal

13

1/2024

USD

662,935

(20,899)

LME

Nickel

Base

Metal

2

1/2024

USD

196,860

(26,826)

LME

Nickel

Base

Metal

2

1/2024

USD

197,283

(25,465)

LME

Nickel

Base

Metal

2

1/2024

USD

197,169

(27,614)

LME

Nickel

Base

Metal

3

1/2024

USD

296,261

(31,382)

161

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

3

1/2024

USD

$

296,114

$

(37,615)

LME

Nickel

Base

Metal

4

1/2024

USD

393,000

(58,452)

LME

Nickel

Base

Metal

6

1/2024

USD

590,889

(82,869)

LME

Nickel

Base

Metal

9

1/2024

USD

885,638

(129,264)

LME

Nickel

Base

Metal

15

1/2024

USD

1,476,836

(185,819)

LME

Nickel

Base

Metal

18

1/2024

USD

1,775,264

(237,988)

LME

Nickel

Base

Metal

19

1/2024

USD

1,875,984

(207,993)

LME

Nickel

Base

Metal

19

1/2024

USD

1,875,685

(181,500)

LME

Nickel

Base

Metal

34

1/2024

USD

3,341,375

(495,496)

LME

Tin

Base

Metal

1

1/2024

USD

126,284

1,062

LME

Zinc

Base

Metal

6

1/2024

USD

395,813

24,357

LME

Zinc

Base

Metal

6

1/2024

USD

396,000

15,780

LME

Zinc

Base

Metal

6

1/2024

USD

396,360

26,667

LME

Zinc

Base

Metal

13

1/2024

USD

857,838

39,937

LME

Zinc

Base

Metal

17

1/2024

USD

1,121,575

64,125

LME

Zinc

Base

Metal

21

1/2024

USD

1,384,688

93,913

LME

Zinc

Base

Metal

38

1/2024

USD

2,516,275

158,736

LME

Zinc

Base

Metal

43

1/2024

USD

2,838,000

187,375

LME

Zinc

Base

Metal

61

1/2024

USD

4,034,006

342,882

LME

Zinc

Base

Metal

66

1/2024

USD

4,366,313

313,300

LME

Zinc

Base

Metal

67

1/2024

USD

4,431,631

312,606

LME

Zinc

Base

Metal

71

1/2024

USD

4,680,231

201,552

LME

Zinc

Base

Metal

76

1/2024

USD

5,025,367

442,343

OMXS30

Index

212

1/2024

SEK

5,047,219

56,692

SGX

FTSE

China

A50

Index

3,605

1/2024

USD

41,439,475

1,113,925

SGX

FTSE

Taiwan

Index

878

1/2024

USD

54,453,560

804,188

100

oz

Gold

267

2/2024

USD

55,317,060

1,381,677

Coal

8

2/2024

USD

256,000

2,409

LME

Aluminum

Base

Metal

22

2/2024

USD

1,299,375

45,309

LME

Aluminum

Base

Metal

23

2/2024

USD

1,361,600

78,481

LME

Aluminum

Base

Metal

48

2/2024

USD

2,836,500

108,816

LME

Aluminum

Base

Metal

48

2/2024

USD

2,840,256

183,312

LME

Aluminum

Base

Metal

50

2/2024

USD

2,965,788

212,527

LME

Aluminum

Base

Metal

54

2/2024

USD

3,201,066

202,555

LME

Aluminum

Base

Metal

63

2/2024

USD

3,728,813

228,580

LME

Aluminum

Base

Metal

64

2/2024

USD

3,783,008

212,417

LME

Aluminum

Base

Metal

77

2/2024

USD

4,541,807

220,090

LME

Aluminum

Base

Metal

104

2/2024

USD

6,159,140

362,129

LME

Aluminum

Base

Metal

164

2/2024

USD

9,724,831

704,341

LME

Aluminum

Base

Metal

234

2/2024

USD

13,855,725

917,632

LME

Copper

Base

Metal

1

2/2024

USD

212,975

8,872

LME

Copper

Base

Metal

1

2/2024

USD

213,081

10,504

LME

Copper

Base

Metal

1

2/2024

USD

213,200

5,428

LME

Copper

Base

Metal

8

2/2024

USD

1,703,700

54,604

LME

Copper

Base

Metal

9

2/2024

USD

1,920,762

22,590

LME

Copper

Base

Metal

9

2/2024

USD

1,916,888

75,735

LME

Copper

Base

Metal

9

2/2024

USD

1,917,056

97,808

LME

Copper

Base

Metal

10

2/2024

USD

2,131,000

80,632

LME

Copper

Base

Metal

10

2/2024

USD

2,131,500

67,457

LME

Copper

Base

Metal

10

2/2024

USD

2,133,668

37,212

LME

Copper

Base

Metal

13

2/2024

USD

2,771,763

26,923

LME

Copper

Base

Metal

25

2/2024

USD

5,319,000

240,917

LME

Copper

Base

Metal

43

2/2024

USD

9,175,867

183,479

LME

Copper

Base

Metal

56

2/2024

USD

11,941,342

197,255

LME

Copper

Base

Metal

131

2/2024

USD

27,929,200

829,518

LME

Lead

Base

Metal

1

2/2024

USD

51,395

(2,996)

162

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

2

2/2024

USD

$

102,700

$

(1,655)

LME

Lead

Base

Metal

3

2/2024

USD

154,549

(11,528)

LME

Lead

Base

Metal

5

2/2024

USD

256,813

(12,780)

LME

Lead

Base

Metal

6

2/2024

USD

309,233

(28,433)

LME

Lead

Base

Metal

10

2/2024

USD

516,698

(19,954)

LME

Lead

Base

Metal

13

2/2024

USD

670,251

(68,508)

LME

Lead

Base

Metal

14

2/2024

USD

721,875

(69,862)

LME

Lead

Base

Metal

14

2/2024

USD

721,788

(64,699)

LME

Lead

Base

Metal

15

2/2024

USD

774,724

(43,191)

LME

Lead

Base

Metal

16

2/2024

USD

823,692

(47,761)

LME

Lead

Base

Metal

22

2/2024

USD

1,131,130

(75,338)

LME

Lead

Base

Metal

41

2/2024

USD

2,108,528

(130,445)

LME

Nickel

Base

Metal

6

2/2024

USD

593,698

(62,297)

LME

Nickel

Base

Metal

9

2/2024

USD

891,540

(50,787)

LME

Nickel

Base

Metal

13

2/2024

USD

1,287,897

(73,242)

LME

Nickel

Base

Metal

17

2/2024

USD

1,685,278

(17,969)

LME

Nickel

Base

Metal

24

2/2024

USD

2,377,872

(84,360)

LME

Nickel

Base

Metal

24

2/2024

USD

2,377,224

(85,248)

LME

Nickel

Base

Metal

25

2/2024

USD

2,480,175

26,850

LME

Nickel

Base

Metal

26

2/2024

USD

2,574,078

(219,270)

LME

Nickel

Base

Metal

27

2/2024

USD

2,672,600

(250,244)

LME

Nickel

Base

Metal

29

2/2024

USD

2,877,525

(10,962)

LME

Nickel

Base

Metal

30

2/2024

USD

2,969,023

(247,314)

LME

Tin

Base

Metal

1

2/2024

USD

126,505

2,897

LME

Tin

Base

Metal

1

2/2024

USD

126,400

6,897

LME

Tin

Base

Metal

3

2/2024

USD

380,415

32,782

LME

Tin

Base

Metal

3

2/2024

USD

380,382

23,794

LME

Zinc

Base

Metal

8

2/2024

USD

531,650

15,914

LME

Zinc

Base

Metal

17

2/2024

USD

1,127,793

44,757

LME

Zinc

Base

Metal

19

2/2024

USD

1,262,669

50,222

LME

Zinc

Base

Metal

29

2/2024

USD

1,924,911

50,399

LME

Zinc

Base

Metal

31

2/2024

USD

2,060,283

7,041

LME

Zinc

Base

Metal

34

2/2024

USD

2,259,929

151,846

LME

Zinc

Base

Metal

34

2/2024

USD

2,259,929

87,652

LME

Zinc

Base

Metal

36

2/2024

USD

2,384,946

212,238

LME

Zinc

Base

Metal

42

2/2024

USD

2,786,963

41,087

LME

Zinc

Base

Metal

43

2/2024

USD

2,858,146

147,942

LME

Zinc

Base

Metal

49

2/2024

USD

3,246,936

154,889

LME

Zinc

Base

Metal

70

2/2024

USD

4,653,460

278,251

LME

Zinc

Base

Metal

75

2/2024

USD

4,986,563

242,588

LME

Zinc

Base

Metal

76

2/2024

USD

5,052,708

186,581

LME

Zinc

Base

Metal

92

2/2024

USD

6,114,803

240,240

Low

Sulphur

Gasoil

50

2/2024

USD

3,711,250

4,982

Mont

Belvieu

Propane

30

2/2024

USD

874,125

46,497

Natural

Gas

50

2/2024

USD

2,121,000

163,825

SGX

Iron

Ore

329

2/2024

USD

4,564,546

114,629

Sugar

No.

11

47

2/2024

USD

1,083,331

(365,939)

Australia

10

Year

Bond

91

3/2024

AUD

7,237,458

36,671

Coal

3

3/2024

USD

299,550

(508)

Cocoa

117

3/2024

GBP

5,228,640

8,814

Cocoa

223

3/2024

USD

9,357,080

394,416

Copper

10

3/2024

USD

972,625

1,172

DAX

Index

2

3/2024

EUR

933,555

(5,275)

DJIA

CBOT

E-Mini

Index

197

3/2024

USD

37,441,820

1,011,494

Euro

STOXX

50

Index

527

3/2024

EUR

26,430,340

(319,315)

EURO

STOXX

50

Volatility

Index

58

3/2024

EUR

105,648

1,799

163

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Euro-Bobl

224

3/2024

EUR

$

29,493,658

$

236,062

Euro-BTP

134

3/2024

EUR

17,639,090

381,015

Euro-Bund

169

3/2024

EUR

25,591,471

193,202

Euro-Buxl

57

3/2024

EUR

8,878,739

395,376

Euro-OAT

145

3/2024

EUR

21,036,761

(31,562)

Euro-Schatz

71

3/2024

EUR

8,350,653

15,839

FTSE

100

Index

56

3/2024

GBP

5,536,621

(5,154)

FTSE/JSE

Top

40

Index

132

3/2024

ZAR

5,151,554

135,891

FTSE/MIB

Index

251

3/2024

EUR

42,285,541

(193,121)

Japan

10

Year

Bond

35

3/2024

JPY

36,367,731

(11,222)

KOSPI

200

Index

291

3/2024

KRW

20,487,945

1,331,937

LME

Aluminum

Base

Metal

5

3/2024

USD

297,301

27,786

LME

Aluminum

Base

Metal

11

3/2024

USD

654,682

66,974

LME

Aluminum

Base

Metal

19

3/2024

USD

1,131,312

40,147

LME

Aluminum

Base

Metal

27

3/2024

USD

1,609,200

10,818

LME

Aluminum

Base

Metal

28

3/2024

USD

1,661,345

126,511

LME

Aluminum

Base

Metal

36

3/2024

USD

2,139,894

201,186

LME

Aluminum

Base

Metal

43

3/2024

USD

2,560,016

270,684

LME

Aluminum

Base

Metal

77

3/2024

USD

4,575,610

423,004

LME

Aluminum

Base

Metal

88

3/2024

USD

5,239,102

417,780

LME

Aluminum

Base

Metal

100

3/2024

USD

5,940,550

533,164

LME

Aluminum

Base

Metal

147

3/2024

USD

8,729,963

692,199

LME

Aluminum

Base

Metal

178

3/2024

USD

10,597,364

618,096

LME

Aluminum

Base

Metal

444

3/2024

USD

26,429,100

1,734,988

LME

Copper

Base

Metal

3

3/2024

USD

641,105

8,278

LME

Copper

Base

Metal

4

3/2024

USD

855,550

31

LME

Copper

Base

Metal

7

3/2024

USD

1,496,702

937

LME

Copper

Base

Metal

13

3/2024

USD

2,778,890

60,292

LME

Copper

Base

Metal

16

3/2024

USD

3,415,100

(656)

LME

Copper

Base

Metal

24

3/2024

USD

5,130,726

96,063

LME

Copper

Base

Metal

30

3/2024

USD

6,409,875

122,932

LME

Copper

Base

Metal

40

3/2024

USD

8,553,170

(5,601)

LME

Copper

Base

Metal

42

3/2024

USD

8,980,650

15,465

LME

Copper

Base

Metal

44

3/2024

USD

9,399,225

195,877

LME

Copper

Base

Metal

49

3/2024

USD

10,465,175

63,100

LME

Copper

Base

Metal

61

3/2024

USD

13,034,617

356,887

LME

Copper

Base

Metal

67

3/2024

USD

14,327,816

(70,685)

LME

Copper

Base

Metal

69

3/2024

USD

14,764,275

(131,609)

LME

Copper

Base

Metal

247

3/2024

USD

52,830,213

771,266

LME

Lead

Base

Metal

1

3/2024

USD

51,713

(147)

LME

Lead

Base

Metal

1

3/2024

USD

51,816

(299)

LME

Lead

Base

Metal

3

3/2024

USD

155,288

(195)

LME

Lead

Base

Metal

4

3/2024

USD

207,163

(98)

LME

Lead

Base

Metal

11

3/2024

USD

569,792

12,063

LME

Lead

Base

Metal

17

3/2024

USD

880,923

(2,272)

LME

Lead

Base

Metal

18

3/2024

USD

932,535

21,868

LME

Lead

Base

Metal

19

3/2024

USD

984,461

17,786

LME

Lead

Base

Metal

19

3/2024

USD

984,561

13,611

LME

Lead

Base

Metal

22

3/2024

USD

1,140,018

24,010

LME

Lead

Base

Metal

35

3/2024

USD

1,813,613

(15,230)

LME

Lead

Base

Metal

60

3/2024

USD

3,108,750

(82,435)

LME

Nickel

Base

Metal

2

3/2024

USD

198,619

2,882

LME

Nickel

Base

Metal

2

3/2024

USD

198,585

939

LME

Nickel

Base

Metal

5

3/2024

USD

496,717

3,329

LME

Nickel

Base

Metal

9

3/2024

USD

895,031

9,362

LME

Nickel

Base

Metal

14

3/2024

USD

1,391,044

(26,818)

164

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

16

3/2024

USD

$

1,592,160

$

(26,928)

LME

Nickel

Base

Metal

22

3/2024

USD

2,190,276

330

LME

Nickel

Base

Metal

27

3/2024

USD

2,679,532

(40,529)

LME

Nickel

Base

Metal

28

3/2024

USD

2,787,624

(7,461)

LME

Tin

Base

Metal

3

3/2024

USD

380,481

26,398

LME

Tin

Base

Metal

3

3/2024

USD

381,225

(887)

LME

Tin

Base

Metal

3

3/2024

USD

380,844

8,752

LME

Tin

Base

Metal

6

3/2024

USD

762,150

11,489

LME

Zinc

Base

Metal

1

3/2024

USD

66,556

3,424

LME

Zinc

Base

Metal

2

3/2024

USD

133,098

7,842

LME

Zinc

Base

Metal

3

3/2024

USD

199,646

16,412

LME

Zinc

Base

Metal

21

3/2024

USD

1,396,626

126,063

LME

Zinc

Base

Metal

24

3/2024

USD

1,595,964

110,292

LME

Zinc

Base

Metal

28

3/2024

USD

1,861,328

121,044

LME

Zinc

Base

Metal

28

3/2024

USD

1,862,378

147,294

LME

Zinc

Base

Metal

31

3/2024

USD

2,061,306

46,081

LME

Zinc

Base

Metal

37

3/2024

USD

2,462,156

250,638

LME

Zinc

Base

Metal

42

3/2024

USD

2,793,788

107,539

LME

Zinc

Base

Metal

49

3/2024

USD

3,260,889

286,442

LME

Zinc

Base

Metal

52

3/2024

USD

3,462,875

123,816

LME

Zinc

Base

Metal

83

3/2024

USD

5,521,741

506,437

LME

Zinc

Base

Metal

89

3/2024

USD

5,914,050

19,627

LME

Zinc

Base

Metal

386

3/2024

USD

25,702,775

1,202,615

Lumber

9

3/2024

USD

141,694

(1,414)

MSCI

EAFE

E-Mini

Index

308

3/2024

USD

34,686,960

1,142,731

MSCI

Emerging

Markets

E-Mini

Index

1,249

3/2024

USD

64,554,565

2,731,666

NASDAQ

100

E-Mini

Index

113

3/2024

USD

38,473,110

1,590,287

Nikkei

225

Index

172

3/2024

JPY

40,804,255

570,632

Robusta

Coffee

104

3/2024

USD

2,954,640

239,138

Rough

Rice

28

3/2024

USD

981,120

13,410

Russell

2000

E-Mini

Index

192

3/2024

USD

19,657,920

1,073,325

S&P

500

E-Mini

Index

165

3/2024

USD

39,765,000

1,092,216

S&P

Midcap

400

E-Mini

Index

101

3/2024

USD

28,375,950

1,064,515

S&P/TSX

60

Index

136

3/2024

CAD

26,078,171

357,585

Silver

45

3/2024

USD

5,419,350

(106,524)

Soybean

308

3/2024

USD

19,989,200

(261,899)

SPI

200

Index

147

3/2024

AUD

18,995,334

240,474

TOPIX

Index

168

3/2024

JPY

28,190,638

190,893

Wheat

362

3/2024

USD

11,366,800

8,734

Crude

Oil

7

5/2024

JPY

164,922

(1,547)

3

Month

Euro

Euribor

56

6/2024

EUR

14,976,186

4,001

90-Day

Australian

Bank

Bill

248

6/2024

AUD

167,312,266

16,454

90-Day

New

Zealand

Bill

142

6/2024

NZD

88,628,907

59,326

3

Month

Euro

Euribor

276

9/2024

EUR

74,169,212

148,433

3

Month

SARON

198

9/2024

CHF

58,086,945

94,537

3

Month

SONIA

57

9/2024

GBP

17,343,669

(2,515)

90-Day

Australian

Bank

Bill

180

9/2024

AUD

121,483,772

18,068

90-Day

New

Zealand

Bill

25

9/2024

NZD

15,618,891

1,302

3

Month

Euro

Euribor

343

12/2024

EUR

92,491,180

229,212

3

Month

SARON

145

12/2024

CHF

42,607,381

89,900

3

Month

SONIA

1

12/2024

GBP

305,932

(49)

90-Day

Australian

Bank

Bill

14

12/2024

AUD

9,452,200

231

90-Day

New

Zealand

Bill

29

12/2024

NZD

18,131,611

1,457

ECX

Emission

6

12/2024

EUR

532,347

1,378

3

Month

Euro

Euribor

175

3/2025

EUR

47,298,048

79,491

3

Month

SARON

159

3/2025

CHF

46,782,638

46,825

165

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

3

Month

SONIA

30

3/2025

GBP

$

9,214,286

$

1,987

3

Month

Euro

Euribor

234

6/2025

EUR

63,334,660

226,727

3

Month

SARON

109

6/2025

CHF

32,098,656

(15,381)

3

Month

SONIA

4

6/2025

GBP

1,231,949

174

3

Month

Euro

Euribor

249

9/2025

EUR

67,422,063

259,442

3

Month

SONIA

4

9/2025

GBP

1,234,244

(49)

3

Month

Euro

Euribor

273

12/2025

EUR

73,916,808

227,645

3

Month

SONIA

22

12/2025

GBP

6,795,701

(1,338)

3

Month

SONIA

34

3/2026

GBP

10,508,406

9,648

Total

of

long

contracts

39,623,566

Short

Contracts

Brent

Crude

Oil

(84)

1/2024

USD

(6,471,360)

(119,047)

CBOE

Volatility

Index

(95)

1/2024

USD

(1,334,864)

85,439

EURO

STOXX

50

Volatility

Index

(864)

1/2024

EUR

(1,416,412)

63,688

Hang

Seng

Index

(27)

1/2024

HKD

(2,961,926)

(71,025)

LME

Aluminum

Base

Metal

(5)

1/2024

USD

(294,806)

(13,176)

LME

Aluminum

Base

Metal

(13)

1/2024

USD

(766,106)

(45,288)

LME

Aluminum

Base

Metal

(15)

1/2024

USD

(882,000)

(64,777)

LME

Aluminum

Base

Metal

(26)

1/2024

USD

(1,529,775)

(78,509)

LME

Aluminum

Base

Metal

(31)

1/2024

USD

(1,822,606)

(126,369)

LME

Aluminum

Base

Metal

(31)

1/2024

USD

(1,822,413)

(140,161)

LME

Aluminum

Base

Metal

(38)

1/2024

USD

(2,234,742)

(104,294)

LME

Aluminum

Base

Metal

(54)

1/2024

USD

(3,167,964)

(90,373)

LME

Aluminum

Base

Metal

(64)

1/2024

USD

(3,756,464)

(178,909)

LME

Aluminum

Base

Metal

(102)

1/2024

USD

(5,998,875)

(373,713)

LME

Copper

Base

Metal

(2)

1/2024

USD

(423,911)

(21,016)

LME

Copper

Base

Metal

(3)

1/2024

USD

(637,388)

(38,595)

LME

Copper

Base

Metal

(9)

1/2024

USD

(1,911,848)

(135,046)

LME

Copper

Base

Metal

(18)

1/2024

USD

(3,825,639)

(215,111)

LME

Copper

Base

Metal

(19)

1/2024

USD

(4,037,481)

(228,505)

LME

Copper

Base

Metal

(20)

1/2024

USD

(4,232,835)

(243,888)

LME

Copper

Base

Metal

(21)

1/2024

USD

(4,443,558)

(258,838)

LME

Copper

Base

Metal

(22)

1/2024

USD

(4,668,675)

(311,633)

LME

Copper

Base

Metal

(22)

1/2024

USD

(4,667,713)

(272,583)

LME

Copper

Base

Metal

(39)

1/2024

USD

(8,267,756)

(428,226)

LME

Copper

Base

Metal

(47)

1/2024

USD

(9,977,513)

(614,985)

LME

Copper

Base

Metal

(57)

1/2024

USD

(12,098,250)

(658,325)

LME

Copper

Base

Metal

(70)

1/2024

USD

(14,817,968)

(981,300)

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,208)

1,086

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,087)

95

LME

Lead

Base

Metal

(2)

1/2024

USD

(102,281)

1,961

LME

Lead

Base

Metal

(3)

1/2024

USD

(152,642)

6,627

LME

Lead

Base

Metal

(9)

1/2024

USD

(459,106)

3,761

LME

Lead

Base

Metal

(9)

1/2024

USD

(461,315)

10,911

LME

Lead

Base

Metal

(13)

1/2024

USD

(662,935)

21,183

LME

Nickel

Base

Metal

(2)

1/2024

USD

(196,860)

27,702

LME

Nickel

Base

Metal

(2)

1/2024

USD

(197,169)

27,406

LME

Nickel

Base

Metal

(2)

1/2024

USD

(197,283)

24,951

LME

Nickel

Base

Metal

(3)

1/2024

USD

(296,114)

35,606

LME

Nickel

Base

Metal

(3)

1/2024

USD

(296,261)

29,688

LME

Nickel

Base

Metal

(4)

1/2024

USD

(393,000)

55,548

LME

Nickel

Base

Metal

(6)

1/2024

USD

(590,889)

80,494

LME

Nickel

Base

Metal

(9)

1/2024

USD

(885,638)

129,519

LME

Nickel

Base

Metal

(15)

1/2024

USD

(1,476,836)

198,470

LME

Nickel

Base

Metal

(18)

1/2024

USD

(1,775,264)

235,859

LME

Nickel

Base

Metal

(19)

1/2024

USD

(1,875,984)

216,723

166

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(19)

1/2024

USD

$

(1,875,685)

$

194,661

LME

Nickel

Base

Metal

(34)

1/2024

USD

(3,341,375)

481,485

LME

Tin

Base

Metal

(1)

1/2024

USD

(126,284)

(1,415)

LME

Zinc

Base

Metal

(6)

1/2024

USD

(396,360)

(27,942)

LME

Zinc

Base

Metal

(6)

1/2024

USD

(396,000)

(13,518)

LME

Zinc

Base

Metal

(6)

1/2024

USD

(395,813)

(24,222)

LME

Zinc

Base

Metal

(13)

1/2024

USD

(857,838)

(44,628)

LME

Zinc

Base

Metal

(17)

1/2024

USD

(1,121,575)

(68,358)

LME

Zinc

Base

Metal

(21)

1/2024

USD

(1,384,688)

(91,764)

LME

Zinc

Base

Metal

(38)

1/2024

USD

(2,516,275)

(166,036)

LME

Zinc

Base

Metal

(43)

1/2024

USD

(2,838,000)

(195,142)

LME

Zinc

Base

Metal

(61)

1/2024

USD

(4,034,006)

(329,182)

LME

Zinc

Base

Metal

(66)

1/2024

USD

(4,366,313)

(311,051)

LME

Zinc

Base

Metal

(67)

1/2024

USD

(4,431,631)

(291,011)

LME

Zinc

Base

Metal

(71)

1/2024

USD

(4,680,231)

(225,669)

LME

Zinc

Base

Metal

(76)

1/2024

USD

(5,025,367)

(437,025)

MSCI

Singapore

Index

(336)

1/2024

SGD

(7,324,660)

(265,080)

Natural

Gas

(15)

1/2024

GBP

(447,515)

24,639

Natural

Gas

(30)

1/2024

EUR

(745,683)

112,346

Natural

Gas

(2,258)

1/2024

USD

(56,766,120)

(4,964,650)

NY

Harbor

ULSD

(311)

1/2024

USD

(33,032,492)

127,903

Rapeseed

(188)

1/2024

EUR

(4,545,183)

(51,138)

RBOB

Gasoline

(181)

1/2024

USD

(16,012,093)

(559,061)

WTI

Crude

Oil

(251)

1/2024

USD

(17,984,150)

(241,404)

CBOE

Volatility

Index

(38)

2/2024

USD

(581,225)

83,839

EURO

STOXX

50

Volatility

Index

(80)

2/2024

EUR

(141,747)

2,019

French

Base

Electricity

(10)

2/2024

EUR

(698,814)

18,313

Italian

Base

Electricity

(4)

2/2024

EUR

(335,738)

3,246

Lean

Hogs

(223)

2/2024

USD

(6,063,370)

(3,836)

Live

Cattle

(18)

2/2024

USD

(1,213,200)

26,010

LME

Aluminum

Base

Metal

(22)

2/2024

USD

(1,299,375)

(44,149)

LME

Aluminum

Base

Metal

(23)

2/2024

USD

(1,361,600)

(79,426)

LME

Aluminum

Base

Metal

(48)

2/2024

USD

(2,840,256)

(174,402)

LME

Aluminum

Base

Metal

(48)

2/2024

USD

(2,836,500)

(115,572)

LME

Aluminum

Base

Metal

(50)

2/2024

USD

(2,965,788)

(213,992)

LME

Aluminum

Base

Metal

(54)

2/2024

USD

(3,201,066)

(204,014)

LME

Aluminum

Base

Metal

(63)

2/2024

USD

(3,728,813)

(221,301)

LME

Aluminum

Base

Metal

(64)

2/2024

USD

(3,783,008)

(205,223)

LME

Aluminum

Base

Metal

(77)

2/2024

USD

(4,541,807)

(222,337)

LME

Aluminum

Base

Metal

(104)

2/2024

USD

(6,159,140)

(352,527)

LME

Aluminum

Base

Metal

(164)

2/2024

USD

(9,724,831)

(673,518)

LME

Aluminum

Base

Metal

(234)

2/2024

USD

(13,855,725)

(926,062)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,081)

(10,395)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,200)

(4,728)

LME

Copper

Base

Metal

(1)

2/2024

USD

(212,975)

(8,948)

LME

Copper

Base

Metal

(8)

2/2024

USD

(1,703,700)

(56,867)

LME

Copper

Base

Metal

(9)

2/2024

USD

(1,917,056)

(100,168)

LME

Copper

Base

Metal

(9)

2/2024

USD

(1,920,762)

(23,998)

LME

Copper

Base

Metal

(9)

2/2024

USD

(1,916,888)

(66,624)

LME

Copper

Base

Metal

(10)

2/2024

USD

(2,131,000)

(86,558)

LME

Copper

Base

Metal

(10)

2/2024

USD

(2,133,668)

(36,194)

LME

Copper

Base

Metal

(10)

2/2024

USD

(2,131,500)

(74,276)

LME

Copper

Base

Metal

(13)

2/2024

USD

(2,771,763)

(23,272)

LME

Copper

Base

Metal

(25)

2/2024

USD

(5,319,000)

(253,972)

LME

Copper

Base

Metal

(43)

2/2024

USD

(9,175,867)

(144,169)

LME

Copper

Base

Metal

(56)

2/2024

USD

(11,941,342)

(171,164)

167

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(131)

2/2024

USD

$

(27,929,200)

$

(846,805)

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,395)

3,253

LME

Lead

Base

Metal

(2)

2/2024

USD

(102,700)

2,087

LME

Lead

Base

Metal

(3)

2/2024

USD

(154,549)

12,205

LME

Lead

Base

Metal

(5)

2/2024

USD

(256,813)

12,049

LME

Lead

Base

Metal

(6)

2/2024

USD

(309,233)

30,825

LME

Lead

Base

Metal

(10)

2/2024

USD

(516,698)

21,173

LME

Lead

Base

Metal

(13)

2/2024

USD

(670,251)

73,122

LME

Lead

Base

Metal

(14)

2/2024

USD

(721,875)

71,124

LME

Lead

Base

Metal

(14)

2/2024

USD

(721,788)

63,242

LME

Lead

Base

Metal

(15)

2/2024

USD

(774,724)

41,561

LME

Lead

Base

Metal

(16)

2/2024

USD

(823,692)

49,066

LME

Lead

Base

Metal

(22)

2/2024

USD

(1,131,130)

75,512

LME

Lead

Base

Metal

(41)

2/2024

USD

(2,108,528)

129,814

LME

Nickel

Base

Metal

(6)

2/2024

USD

(593,698)

59,504

LME

Nickel

Base

Metal

(9)

2/2024

USD

(891,540)

47,798

LME

Nickel

Base

Metal

(13)

2/2024

USD

(1,287,897)

71,854

LME

Nickel

Base

Metal

(17)

2/2024

USD

(1,685,278)

8,784

LME

Nickel

Base

Metal

(24)

2/2024

USD

(2,377,872)

90,116

LME

Nickel

Base

Metal

(24)

2/2024

USD

(2,377,224)

96,942

LME

Nickel

Base

Metal

(25)

2/2024

USD

(2,480,175)

(640)

LME

Nickel

Base

Metal

(26)

2/2024

USD

(2,574,078)

208,571

LME

Nickel

Base

Metal

(27)

2/2024

USD

(2,672,600)

236,029

LME

Nickel

Base

Metal

(29)

2/2024

USD

(2,877,525)

9,455

LME

Nickel

Base

Metal

(30)

2/2024

USD

(2,969,023)

262,248

LME

Tin

Base

Metal

(1)

2/2024

USD

(126,400)

(7,020)

LME

Tin

Base

Metal

(1)

2/2024

USD

(126,505)

(3,108)

LME

Tin

Base

Metal

(3)

2/2024

USD

(380,415)

(31,909)

LME

Tin

Base

Metal

(3)

2/2024

USD

(380,382)

(26,790)

LME

Zinc

Base

Metal

(8)

2/2024

USD

(531,650)

(20,874)

LME

Zinc

Base

Metal

(17)

2/2024

USD

(1,127,793)

(40,570)

LME

Zinc

Base

Metal

(19)

2/2024

USD

(1,262,669)

(52,663)

LME

Zinc

Base

Metal

(29)

2/2024

USD

(1,924,911)

(44,348)

LME

Zinc

Base

Metal

(31)

2/2024

USD

(2,060,283)

(13,601)

LME

Zinc

Base

Metal

(34)

2/2024

USD

(2,259,929)

(92,960)

LME

Zinc

Base

Metal

(34)

2/2024

USD

(2,259,929)

(149,311)

LME

Zinc

Base

Metal

(36)

2/2024

USD

(2,384,946)

(157,357)

LME

Zinc

Base

Metal

(42)

2/2024

USD

(2,786,963)

(43,906)

LME

Zinc

Base

Metal

(43)

2/2024

USD

(2,858,146)

(136,504)

LME

Zinc

Base

Metal

(49)

2/2024

USD

(3,246,936)

(180,744)

LME

Zinc

Base

Metal

(70)

2/2024

USD

(4,653,460)

(274,362)

LME

Zinc

Base

Metal

(75)

2/2024

USD

(4,986,563)

(215,974)

LME

Zinc

Base

Metal

(76)

2/2024

USD

(5,052,708)

(179,501)

LME

Zinc

Base

Metal

(92)

2/2024

USD

(6,114,803)

(231,136)

Milk

(14)

2/2024

USD

(440,720)

1,012

Phelix

De

Base

Electricity

(9)

2/2024

EUR

(633,496)

(10,582)

White

Sugar

(22)

2/2024

USD

(655,820)

2,378

Australia

3

Year

Bond

(145)

3/2024

AUD

(10,558,409)

(99,134)

Canada

10

Year

Bond

(199)

3/2024

CAD

(18,639,214)

(798,408)

Canola

(487)

3/2024

CAD

(4,802,925)

137,185

CBOE

Volatility

Index

(40)

3/2024

USD

(650,676)

47,948

Coal

(3)

3/2024

USD

(395,850)

7,592

Coffee

'C'

(7)

3/2024

USD

(494,288)

(39,210)

Corn

(5)

3/2024

USD

(117,813)

1,331

Cotton

No.

2

(469)

3/2024

USD

(18,994,500)

(184,575)

Crude

Oil

(17)

3/2024

USD

(1,297,406)

45,516

168

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Crude

Palm

Oil

(38)

3/2024

MYR

$

(769,304)

$

3,679

Fcoj-a

(2)

3/2024

USD

(93,765)

298

Feeder

Cattle

(37)

3/2024

USD

(4,127,350)

(103,071)

French

Base

Electricity

(9)

3/2024

EUR

(1,574,714)

371,830

Italian

Base

Electricity

(7)

3/2024

EUR

(1,645,357)

314,580

KC

HRW

Wheat

(386)

3/2024

USD

(12,390,600)

(263,268)

LME

Aluminum

Base

Metal

(5)

3/2024

USD

(297,301)

(28,385)

LME

Aluminum

Base

Metal

(11)

3/2024

USD

(654,682)

(68,647)

LME

Aluminum

Base

Metal

(19)

3/2024

USD

(1,131,312)

(49,082)

LME

Aluminum

Base

Metal

(27)

3/2024

USD

(1,609,200)

(6,831)

LME

Aluminum

Base

Metal

(28)

3/2024

USD

(1,661,345)

(126,368)

LME

Aluminum

Base

Metal

(36)

3/2024

USD

(2,139,894)

(212,419)

LME

Aluminum

Base

Metal

(43)

3/2024

USD

(2,560,016)

(265,019)

LME

Aluminum

Base

Metal

(77)

3/2024

USD

(4,575,610)

(417,840)

LME

Aluminum

Base

Metal

(88)

3/2024

USD

(5,239,102)

(445,565)

LME

Aluminum

Base

Metal

(100)

3/2024

USD

(5,940,550)

(539,969)

LME

Aluminum

Base

Metal

(147)

3/2024

USD

(8,729,963)

(664,665)

LME

Aluminum

Base

Metal

(178)

3/2024

USD

(10,597,364)

(531,996)

LME

Aluminum

Base

Metal

(1,382)

3/2024

USD

(82,263,550)

(6,032,857)

LME

Copper

Base

Metal

(3)

3/2024

USD

(641,105)

(8,263)

LME

Copper

Base

Metal

(4)

3/2024

USD

(855,550)

(1,761)

LME

Copper

Base

Metal

(7)

3/2024

USD

(1,496,702)

(1,545)

LME

Copper

Base

Metal

(13)

3/2024

USD

(2,778,890)

(59,424)

LME

Copper

Base

Metal

(16)

3/2024

USD

(3,415,100)

(1,792)

LME

Copper

Base

Metal

(24)

3/2024

USD

(5,130,726)

(115,023)

LME

Copper

Base

Metal

(30)

3/2024

USD

(6,409,875)

(118,204)

LME

Copper

Base

Metal

(40)

3/2024

USD

(8,553,170)

37,500

LME

Copper

Base

Metal

(42)

3/2024

USD

(8,980,650)

17,830

LME

Copper

Base

Metal

(44)

3/2024

USD

(9,399,225)

(205,791)

LME

Copper

Base

Metal

(49)

3/2024

USD

(10,465,175)

(39,079)

LME

Copper

Base

Metal

(61)

3/2024

USD

(13,034,617)

(372,103)

LME

Copper

Base

Metal

(67)

3/2024

USD

(14,327,816)

83,811

LME

Copper

Base

Metal

(69)

3/2024

USD

(14,764,275)

115,240

LME

Copper

Base

Metal

(290)

3/2024

USD

(62,027,375)

(144,261)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,816)

223

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,713)

110

LME

Lead

Base

Metal

(3)

3/2024

USD

(155,288)

(270)

LME

Lead

Base

Metal

(4)

3/2024

USD

(207,163)

(106)

LME

Lead

Base

Metal

(11)

3/2024

USD

(569,792)

(9,318)

LME

Lead

Base

Metal

(17)

3/2024

USD

(880,923)

(2,430)

LME

Lead

Base

Metal

(18)

3/2024

USD

(932,535)

(20,966)

LME

Lead

Base

Metal

(19)

3/2024

USD

(984,461)

(18,425)

LME

Lead

Base

Metal

(19)

3/2024

USD

(984,561)

(15,753)

LME

Lead

Base

Metal

(22)

3/2024

USD

(1,140,018)

(23,223)

LME

Lead

Base

Metal

(35)

3/2024

USD

(1,813,613)

14,919

LME

Lead

Base

Metal

(142)

3/2024

USD

(7,357,375)

(71,436)

LME

Nickel

Base

Metal

(2)

3/2024

USD

(198,619)

(85)

LME

Nickel

Base

Metal

(2)

3/2024

USD

(198,585)

554

LME

Nickel

Base

Metal

(5)

3/2024

USD

(496,717)

(1,732)

LME

Nickel

Base

Metal

(9)

3/2024

USD

(895,031)

(12,158)

LME

Nickel

Base

Metal

(14)

3/2024

USD

(1,391,044)

20,114

LME

Nickel

Base

Metal

(16)

3/2024

USD

(1,592,160)

29,432

LME

Nickel

Base

Metal

(22)

3/2024

USD

(2,190,276)

8,449

LME

Nickel

Base

Metal

(27)

3/2024

USD

(2,679,532)

48,070

LME

Nickel

Base

Metal

(410)

3/2024

USD

(40,818,780)

94,604

LME

Tin

Base

Metal

(3)

3/2024

USD

(380,844)

(11,852)

169

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Tin

Base

Metal

(3)

3/2024

USD

$

(380,481)

$

(27,257)

LME

Tin

Base

Metal

(3)

3/2024

USD

(381,225)

(283)

LME

Tin

Base

Metal

(12)

3/2024

USD

(1,524,300)

(123,917)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,556)

(3,284)

LME

Zinc

Base

Metal

(2)

3/2024

USD

(133,098)

(8,079)

LME

Zinc

Base

Metal

(3)

3/2024

USD

(199,646)

(16,897)

LME

Zinc

Base

Metal

(21)

3/2024

USD

(1,396,626)

(121,992)

LME

Zinc

Base

Metal

(24)

3/2024

USD

(1,595,964)

(117,242)

LME

Zinc

Base

Metal

(28)

3/2024

USD

(1,862,378)

(153,709)

LME

Zinc

Base

Metal

(28)

3/2024

USD

(1,861,328)

(120,669)

LME

Zinc

Base

Metal

(31)

3/2024

USD

(2,061,306)

(52,793)

LME

Zinc

Base

Metal

(37)

3/2024

USD

(2,462,156)

(256,141)

LME

Zinc

Base

Metal

(42)

3/2024

USD

(2,793,788)

(120,613)

LME

Zinc

Base

Metal

(49)

3/2024

USD

(3,260,889)

(290,025)

LME

Zinc

Base

Metal

(52)

3/2024

USD

(3,462,875)

(127,230)

LME

Zinc

Base

Metal

(83)

3/2024

USD

(5,521,741)

(498,414)

LME

Zinc

Base

Metal

(89)

3/2024

USD

(5,914,050)

(37,145)

LME

Zinc

Base

Metal

(1,095)

3/2024

USD

(72,913,313)

(5,078,146)

Long

Gilt

(78)

3/2024

GBP

(10,206,734)

(568,912)

Milling

Wheat

No.

2

(904)

3/2024

EUR

(11,102,425)

326,458

Palladium

(70)

3/2024

USD

(7,765,100)

(192,641)

Phelix

De

Base

Electricity

(7)

3/2024

EUR

(1,313,889)

247,752

Soybean

Meal

(88)

3/2024

USD

(3,396,800)

75,176

Soybean

Oil

(394)

3/2024

USD

(11,389,752)

521,341

U.S.

Treasury

10

Year

Note

(250)

3/2024

USD

(28,183,594)

(829,930)

U.S.

Treasury

2

Year

Note

(533)

3/2024

USD

(109,739,703)

(1,162,264)

U.S.

Treasury

5

Year

Note

(524)

3/2024

USD

(56,952,250)

(882,484)

U.S.

Treasury

Long

Bond

(59)

3/2024

USD

(7,347,344)

(537,892)

U.S.

Treasury

Ultra

Bond

(120)

3/2024

USD

(15,971,250)

(1,437,515)

Wheat

(21)

3/2024

ZAR

(352,554)

(8,405)

Wheat

(142)

3/2024

USD

(5,136,850)

39,882

White

Maize

(2)

3/2024

ZAR

(43,154)

(188)

Yellow

Maize

(72)

3/2024

ZAR

(1,498,844)

69,179

Aluminum

(32)

4/2024

USD

(1,908,400)

(193,191)

CBOE

Volatility

Index

(41)

4/2024

USD

(694,995)

40,391

Platinum

(188)

4/2024

USD

(9,486,480)

(362,668)

CBOE

Volatility

Index

(40)

5/2024

USD

(694,328)

(2,620)

Rubber

(7)

5/2024

JPY

(62,901)

(3,932)

Rubber

(14)

6/2024

JPY

(127,340)

(1,246)

3

Month

CORRA

(206)

9/2024

CAD

(37,177,710)

(54,840)

3

Month

SOFR

(356)

9/2024

USD

(84,972,750)

(298,848)

3

Month

CORRA

(42)

12/2024

CAD

(7,612,015)

(40,843)

3

Month

SOFR

(250)

12/2024

USD

(59,934,375)

(363,882)

French

Base

Electricity

(4)

12/2024

EUR

(3,566,131)

120,425

Italian

Base

Electricity

(3)

12/2024

EUR

(3,075,251)

239,213

Phelix

De

Base

Electricity

(4)

12/2024

EUR

(3,694,557)

76,637

UK

Allowances

Carbon

Dioxide

Emissions

(5)

12/2024

GBP

(293,170)

(66,844)

3

Month

CORRA

(130)

3/2025

CAD

(23,648,070)

(187,559)

3

Month

SOFR

(252)

3/2025

USD

(60,643,800)

(351,773)

90-Day

Australian

Bank

Bill

(42)

3/2025

AUD

(28,363,530)

(26,833)

3

Month

CORRA

(121)

6/2025

CAD

(22,078,242)

(83,560)

3

Month

SOFR

(198)

6/2025

USD

(47,802,150)

(334,986)

3

Month

SOFR

(191)

9/2025

USD

(46,212,450)

(326,252)

3

Month

SOFR

(162)

12/2025

USD

(39,240,450)

(271,176)

170

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

SOFR

(141)

3/2026

USD

$

(34,164,300)

$

(167,758)

Total

of

short

contracts

(42,257,361)

Net

value

$

(2,633,795)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

98,335,500

USD

65,519,027

CITI

3/20/2024

$

1,648,494

AUD

98,335,500

USD

65,518,700

JPMC

3/20/2024

1,648,823

BRL

223,169,847

USD

44,813,968

CITI

**

3/20/2024

792,417

BRL

223,169,847

USD

44,813,744

JPMC

**

3/20/2024

792,641

CAD

122,917,499

USD

91,353,980

CITI

3/20/2024

1,508,772

CAD

122,917,501

USD

91,353,525

JPMC

3/20/2024

1,509,229

CHF

43,065,000

USD

49,929,794

CITI

3/20/2024

1,685,101

CHF

43,065,000

USD

49,929,545

JPMC

3/20/2024

1,685,350

CLP

2,200,000,000

USD

2,477,539

CITI

**

3/20/2024

8,688

CLP

2,200,000,000

USD

2,477,526

JPMC

**

3/20/2024

8,700

CNY

46,124,000

USD

6,493,010

CITI

**

3/20/2024

14,909

CNY

46,124,000

USD

6,492,978

JPMC

**

3/20/2024

14,942

COP

14,708,711,188

USD

3,611,902

CITI

**

3/20/2024

125,022

COP

14,708,711,188

USD

3,611,884

JPMC

**

3/20/2024

125,040

CZK

1,679,933,500

USD

74,299,864

CITI

3/20/2024

665,557

CZK

1,679,933,500

USD

74,299,493

JPMC

3/20/2024

665,928

EUR

110,044,528

USD

120,709,904

CITI

3/20/2024

1,152,383

EUR

110,044,531

USD

120,709,303

JPMC

3/20/2024

1,152,987

GBP

99,004,992

USD

125,099,211

CITI

3/20/2024

1,145,721

GBP

99,004,992

USD

125,098,585

JPMC

3/20/2024

1,146,347

HUF

10,078,610,094

USD

28,365,192

CITI

3/20/2024

436,967

HUF

10,078,610,094

USD

28,365,050

JPMC

3/20/2024

437,107

IDR

45,000,000,000

USD

2,879,578

CITI

**

3/20/2024

42,857

IDR

45,000,000,000

USD

2,879,563

JPMC

**

3/20/2024

42,872

ILS

44,915,000

USD

12,189,500

CITI

3/20/2024

245,100

ILS

44,915,000

USD

12,189,439

JPMC

3/20/2024

245,161

INR

8,330,591,148

USD

99,613,395

CITI

**

3/20/2024

138,128

INR

8,330,591,148

USD

99,612,897

JPMC

**

3/20/2024

138,626

KRW

15,358,895,105

USD

11,854,736

CITI

**

3/20/2024

59,067

KRW

15,358,895,105

USD

11,854,677

JPMC

**

3/20/2024

59,125

MXN

472,056,124

USD

26,781,530

CITI

3/20/2024

668,585

MXN

472,056,124

USD

26,819,309

JPMC

3/20/2024

630,806

NOK

742,000,000

USD

71,215,369

CITI

3/20/2024

1,942,573

NOK

742,000,000

USD

71,215,013

JPMC

3/20/2024

1,942,930

NZD

153,528,500

USD

94,537,487

CITI

3/20/2024

2,534,858

NZD

153,528,500

USD

94,537,015

JPMC

3/20/2024

2,535,330

PEN

22,617,500

USD

5,964,062

CITI

**

3/20/2024

135,087

PEN

22,617,500

USD

5,964,032

JPMC

**

3/20/2024

135,117

PHP

121,268,515

USD

2,187,927

CITI

**

3/20/2024

2,440

PHP

101,057,095

USD

1,822,673

JPMC

**

3/20/2024

2,633

PLN

578,730,008

USD

144,463,617

CITI

3/20/2024

2,462,869

PLN

578,730,008

USD

144,462,894

JPMC

3/20/2024

2,463,592

SEK

677,624,624

USD

65,321,002

CITI

3/20/2024

2,068,995

SEK

677,624,625

USD

65,320,676

JPMC

3/20/2024

2,069,320

171

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SGD

36,192,501

USD

27,245,088

CITI

3/20/2024

$

276,909

SGD

36,192,500

USD

27,244,951

JPMC

3/20/2024

277,045

THB

69,500,000

USD

2,029,217

CITI

3/20/2024

20,671

THB

69,500,000

USD

2,029,207

JPMC

3/20/2024

20,681

TWD

872,000,000

USD

28,286,612

CITI

**

3/20/2024

600,876

TWD

872,000,000

USD

28,286,471

JPMC

**

3/20/2024

601,018

USD

10,013,196

CLP

8,742,268,828

CITI

**

3/20/2024

133,532

USD

10,013,246

CLP

8,742,268,828

JPMC

**

3/20/2024

133,582

USD

10,007,004

CZK

223,500,000

CITI

3/20/2024

33,531

USD

10,007,054

CZK

223,500,000

JPMC

3/20/2024

33,582

USD

10,778,030

EUR

9,717,500

CITI

3/20/2024

16,961

USD

10,778,084

EUR

9,717,500

JPMC

3/20/2024

17,015

USD

34,071,061

GBP

26,636,000

CITI

3/20/2024

106,510

USD

34,071,231

GBP

26,636,000

JPMC

3/20/2024

106,682

USD

15,040,164

INR

1,255,000,000

CITI

**

3/20/2024

12,640

USD

15,040,240

INR

1,255,000,000

JPMC

**

3/20/2024

12,715

USD

3,840,825

KRW

4,950,000,000

CITI

**

3/20/2024

1,140

USD

3,840,844

KRW

4,950,000,000

JPMC

**

3/20/2024

1,159

USD

90,445

PHP

5,000,000

CITI

**

3/20/2024

134

USD

90,445

PHP

5,000,000

JPMC

**

3/20/2024

135

ZAR

869,500,000

USD

46,762,560

CITI

3/20/2024

449,735

ZAR

869,500,000

USD

46,762,326

JPMC

3/20/2024

449,969

JPY

32,995,000,000

USD

230,102,587

CITI

3/21/2024

6,798,741

JPY

32,995,000,000

USD

230,101,437

JPMC

3/21/2024

6,799,892

Total

unrealized

appreciation

55,842,051

AUD

25,769,000

USD

17,652,011

CITI

3/20/2024

(50,637)

AUD

25,769,000

USD

17,651,923

JPMC

3/20/2024

(50,550)

CAD

19,692,000

USD

14,951,004

CITI

3/20/2024

(73,926)

CAD

19,692,000

USD

14,950,930

JPMC

3/20/2024

(73,851)

CHF

77,500

USD

93,326

CITI

3/20/2024

(440)

CHF

77,500

USD

93,326

JPMC

3/20/2024

(439)

CLP

6,000,000,000

USD

6,822,761

CITI

**

3/20/2024

(42,143)

CLP

6,000,000,000

USD

6,822,727

JPMC

**

3/20/2024

(42,108)

CNY

26,940,000

USD

3,803,517

CITI

**

3/20/2024

(2,386)

CNY

26,940,000

USD

3,803,497

JPMC

**

3/20/2024

(2,367)

CZK

65,000,000

USD

2,902,469

CITI

3/20/2024

(1,907)

CZK

65,000,000

USD

2,902,455

JPMC

3/20/2024

(1,892)

HUF

3,256,805,047

USD

9,350,095

CITI

3/20/2024

(42,958)

HUF

3,256,805,047

USD

9,350,048

JPMC

3/20/2024

(42,910)

ILS

1,000

USD

278

CITI

3/20/2024

(1)

ILS

1,000

USD

278

JPMC

3/20/2024

(1)

KRW

23,717,790,210

USD

18,492,341

CITI

**

3/20/2024

(94,593)

KRW

23,717,790,210

USD

18,492,248

JPMC

**

3/20/2024

(94,500)

MXN

6,500,000

USD

379,088

CITI

3/20/2024

(1,113)

MXN

6,500,000

USD

379,086

JPMC

3/20/2024

(1,111)

NOK

82,500,000

USD

8,153,752

CITI

3/20/2024

(19,613)

NOK

82,500,000

USD

8,153,711

JPMC

3/20/2024

(19,573)

PHP

207,978,389

USD

3,760,450

CITI

**

3/20/2024

(3,919)

PHP

228,189,809

USD

4,125,567

JPMC

**

3/20/2024

(3,975)

SEK

67,500,001

USD

6,786,489

CITI

3/20/2024

(73,592)

SEK

67,499,999

USD

6,786,455

JPMC

3/20/2024

(73,557)

USD

51,020,460

AUD

76,414,456

CITI

3/20/2024

(1,174,014)

USD

51,020,715

AUD

76,414,456

JPMC

3/20/2024

(1,173,759)

USD

25,314,304

BRL

126,505,500

CITI

**

3/20/2024

(538,018)

USD

25,314,430

BRL

126,505,500

JPMC

**

3/20/2024

(537,891)

USD

88,292,810

CAD

119,571,019

CITI

3/20/2024

(2,041,715)

USD

88,289,617

CAD

119,571,022

JPMC

3/20/2024

(2,044,910)

USD

61,256,294

CHF

53,073,654

CITI

3/20/2024

(2,354,319)

172

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

61,256,601

CHF

53,073,654

JPMC

3/20/2024

$

(2,354,013)

USD

54,439,744

CNY

386,504,000

CITI

**

3/20/2024

(94,486)

USD

54,440,016

CNY

386,504,000

JPMC

**

3/20/2024

(94,214)

USD

607,549

COP

2,450,000,000

CITI

**

3/20/2024

(14,903)

USD

607,552

COP

2,450,000,000

JPMC

**

3/20/2024

(14,900)

USD

18,070,605

CZK

405,500,000

CITI

3/20/2024

(24,444)

USD

18,070,695

CZK

405,500,000

JPMC

3/20/2024

(24,354)

USD

290,692,520

EUR

267,614,999

CITI

3/20/2024

(5,661,841)

USD

290,693,975

EUR

267,615,001

JPMC

3/20/2024

(5,660,388)

USD

43,791,982

GBP

34,495,500

CITI

3/20/2024

(194,507)

USD

43,792,201

GBP

34,495,500

JPMC

3/20/2024

(194,289)

USD

6,250,170

HUF

2,205,000,000

CITI

3/20/2024

(51,171)

USD

6,250,201

HUF

2,205,000,000

JPMC

3/20/2024

(51,140)

USD

16,757,345

IDR

259,500,451,644

CITI

**

3/20/2024

(95,393)

USD

16,757,429

IDR

259,500,451,644

JPMC

**

3/20/2024

(95,309)

USD

18,494,894

ILS

68,404,500

CITI

3/20/2024

(442,712)

USD

18,494,986

ILS

68,404,500

JPMC

3/20/2024

(442,620)

USD

34,145,678

KRW

44,650,000,000

CITI

**

3/20/2024

(489,059)

USD

34,145,849

KRW

44,650,000,000

JPMC

**

3/20/2024

(488,888)

USD

5,496,384

MXN

97,000,000

CITI

3/20/2024

(144,177)

USD

5,496,412

MXN

97,000,000

JPMC

3/20/2024

(144,149)

USD

95,034,090

NOK

1,025,467,123

CITI

3/20/2024

(6,072,467)

USD

95,034,565

NOK

1,025,467,123

JPMC

3/20/2024

(6,071,992)

USD

106,458,035

NZD

173,077,031

CITI

3/20/2024

(2,974,372)

USD

106,458,567

NZD

173,077,031

JPMC

3/20/2024

(2,973,840)

USD

4,132,895

PHP

230,000,000

CITI

**

3/20/2024

(21,393)

USD

4,132,915

PHP

230,000,000

JPMC

**

3/20/2024

(21,373)

USD

35,174,218

PLN

139,437,500

CITI

3/20/2024

(225,816)

USD

35,174,394

PLN

139,437,500

JPMC

3/20/2024

(225,640)

USD

1,124,284

SEK

11,500,000

CITI

3/20/2024

(19,395)

USD

1,124,290

SEK

11,500,000

JPMC

3/20/2024

(19,389)

USD

55,922,932

SGD

74,372,283

CITI

3/20/2024

(632,256)

USD

55,923,212

SGD

74,372,283

JPMC

3/20/2024

(631,977)

USD

29,653,518

THB

1,042,000,000

CITI

3/20/2024

(1,080,065)

USD

29,653,666

THB

1,042,000,000

JPMC

3/20/2024

(1,079,917)

USD

18,158,172

TWD

563,954,684

CITI

**

3/20/2024

(524,437)

USD

18,158,382

TWD

563,954,684

JPMC

**

3/20/2024

(524,226)

USD

108,996,217

ZAR

2,057,352,448

CITI

3/20/2024

(2,714,343)

USD

108,996,762

ZAR

2,057,352,448

JPMC

3/20/2024

(2,713,798)

USD

202,055,405

JPY

28,858,239,720

CITI

3/21/2024

(5,144,332)

USD

202,056,415

JPY

28,858,239,720

JPMC

3/21/2024

(5,143,322)

Total

unrealized

depreciation

(66,269,995)

Net

unrealized

depreciation

$

(10,427,944)

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

173

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Total

return

basket

swap

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.23%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

09/29/2025

$11,948,545

$29,665

$(164,491)

$(134,826)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

-

10/27/2025

$7,648,923

$(68,273)

$139,601

$71,328

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.30%

to

0.23%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

11/14/2025

$8,198,038

$(186,967)

$(174,352)

$(361,319)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.03%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-60

months

maturity

ranging

from

09/24/2026

-

11/16/2028

$152,795,355

$(2,427,548)

$(21,759)

$(2,449,307)

174

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Asics

Corp.

40,100

1,251,774

(128,121)

5.2

Disco

Corp.

6,300

1,555,891

204,295

(8.3)

Fujitsu

Ltd.

6,600

993,258

(23,422)

1.0

Hitachi

Ltd.

16,200

1,165,262

25,632

(1.0)

Japan

Post

Bank

Co.

Ltd.

147,000

1,496,009

(89,715)

3.7

Japan

Tobacco,

Inc.

60,700

1,567,591

(63,991)

2.6

Kansai

Paint

Co.

Ltd.

88,700

1,512,464

25,323

(1.0)

Kyoto

Financial

Group,

Inc.

62,400

969,542

(31,845)

1.3

Kyushu

Electric

Power

Co.,

Inc.

153,700

1,112,581

(26,543)

1.1

Mitsubishi

Corp.

104,700

1,667,794

(24,732)

1.0

Mitsubishi

Motors

Corp.

478,300

1,513,845

(58,100)

2.4

Mitsui

&

Co.

Ltd.

40,600

1,521,037

12,790

(0.5)

Nissin

Foods

Holdings

Co.

Ltd.

28,500

995,215

(36,310)

1.5

Ono

Pharmaceutical

Co.

Ltd.

61,000

1,085,160

(42,258)

1.7

Recruit

Holdings

Co.

Ltd.

52,600

2,199,266

202,331

(8.3)

SCREEN

Holdings

Co.

Ltd.

17,000

1,432,944

92,837

(3.8)

Sega

Sammy

Holdings,

Inc.

73,700

1,028,936

(68,985)

2.8

Shionogi

&

Co.

Ltd.

30,400

1,463,091

(75,667)

3.1

Sojitz

Corp.

62,400

1,405,803

(65,686)

2.7

Tokyo

Gas

Co.

Ltd.

52,000

1,192,811

(123,416)

5.0

Toyo

Suisan

Kaisha

Ltd.

46,200

2,383,750

(226,714)

9.3

Short

Positions

Common

Stocks

Japan

Advantest

Corp.

(58,300)

(1,964,451)

(168,728)

6.9

Aeon

Co.

Ltd.

(104,300)

(2,327,401)

(41,677)

1.7

Asahi

Intecc

Co.

Ltd.

(56,200)

(1,139,673)

(25,239)

1.0

Canon,

Inc.

(39,100)

(1,003,061)

51,253

(2.1)

Eisai

Co.

Ltd.

(28,800)

(1,433,986)

112,023

(4.6)

Ibiden

Co.

Ltd.

(27,900)

(1,539,124)

(219,118)

8.9

KDDI

Corp.

(30,500)

(967,414)

11,398

(0.5)

Keyence

Corp.

(2,800)

(1,230,198)

(21,829)

0.9

Kobe

Bussan

Co.

Ltd.

(40,900)

(1,208,215)

3,991

(0.2)

Kubota

Corp.

(95,900)

(1,439,267)

(51,438)

2.1

Lasertec

Corp.

(5,400)

(1,417,643)

(97,133)

4.0

Mercari,

Inc.

(55,800)

(1,030,498)

29,504

(1.2)

Murata

Manufacturing

Co.

Ltd.

(47,700)

(1,007,996)

(49,090)

2.0

Nintendo

Co.

Ltd.

(27,300)

(1,420,525)

(86,504)

3.5

Nippon

Telegraph

&

Telephone

Corp.

(2,095,000)

(2,558,172)

(2,569)

0.1

Nitori

Holdings

Co.

Ltd.

(19,100)

(2,564,682)

(120,289)

4.9

NTT

Data

Group

Corp.

(215,300)

(3,043,404)

(353,681)

14.4

Rakuten

Group,

Inc.

(482,000)

(2,148,908)

(133,396)

5.4

Resonac

Holdings

Corp.

(63,100)

(1,253,975)

(4,729)

0.2

Rohm

Co.

Ltd.

(50,900)

(971,719)

44,115

(1.8)

Sekisui

House

Ltd.

(82,900)

(1,837,580)

(44,353)

1.8

Seven

&

i

Holdings

Co.

Ltd.

(34,400)

(1,360,505)

52,091

(2.1)

SMC

Corp.

(2,700)

(1,444,327)

(77,093)

3.1

SoftBank

Corp.

(145,000)

(1,806,951)

53,368

(2.2)

Sony

Group

Corp.

(12,300)

(1,163,985)

(28,634)

1.2

Terumo

Corp.

(30,500)

(997,381)

31,399

(1.3)

175

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Tokyo

Electron

Ltd.

(7,100)

(1,261,953)

(103,545)

4.2

Toyota

Motor

Corp.

(93,500)

(1,713,268)

80,805

(3.3)

Yaskawa

Electric

Corp.

(32,900)

(1,369,360)

(140,626)

5.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.38%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-61

months

maturity

ranging

from

09/21/2026

-

12/05/2028

$900,575,383

$(8,429,482)

$138,514

$(8,290,968)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

3M

Co.

34,378

3,758,203

211,768

(2.6)

AbbVie,

Inc.

28,794

4,462,206

107,402

(1.3)

Adobe,

Inc.

6,202

3,700,113

(177,377)

2.1

Alphabet,

Inc.

23,968

3,348,090

153,395

(1.9)

AT&T,

Inc.

167,821

2,816,036

26,851

(0.3)

Autodesk,

Inc.

11,424

2,781,516

198,663

(2.4)

Booking

Holdings,

Inc.

1,475

5,232,150

295,752

(3.6)

Broadcom,

Inc.

3,244

3,621,115

282,260

(3.4)

Builders

FirstSource,

Inc.

19,665

3,282,875

353,577

(4.3)

Cardinal

Health,

Inc.

32,567

3,282,754

(200,938)

2.4

Centene

Corp.

32,964

2,446,258

(1,319)

0.0

Cigna

Group

(The)

10,473

3,136,140

(26,392)

0.3

Cisco

Systems,

Inc.

88,973

4,494,916

100,539

(1.2)

Coca-Cola

Co.

(The)

42,869

2,526,270

(4,716)

0.1

Expedia

Group,

Inc.

21,346

3,240,109

73,644

(0.9)

Ferguson

plc

12,897

2,490,024

136,321

(1.6)

Fiserv,

Inc.

21,580

2,866,687

(23,306)

0.3

General

Electric

Co.

39,074

4,987,015

287,194

(3.5)

Humana,

Inc.

7,729

3,538,413

(145,305)

1.8

KB

Home

46,555

2,907,825

297,021

(3.6)

KLA

Corp.

6,167

3,584,877

136,229

(1.6)

Lam

Research

Corp.

3,224

2,525,230

153,688

(1.9)

Lennar

Corp.

33,613

5,009,682

315,962

(3.8)

Lockheed

Martin

Corp.

5,787

2,622,900

11,458

(0.1)

Marathon

Petroleum

Corp.

16,870

2,502,833

76,084

(0.9)

McKesson

Corp.

7,838

3,628,837

7,838

(0.1)

Medpace

Holdings,

Inc.

7,951

2,437,220

196,151

(2.4)

Meta

Platforms,

Inc.

10,423

3,689,325

298,932

(3.6)

Molson

Coors

Beverage

Co.

43,669

2,672,979

(72,491)

0.9

176

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

NVIDIA

Corp.

5,584

2,765,308

161,657

(1.9)

Owens

Corning

22,744

3,371,343

100,756

(1.2)

PACCAR,

Inc.

29,836

2,913,485

(8,354)

0.1

PulteGroup,

Inc.

25,672

2,649,864

184,068

(2.2)

Sherwin-Williams

Co.

(The)

8,272

2,580,037

167,673

(2.0)

Toll

Brothers,

Inc.

41,072

4,221,791

404,970

(4.9)

Walmart,

Inc.

20,497

3,231,352

131,386

(1.6)

Short

Positions

Common

Stocks

United

States

agilon

health,

Inc.

(217,542)

(2,730,152)

(171,858)

2.1

Apellis

Pharmaceuticals,

Inc.

(45,564)

(2,727,461)

911

(0.0)

Atmos

Energy

Corp.

(22,838)

(2,646,924)

(58,922)

0.7

Celanese

Corp.

(31,456)

(4,887,319)

(408,613)

4.9

Chart

Industries,

Inc.

(18,890)

(2,575,274)

(183,233)

2.2

Foot

Locker,

Inc.

(81,810)

(2,548,382)

(258,520)

3.1

JetBlue

Airways

Corp.

(508,938)

(2,824,606)

(86,519)

1.0

Masimo

Corp.

(24,378)

(2,857,345)

(357,381)

4.3

MP

Materials

Corp.

(127,623)

(2,533,317)

(446,681)

5.4

Southwest

Airlines

Co.

(132,582)

(3,828,968)

60,988

(0.7)

Tractor

Supply

Co.

(15,213)

(3,271,251)

15,822

(0.2)

Waters

Corp.

(10,525)

(3,465,146)

(345,851)

4.2

Western

Digital

Corp.

(50,909)

(2,666,104)

(159,345)

1.9

Xylem,

Inc.

(28,194)

(3,224,266)

(187,772)

2.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.47%

to

0.30%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/28/2025

-

11/14/2025

$62,340,210

$66,149

$(816,235)

$(750,086)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Allkem

Ltd.

144,105

978,836

13,527

(1.8)

ALS

Ltd.

76,709

671,895

6,978

(0.9)

Aristocrat

Leisure

Ltd.

55,480

1,541,430

7,229

(1.0)

BHP

Group

Ltd.

41,123

1,404,951

(3,498)

0.5

BlueScope

Steel

Ltd.

121,037

1,929,629

1,231

(0.2)

Brambles

Ltd.

117,468

1,088,798

14,546

(1.9)

Cochlear

Ltd.

2,838

577,379

(2,092)

0.3

177

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Coles

Group

Ltd.

78,813

865,766

6,989

(0.9)

Fortescue

Ltd.

47,194

930,540

12,362

(1.6)

IGO

Ltd.

105,988

653,218

(423)

0.1

Incitec

Pivot

Ltd.

562,769

1,090,004

16,207

(2.2)

JB

Hi-Fi

Ltd.

44,848

1,620,760

24,218

(3.2)

Medibank

Pvt

Ltd.

193,805

470,514

4,312

(0.6)

New

Hope

Corp.

Ltd.

146,649

516,078

(2,579)

0.3

Northern

Star

Resources

Ltd.

123,100

1,142,135

(9,627)

1.3

Origin

Energy

Ltd.

403,972

2,331,199

27,049

(3.6)

Pilbara

Minerals

Ltd.

364,562

978,529

2,196

(0.3)

Qantas

Airways

Ltd.

862,159

3,158,102

14,879

(2.0)

Qube

Holdings

Ltd.

287,545

635,791

4,840

(0.6)

Sonic

Healthcare

Ltd.

49,407

1,079,579

8,251

(1.1)

South32

Ltd.

385,042

870,827

2,326

(0.3)

Suncorp

Group

Ltd.

117,538

1,113,011

7,682

(1.0)

Whitehaven

Coal

Ltd.

395,760

2,008,379

12,668

(1.7)

Woolworths

Group

Ltd.

39,416

999,982

9,653

(1.3)

New

Zealand

Xero

Ltd.

5,502

419,740

1,426

(0.2)

Short

Positions

Common

Stocks

Australia

APA

Group

(129,140)

(751,536)

16,725

(2.2)

CAR

Group

Ltd.

(60,265)

(1,277,093)

(8,515)

1.1

Cleanaway

Waste

Management

Ltd.

(495,188)

(907,813)

(3,458)

0.5

Commonwealth

Bank

of

Australia

(39,338)

(2,998,226)

(17,569)

2.3

Computershare

Ltd.

(27,764)

(462,420)

(6,264)

0.8

Domino's

Pizza

Enterprises

Ltd.

(39,462)

(1,584,137)

(13,412)

1.8

Endeavour

Group

Ltd.

(171,231)

(608,094)

(4,830)

0.6

Evolution

Mining

Ltd.

(319,403)

(859,308)

438

(0.1)

IDP

Education

Ltd.

(142,102)

(1,938,435)

12,798

(1.7)

Insurance

Australia

Group

Ltd.

(183,061)

(707,599)

(6,521)

0.9

Lynas

Rare

Earths

Ltd.

(186,262)

(909,189)

(7,999)

1.1

Mineral

Resources

Ltd.

(28,620)

(1,363,274)

(6,054)

0.8

NEXTDC

Ltd.

(164,638)

(1,537,528)

(25,172)

3.4

Pro

Medicus

Ltd.

(10,583)

(690,583)

(1,064)

0.1

Ramsay

Health

Care

Ltd.

(13,746)

(493,099)

(5,442)

0.7

REA

Group

Ltd.

(17,695)

(2,181,959)

(17,743)

2.4

Reece

Ltd.

(46,040)

(702,250)

(8,258)

1.1

Seven

Group

Holdings

Ltd.

(18,459)

(464,643)

(10,042)

1.3

Transurban

Group

(113,369)

(1,059,363)

21,438

(2.9)

Treasury

Wine

Estates

Ltd.

(108,638)

(799,304)

(3,467)

0.5

Wesfarmers

Ltd.

(24,919)

(969,073)

(11,342)

1.5

Westpac

Banking

Corp.

(40,613)

(633,664)

(443)

0.1

WiseTech

Global

Ltd.

(27,734)

(1,421,494)

1,248

(0.2)

United

States

CSL

Ltd.

(22,317)

(4,350,679)

(6,537)

0.9

James

Hardie

Industries

plc

(22,442)

(865,272)

(11,152)

1.5

178

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CORRA

plus

or

minus

a

specified

spread

(-0.88%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

07/25/2025

-

11/25/2025

$78,405,398

$9,267

$(1,986,986)

$(1,977,719)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

19,203

1,052,864

(19,854)

1.0

Air

Canada

130,546

1,841,368

(1,970)

0.1

Alimentation

Couche-Tard,

Inc.

27,048

1,592,812

12,860

(0.7)

Atco

Ltd.

25,407

741,473

12,463

(0.6)

Bombardier,

Inc.

61,407

2,465,919

29,660

(1.5)

Canadian

National

Railway

Co.

5,400

678,744

1,345

(0.1)

CCL

Industries,

Inc.

15,319

688,924

4,046

(0.2)

Empire

Co.

Ltd.

36,109

955,149

9,265

(0.5)

Fairfax

Financial

Holdings

Ltd.

1,684

1,553,682

15,899

(0.8)

Finning

International,

Inc.

36,875

1,066,413

(15,306)

0.8

Franco-Nevada

Corp.

6,009

665,591

(8,480)

0.4

George

Weston

Ltd.

7,859

975,665

8,600

(0.4)

iA

Financial

Corp.,

Inc.

11,983

816,893

1,357

(0.1)

Imperial

Oil

Ltd.

16,989

967,760

(3,975)

0.2

Loblaw

Cos.

Ltd.

7,762

751,450

7,205

(0.4)

MEG

Energy

Corp.

52,233

933,063

(16,162)

0.8

Metro,

Inc.

16,444

851,209

8,935

(0.5)

National

Bank

of

Canada

14,090

1,073,990

5,210

(0.3)

Nutrien

Ltd.

48,119

2,710,904

(47,572)

2.4

Onex

Corp.

12,110

845,657

(7,037)

0.4

Open

Text

Corp.

23,549

989,732

(10,486)

0.5

Pembina

Pipeline

Corp.

27,053

931,405

(2,654)

0.1

Shopify,

Inc.

19,604

1,526,243

(4,734)

0.2

Sun

Life

Financial,

Inc.

18,419

955,250

10,703

(0.5)

TFI

International,

Inc.

7,277

989,854

(9,501)

0.5

Toromont

Industries

Ltd.

8,331

729,957

(1,635)

0.1

West

Fraser

Timber

Co.

Ltd.

18,311

1,566,533

(6,080)

0.3

Whitecap

Resources,

Inc.

174,686

1,169,363

(26,367)

1.3

Short

Positions

Common

Stocks

Canada

Algonquin

Power

&

Utilities

Corp.

(297,412)

(1,876,431)

38,157

(1.9)

Bank

of

Montreal

(17,224)

(1,704,267)

4,810

(0.2)

BCE,

Inc.

(29,496)

(1,161,319)

(15,137)

0.8

Brookfield

Asset

Management

Ltd.

(19,879)

(798,431)

2,850

(0.1)

179

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Cameco

Corp.

(22,044)

(950,435)

8,318

(0.4)

Canadian

Imperial

Bank

of

Commerce

(50,776)

(2,444,820)

(4,598)

0.2

Canadian

Pacific

Kansas

City

Ltd.

(52,538)

(4,156,888)

20,221

(1.0)

Emera,

Inc.

(29,738)

(1,128,879)

(13,466)

0.7

Enbridge,

Inc.

(24,161)

(869,763)

4,011

(0.2)

Fortis,

Inc.

(21,598)

(888,500)

(4,401)

0.2

GFL

Environmental,

Inc.

(26,183)

(903,230)

(4,742)

0.2

Hydro

One

Ltd.

(34,788)

(1,042,288)

(9,451)

0.5

Intact

Financial

Corp.

(4,355)

(670,020)

(6,902)

0.3

Keyera

Corp.

(28,978)

(700,476)

(2,843)

0.1

Magna

International,

Inc.

(24,512)

(1,448,281)

7,955

(0.4)

Pan

American

Silver

Corp.

(68,514)

(1,118,417)

35,678

(1.8)

RB

Global,

Inc.

(27,682)

(1,852,430)

(13,788)

0.7

Rogers

Communications,

Inc.

(88,068)

(4,122,756)

(19,939)

1.0

Royal

Bank

of

Canada

(39,263)

(3,970,599)

6,815

(0.3)

Suncor

Energy,

Inc.

(39,438)

(1,263,457)

8,334

(0.4)

Toronto-Dominion

Bank

(The)

(12,105)

(782,182)

(183)

0.0

WSP

Global,

Inc.

(5,634)

(789,751)

(8,504)

0.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

10/27/2025

$61,335,228

$7,872

$(1,211,920)

$(1,204,048)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

128,771

5,717,196

6,289

(0.5)

Avolta

AG

8,565

337,213

(2,108)

0.2

Cie

Financiere

Richemont

SA

(Registered)

1,488

205,529

(850)

0.1

Clariant

AG

(Registered)

33,512

495,130

(2,938)

0.2

DKSH

Holding

AG

6,955

482,934

3,308

(0.3)

Galenica

AG

2,795

241,779

1,510

(0.1)

Georg

Fischer

AG

(Registered)

17,469

1,271,292

139

(0.0)

Helvetia

Holding

AG

(Registered)

2,474

341,132

(89)

0.0

Julius

Baer

Group

Ltd.

3,179

178,336

(335)

0.0

Kuehne

+

Nagel

International

AG

(Registered)

391

134,933

20

(0.0)

Logitech

International

SA

(Registered)

25,730

2,446,624

16,339

(1.4)

Novartis

AG

(Registered)

49,503

5,000,322

44,431

(3.7)

Swatch

Group

AG

(The)

2,138

581,729

359

(0.0)

Swisscom

AG

(Registered)

2,419

1,455,922

(1,144)

0.1

Zurich

Insurance

Group

AG

1,007

526,487

1,346

(0.1)

180

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

Holcim

AG

68,806

5,404,122

(16,585)

1.4

Swiss

Re

AG

32,640

3,672,996

(18,481)

1.5

Short

Positions

Common

Stocks

Switzerland

Adecco

Group

AG

(Registered)

(8,784)

(431,413)

1,077

(0.1)

Alcon,

Inc.

(7,188)

(562,361)

(2,909)

0.2

Bachem

Holding

AG

(11,222)

(869,047)

5,577

(0.5)

Baloise

Holding

AG

(Registered)

(2,182)

(342,112)

864

(0.1)

Banque

Cantonale

Vaudoise

(Registered)

(6,741)

(869,379)

246

(0.0)

Barry

Callebaut

AG

(Registered)

(333)

(562,164)

(3,501)

0.3

Belimo

Holding

AG

(Registered)

(552)

(304,679)

(671)

0.1

BKW

AG

(1,035)

(184,093)

6

(0.0)

Chocoladefabriken

Lindt

&

Spruengli

AG

(166)

(1,992,602)

6,780

(0.6)

EMS-Chemie

Holding

AG

(Registered)

(806)

(653,527)

(2,824)

0.2

Flughafen

Zurich

AG

(Registered)

(1,866)

(389,891)

2,367

(0.2)

Geberit

AG

(Registered)

(4,726)

(3,033,708)

(4,978)

0.4

Givaudan

SA

(Registered)

(754)

(3,126,621)

(13,082)

1.1

Lonza

Group

AG

(Registered)

(602)

(253,795)

(2,416)

0.2

Partners

Group

Holding

AG

(1,677)

(2,424,860)

(7,213)

0.6

SGS

SA

(Registered)

(2,666)

(230,158)

(1,422)

0.1

SIG

Group

AG

(97,363)

(2,242,369)

10,391

(0.9)

Sika

AG

(Registered)

(15,261)

(4,976,249)

(18,987)

1.6

Sonova

Holding

AG

(Registered)

(2,778)

(908,539)

(4,504)

0.4

Straumann

Holding

AG

(Registered)

(15,203)

(2,456,849)

14,170

(1.2)

Swiss

Life

Holding

AG

(Registered)

(802)

(557,353)

(1,231)

0.1

Tecan

Group

AG

(Registered)

(1,334)

(545,749)

4,315

(0.4)

UBS

Group

AG

(Registered)

(31,406)

(975,520)

9,173

(0.8)

VAT

Group

AG

(3,571)

(1,793,563)

(102)

0.0

United

States

Nestle

SA

(Registered)

(18,590)

(2,154,951)

(14,465)

1.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.99%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

11/25/2025

$21,944,567

$54,359

$(280,747)

$(226,388)

181

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

467

840,611

(2,419)

1.1

Carlsberg

A/S

5,472

686,649

4,503

(2.0)

Danske

Bank

A/S

83,976

2,244,788

6,323

(2.8)

Genmab

A/S

3,302

1,052,853

7,393

(3.3)

ISS

A/S

50,671

967,797

6,558

(2.9)

Jyske

Bank

A/S

(Registered)

10,544

756,078

3,928

(1.7)

Novo

Nordisk

A/S

22,923

2,375,538

26,445

(11.7)

Pandora

A/S

19,658

2,717,819

8,720

(3.9)

ROCKWOOL

A/S

628

183,736

(1,102)

0.5

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(32,781)

(510,690)

(8,734)

3.9

Coloplast

A/S

(23,624)

(2,699,423)

21,673

(9.6)

Demant

A/S

(5,579)

(244,696)

(4,110)

1.8

DSV

A/S

(4,262)

(748,862)

(7,571)

3.3

Novozymes

A/S

(42,420)

(2,331,971)

4,279

(1.9)

Orsted

A/S

(22,081)

(1,224,095)

3,118

(1.4)

Royal

Unibrew

A/S

(11,126)

(743,284)

6,556

(2.9)

Tryg

A/S

(21,841)

(475,309)

(1,629)

0.7

Vestas

Wind

Systems

A/S

(36,040)

(1,140,368)

(19,572)

8.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-1.00%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

-

12/29/2025

$245,648,182

$(293,799)

$(113,603)

$(407,402)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Cie

de

Saint-Gobain

SA

39,405

2,906,013

4,486

(1.1)

Getlink

SE

93,567

1,713,668

(15,461)

3.8

Renault

SA

39,018

1,595,833

(18,793)

4.6

182

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Rexel

SA

75,629

2,075,731

(11,535)

2.8

Safran

SA

10,084

1,777,914

(2,798)

0.7

Germany

Allianz

SE

(Registered)

7,584

2,026,758

3,159

(0.8)

Bayerische

Motoren

Werke

AG

32,794

3,649,043

14,268

(3.5)

Commerzbank

AG

179,962

2,138,992

(2,661)

0.7

Daimler

Truck

Holding

AG

59,709

2,242,913

(860)

0.2

Deutsche

Bank

AG

(Registered)

179,219

2,446,535

(6,790)

1.7

Deutsche

Lufthansa

AG

(Registered)

239,175

2,126,326

3,467

(0.9)

Heidelberg

Materials

AG

27,886

2,492,679

(4,580)

1.1

Mercedes-Benz

Group

AG

57,696

3,980,900

(10,771)

2.6

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

4,030

1,671,700

(12,216)

3.0

RWE

AG

36,382

1,655,850

7,524

(1.8)

Italy

Banco

BPM

SpA

424,755

2,250,754

3,276

(0.8)

Leonardo

SpA

138,243

2,284,204

14,081

(3.5)

Prysmian

SpA

55,517

2,530,746

3,229

(0.8)

UniCredit

SpA

128,628

3,502,501

30,628

(7.5)

Netherlands

ABN

AMRO

Bank

NV

165,772

2,492,960

(5,044)

1.2

ASML

Holding

NV

4,420

3,336,602

(5,339)

1.3

Koninklijke

Ahold

Delhaize

NV

98,165

2,824,350

247

(0.1)

Wolters

Kluwer

NV

13,943

1,983,664

11,131

(2.7)

Singapore

STMicroelectronics

NV

32,062

1,608,198

(8,285)

2.0

Spain

Industria

de

Diseno

Textil

SA

75,275

3,284,553

22,885

(5.6)

Repsol

SA

258,906

3,840,593

(97,996)

24.1

United

States

Tenaris

SA

195,709

3,404,001

(62,569)

15.4

Short

Positions

Common

Stocks

Belgium

UCB

SA

(20,691)

(1,803,668)

(1,905)

0.5

Finland

UPM-Kymmene

OYJ

(42,945)

(1,619,916)

11,907

(2.9)

France

Alstom

SA

(146,213)

(1,971,720)

(1,689)

0.4

Cie

Generale

des

Etablissements

Michelin

SCA

(55,952)

(2,010,162)

(11,961)

2.9

EssilorLuxottica

SA

(10,361)

(2,080,476)

(7,906)

1.9

Kering

SA

(3,981)

(1,763,179)

7,056

(1.7)

Sartorius

Stedim

Biotech

(9,061)

(2,402,819)

(8,127)

2.0

Germany

adidas

AG

(7,908)

(1,606,959)

12,986

(3.2)

Bayer

AG

(Registered)

(49,076)

(1,820,912)

(7,864)

1.9

Fresenius

Medical

Care

AG

(56,243)

(2,351,422)

5,494

(1.3)

Rheinmetall

AG

(9,203)

(2,918,605)

(3,801)

0.9

Siemens

Healthineers

AG

(73,268)

(4,253,840)

41,112

(10.1)

Italy

Moncler

SpA

(27,894)

(1,717,415)

5,794

(1.4)

Nexi

SpA

(275,352)

(2,255,961)

(467)

0.1

Luxembourg

Eurofins

Scientific

SE

(44,065)

(2,874,466)

(8,270)

2.0

Netherlands

Adyen

NV

(3,441)

(4,442,128)

34,250

(8.4)

183

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Netherlands

(continued)

Heineken

NV

(28,228)

(2,867,950)

2,098

(0.5)

Portugal

EDP

-

Energias

de

Portugal

SA

(475,551)

(2,393,449)

(2,145)

0.5

Spain

Grifols

SA

(104,700)

(1,791,143)

(152,168)

37.4

Switzerland

DSM-Firmenich

AG

(46,612)

(4,740,134)

(7,090)

1.7

United

States

Ferrovial

SE

(54,421)

(1,986,414)

(21,261)

5.2

Preferred

Stocks

Germany

Henkel

AG

&

Co.

KGaA

(Preference)

(32,138)

(2,585,247)

(6,651)

1.6

Sartorius

AG

(Preference)

(7,562)

(2,776,923)

20,515

(5.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

-

11/25/2025

$92,079,854

$(8,550)

$956,713

$948,163

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Glencore

plc

224,620

1,350,201

(475)

(0.1)

Netherlands

Shell

plc

92,254

3,019,851

14,210

1.5

United

Kingdom

Associated

British

Foods

plc

31,907

961,646

(3,053)

(0.3)

Auto

Trader

Group

plc

103,015

946,363

419

0.0

Aviva

plc

171,017

946,311

2,864

0.3

BAE

Systems

plc

137,049

1,939,927

27,077

2.9

Barratt

Developments

plc

101,280

725,520

(5,683)

(0.6)

BP

plc

446,673

2,647,910

(12,102)

(1.3)

British

American

Tobacco

plc

27,287

798,395

3,293

0.3

Centrica

plc

2,502,533

4,486,299

(48,078)

(5.1)

DS

Smith

plc

342,586

1,340,565

(23,615)

(2.5)

easyJet

plc

214,719

1,392,936

(12,744)

(1.3)

Howden

Joinery

Group

plc

75,876

785,527

(17,791)

(1.9)

HSBC

Holdings

plc

238,512

1,929,554

9,672

1.0

InterContinental

Hotels

Group

plc

32,033

2,888,605

1,046

0.1

184

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Man

Group

plc

395,011

1,171,143

(7,553)

(0.8)

Marks

&

Spencer

Group

plc

431,434

1,495,181

(3,921)

(0.4)

Melrose

Industries

plc

124,873

902,630

(3,999)

(0.4)

Pearson

plc

102,048

1,253,449

5,765

0.6

Reckitt

Benckiser

Group

plc

18,382

1,268,421

(11,828)

(1.2)

Rolls-Royce

Holdings

plc

1,201,781

4,584,038

6,869

0.7

Spectris

plc

25,542

1,228,590

(10,534)

(1.1)

Standard

Chartered

plc

156,556

1,328,556

13,495

1.4

Tesco

plc

353,598

1,309,984

6,520

0.7

Vodafone

Group

plc

1,959,711

1,711,495

(1,097)

(0.1)

United

States

CRH

plc

13,106

901,945

2,852

0.3

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(14,572)

(1,083,882)

(1,934)

(0.2)

Burkina

Faso

Endeavour

Mining

plc

(33,969)

(760,097)

18,844

2.0

Chile

Antofagasta

plc

(98,165)

(2,098,961)

41,319

4.4

Hong

Kong

Prudential

plc

(128,197)

(1,446,407)

(20,851)

(2.2)

Italy

Coca-Cola

HBC

AG

(30,074)

(883,062)

(5,984)

(0.6)

South

Africa

Anglo

American

plc

(53,554)

(1,340,280)

8,453

0.9

United

Kingdom

abrdn

plc

(558,869)

(1,270,624)

16,615

1.8

Ashtead

Group

plc

(12,876)

(894,974)

3,768

0.4

Bellway

plc

(22,890)

(747,664)

6,847

0.7

ConvaTec

Group

plc

(276,156)

(859,367)

926

0.1

Diageo

plc

(42,814)

(1,553,942)

3,295

0.3

International

Distributions

Services

plc

(209,714)

(727,356)

10,158

1.1

ITV

plc

(1,013,143)

(815,352)

9,080

1.0

J

Sainsbury

plc

(254,158)

(979,887)

(8,971)

(0.9)

Kingfisher

plc

(544,163)

(1,686,026)

25,821

2.7

Ocado

Group

plc

(95,998)

(927,335)

(5,690)

(0.6)

Pennon

Group

plc

(93,060)

(892,411)

5,534

0.6

Persimmon

plc

(84,651)

(1,496,306)

3,510

0.4

Rentokil

Initial

plc

(294,164)

(1,657,986)

9,069

1.0

Schroders

plc

(165,548)

(905,177)

19,705

2.1

Severn

Trent

plc

(45,235)

(1,487,531)

16,787

1.8

Smith

&

Nephew

plc

(69,037)

(948,366)

(5,467)

(0.6)

United

Utilities

Group

plc

(58,386)

(788,694)

2,409

0.3

Wise

plc

(167,356)

(1,861,248)

12,131

1.3

185

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-1.75%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

11/25/2025

$43,524,864

$(27,923)

$(768,620)

$(796,543)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

110,529

1,372,151

7,148

(0.9)

Guatemala

Millicom

International

Cellular

SA

5,813

104,154

(798)

0.1

Sweden

Alfa

Laval

AB

10,976

439,414

(1,757)

0.2

Axfood

AB

14,065

380,699

7,251

(0.9)

Billerud

Aktiebolag

53,530

545,544

(1,642)

0.2

Boliden

AB

11,709

366,486

(2,393)

0.3

Electrolux

AB

10,902

117,114

(434)

0.1

Evolution

AB

3,444

410,216

599

(0.1)

Getinge

AB

29,578

658,628

(320)

0.0

H

&

M

Hennes

&

Mauritz

AB

97,733

1,714,240

(5,139)

0.6

Hexpol

AB

56,713

687,117

(2,252)

0.3

Saab

AB

21,672

1,306,034

15,089

(1.9)

Sandvik

AB

20,750

450,801

1,487

(0.2)

SKF

AB

85,982

1,723,128

(18,498)

2.3

SSAB

AB

375,780

2,877,170

(14,750)

1.9

Swedbank

AB

78,779

1,592,727

15,749

(2.0)

Trelleborg

AB

54,360

1,824,543

11,474

(1.4)

Volvo

AB

126,278

3,285,754

6,749

(0.8)

Volvo

Car

AB

136,576

442,942

284

(0.0)

Short

Positions

Common

Stocks

Sweden

Assa

Abloy

AB

(17,908)

(516,094)

(305)

0.0

Atlas

Copco

AB

(94,260)

(1,624,205)

(13,027)

1.6

Beijer

Ref

AB

(44,890)

(602,377)

7,369

(0.9)

Embracer

Group

AB

(151,902)

(412,086)

13,300

(1.7)

Epiroc

AB

(34,977)

(704,048)

(7,009)

0.9

EQT

AB

(109,061)

(3,087,915)

(25,658)

3.2

Essity

AB

(66,096)

(1,638,003)

(5,598)

0.7

Hexagon

AB

(150,744)

(1,810,632)

(13,401)

1.7

Holmen

AB

(8,425)

(355,845)

4,675

(0.6)

Husqvarna

AB

(59,240)

(488,644)

7,781

(1.0)

Lifco

AB

(12,527)

(307,549)

1,091

(0.1)

Nibe

Industrier

AB

(179,129)

(1,257,918)

1,626

(0.2)

186

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Securitas

AB

(156,259)

(1,531,962)

1,494

(0.2)

Svenska

Cellulosa

AB

SCA

(40,642)

(610,543)

(674)

0.1

Svenska

Handelsbanken

AB

(175,631)

(1,908,659)

(1,037)

0.1

Swedish

Orphan

Biovitrum

AB

(66,315)

(1,755,504)

(2,630)

0.3

Tele2

AB

(104,288)

(896,426)

(3,479)

0.4

Telefonaktiebolaget

LM

Ericsson

(179,971)

(1,132,590)

(4,878)

0.6

Telia

Co.

AB

(1,013,158)

(2,585,002)

(5,410)

0.7

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

BARC

Cash

$

–

$

20,578,407

$

20,578,407

CITG

Cash

–

2,998,194

2,998,194

CITI

Investment

Companies

13,468,599

–

13,468,599

GSCO

Cash

–

2,913,582

2,913,582

GSIN

Cash

1,350,681

–

1,350,681

U.S.

Treasury

Bills

65,131,045

–

65,131,045

JPMC

Investment

Companies

26,244,669

–

26,244,669

U.S.

Treasury

Bills

3,069,986

–

3,069,986

JPMS

Cash

–

13,768,382

13,768,382

MLIN

Cash

3,150,069

–

3,150,069

U.S.

Treasury

Bills

988,607

–

988,607

MSCL

Cash

–

14,205,182

14,205,182

MSCS

Cash

(3,161,326)

–

(3,161,326)

U.S.

Treasury

Bills

19,361,128

–

19,361,128

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

GSCO

Cash

$

–

$

2,646,254

$

2,646,254

JPPC

Cash

–

27,137,529

27,137,529

MSCL

Cash

–

32,818,385

32,818,385

187

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

86.9%

INVESTMENT

COMPANIES

-

28.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.19%

(1)(a)(b)

18,790,736

18,790,736

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(a)

27,525,980

27,514,970

TOTAL

INVESTMENT

COMPANIES

(Cost

$46,305,541)

46,305,706

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

58.3%

U.S.

Treasury

Bills

5.40%,

1/4/2024

(c)

$

1,504,000

1,503,563

5.41%,

1/11/2024

(c)

2,569,000

2,565,643

5.41%,

2/8/2024

(c)

1,814,000

1,804,176

5.44%,

2/15/2024

(c)

4,520,000

4,491,046

5.44%,

2/22/2024

(c)

10,604,000

10,525,172

5.50%,

2/29/2024

(c)

7,151,000

7,090,350

5.45%,

3/7/2024

(c)

11,783,000

11,672,238

5.45%,

3/14/2024

(c)

6,649,000

6,580,003

5.49%,

4/4/2024

(c)(d)

5,275,000

5,204,139

5.48%,

4/18/2024

(c)(d)

23,514,000

23,151,120

5.47%,

4/25/2024

(c)

4,376,000

4,304,309

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

58.3%

(continued)

5.47%,

5/2/2024

(c)(d)

$

13,051,000

12,824,773

5.40%,

5/9/2024

(c)

565,000

554,678

5.21%,

6/27/2024

(c)

2,117,000

2,064,506

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$94,294,408)

94,335,716

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$140,599,949)

140,641,422

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

86.9%

(Cost

$140,599,949)

140,641,422

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

13.1%

‡

21,170,368

NET

ASSETS

-

100.0%

161,811,790

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

$

46,305,706

28.6

%

U.S.

Treasury

Obligations

94,335,716

58.3

Total

Investments

In

Securities

At

Value

140,641,422

86.9

Other

Assets

in

Excess

of

Liabilities

‡

21,170,368

13.1

Net

Assets

$

161,811,790

100.0%

‡

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

Represents

7-day

effective

yield

as

of

December

31,

2023.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

December

31,

2023

:

Exchange-Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

40.V1

5.00

%

Quarterly

12/20/2028

3.10

%

EUR

1,732,000

$

67,169

$

87,863

$

155,032

iTraxx

Europe

Main

Index

Series

40.V1

1.00

Quarterly

12/20/2028

0.58

EUR

4,720,000

54,092

48,556

102,648

Markit

CDX

North

America

High

Yield

Index

Series

41.V2

5.00

Quarterly

12/20/2028

3.56

USD

2,100,000

53,566

70,460

124,026

Markit

CDX

North

America

Investment

Grade

Index

Series

41.V1

1.00

Quarterly

12/20/2028

0.57

USD

8,601,000

122,374

46,720

169,094

297,201

253,599

550,800

Markit

CDX

North

America

Emerging

Markets

Index

Series

40.V1

1.00

%

Quarterly

12/20/2028

1.67

%

USD

2,795,000

$

(126,657)

$

46,557

$

(80,100)

(126,657)

46,557

(80,100)

$

170,544

$

300,156

$

470,700

188

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

December

31,

2023:

Exchange-Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

CORRA

Semi

4.00%

Semi

3/19/2029

CAD

900,000

$

10,263

$

20,212

$

30,475

Pay

1D

CORRA

Semi

3.50%

Semi

3/20/2034

CAD

500,000

(9,400)

24,647

15,247

Pay

1D

SARON

Annual

1.50%

Annual

3/20/2026

CHF

59,600,000

67,724

553,110

620,834

Pay

1D

SARON

Annual

1.50%

Annual

6/19/2026

CHF

5,700,000

29,800

39,752

69,552

Pay

1D

SARON

Annual

1.00%

Annual

6/19/2026

CHF

4,600,000

(3,798)

5,740

1,942

Pay

1D

SARON

Annual

2.00%

Annual

3/20/2034

CHF

900,000

28,024

58,329

86,353

Pay

1D

SARON

Annual

1.50%

Annual

3/20/2034

CHF

3,700,000

(28,655)

174,369

145,714

Pay

1D

SOFR

Annual

4.25%

Annual

3/20/2029

USD

2,000,000

35,492

38,034

73,526

Pay

1D

SOFR

Annual

3.75%

Annual

6/19/2029

USD

15,500,000

(117,228)

402,720

285,492

Pay

1D

SOFR

Annual

4.25%

Annual

3/20/2034

USD

700,000

30,770

16,978

47,748

Pay

1D

SOFR

Annual

4.00%

Annual

3/20/2054

USD

300,000

3,873

35,556

39,429

Pay

1D

SOFR

Annual

3.50%

Annual

6/19/2054

USD

800,000

(23,579)

58,503

34,924

Pay

1D

SONIA

Annual

4.25%

Annual

6/19/2026

GBP

1,500,000

21,528

4,761

26,289

Pay

1D

SONIA

Annual

5.00%

Annual

6/19/2026

GBP

13,600,000

237,773

241,045

478,818

Pay

1D

SONIA

Annual

3.75%

Annual

6/19/2034

GBP

300,000

15,547

1,917

17,464

Pay

1D

SONIA

Annual

4.25%

Annual

6/19/2034

GBP

2,600,000

104,729

183,277

288,006

Pay

1D

SONIA

Annual

4.00%

Annual

3/20/2054

GBP

400,000

5,434

57,342

62,776

Pay

1D

SONIA

Annual

4.00%

Annual

6/19/2054

GBP

900,000

21,406

124,113

145,519

Pay

1D

SORA

Semi

3.00%

Semi

3/18/2026

SGD

1,200,000

380

5,611

5,991

Pay

1D

SORA

Semi

3.50%

Semi

3/18/2026

SGD

1,700,000

6,126

14,367

20,493

Pay

1D

SORA

Semi

3.00%

Semi

6/17/2026

SGD

500,000

959

2,457

3,416

Pay

1D

SORA

Semi

3.00%

Semi

3/21/2029

SGD

700,000

2,358

9,987

12,345

Pay

1D

SORA

Semi

3.50%

Semi

3/21/2029

SGD

500,000

6,014

11,572

17,586

Pay

1D

SORA

Semi

2.50%

Semi

6/20/2029

SGD

500,000

(2,123)

2,905

782

Pay

1D

SORA

Semi

3.00%

Semi

6/20/2029

SGD

100,000

655

1,245

1,900

Pay

1D

TONAR

Annual

0.50%

Annual

6/19/2026

JPY

4,465,800,000

79,009

52,338

131,347

Pay

1D

TONAR

Annual

0.50%

Annual

3/21/2029

JPY

6,600,000,000

(479,474)

492,741

13,267

Pay

1D

TONAR

Annual

1.00%

Annual

6/19/2034

JPY

300,500,000

14,885

1,202

16,087

Pay

1D

TONAR

Annual

1.50%

Annual

3/22/2044

JPY

610,000,000

(62,335)

163,055

100,720

Pay

1D

TONAR

Annual

1.50%

Annual

6/20/2044

JPY

160,000,000

623

20,676

21,299

Pay

3M

BBR

Qtrly

5.00%

Semi

3/11/2026

NZD

8,000,000

5,459

45,420

50,879

Pay

3M

BBR

Qtrly

5.00%

Semi

6/10/2026

NZD

6,200,000

1,732

54,357

56,089

Pay

3M

BBR

Qtrly

4.50%

Semi

6/10/2026

NZD

5,600,000

(15,593)

33,586

17,993

Pay

3M

BBR

Qtrly

4.00%

Semi

6/13/2029

NZD

300,000

199

443

642

Pay

3M

BBR

Qtrly

5.00%

Semi

3/15/2034

NZD

1,100,000

31,046

19,076

50,122

Pay

3M

BBR

Qtrly

4.50%

Semi

6/14/2034

NZD

1,900,000

(13,816)

54,790

40,974

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

6/20/2029

KRW

300,000,000

4,143

2,227

6,370

Pay

3M

HIBOR

Qtrly

4.50%

Qtrly

3/18/2026

HKD

3,600,000

421

7,739

8,160

Pay

3M

HIBOR

Qtrly

4.00%

Qtrly

6/17/2026

HKD

9,300,000

3,606

10,022

13,628

Pay

3M

HIBOR

Qtrly

4.50%

Qtrly

3/21/2029

HKD

1,400,000

3,443

6,308

9,751

Pay

3M

HIBOR

Qtrly

4.00%

Qtrly

3/21/2029

HKD

400,000

(18)

1,670

1,652

Pay

3M

HIBOR

Qtrly

4.00%

Qtrly

6/20/2029

HKD

5,100,000

11,543

10,714

22,257

Pay

3M

JIBAR

Qtrly

8.50%

Qtrly

3/22/2029

ZAR

5,000,000

808

3,704

4,512

Pay

3M

JIBAR

Qtrly

8.50%

Qtrly

6/20/2029

ZAR

7,000,000

4,800

495

5,295

Pay

3M

STIBOR

Qtrly

2.50%

Annual

6/17/2026

SEK

52,000,000

7,902

(555)

7,347

Pay

3M

STIBOR

Qtrly

3.50%

Annual

3/21/2029

SEK

5,000,000

(1,209)

28,968

27,759

Pay

3M

STIBOR

Qtrly

3.00%

Annual

6/20/2029

SEK

3,000,000

4,746

6,233

10,979

Pay

3M

STIBOR

Qtrly

2.50%

Annual

6/20/2029

SEK

2,000,000

3,041

(292)

2,749

Pay

3M

STIBOR

Qtrly

3.00%

Annual

3/15/2034

SEK

4,400,000

(8,457)

34,564

26,107

Pay

3M

STIBOR

Qtrly

3.50%

Annual

3/15/2034

SEK

4,000,000

42,582

(1,431)

41,151

Pay

3M

STIBOR

Qtrly

2.50%

Annual

6/21/2034

SEK

4,000,000

9,640

(1,937)

7,703

Pay

3M

TELBOR

Qtrly

3.50%

Annual

6/17/2026

ILS

1,300,000

1,961

14

1,975

Pay

3M

TELBOR

Qtrly

3.50%

Annual

6/20/2029

ILS

1,000,000

1,504

1,176

2,680

Pay

6M

BBR

Semi

4.50%

Semi

3/08/2029

AUD

12,200,000

(11,193)

229,210

218,017

189

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6M

BBR

Semi

4.50%

Semi

6/07/2029

AUD

11,400,000

$

39,822

$

167,037

$

206,859

Pay

6M

BBR

Semi

4.00%

Semi

6/07/2029

AUD

100,000

292

9

301

Pay

6M

BBR

Semi

4.50%

Semi

6/08/2034

AUD

1,100,000

(17,899)

37,022

19,123

Pay

6M

BBR

Semi

5.00%

Semi

3/10/2044

AUD

1,900,000

19,499

103,009

122,508

Pay

6M

BBR

Semi

4.50%

Semi

3/10/2044

AUD

600,000

(27,022)

37,824

10,802

Pay

6M

BBR

Semi

5.00%

Semi

6/09/2044

AUD

800,000

318

51,094

51,412

Pay

6M

BUBOR

Semi

8.00%

Annual

3/18/2026

HUF

90,000,000

3,173

6,304

9,477

Pay

6M

BUBOR

Semi

7.50%

Annual

3/18/2026

HUF

470,000,000

7,016

30,224

37,240

Pay

6M

BUBOR

Semi

7.00%

Annual

3/18/2026

HUF

60,000,000

578

2,613

3,191

Pay

6M

BUBOR

Semi

6.50%

Annual

6/17/2026

HUF

90,000,000

1,027

4,304

5,331

Pay

6M

BUBOR

Semi

6.50%

Annual

3/21/2029

HUF

50,000,000

886

5,481

6,367

Pay

6M

BUBOR

Semi

7.00%

Annual

3/21/2029

HUF

130,000,000

6,467

18,078

24,545

Pay

6M

BUBOR

Semi

6.00%

Annual

6/20/2029

HUF

40,000,000

1,705

2,081

3,786

Pay

6M

BUBOR

Semi

6.50%

Annual

6/20/2029

HUF

20,000,000

878

2,231

3,109

Pay

6M

EURIBOR

Semi

3.25%

Annual

3/20/2026

EUR

25,400,000

(15,509)

382,547

367,038

Pay

6M

EURIBOR

Semi

3.25%

Annual

6/19/2026

EUR

49,800,000

743,176

210,392

953,568

Pay

6M

EURIBOR

Semi

3.00%

Annual

3/20/2034

EUR

3,900,000

(81,358)

286,660

205,302

Pay

6M

EURIBOR

Semi

3.00%

Annual

6/19/2034

EUR

4,800,000

248,003

17,407

265,410

Pay

6M

NIBOR

Semi

3.50%

Annual

6/20/2029

NOK

62,000,000

(20,946)

87,245

66,299

Pay

6M

NIBOR

Semi

4.00%

Annual

3/15/2034

NOK

13,700,000

56,069

24,265

80,334

Pay

6M

PRIBOR

Semi

4.50%

Annual

3/18/2026

CZK

5,000,000

415

2,196

2,611

Pay

6M

PRIBOR

Semi

4.00%

Annual

6/17/2026

CZK

51,000,000

8,945

15,595

24,540

Pay

6M

PRIBOR

Semi

3.50%

Annual

6/17/2026

CZK

3,000,000

(114)

293

179

Pay

6M

PRIBOR

Semi

4.00%

Annual

3/21/2029

CZK

16,000,000

2,256

17,752

20,008

Pay

6M

PRIBOR

Semi

3.50%

Annual

6/20/2029

CZK

9,000,000

84

5,052

5,136

Pay

6M

PRIBOR

Semi

4.00%

Annual

6/20/2029

CZK

3,000,000

1,788

2,984

4,772

Pay

6M

WIBOR

Semi

4.50%

Annual

6/17/2026

PLN

5,000,000

5,399

(4,851)

548

Pay

6M

WIBOR

Semi

4.50%

Annual

6/20/2029

PLN

2,200,000

8,599

(2,115)

6,484

Receive

1D

SOFR

Annual

3.50%

Annual

3/20/2026

USD

15,800,000

224,702

(130,124)

94,578

Receive

1D

SOFR

Annual

3.25%

Annual

3/20/2034

USD

900,000

16,422

(2,844)

13,578

Receive

1M

TIIE

Monthly

9.00%

Monthly

3/18/2026

MXN

9,400,000

1,284

1,946

3,230

1,321,025

4,746,773

6,067,798

Pay

1D

SARON

Annual

1.00%

Annual

6/19/2029

CHF

200,000

(2,383)

2,239

(144)

Pay

1D

SOFR

Annual

3.25%

Annual

3/20/2029

USD

6,400,000

(298,661)

245,452

(53,209)

Pay

1D

SOFR

Annual

3.00%

Annual

3/20/2054

USD

300,000

(52,706)

36,491

(16,215)

Pay

1D

SORA

Semi

2.50%

Semi

6/17/2026

SGD

900,000

(2,390)

1,962

(428)

Pay

1D

TONAR

Annual

0.50%

Annual

6/19/2029

JPY

150,000,000

(2,160)

64

(2,096)

Pay

3M

JIBAR

Qtrly

7.50%

Qtrly

6/17/2026

ZAR

27,000,000

(1,049)

(1,293)

(2,342)

Pay

3M

TELBOR

Qtrly

3.00%

Annual

6/17/2026

ILS

1,100,000

(858)

(333)

(1,191)

Pay

6M

NIBOR

Semi

3.50%

Annual

6/17/2026

NOK

18,000,000

(2,517)

1,249

(1,268)

Pay

6M

WIBOR

Semi

4.00%

Annual

6/20/2029

PLN

600,000

66

(1,511)

(1,445)

Receive

1D

CORRA

Semi

4.50%

Semi

3/18/2026

CAD

14,800,000

(5,296)

(183,715)

(189,011)

Receive

1D

CORRA

Semi

3.50%

Semi

6/17/2026

CAD

500,000

388

(1,507)

(1,119)

Receive

1D

CORRA

Semi

4.00%

Semi

6/17/2026

CAD

600,000

(1,801)

(3,774)

(5,575)

Receive

1D

SARON

Annual

1.50%

Annual

3/20/2029

CHF

15,300,000

(116,928)

(300,820)

(417,748)

Receive

1D

SARON

Annual

1.50%

Annual

6/19/2034

CHF

100,000

(717)

(3,270)

(3,987)

Receive

1D

SOFR

Annual

4.00%

Annual

3/20/2026

USD

11,800,000

83,018

(124,198)

(41,180)

Receive

1D

SOFR

Annual

4.00%

Annual

6/19/2026

USD

33,200,000

110,416

(384,327)

(273,911)

Receive

1D

SOFR

Annual

3.75%

Annual

6/19/2034

USD

5,400,000

56,891

(219,841)

(162,950)

Receive

1D

SONIA

Annual

4.75%

Annual

3/20/2029

GBP

400,000

(16,066)

(17,710)

(33,776)

Receive

1D

SONIA

Annual

4.50%

Annual

6/19/2029

GBP

14,300,000

(447,615)

(643,495)

(1,091,110)

Receive

1D

SONIA

Annual

3.75%

Annual

6/19/2029

GBP

700,000

(17,567)

(6,317)

(23,884)

Receive

1D

SONIA

Annual

4.25%

Annual

3/20/2034

GBP

600,000

(20,730)

(43,261)

(63,991)

Receive

1D

TONAR

Annual

0.50%

Annual

3/23/2026

JPY

12,240,000,000

(281,307)

(170,639)

(451,946)

Receive

1D

TONAR

Annual

1.00%

Annual

3/21/2034

JPY

1,910,000,000

(58,912)

(92,237)

(151,149)

Receive

1M

TIIE

Monthly

10.00%

Monthly

3/18/2026

MXN

14,000,000

(52)

(9,753)

(9,805)

Receive

1M

TIIE

Monthly

9.00%

Monthly

6/17/2026

MXN

32,000,000

15

(3,714)

(3,699)

190

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

1M

TIIE

Monthly

9.50%

Monthly

3/14/2029

MXN

3,000,000

$

(1,413)

$

(6,414)

$

(7,827)

Receive

1M

TIIE

Monthly

8.50%

Monthly

3/14/2029

MXN

4,000,000

2,266

(3,373)

(1,107)

Receive

1M

TIIE

Monthly

8.50%

Monthly

6/13/2029

MXN

12,100,000

(2,599)

(5,881)

(8,480)

Receive

3M

BBR

Qtrly

5.50%

Semi

3/11/2026

NZD

700,000

(2,856)

(5,717)

(8,573)

Receive

3M

BBR

Qtrly

4.50%

Qtrly

3/12/2026

AUD

34,300,000

(45,325)

(266,644)

(311,969)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

6/11/2026

AUD

17,700,000

42,336

(108,203)

(65,867)

Receive

3M

BBR

Qtrly

4.50%

Qtrly

6/11/2026

AUD

17,300,000

(23,603)

(151,365)

(174,968)

Receive

3M

BBR

Qtrly

5.00%

Semi

3/14/2029

NZD

3,100,000

(23,125)

(63,078)

(86,203)

Receive

3M

BBR

Qtrly

4.50%

Semi

6/13/2029

NZD

5,100,000

29,002

(110,802)

(81,800)

Receive

3M

CD_KSDA

Qtrly

3.50%

Qtrly

6/17/2026

KRW

300,000,000

65

(2,219)

(2,154)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

3/18/2026

SEK

24,400,000

7,803

(45,793)

(37,990)

Receive

3M

STIBOR

Qtrly

4.00%

Annual

3/18/2026

SEK

26,000,000

(11,742)

(53,230)

(64,972)

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/17/2026

SEK

5,000,000

(777)

(4,608)

(5,385)

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/21/2034

SEK

1,000,000

(2,474)

(3,790)

(6,264)

Receive

6M

BBR

Semi

4.50%

Semi

3/09/2034

AUD

1,400,000

23,349

(48,189)

(24,840)

Receive

6M

BBR

Semi

5.00%

Semi

3/09/2034

AUD

1,300,000

(39,771)

(19,672)

(59,443)

Receive

6M

BBR

Semi

5.00%

Semi

6/08/2034

AUD

1,400,000

(19,427)

(43,629)

(63,056)

Receive

6M

EURIBOR

Semi

3.00%

Annual

3/20/2029

EUR

15,900,000

390

(530,496)

(530,106)

Receive

6M

EURIBOR

Semi

3.00%

Annual

6/19/2029

EUR

13,700,000

(472,918)

(33,946)

(506,864)

Receive

6M

EURIBOR

Semi

2.75%

Annual

6/19/2054

EUR

600,000

(51,035)

(13,389)

(64,424)

Receive

6M

NIBOR

Semi

4.50%

Annual

3/18/2026

NOK

61,000,000

(9,760)

(71,734)

(81,494)

Receive

6M

NIBOR

Semi

4.00%

Annual

6/17/2026

NOK

48,800,000

(9,625)

(31,609)

(41,234)

Receive

6M

NIBOR

Semi

4.50%

Annual

3/21/2029

NOK

2,000,000

(7,452)

(2,704)

(10,156)

Receive

6M

NIBOR

Semi

3.50%

Annual

6/21/2034

NOK

16,500,000

4,511

(39,398)

(34,887)

(1,693,101)

(3,590,141)

(5,283,242)

$

(372,076)

$

1,156,632

$

784,556

Abbreviations:

1D:

1

Day

1M:

1

Month

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

December

31,

2023

were

as

follows:

1

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

5.06%

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.38%

1

Day

Singapore

Overnight

Rate

Average

(“SORA”):

3.62%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

5.19%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.70%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.04%

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.50%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.36%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

5.15%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

8.40%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

3.83%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

4.05%

3

Month

Tel

Aviv

Interbank

Offer

Rate

(''TELBOR''):

4.60%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.45%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

9.59%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.86%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

4.84%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

6.43%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

5.72%

191

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Total

return

swap

contracts

outstanding

as

of

December

31,

2023

:

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2024

HKD

7,534,800

$

27,012

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2024

HKD

14,490,000

53,952

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/14/2024

BRL

55,673,900

544,499

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/14/2024

KRW

453,375,000

25,567

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/14/2024

KRW

7,254,000,000

402,502

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/17/2024

TWD

3,574,000

2,082

Total

unrealized

appreciation

1,055,614

Amsterdam

Exchange

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/19/2024

EUR

9,310,436

(54,375)

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/15/2024

CHF

2,659,440

(23,757)

Total

unrealized

depreciation

(78,132)

Net

unrealized

appreciation

$

977,482

Futures

contracts

outstanding

as

of

December

31,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

CAC

40

10

Euro

Index

83

1/2024

EUR

$

6,922,484

$

(42,901)

HSCEI

22

1/2024

HKD

816,495

21,980

IBEX

35

Index

54

1/2024

EUR

6,012,717

(41,593)

IFSC

NIFTY

50

Index

68

1/2024

USD

2,971,396

32,378

LME

Aluminum

Base

Metal

3

1/2024

USD

176,884

8,057

LME

Aluminum

Base

Metal

3

1/2024

USD

176,794

10,594

LME

Aluminum

Base

Metal

4

1/2024

USD

235,200

17,294

LME

Aluminum

Base

Metal

5

1/2024

USD

293,938

22,798

LME

Aluminum

Base

Metal

6

1/2024

USD

352,763

23,945

LME

Aluminum

Base

Metal

6

1/2024

USD

352,854

17,442

LME

Aluminum

Base

Metal

10

1/2024

USD

586,660

20,064

LME

Aluminum

Base

Metal

11

1/2024

USD

645,642

31,057

192

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

16

1/2024

USD

$

941,000

$

55,761

LME

Copper

Base

Metal

2

1/2024

USD

424,855

28,953

LME

Copper

Base

Metal

3

1/2024

USD

637,607

36,642

LME

Copper

Base

Metal

4

1/2024

USD

846,392

43,949

LME

Copper

Base

Metal

4

1/2024

USD

848,850

56,058

LME

Copper

Base

Metal

4

1/2024

USD

849,996

47,359

LME

Copper

Base

Metal

4

1/2024

USD

846,567

49,550

LME

Copper

Base

Metal

4

1/2024

USD

848,675

50,312

LME

Copper

Base

Metal

7

1/2024

USD

1,483,956

75,388

LME

Copper

Base

Metal

9

1/2024

USD

1,910,588

119,458

LME

Copper

Base

Metal

10

1/2024

USD

2,122,500

116,233

LME

Copper

Base

Metal

13

1/2024

USD

2,751,908

180,100

LME

Lead

Base

Metal

1

1/2024

USD

51,241

(1,096)

LME

Lead

Base

Metal

1

1/2024

USD

50,881

(1,802)

LME

Lead

Base

Metal

1

1/2024

USD

51,106

(824)

LME

Lead

Base

Metal

1

1/2024

USD

51,140

(862)

LME

Lead

Base

Metal

1

1/2024

USD

50,979

(1,855)

LME

Lead

Base

Metal

2

1/2024

USD

102,024

(744)

LME

Lead

Base

Metal

2

1/2024

USD

102,515

(2,947)

LME

Lead

Base

Metal

2

1/2024

USD

101,990

(3,215)

LME

Nickel

Base

Metal

1

1/2024

USD

98,705

(12,538)

LME

Nickel

Base

Metal

1

1/2024

USD

98,250

(14,613)

LME

Nickel

Base

Metal

1

1/2024

USD

98,825

(12,298)

LME

Nickel

Base

Metal

1

1/2024

USD

98,584

(13,807)

LME

Nickel

Base

Metal

2

1/2024

USD

196,809

(28,725)

LME

Nickel

Base

Metal

3

1/2024

USD

295,877

(39,665)

LME

Nickel

Base

Metal

3

1/2024

USD

296,161

(28,658)

LME

Nickel

Base

Metal

4

1/2024

USD

394,944

(43,788)

LME

Nickel

Base

Metal

4

1/2024

USD

393,926

(55,246)

LME

Nickel

Base

Metal

6

1/2024

USD

589,654

(87,441)

LME

Zinc

Base

Metal

1

1/2024

USD

66,000

2,630

LME

Zinc

Base

Metal

1

1/2024

USD

66,060

4,445

LME

Zinc

Base

Metal

2

1/2024

USD

131,975

6,144

LME

Zinc

Base

Metal

3

1/2024

USD

197,925

11,316

LME

Zinc

Base

Metal

7

1/2024

USD

463,524

29,241

LME

Zinc

Base

Metal

11

1/2024

USD

727,581

51,323

LME

Zinc

Base

Metal

12

1/2024

USD

793,575

67,452

LME

Zinc

Base

Metal

12

1/2024

USD

792,000

51,781

LME

Zinc

Base

Metal

13

1/2024

USD

856,944

36,895

LME

Zinc

Base

Metal

13

1/2024

USD

860,031

61,795

LME

Zinc

Base

Metal

14

1/2024

USD

925,726

81,484

OMXS30

Index

37

1/2024

SEK

880,883

10,116

SGX

FTSE

China

A50

Index

636

1/2024

USD

7,310,820

179,539

SGX

FTSE

Taiwan

Index

157

1/2024

USD

9,737,140

142,409

100

oz

Gold

47

2/2024

USD

9,737,460

242,117

Coal

2

2/2024

USD

64,000

727

LME

Aluminum

Base

Metal

1

2/2024

USD

59,078

2,539

LME

Aluminum

Base

Metal

1

2/2024

USD

59,000

3,222

LME

Aluminum

Base

Metal

4

2/2024

USD

236,800

13,638

LME

Aluminum

Base

Metal

6

2/2024

USD

355,895

25,503

LME

Aluminum

Base

Metal

8

2/2024

USD

472,876

26,852

LME

Aluminum

Base

Metal

9

2/2024

USD

532,548

34,371

LME

Aluminum

Base

Metal

9

2/2024

USD

531,844

20,403

LME

Aluminum

Base

Metal

11

2/2024

USD

649,688

22,655

LME

Aluminum

Base

Metal

12

2/2024

USD

710,250

43,539

LME

Aluminum

Base

Metal

18

2/2024

USD

1,066,005

62,676

193

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

21

2/2024

USD

$

1,238,675

$

60,025

LME

Aluminum

Base

Metal

22

2/2024

USD

1,304,551

94,485

LME

Aluminum

Base

Metal

26

2/2024

USD

1,541,254

97,526

LME

Aluminum

Base

Metal

40

2/2024

USD

2,368,500

156,987

LME

Copper

Base

Metal

1

2/2024

USD

213,100

8,063

LME

Copper

Base

Metal

1

2/2024

USD

213,006

10,879

LME

Copper

Base

Metal

2

2/2024

USD

426,425

4,142

LME

Copper

Base

Metal

2

2/2024

USD

425,975

16,830

LME

Copper

Base

Metal

2

2/2024

USD

425,925

13,651

LME

Copper

Base

Metal

2

2/2024

USD

426,734

7,442

LME

Copper

Base

Metal

2

2/2024

USD

426,300

13,491

LME

Copper

Base

Metal

2

2/2024

USD

426,836

5,020

LME

Copper

Base

Metal

4

2/2024

USD

851,040

38,547

LME

Copper

Base

Metal

7

2/2024

USD

1,493,746

29,427

LME

Copper

Base

Metal

10

2/2024

USD

2,132,383

35,224

LME

Copper

Base

Metal

23

2/2024

USD

4,903,600

145,408

LME

Lead

Base

Metal

1

2/2024

USD

51,395

(2,996)

LME

Lead

Base

Metal

1

2/2024

USD

51,363

(2,556)

LME

Lead

Base

Metal

1

2/2024

USD

51,539

(4,739)

LME

Lead

Base

Metal

1

2/2024

USD

51,350

(828)

LME

Lead

Base

Metal

2

2/2024

USD

102,962

(5,970)

LME

Lead

Base

Metal

2

2/2024

USD

103,340

(3,991)

LME

Lead

Base

Metal

2

2/2024

USD

103,125

(9,980)

LME

Lead

Base

Metal

2

2/2024

USD

103,116

(10,540)

LME

Lead

Base

Metal

3

2/2024

USD

154,669

(13,864)

LME

Lead

Base

Metal

3

2/2024

USD

154,945

(8,638)

LME

Lead

Base

Metal

4

2/2024

USD

205,660

(13,698)

LME

Lead

Base

Metal

7

2/2024

USD

359,993

(22,292)

LME

Nickel

Base

Metal

1

2/2024

USD

98,950

(10,383)

LME

Nickel

Base

Metal

2

2/2024

USD

198,120

(11,286)

LME

Nickel

Base

Metal

3

2/2024

USD

297,402

(3,171)

LME

Nickel

Base

Metal

3

2/2024

USD

297,234

(10,545)

LME

Nickel

Base

Metal

3

2/2024

USD

297,207

(16,902)

LME

Nickel

Base

Metal

4

2/2024

USD

396,828

4,296

LME

Nickel

Base

Metal

5

2/2024

USD

496,125

(1,890)

LME

Nickel

Base

Metal

5

2/2024

USD

494,926

(46,341)

LME

Nickel

Base

Metal

5

2/2024

USD

495,255

(17,760)

LME

Nickel

Base

Metal

6

2/2024

USD

594,018

(50,601)

LME

Nickel

Base

Metal

6

2/2024

USD

593,805

(49,463)

LME

Tin

Base

Metal

1

2/2024

USD

126,794

7,931

LME

Tin

Base

Metal

1

2/2024

USD

126,400

6,897

LME

Zinc

Base

Metal

1

2/2024

USD

66,456

1,989

LME

Zinc

Base

Metal

2

2/2024

USD

132,682

5,266

LME

Zinc

Base

Metal

4

2/2024

USD

265,825

10,573

LME

Zinc

Base

Metal

6

2/2024

USD

398,811

26,796

LME

Zinc

Base

Metal

7

2/2024

USD

464,494

6,848

LME

Zinc

Base

Metal

7

2/2024

USD

465,225

1,590

LME

Zinc

Base

Metal

8

2/2024

USD

531,748

20,624

LME

Zinc

Base

Metal

8

2/2024

USD

531,748

27,524

LME

Zinc

Base

Metal

8

2/2024

USD

531,010

13,548

LME

Zinc

Base

Metal

13

2/2024

USD

864,214

51,675

LME

Zinc

Base

Metal

14

2/2024

USD

930,762

34,370

LME

Zinc

Base

Metal

14

2/2024

USD

930,825

45,283

LME

Zinc

Base

Metal

17

2/2024

USD

1,129,909

44,058

LME

Zinc

Base

Metal

19

2/2024

USD

1,258,722

112,015

Low

Sulphur

Gasoil

8

2/2024

USD

593,800

2,762

194

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

SGX

Iron

Ore

58

2/2024

USD

$

804,692

$

20,189

Sugar

No.

11

7

2/2024

USD

161,347

(55,527)

Australia

10

Year

Bond

16

3/2024

AUD

1,272,520

7,454

Cocoa

21

3/2024

GBP

938,474

2,231

Cocoa

41

3/2024

USD

1,720,360

70,773

Copper

1

3/2024

USD

97,263

117

DJIA

CBOT

E-Mini

Index

35

3/2024

USD

6,652,100

176,968

Euro

STOXX

50

Index

93

3/2024

EUR

4,664,178

(35,522)

EURO

STOXX

50

Volatility

Index

16

3/2024

EUR

29,144

338

Euro-Bobl

40

3/2024

EUR

5,266,725

40,798

Euro-BTP

24

3/2024

EUR

3,159,240

68,880

Euro-Bund

30

3/2024

EUR

4,542,865

37,260

Euro-Buxl

10

3/2024

EUR

1,557,673

66,561

Euro-OAT

25

3/2024

EUR

3,627,028

(4,111)

Euro-Schatz

12

3/2024

EUR

1,411,378

2,677

FTSE

100

Index

10

3/2024

GBP

988,682

(920)

FTSE/JSE

Top

40

Index

23

3/2024

ZAR

897,619

23,678

FTSE/MIB

Index

43

3/2024

EUR

7,244,136

(32,038)

Japan

10

Year

Bond

6

3/2024

JPY

6,234,468

794

KOSPI

200

Index

51

3/2024

KRW

3,590,671

232,590

LME

Aluminum

Base

Metal

2

3/2024

USD

119,086

4,226

LME

Aluminum

Base

Metal

2

3/2024

USD

119,033

12,177

LME

Aluminum

Base

Metal

2

3/2024

USD

118,668

9,037

LME

Aluminum

Base

Metal

4

3/2024

USD

238,400

1,603

LME

Aluminum

Base

Metal

8

3/2024

USD

476,282

50,360

LME

Aluminum

Base

Metal

8

3/2024

USD

475,532

44,708

LME

Aluminum

Base

Metal

12

3/2024

USD

713,082

65,923

LME

Aluminum

Base

Metal

16

3/2024

USD

952,564

75,960

LME

Aluminum

Base

Metal

17

3/2024

USD

1,009,894

90,638

LME

Aluminum

Base

Metal

33

3/2024

USD

1,964,680

114,590

LME

Aluminum

Base

Metal

37

3/2024

USD

2,197,338

174,227

LME

Aluminum

Base

Metal

81

3/2024

USD

4,821,525

324,065

LME

Copper

Base

Metal

1

3/2024

USD

213,888

8

LME

Copper

Base

Metal

2

3/2024

USD

427,629

268

LME

Copper

Base

Metal

2

3/2024

USD

427,696

(2,059)

LME

Copper

Base

Metal

2

3/2024

USD

427,521

9,276

LME

Copper

Base

Metal

3

3/2024

USD

640,331

(123)

LME

Copper

Base

Metal

4

3/2024

USD

855,121

16,010

LME

Copper

Base

Metal

5

3/2024

USD

1,068,313

20,489

LME

Copper

Base

Metal

6

3/2024

USD

1,282,976

(840)

LME

Copper

Base

Metal

7

3/2024

USD

1,496,775

2,607

LME

Copper

Base

Metal

8

3/2024

USD

1,708,600

10,302

LME

Copper

Base

Metal

8

3/2024

USD

1,708,950

35,614

LME

Copper

Base

Metal

11

3/2024

USD

2,350,505

64,357

LME

Copper

Base

Metal

22

3/2024

USD

4,707,450

(42,362)

LME

Copper

Base

Metal

42

3/2024

USD

8,983,275

135,283

LME

Lead

Base

Metal

1

3/2024

USD

51,791

(24)

LME

Lead

Base

Metal

1

3/2024

USD

51,763

(65)

LME

Lead

Base

Metal

1

3/2024

USD

51,713

(147)

LME

Lead

Base

Metal

1

3/2024

USD

51,816

(299)

LME

Lead

Base

Metal

2

3/2024

USD

103,635

(870)

LME

Lead

Base

Metal

3

3/2024

USD

155,441

2,808

LME

Lead

Base

Metal

3

3/2024

USD

155,457

3,274

LME

Lead

Base

Metal

3

3/2024

USD

155,423

3,645

LME

Lead

Base

Metal

3

3/2024

USD

155,457

2,149

LME

Lead

Base

Metal

3

3/2024

USD

155,398

3,290

195

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

4

3/2024

USD

$

207,276

$

765

LME

Lead

Base

Metal

4

3/2024

USD

207,276

(535)

LME

Lead

Base

Metal

12

3/2024

USD

621,750

(13,070)

LME

Nickel

Base

Metal

1

3/2024

USD

99,448

1,040

LME

Nickel

Base

Metal

1

3/2024

USD

99,343

666

LME

Nickel

Base

Metal

3

3/2024

USD

298,674

45

LME

Nickel

Base

Metal

3

3/2024

USD

298,530

(5,049)

LME

Nickel

Base

Metal

3

3/2024

USD

298,081

(5,747)

LME

Nickel

Base

Metal

4

3/2024

USD

396,968

(6,004)

LME

Nickel

Base

Metal

5

3/2024

USD

497,790

(2,856)

LME

Tin

Base

Metal

1

3/2024

USD

127,025

(878)

LME

Tin

Base

Metal

1

3/2024

USD

127,075

(878)

LME

Zinc

Base

Metal

1

3/2024

USD

66,549

3,921

LME

Zinc

Base

Metal

1

3/2024

USD

66,549

5,471

LME

Zinc

Base

Metal

3

3/2024

USD

199,518

18,009

LME

Zinc

Base

Metal

3

3/2024

USD

199,668

10,273

LME

Zinc

Base

Metal

4

3/2024

USD

265,994

18,382

LME

Zinc

Base

Metal

5

3/2024

USD

332,380

21,615

LME

Zinc

Base

Metal

5

3/2024

USD

332,568

26,303

LME

Zinc

Base

Metal

5

3/2024

USD

332,469

7,432

LME

Zinc

Base

Metal

7

3/2024

USD

465,631

17,923

LME

Zinc

Base

Metal

7

3/2024

USD

465,813

47,418

LME

Zinc

Base

Metal

10

3/2024

USD

665,488

58,458

LME

Zinc

Base

Metal

10

3/2024

USD

665,938

23,811

LME

Zinc

Base

Metal

16

3/2024

USD

1,063,200

3,696

LME

Zinc

Base

Metal

21

3/2024

USD

1,397,067

128,135

LME

Zinc

Base

Metal

77

3/2024

USD

5,127,238

261,450

Lumber

2

3/2024

USD

31,488

(214)

MSCI

EAFE

E-Mini

Index

54

3/2024

USD

6,081,480

202,786

MSCI

Emerging

Markets

E-Mini

Index

221

3/2024

USD

11,422,385

474,537

NASDAQ

100

E-Mini

Index

20

3/2024

USD

6,809,400

285,707

Nikkei

225

Index

30

3/2024

JPY

7,117,021

103,708

Robusta

Coffee

18

3/2024

USD

511,380

36,589

Rough

Rice

5

3/2024

USD

175,200

2,344

Russell

2000

E-Mini

Index

34

3/2024

USD

3,481,090

193,701

S&P

500

E-Mini

Index

29

3/2024

USD

6,989,000

189,719

S&P

Midcap

400

E-Mini

Index

18

3/2024

USD

5,057,100

187,068

S&P/TSX

60

Index

24

3/2024

CAD

4,602,030

63,083

Silver

8

3/2024

USD

963,440

(20,248)

Soybean

55

3/2024

USD

3,569,500

(46,462)

SPI

200

Index

26

3/2024

AUD

3,359,719

43,327

TOPIX

Index

30

3/2024

JPY

5,034,043

33,122

Wheat

65

3/2024

USD

2,041,000

(1,139)

Crude

Oil

1

5/2024

JPY

23,560

(221)

3

Month

Euro

Euribor

10

6/2024

EUR

2,674,319

707

90-Day

Australian

Bank

Bill

44

6/2024

AUD

29,684,436

2,909

90-Day

New

Zealand

Bill

25

6/2024

NZD

15,603,681

11,772

3

Month

Euro

Euribor

48

9/2024

EUR

12,898,993

28,195

3

Month

SARON

35

9/2024

CHF

10,267,894

16,402

3

Month

SONIA

10

9/2024

GBP

3,042,749

(444)

90-Day

Australian

Bank

Bill

32

9/2024

AUD

21,597,116

3,212

90-Day

New

Zealand

Bill

5

9/2024

NZD

3,123,778

177

3

Month

Euro

Euribor

60

12/2024

EUR

16,179,215

44,005

3

Month

SARON

25

12/2024

CHF

7,346,100

15,406

90-Day

Australian

Bank

Bill

3

12/2024

AUD

2,025,471

49

90-Day

New

Zealand

Bill

5

12/2024

NZD

3,126,140

187

196

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

ECX

Emission

1

12/2024

EUR

$

88,724

$

–

3

Month

Euro

Euribor

31

3/2025

EUR

8,378,511

14,278

3

Month

SARON

28

3/2025

CHF

8,238,452

8,384

3

Month

SONIA

5

3/2025

GBP

1,535,714

345

3

Month

Euro

Euribor

41

6/2025

EUR

11,097,099

42,618

3

Month

SARON

19

6/2025

CHF

5,595,179

(3,856)

3

Month

SONIA

1

6/2025

GBP

307,987

44

3

Month

Euro

Euribor

44

9/2025

EUR

11,913,939

48,590

3

Month

SONIA

1

9/2025

GBP

308,561

(12)

3

Month

Euro

Euribor

48

12/2025

EUR

12,996,362

44,484

3

Month

SONIA

4

12/2025

GBP

1,235,582

(240)

3

Month

SONIA

6

3/2026

GBP

1,854,425

1,769

Total

of

long

contracts

7,207,803

Short

Contracts

Brent

Crude

Oil

(14)

1/2024

USD

(1,078,560)

(18,344)

CBOE

Volatility

Index

(16)

1/2024

USD

(224,819)

14,313

EURO

STOXX

50

Volatility

Index

(144)

1/2024

EUR

(236,069)

11,192

Hang

Seng

Index

(5)

1/2024

HKD

(548,505)

(13,395)

LME

Aluminum

Base

Metal

(3)

1/2024

USD

(176,884)

(7,906)

LME

Aluminum

Base

Metal

(3)

1/2024

USD

(176,794)

(10,451)

LME

Aluminum

Base

Metal

(4)

1/2024

USD

(235,200)

(17,180)

LME

Aluminum

Base

Metal

(5)

1/2024

USD

(293,938)

(22,607)

LME

Aluminum

Base

Metal

(6)

1/2024

USD

(352,763)

(24,459)

LME

Aluminum

Base

Metal

(6)

1/2024

USD

(352,854)

(16,477)

LME

Aluminum

Base

Metal

(10)

1/2024

USD

(586,660)

(16,740)

LME

Aluminum

Base

Metal

(11)

1/2024

USD

(645,642)

(30,688)

LME

Aluminum

Base

Metal

(16)

1/2024

USD

(941,000)

(58,622)

LME

Copper

Base

Metal

(2)

1/2024

USD

(424,855)

(30,010)

LME

Copper

Base

Metal

(3)

1/2024

USD

(637,607)

(35,852)

LME

Copper

Base

Metal

(4)

1/2024

USD

(848,850)

(56,661)

LME

Copper

Base

Metal

(4)

1/2024

USD

(846,567)

(48,778)

LME

Copper

Base

Metal

(4)

1/2024

USD

(849,996)

(48,107)

LME

Copper

Base

Metal

(4)

1/2024

USD

(848,675)

(49,561)

LME

Copper

Base

Metal

(4)

1/2024

USD

(846,392)

(49,303)

LME

Copper

Base

Metal

(7)

1/2024

USD

(1,483,956)

(76,861)

LME

Copper

Base

Metal

(9)

1/2024

USD

(1,910,588)

(117,577)

LME

Copper

Base

Metal

(10)

1/2024

USD

(2,122,500)

(115,464)

LME

Copper

Base

Metal

(13)

1/2024

USD

(2,751,908)

(182,241)

LME

Lead

Base

Metal

(1)

1/2024

USD

(50,881)

2,206

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,140)

981

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,241)

794

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,106)

566

LME

Lead

Base

Metal

(1)

1/2024

USD

(50,979)

1,661

LME

Lead

Base

Metal

(2)

1/2024

USD

(102,024)

369

LME

Lead

Base

Metal

(2)

1/2024

USD

(101,990)

3,259

LME

Lead

Base

Metal

(2)

1/2024

USD

(102,515)

2,680

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,584)

13,703

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,705)

11,869

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,250)

13,887

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,825)

11,947

LME

Nickel

Base

Metal

(2)

1/2024

USD

(196,809)

28,782

LME

Nickel

Base

Metal

(3)

1/2024

USD

(296,161)

30,736

LME

Nickel

Base

Metal

(3)

1/2024

USD

(295,877)

39,310

LME

Nickel

Base

Metal

(4)

1/2024

USD

(393,926)

53,662

LME

Nickel

Base

Metal

(4)

1/2024

USD

(394,944)

45,626

LME

Nickel

Base

Metal

(6)

1/2024

USD

(589,654)

84,968

197

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

1/2024

USD

$

(66,000)

$

(2,253)

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,060)

(4,657)

LME

Zinc

Base

Metal

(2)

1/2024

USD

(131,975)

(6,866)

LME

Zinc

Base

Metal

(3)

1/2024

USD

(197,925)

(12,063)

LME

Zinc

Base

Metal

(7)

1/2024

USD

(463,524)

(30,586)

LME

Zinc

Base

Metal

(11)

1/2024

USD

(727,581)

(47,778)

LME

Zinc

Base

Metal

(12)

1/2024

USD

(792,000)

(53,909)

LME

Zinc

Base

Metal

(12)

1/2024

USD

(793,575)

(64,757)

LME

Zinc

Base

Metal

(13)

1/2024

USD

(856,944)

(41,320)

LME

Zinc

Base

Metal

(13)

1/2024

USD

(860,031)

(61,400)

LME

Zinc

Base

Metal

(14)

1/2024

USD

(925,726)

(80,505)

MSCI

Singapore

Index

(58)

1/2024

SGD

(1,264,376)

(45,531)

Natural

Gas

(5)

1/2024

EUR

(124,280)

28,455

Natural

Gas

(5)

1/2024

GBP

(149,172)

4,760

Natural

Gas

(398)

1/2024

USD

(10,005,720)

(877,461)

NY

Harbor

ULSD

(54)

1/2024

USD

(5,735,545)

16,184

Rapeseed

(32)

1/2024

EUR

(773,648)

(8,079)

RBOB

Gasoline

(31)

1/2024

USD

(2,742,403)

(99,704)

WTI

Crude

Oil

(43)

1/2024

USD

(3,080,950)

(39,087)

CBOE

Volatility

Index

(7)

2/2024

USD

(107,068)

15,624

EURO

STOXX

50

Volatility

Index

(7)

2/2024

EUR

(12,403)

531

French

Base

Electricity

(2)

2/2024

EUR

(139,763)

2,588

Italian

Base

Electricity

(1)

2/2024

EUR

(83,934)

98

Lean

Hogs

(39)

2/2024

USD

(1,060,410)

(484)

Live

Cattle

(4)

2/2024

USD

(269,600)

5,780

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,000)

(3,152)

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,078)

(2,521)

LME

Aluminum

Base

Metal

(4)

2/2024

USD

(236,800)

(13,813)

LME

Aluminum

Base

Metal

(6)

2/2024

USD

(355,895)

(25,679)

LME

Aluminum

Base

Metal

(8)

2/2024

USD

(472,876)

(26,108)

LME

Aluminum

Base

Metal

(9)

2/2024

USD

(532,548)

(32,700)

LME

Aluminum

Base

Metal

(9)

2/2024

USD

(531,844)

(21,670)

LME

Aluminum

Base

Metal

(11)

2/2024

USD

(649,688)

(22,075)

LME

Aluminum

Base

Metal

(12)

2/2024

USD

(710,250)

(42,153)

LME

Aluminum

Base

Metal

(18)

2/2024

USD

(1,066,005)

(61,014)

LME

Aluminum

Base

Metal

(21)

2/2024

USD

(1,238,675)

(60,637)

LME

Aluminum

Base

Metal

(22)

2/2024

USD

(1,304,551)

(90,350)

LME

Aluminum

Base

Metal

(26)

2/2024

USD

(1,541,254)

(98,229)

LME

Aluminum

Base

Metal

(40)

2/2024

USD

(2,368,500)

(158,373)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,006)

(11,214)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,100)

(8,571)

LME

Copper

Base

Metal

(2)

2/2024

USD

(425,925)

(14,217)

LME

Copper

Base

Metal

(2)

2/2024

USD

(425,975)

(14,805)

LME

Copper

Base

Metal

(2)

2/2024

USD

(426,836)

(5,916)

LME

Copper

Base

Metal

(2)

2/2024

USD

(426,734)

(7,239)

LME

Copper

Base

Metal

(2)

2/2024

USD

(426,300)

(14,855)

LME

Copper

Base

Metal

(2)

2/2024

USD

(426,425)

(3,580)

LME

Copper

Base

Metal

(4)

2/2024

USD

(851,040)

(40,538)

LME

Copper

Base

Metal

(7)

2/2024

USD

(1,493,746)

(23,469)

LME

Copper

Base

Metal

(10)

2/2024

USD

(2,132,383)

(30,653)

LME

Copper

Base

Metal

(23)

2/2024

USD

(4,903,600)

(148,800)

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,350)

1,043

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,395)

3,253

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,539)

5,137

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,363)

2,410

LME

Lead

Base

Metal

(2)

2/2024

USD

(103,125)

10,161

198

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(2)

2/2024

USD

$

(103,340)

$

4,235

LME

Lead

Base

Metal

(2)

2/2024

USD

(103,116)

11,250

LME

Lead

Base

Metal

(2)

2/2024

USD

(102,962)

6,133

LME

Lead

Base

Metal

(3)

2/2024

USD

(154,945)

8,312

LME

Lead

Base

Metal

(3)

2/2024

USD

(154,669)

13,552

LME

Lead

Base

Metal

(4)

2/2024

USD

(205,660)

13,729

LME

Lead

Base

Metal

(7)

2/2024

USD

(359,993)

22,189

LME

Nickel

Base

Metal

(1)

2/2024

USD

(98,950)

9,917

LME

Nickel

Base

Metal

(2)

2/2024

USD

(198,120)

10,622

LME

Nickel

Base

Metal

(3)

2/2024

USD

(297,402)

1,550

LME

Nickel

Base

Metal

(3)

2/2024

USD

(297,207)

16,582

LME

Nickel

Base

Metal

(3)

2/2024

USD

(297,234)

11,265

LME

Nickel

Base

Metal

(4)

2/2024

USD

(396,828)

(102)

LME

Nickel

Base

Metal

(5)

2/2024

USD

(495,255)

20,196

LME

Nickel

Base

Metal

(5)

2/2024

USD

(496,125)

1,630

LME

Nickel

Base

Metal

(5)

2/2024

USD

(494,926)

43,709

LME

Nickel

Base

Metal

(6)

2/2024

USD

(593,805)

52,450

LME

Nickel

Base

Metal

(6)

2/2024

USD

(594,018)

48,131

LME

Tin

Base

Metal

(1)

2/2024

USD

(126,400)

(7,020)

LME

Tin

Base

Metal

(1)

2/2024

USD

(126,794)

(8,930)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,456)

(2,609)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,682)

(4,773)

LME

Zinc

Base

Metal

(4)

2/2024

USD

(265,825)

(11,087)

LME

Zinc

Base

Metal

(6)

2/2024

USD

(398,811)

(26,349)

LME

Zinc

Base

Metal

(7)

2/2024

USD

(465,225)

(3,071)

LME

Zinc

Base

Metal

(7)

2/2024

USD

(464,494)

(7,318)

LME

Zinc

Base

Metal

(8)

2/2024

USD

(531,748)

(21,873)

LME

Zinc

Base

Metal

(8)

2/2024

USD

(531,010)

(12,409)

LME

Zinc

Base

Metal

(8)

2/2024

USD

(531,748)

(25,396)

LME

Zinc

Base

Metal

(13)

2/2024

USD

(864,214)

(50,952)

LME

Zinc

Base

Metal

(14)

2/2024

USD

(930,762)

(33,066)

LME

Zinc

Base

Metal

(14)

2/2024

USD

(930,825)

(40,315)

LME

Zinc

Base

Metal

(17)

2/2024

USD

(1,129,909)

(42,574)

LME

Zinc

Base

Metal

(19)

2/2024

USD

(1,258,722)

(83,050)

Milk

(2)

2/2024

USD

(62,960)

145

Phelix

De

Base

Electricity

(2)

2/2024

EUR

(140,777)

(3,702)

White

Sugar

(5)

2/2024

USD

(149,050)

1,466

Australia

3

Year

Bond

(25)

3/2024

AUD

(1,820,415)

(17,132)

Canada

10

Year

Bond

(35)

3/2024

CAD

(3,278,254)

(142,166)

Canola

(85)

3/2024

CAD

(838,293)

23,917

CBOE

Volatility

Index

(8)

3/2024

USD

(130,135)

8,724

Coffee

'C'

(3)

3/2024

USD

(211,838)

(16,804)

Corn

(3)

3/2024

USD

(70,688)

175

Cotton

No.

2

(84)

3/2024

USD

(3,402,000)

(31,662)

Crude

Oil

(3)

3/2024

USD

(228,954)

7,431

Crude

Palm

Oil

(7)

3/2024

MYR

(141,714)

279

Fcoj-a

(1)

3/2024

USD

(46,883)

149

Feeder

Cattle

(7)

3/2024

USD

(780,850)

(20,904)

French

Base

Electricity

(2)

3/2024

EUR

(349,936)

44,188

Italian

Base

Electricity

(1)

3/2024

EUR

(235,051)

38,561

KC

HRW

Wheat

(67)

3/2024

USD

(2,150,700)

(46,912)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(118,668)

(9,026)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(119,033)

(12,481)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(119,086)

(5,166)

LME

Aluminum

Base

Metal

(4)

3/2024

USD

(238,400)

(1,012)

LME

Aluminum

Base

Metal

(8)

3/2024

USD

(475,532)

(47,204)

199

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(8)

3/2024

USD

$

(476,282)

$

(49,306)

LME

Aluminum

Base

Metal

(12)

3/2024

USD

(713,082)

(65,118)

LME

Aluminum

Base

Metal

(16)

3/2024

USD

(952,564)

(81,012)

LME

Aluminum

Base

Metal

(17)

3/2024

USD

(1,009,894)

(91,834)

LME

Aluminum

Base

Metal

(33)

3/2024

USD

(1,964,680)

(98,603)

LME

Aluminum

Base

Metal

(37)

3/2024

USD

(2,197,338)

(167,336)

LME

Aluminum

Base

Metal

(247)

3/2024

USD

(14,702,675)

(1,066,103)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,888)

(265)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,521)

(9,152)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,629)

(584)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,696)

2,502

LME

Copper

Base

Metal

(3)

3/2024

USD

(640,331)

(314)

LME

Copper

Base

Metal

(4)

3/2024

USD

(855,121)

(19,171)

LME

Copper

Base

Metal

(5)

3/2024

USD

(1,068,313)

(19,726)

LME

Copper

Base

Metal

(6)

3/2024

USD

(1,282,976)

5,609

LME

Copper

Base

Metal

(7)

3/2024

USD

(1,496,775)

2,972

LME

Copper

Base

Metal

(8)

3/2024

USD

(1,708,950)

(37,421)

LME

Copper

Base

Metal

(8)

3/2024

USD

(1,708,600)

(6,465)

LME

Copper

Base

Metal

(11)

3/2024

USD

(2,350,505)

(67,134)

LME

Copper

Base

Metal

(22)

3/2024

USD

(4,707,450)

37,458

LME

Copper

Base

Metal

(50)

3/2024

USD

(10,694,375)

(12,696)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,816)

223

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,763)

(90)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,791)

(26)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,713)

110

LME

Lead

Base

Metal

(2)

3/2024

USD

(103,635)

853

LME

Lead

Base

Metal

(3)

3/2024

USD

(155,457)

(2,487)

LME

Lead

Base

Metal

(3)

3/2024

USD

(155,398)

(2,541)

LME

Lead

Base

Metal

(3)

3/2024

USD

(155,441)

(2,909)

LME

Lead

Base

Metal

(3)

3/2024

USD

(155,423)

(3,494)

LME

Lead

Base

Metal

(3)

3/2024

USD

(155,457)

(3,167)

LME

Lead

Base

Metal

(4)

3/2024

USD

(207,276)

(572)

LME

Lead

Base

Metal

(4)

3/2024

USD

(207,276)

(796)

LME

Lead

Base

Metal

(26)

3/2024

USD

(1,347,125)

(14,146)

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,343)

(346)

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,448)

(1,351)

LME

Nickel

Base

Metal

(3)

3/2024

USD

(298,674)

1,152

LME

Nickel

Base

Metal

(3)

3/2024

USD

(298,081)

4,310

LME

Nickel

Base

Metal

(3)

3/2024

USD

(298,530)

5,519

LME

Nickel

Base

Metal

(4)

3/2024

USD

(396,968)

7,121

LME

Nickel

Base

Metal

(73)

3/2024

USD

(7,267,734)

18,312

LME

Tin

Base

Metal

(1)

3/2024

USD

(127,075)

822

LME

Tin

Base

Metal

(2)

3/2024

USD

(254,050)

(21,655)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,549)

(4,040)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,549)

(5,632)

LME

Zinc

Base

Metal

(3)

3/2024

USD

(199,668)

(9,852)

LME

Zinc

Base

Metal

(3)

3/2024

USD

(199,518)

(17,427)

LME

Zinc

Base

Metal

(4)

3/2024

USD

(265,994)

(19,540)

LME

Zinc

Base

Metal

(5)

3/2024

USD

(332,469)

(8,515)

LME

Zinc

Base

Metal

(5)

3/2024

USD

(332,380)

(21,548)

LME

Zinc

Base

Metal

(5)

3/2024

USD

(332,568)

(27,448)

LME

Zinc

Base

Metal

(7)

3/2024

USD

(465,813)

(48,459)

LME

Zinc

Base

Metal

(7)

3/2024

USD

(465,631)

(20,102)

LME

Zinc

Base

Metal

(10)

3/2024

USD

(665,938)

(24,467)

LME

Zinc

Base

Metal

(10)

3/2024

USD

(665,488)

(59,189)

LME

Zinc

Base

Metal

(16)

3/2024

USD

(1,063,200)

(6,740)

200

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(21)

3/2024

USD

$

(1,397,067)

$

(126,105)

LME

Zinc

Base

Metal

(201)

3/2024

USD

(13,384,088)

(928,134)

Long

Gilt

(13)

3/2024

GBP

(1,701,122)

(90,834)

Milling

Wheat

No.

2

(159)

3/2024

EUR

(1,952,750)

56,531

Palladium

(12)

3/2024

USD

(1,331,160)

(34,777)

Phelix

De

Base

Electricity

(1)

3/2024

EUR

(187,698)

31,063

Soybean

Meal

(14)

3/2024

USD

(540,400)

11,977

Soybean

Oil

(71)

3/2024

USD

(2,052,468)

93,868

U.S.

Treasury

10

Year

Note

(44)

3/2024

USD

(4,960,313)

(143,543)

U.S.

Treasury

2

Year

Note

(94)

3/2024

USD

(19,353,718)

(205,137)

U.S.

Treasury

5

Year

Note

(92)

3/2024

USD

(9,999,250)

(153,835)

U.S.

Treasury

Long

Bond

(10)

3/2024

USD

(1,245,313)

(93,322)

U.S.

Treasury

Ultra

Bond

(21)

3/2024

USD

(2,794,969)

(251,540)

Wheat

(2)

3/2024

ZAR

(33,577)

(891)

Wheat

(25)

3/2024

USD

(904,375)

8,976

White

Maize

(2)

3/2024

ZAR

(43,154)

(24)

Yellow

Maize

(15)

3/2024

ZAR

(312,259)

10,944

Aluminum

(6)

4/2024

USD

(357,825)

(36,223)

CBOE

Volatility

Index

(8)

4/2024

USD

(135,609)

6,891

Platinum

(33)

4/2024

USD

(1,665,180)

(62,094)

CBOE

Volatility

Index

(8)

5/2024

USD

(138,866)

739

Rubber

(2)

5/2024

JPY

(17,972)

(1,239)

Rubber

(3)

6/2024

JPY

(27,287)

(128)

3

Month

CORRA

(36)

9/2024

CAD

(6,497,076)

(9,729)

3

Month

SOFR

(63)

9/2024

USD

(15,037,313)

(52,325)

3

Month

CORRA

(7)

12/2024

CAD

(1,268,669)

(6,807)

3

Month

SOFR

(44)

12/2024

USD

(10,548,450)

(63,659)

French

Base

Electricity

(1)

12/2024

EUR

(891,533)

12,926

Italian

Base

Electricity

(1)

12/2024

EUR

(1,025,084)

79,738

Phelix

De

Base

Electricity

(1)

12/2024

EUR

(923,639)

18,031

UK

Allowances

Carbon

Dioxide

Emissions

(1)

12/2024

GBP

(58,634)

(13,369)

3

Month

CORRA

(23)

3/2025

CAD

(4,183,889)

(32,462)

3

Month

SOFR

(45)

3/2025

USD

(10,829,250)

(62,678)

90-Day

Australian

Bank

Bill

(7)

3/2025

AUD

(4,727,255)

(4,298)

3

Month

CORRA

(21)

6/2025

CAD

(3,831,761)

(14,653)

3

Month

SOFR

(35)

6/2025

USD

(8,449,875)

(59,527)

3

Month

SOFR

(34)

9/2025

USD

(8,226,300)

(58,005)

3

Month

SOFR

(29)

12/2025

USD

(7,024,525)

(48,574)

3

Month

SOFR

(25)

3/2026

USD

(6,057,500)

(29,694)

Total

of

short

contracts

(7,635,836)

Net

value

$

(428,033)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

14,888,000

USD

9,934,080

CITI

3/20/2024

$

235,086

AUD

14,888,000

USD

9,934,031

JPMC

3/20/2024

235,135

BRL

39,457,945

USD

7,923,540

CITI

**

3/20/2024

139,979

BRL

39,457,945

USD

7,923,500

JPMC

**

3/20/2024

140,018

CAD

20,911,000

USD

15,542,814

CITI

3/20/2024

255,205

CAD

20,911,000

USD

15,542,737

JPMC

3/20/2024

255,283

201

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CHF

7,640,500

USD

8,869,004

CITI

3/20/2024

$

288,400

CHF

7,640,500

USD

8,868,959

JPMC

3/20/2024

288,445

CNY

6,368,500

USD

896,300

CITI

**

3/20/2024

2,271

CNY

6,368,500

USD

896,296

JPMC

**

3/20/2024

2,275

COP

1,365,202,996

USD

338,233

CITI

**

3/20/2024

8,613

COP

1,365,202,996

USD

338,231

JPMC

**

3/20/2024

8,615

CZK

268,179,000

USD

11,872,162

CITI

3/20/2024

95,069

CZK

268,179,000

USD

11,872,103

JPMC

3/20/2024

95,128

EUR

18,399,864

USD

20,203,642

CITI

3/20/2024

172,197

EUR

18,399,864

USD

20,203,541

JPMC

3/20/2024

172,298

GBP

16,680,999

USD

21,081,121

CITI

3/20/2024

189,438

GBP

16,680,999

USD

21,081,016

JPMC

3/20/2024

189,544

HUF

1,492,898,323

USD

4,211,198

CITI

3/20/2024

55,134

HUF

1,492,898,323

USD

4,211,177

JPMC

3/20/2024

55,154

IDR

5,000,000,000

USD

322,098

CITI

**

3/20/2024

2,617

IDR

5,000,000,000

USD

322,096

JPMC

**

3/20/2024

2,619

ILS

6,709,500

USD

1,835,973

CITI

3/20/2024

21,534

ILS

6,709,500

USD

1,835,963

JPMC

3/20/2024

21,544

INR

1,332,091,016

USD

15,928,740

CITI

**

3/20/2024

21,882

INR

1,332,091,016

USD

15,928,660

JPMC

**

3/20/2024

21,961

KRW

2,181,257,969

USD

1,684,585

CITI

**

3/20/2024

7,403

KRW

2,181,257,969

USD

1,684,577

JPMC

**

3/20/2024

7,412

MXN

83,761,004

USD

4,752,492

CITI

3/20/2024

118,219

MXN

83,761,004

USD

4,759,238

JPMC

3/20/2024

111,473

NOK

111,500,000

USD

10,731,784

CITI

3/20/2024

261,626

NOK

111,500,000

USD

10,731,730

JPMC

3/20/2024

261,680

NZD

25,138,500

USD

15,484,238

CITI

3/20/2024

410,226

NZD

25,138,500

USD

15,484,160

JPMC

3/20/2024

410,303

PEN

938,500

USD

249,276

CITI

**

3/20/2024

3,805

PEN

938,500

USD

249,275

JPMC

**

3/20/2024

3,806

PHP

21,822,810

USD

393,727

CITI

**

3/20/2024

439

PHP

18,185,675

USD

327,998

JPMC

**

3/20/2024

473

PLN

99,088,002

USD

24,751,809

CITI

3/20/2024

404,398

PLN

99,087,999

USD

24,751,685

JPMC

3/20/2024

404,521

SEK

116,905,500

USD

11,292,767

CITI

3/20/2024

333,524

SEK

116,905,500

USD

11,292,711

JPMC

3/20/2024

333,580

SGD

5,574,502

USD

4,194,123

CITI

3/20/2024

44,917

SGD

5,574,499

USD

4,194,099

JPMC

3/20/2024

44,937

TWD

153,500,000

USD

4,979,409

CITI

**

3/20/2024

105,716

TWD

153,500,000

USD

4,979,384

JPMC

**

3/20/2024

105,741

USD

1,743,181

CLP

1,521,774,032

CITI

**

3/20/2024

23,420

USD

1,743,190

CLP

1,521,774,032

JPMC

**

3/20/2024

23,428

USD

2,843,441

CZK

63,500,000

CITI

3/20/2024

9,814

USD

2,843,455

CZK

63,500,000

JPMC

3/20/2024

9,828

USD

1,876,104

EUR

1,691,500

CITI

3/20/2024

2,952

USD

1,876,113

EUR

1,691,500

JPMC

3/20/2024

2,962

USD

6,128,313

GBP

4,791,000

CITI

3/20/2024

19,132

USD

6,128,344

GBP

4,791,000

JPMC

3/20/2024

19,162

USD

838,959

INR

70,000,000

CITI

**

3/20/2024

771

USD

838,964

INR

70,000,000

JPMC

**

3/20/2024

775

USD

931,109

KRW

1,200,000,000

CITI

**

3/20/2024

276

USD

931,114

KRW

1,200,000,000

JPMC

**

3/20/2024

281

USD

90,335

PHP

5,000,000

CITI

**

3/20/2024

24

USD

90,335

PHP

5,000,000

JPMC

**

3/20/2024

25

USD

587,392

PLN

2,311,525

CITI

3/20/2024

547

USD

587,394

PLN

2,311,524

JPMC

3/20/2024

551

ZAR

132,000,000

USD

7,095,326

CITI

3/20/2024

72,038

ZAR

132,000,000

USD

7,095,291

JPMC

3/20/2024

72,073

202

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

JPY

5,855,000,000

USD

40,836,008

CITI

3/21/2024

$

1,202,400

JPY

5,855,000,000

USD

40,835,804

JPMC

3/21/2024

1,202,604

Total

unrealized

appreciation

9,012,706

AUD

4,591,500

USD

3,145,827

CITI

3/20/2024

(9,628)

AUD

4,591,500

USD

3,145,811

JPMC

3/20/2024

(9,612)

CAD

3,507,000

USD

2,662,363

CITI

3/20/2024

(12,865)

CAD

3,507,000

USD

2,662,350

JPMC

3/20/2024

(12,852)

CHF

11,500

USD

13,848

CITI

3/20/2024

(65)

CHF

11,500

USD

13,848

JPMC

3/20/2024

(65)

CLP

800,000,000

USD

913,713

CITI

**

3/20/2024

(9,631)

CLP

800,000,000

USD

913,709

JPMC

**

3/20/2024

(9,626)

CNY

5,461,500

USD

771,195

CITI

**

3/20/2024

(599)

CNY

5,461,500

USD

771,192

JPMC

**

3/20/2024

(595)

CZK

12,500,000

USD

557,929

CITI

3/20/2024

(129)

CZK

12,500,000

USD

557,926

JPMC

3/20/2024

(126)

EUR

10,500

USD

11,653

CITI

3/20/2024

(26)

EUR

10,500

USD

11,653

JPMC

3/20/2024

(26)

HUF

583,949,161

USD

1,676,484

CITI

3/20/2024

(7,703)

HUF

583,949,161

USD

1,676,475

JPMC

3/20/2024

(7,693)

ILS

468,500

USD

129,995

CITI

3/20/2024

(291)

ILS

468,500

USD

129,994

JPMC

3/20/2024

(291)

KRW

3,762,515,938

USD

2,934,866

CITI

**

3/20/2024

(16,305)

KRW

3,762,515,938

USD

2,934,852

JPMC

**

3/20/2024

(16,291)

MXN

1,500,000

USD

87,441

CITI

3/20/2024

(215)

MXN

1,500,000

USD

87,441

JPMC

3/20/2024

(215)

NOK

15,000,000

USD

1,483,646

CITI

3/20/2024

(4,711)

NOK

15,000,000

USD

1,483,638

JPMC

3/20/2024

(4,704)

PEN

380,500

USD

102,875

CITI

**

3/20/2024

(267)

PEN

380,500

USD

102,874

JPMC

**

3/20/2024

(267)

PHP

37,544,190

USD

678,833

CITI

**

3/20/2024

(706)

PHP

41,181,325

USD

744,538

JPMC

**

3/20/2024

(715)

SEK

12,500,000

USD

1,256,757

CITI

3/20/2024

(13,628)

SEK

12,500,000

USD

1,256,751

JPMC

3/20/2024

(13,622)

USD

7,363,566

AUD

11,048,000

CITI

3/20/2024

(182,710)

USD

7,363,602

AUD

11,048,000

JPMC

3/20/2024

(182,673)

USD

4,368,450

BRL

21,704,000

CITI

**

3/20/2024

(66,921)

USD

4,368,472

BRL

21,704,000

JPMC

**

3/20/2024

(66,899)

USD

15,021,922

CAD

20,341,500

CITI

3/20/2024

(345,846)

USD

15,021,373

CAD

20,341,500

JPMC

3/20/2024

(346,396)

USD

10,846,685

CHF

9,398,035

CITI

3/20/2024

(417,185)

USD

10,846,740

CHF

9,398,035

JPMC

3/20/2024

(417,131)

USD

9,562,492

CNY

67,890,500

CITI

**

3/20/2024

(16,597)

USD

9,562,540

CNY

67,890,500

JPMC

**

3/20/2024

(16,549)

USD

1,337,213

CZK

30,000,000

CITI

3/20/2024

(1,508)

USD

1,337,220

CZK

30,000,000

JPMC

3/20/2024

(1,502)

USD

50,196,268

EUR

46,212,500

CITI

3/20/2024

(979,024)

USD

50,196,519

EUR

46,212,500

JPMC

3/20/2024

(978,774)

USD

6,725,071

GBP

5,292,500

CITI

3/20/2024

(23,592)

USD

6,725,105

GBP

5,292,500

JPMC

3/20/2024

(23,557)

USD

311,319

HUF

110,000,000

CITI

3/20/2024

(3,034)

USD

311,320

HUF

110,000,000

JPMC

3/20/2024

(3,033)

USD

2,789,523

IDR

43,185,649,844

CITI

**

3/20/2024

(15,082)

USD

2,789,537

IDR

43,185,649,844

JPMC

**

3/20/2024

(15,068)

USD

3,188,358

ILS

11,793,500

CITI

3/20/2024

(76,641)

USD

3,188,374

ILS

11,793,500

JPMC

3/20/2024

(76,625)

USD

4,783,994

KRW

6,250,000,000

CITI

**

3/20/2024

(64,094)

USD

4,784,018

KRW

6,250,000,000

JPMC

**

3/20/2024

(64,070)

USD

1,021,627

MXN

18,000,000

CITI

3/20/2024

(25,075)

203

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,021,632

MXN

18,000,000

JPMC

3/20/2024

$

(25,070)

USD

14,965,375

NOK

161,594,874

CITI

3/20/2024

(967,170)

USD

14,965,450

NOK

161,594,874

JPMC

3/20/2024

(967,095)

USD

18,365,986

NZD

29,855,500

CITI

3/20/2024

(510,922)

USD

18,366,078

NZD

29,855,500

JPMC

3/20/2024

(510,830)

USD

718,713

PHP

40,000,000

CITI

**

3/20/2024

(3,772)

USD

718,717

PHP

40,000,000

JPMC

**

3/20/2024

(3,769)

USD

4,647,211

PLN

18,433,477

CITI

3/20/2024

(32,633)

USD

4,647,233

PLN

18,433,474

JPMC

3/20/2024

(32,610)

USD

9,154,130

SGD

12,162,927

CITI

3/20/2024

(94,970)

USD

9,154,173

SGD

12,162,924

JPMC

3/20/2024

(94,924)

USD

4,496,169

THB

158,000,000

CITI

3/20/2024

(164,010)

USD

4,496,191

THB

158,000,000

JPMC

3/20/2024

(163,987)

USD

3,088,938

TWD

95,468,895

CITI

**

3/20/2024

(73,742)

USD

3,088,975

TWD

95,468,895

JPMC

**

3/20/2024

(73,705)

USD

18,159,988

ZAR

342,330,000

CITI

3/20/2024

(427,919)

USD

18,160,079

ZAR

342,330,000

JPMC

3/20/2024

(427,828)

USD

35,960,560

JPY

5,136,356,574

CITI

3/21/2024

(918,049)

USD

35,960,740

JPY

5,136,356,574

JPMC

3/21/2024

(917,869)

Total

unrealized

depreciation

(10,973,929)

Net

unrealized

depreciation

$

(1,961,223)

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

Total

return

basket

swap

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.04%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-58

months

maturity

ranging

from

09/21/2026

-

09/08/2028

$1,505,549

$(10,748)

$1,040

$(9,708)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NOWA

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-60

months

maturity

ranging

from

09/21/2026

-

11/16/2028

$1,243,404

$35,364

$352

$35,716

204

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-58

months

maturity

ranging

from

09/21/2026

-

09/08/2028

$997,409

$(46,742)

$1,809

$(44,933)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-60

months

maturity

ranging

from

09/21/2026

-

11/16/2028

$9,298,965

$(42,274)

$(83)

$(42,357)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Allkem

Ltd.

24,459

166,138

11,963

(28.2)

ALS

Ltd.

9,790

85,751

1,358

(3.2)

Aristocrat

Leisure

Ltd.

6,735

187,122

6,936

(16.4)

BHP

Group

Ltd.

5,622

192,073

9,942

(23.5)

BlueScope

Steel

Ltd.

19,076

304,119

29,313

(69.2)

Brambles

Ltd.

11,546

107,019

5,836

(13.8)

Cochlear

Ltd.

527

107,216

4,147

(9.8)

Coles

Group

Ltd.

11,948

131,250

3,095

(7.3)

Fortescue

Ltd.

8,781

173,138

17,918

(42.3)

IGO

Ltd.

20,379

125,598

14,222

(33.6)

Incitec

Pivot

Ltd.

73,719

142,783

(389)

0.9

JB

Hi-Fi

Ltd.

7,102

256,659

17,822

(42.1)

Northern

Star

Resources

Ltd.

21,152

196,251

18,381

(43.4)

Orica

Ltd.

7,358

79,983

1,513

(3.6)

Origin

Energy

Ltd.

66,318

382,701

30,200

(71.3)

Pilbara

Minerals

Ltd.

66,266

177,866

15,301

(36.1)

Qantas

Airways

Ltd.

144,878

530,690

(11,321)

26.7

QBE

Insurance

Group

Ltd.

5,071

51,382

1,310

(3.1)

Qube

Holdings

Ltd.

29,160

64,476

3,472

(8.2)

Sonic

Healthcare

Ltd.

4,760

104,010

2,806

(6.6)

South32

Ltd.

49,276

111,445

7,685

(18.1)

Suncorp

Group

Ltd.

11,261

106,635

45

(0.1)

205

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Whitehaven

Coal

Ltd.

34,985

177,540

5,411

(12.8)

Woolworths

Group

Ltd.

8,021

203,492

6,446

(15.2)

New

Zealand

Xero

Ltd.

959

73,161

4,954

(11.7)

Short

Positions

Common

Stocks

Australia

APA

Group

(11,275)

(65,615)

846

(2.0)

Aurizon

Holdings

Ltd.

(35,338)

(91,488)

(2,388)

5.6

CAR

Group

Ltd.

(8,008)

(169,700)

(13,792)

32.6

Cleanaway

Waste

Management

Ltd.

(86,146)

(157,929)

(5,298)

12.5

Commonwealth

Bank

of

Australia

(6,414)

(488,856)

(21,441)

50.6

Computershare

Ltd.

(5,430)

(90,439)

(1,817)

4.3

Domino's

Pizza

Enterprises

Ltd.

(7,170)

(287,828)

(23,935)

56.5

Endeavour

Group

Ltd.

(24,141)

(85,732)

(4,300)

10.2

Evolution

Mining

Ltd.

(45,161)

(121,499)

(10,709)

25.3

IDP

Education

Ltd.

(25,819)

(352,201)

47,367

(111.8)

Lynas

Rare

Earths

Ltd.

(31,666)

(154,569)

(18,191)

42.9

Mineral

Resources

Ltd.

(4,389)

(209,064)

(24,197)

57.1

NEXTDC

Ltd.

(29,838)

(278,652)

(15,745)

37.2

Pro

Medicus

Ltd.

(1,329)

(86,722)

(4,662)

11.0

Ramsay

Health

Care

Ltd.

(2,613)

(93,734)

(5,878)

13.9

REA

Group

Ltd.

(2,523)

(311,110)

(29,918)

70.6

Reece

Ltd.

(7,603)

(115,969)

(11,674)

27.6

Transurban

Group

(8,116)

(75,839)

(2,779)

6.6

Treasury

Wine

Estates

Ltd.

(17,494)

(128,712)

(3,777)

8.9

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(6,022)

(134,530)

2,493

(5.9)

Wesfarmers

Ltd.

(1,434)

(55,767)

(2,705)

6.4

Westpac

Banking

Corp.

(6,119)

(95,472)

(3,986)

9.4

WiseTech

Global

Ltd.

(4,814)

(246,739)

(23,665)

55.9

United

States

CSL

Ltd.

(3,597)

(701,232)

(44,930)

106.1

James

Hardie

Industries

plc

(2,834)

(109,267)

(14,270)

33.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CORRA

plus

or

minus

a

specified

spread

(-0.06%

to

0.02%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-60

months

maturity

ranging

from

09/21/2026

-

11/16/2028

$15,370,734

$(105,838)

$(7,580)

$(113,418)

206

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

4,135

226,714

10,048

(8.9)

Air

Canada

24,237

341,866

13,353

(11.8)

Alimentation

Couche-Tard,

Inc.

5,568

327,890

6,597

(5.8)

ARC

Resources

Ltd.

8,787

130,441

(3,316)

2.9

Atco

Ltd.

4,101

119,683

5,014

(4.4)

Bombardier,

Inc.

11,157

448,031

28,039

(24.7)

Canadian

National

Railway

Co.

1,602

201,361

6,178

(5.4)

CCL

Industries,

Inc.

2,784

125,202

(1,030)

0.9

Constellation

Software,

Inc.

55

136,365

(1,493)

1.3

Empire

Co.

Ltd.

5,785

153,024

(13,010)

11.5

Fairfax

Financial

Holdings

Ltd.

328

302,617

(8,218)

7.2

Finning

International,

Inc.

6,721

194,369

14,405

(12.7)

Franco-Nevada

Corp.

1,325

146,764

1,220

(1.1)

George

Weston

Ltd.

1,472

182,743

2,188

(1.9)

Imperial

Oil

Ltd.

3,391

193,165

4,453

(3.9)

MEG

Energy

Corp.

9,604

171,561

652

(0.6)

Metro,

Inc.

2,426

125,580

(201)

0.2

National

Bank

of

Canada

3,227

245,973

14,539

(12.8)

Nutrien

Ltd.

8,952

504,333

3,986

(3.5)

Onex

Corp.

1,811

126,465

2,733

(2.4)

Open

Text

Corp.

4,923

206,907

3,530

(3.1)

Pembina

Pipeline

Corp.

5,659

194,833

384

(0.3)

Shopify,

Inc.

3,622

281,986

11,699

(10.3)

Sun

Life

Financial,

Inc.

5,016

260,141

(5,943)

5.2

TFI

International,

Inc.

1,581

215,056

27,777

(24.5)

Toromont

Industries

Ltd.

1,284

112,503

2,684

(2.4)

West

Fraser

Timber

Co.

Ltd.

3,225

275,904

30,083

(26.5)

Whitecap

Resources,

Inc.

28,205

188,807

(2,980)

2.6

Short

Positions

Common

Stocks

Canada

Algonquin

Power

&

Utilities

Corp.

(57,358)

(361,883)

(5,194)

4.6

Bank

of

Montreal

(4,461)

(441,404)

(39,895)

35.2

BCE,

Inc.

(4,967)

(195,561)

10,009

(8.8)

Brookfield

Asset

Management

Ltd.

(3,094)

(124,269)

(10,251)

9.0

Cameco

Corp.

(4,280)

(184,534)

13,049

(11.5)

Canadian

Imperial

Bank

of

Commerce

(9,473)

(456,117)

(39,678)

35.0

Canadian

Pacific

Kansas

City

Ltd.

(9,369)

(741,290)

(40,303)

35.5

Emera,

Inc.

(5,531)

(209,961)

(6,053)

5.3

Enbridge,

Inc.

(4,905)

(176,573)

(777)

0.7

Fortis,

Inc.

(4,493)

(184,833)

2,780

(2.5)

GFL

Environmental,

Inc.

(4,326)

(149,233)

(21,613)

19.1

Hydro

One

Ltd.

(7,640)

(228,903)

(3,056)

2.7

Keyera

Corp.

(5,874)

(141,990)

4,832

(4.3)

Magna

International,

Inc.

(4,906)

(289,869)

(13,403)

11.8

Pan

American

Silver

Corp.

(12,267)

(200,245)

(14,350)

12.7

RB

Global,

Inc.

(5,011)

(335,327)

(10,929)

9.6

Rogers

Communications,

Inc.

(16,334)

(764,649)

(5,054)

4.5

Royal

Bank

of

Canada

(7,381)

(746,428)

(47,515)

41.9

Suncor

Energy,

Inc.

(7,881)

(252,480)

(8,089)

7.1

207

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Teck

Resources

Ltd.

(2,675)

(113,073)

(9,327)

8.2

Toronto-Dominion

Bank

(The)

(4,771)

(308,285)

(13,826)

12.2

WSP

Global,

Inc.

(1,271)

(178,164)

2,024

(1.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-59

months

maturity

ranging

from

09/21/2026

-

10/25/2028

$10,498,643

$(206,993)

$(1,055)

$(208,048)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

23,397

1,038,784

10,323

(5.0)

Avolta

AG

1,256

49,450

1,588

(0.8)

Cie

Financiere

Richemont

SA

(Registered)

298

41,161

(454)

0.2

Clariant

AG

(Registered)

5,976

88,294

(2,869)

1.4

DKSH

Holding

AG

1,276

88,602

1,062

(0.5)

Galenica

AG

370

32,007

266

(0.1)

Georg

Fischer

AG

(Registered)

2,938

213,810

8,407

(4.0)

Helvetia

Holding

AG

(Registered)

98

13,513

8

(0.0)

Julius

Baer

Group

Ltd.

494

27,712

1,076

(0.5)

Logitech

International

SA

(Registered)

4,605

437,882

5,443

(2.6)

Novartis

AG

(Registered)

8,994

908,488

(6,685)

3.2

Schindler

Holding

AG

68

17,024

708

(0.3)

Swatch

Group

AG

(The)

374

101,762

(1,049)

0.5

Swisscom

AG

(Registered)

335

201,626

(875)

0.4

Zurich

Insurance

Group

AG

42

21,959

(498)

0.2

United

States

Holcim

AG

12,502

981,925

7,689

(3.7)

Swiss

Re

AG

5,740

645,925

(30,413)

14.6

Short

Positions

Common

Stocks

Switzerland

Adecco

Group

AG

(Registered)

(1,259)

(61,834)

544

(0.3)

Alcon,

Inc.

(1,093)

(85,512)

(2,652)

1.3

Bachem

Holding

AG

(2,039)

(157,903)

771

(0.4)

Baloise

Holding

AG

(Registered)

(346)

(54,249)

590

(0.3)

Banque

Cantonale

Vaudoise

(Registered)

(1,225)

(157,987)

(8,840)

4.2

Barry

Callebaut

AG

(Registered)

(76)

(128,302)

1,099

(0.5)

Belimo

Holding

AG

(Registered)

(125)

(68,994)

(2,441)

1.2

208

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

BKW

AG

(174)

(30,949)

808

(0.4)

Chocoladefabriken

Lindt

&

Spruengli

AG

(28)

(336,102)

25,447

(12.2)

EMS-Chemie

Holding

AG

(Registered)

(128)

(103,786)

(3,340)

1.6

Flughafen

Zurich

AG

(Registered)

(138)

(28,834)

1,258

(0.6)

Geberit

AG

(Registered)

(809)

(519,312)

(28,939)

13.9

Givaudan

SA

(Registered)

(130)

(539,073)

(9,675)

4.7

Lonza

Group

AG

(Registered)

(83)

(34,992)

(2,919)

1.4

Partners

Group

Holding

AG

(296)

(428,002)

(12,711)

6.1

SGS

SA

(Registered)

(493)

(42,561)

558

(0.3)

SIG

Group

AG

(17,690)

(407,419)

11,774

(5.7)

Sika

AG

(Registered)

(2,686)

(875,841)

(84,141)

40.4

Sonova

Holding

AG

(Registered)

(481)

(157,310)

(10,617)

5.1

Straumann

Holding

AG

(Registered)

(2,580)

(416,935)

(48,824)

23.5

Swiss

Life

Holding

AG

(Registered)

(117)

(81,310)

(1,181)

0.6

Tecan

Group

AG

(Registered)

(218)

(89,185)

(5,516)

2.7

Temenos

AG

(Registered)

(222)

(20,688)

(337)

0.2

UBS

Group

AG

(Registered)

(4,792)

(148,847)

(6,178)

3.0

VAT

Group

AG

(614)

(308,386)

(20,021)

9.6

United

States

Nestle

SA

(Registered)

(2,626)

(304,406)

4,763

(2.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Denmark

Tomorrow/Next

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-60

months

maturity

ranging

from

09/21/2026

-

11/16/2028

$3,878,747

$(37,193)

$(9,245)

$(46,438)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

83

149,402

20,650

(44.5)

Carlsberg

A/S

1,081

135,648

3,387

(7.3)

Danske

Bank

A/S

14,989

400,675

1,684

(3.6)

Genmab

A/S

524

167,079

(4,414)

9.5

ISS

A/S

8,351

159,501

11,098

(23.9)

Jyske

Bank

A/S

(Registered)

1,898

136,100

2,281

(4.9)

Novo

Nordisk

A/S

4,057

420,432

18,379

(39.6)

Pandora

A/S

3,538

489,147

941

(2.0)

ROCKWOOL

A/S

171

50,030

1,004

(2.2)

209

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(7,060)

(109,987)

(11,479)

24.7

Coloplast

A/S

(3,898)

(445,409)

(13,395)

28.8

Demant

A/S

(975)

(42,764)

(574)

1.2

DSV

A/S

(644)

(113,155)

(10,442)

22.5

GN

Store

Nord

A/S

(2,005)

(51,020)

(3,231)

7.0

Novozymes

A/S

(7,689)

(422,690)

(8,447)

18.2

Orsted

A/S

(3,840)

(212,876)

(20,214)

43.5

Royal

Unibrew

A/S

(1,848)

(123,457)

(2,989)

6.4

Tryg

A/S

(2,853)

(62,088)

2,153

(4.6)

Vestas

Wind

Systems

A/S

(5,919)

(187,287)

(23,585)

50.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.05%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-60

months

maturity

ranging

from

09/21/2026

-

11/16/2028

$42,872,794

$(300,590)

$10,021

$(290,569)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Cie

de

Saint-Gobain

SA

6,388

471,098

30,557

(10.5)

Eiffage

SA

2,916

313,034

2,196

(0.8)

Getlink

SE

16,551

303,130

(10,226)

3.5

Rexel

SA

13,002

356,856

7,060

(2.4)

Safran

SA

1,947

343,276

(12,405)

4.3

Vinci

SA

2,237

281,516

(5,197)

1.8

Germany

Allianz

SE

(Registered)

1,469

392,577

(5,388)

1.9

Bayerische

Motoren

Werke

AG

5,866

652,720

(3,276)

1.1

Commerzbank

AG

32,259

383,424

(10,092)

3.5

Daimler

Truck

Holding

AG

10,973

412,190

19,345

(6.7)

Deutsche

Bank

AG

(Registered)

30,714

419,280

15,722

(5.4)

Deutsche

Lufthansa

AG

(Registered)

40,276

358,064

(4,752)

1.6

Heidelberg

Materials

AG

4,992

446,226

12,847

(4.4)

Mercedes-Benz

Group

AG

10,341

713,507

(6,269)

2.2

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

757

314,014

(14,412)

5.0

Italy

Banco

BPM

SpA

70,899

375,690

(17,846)

6.1

210

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Italy

(continued)

Leonardo

SpA

24,285

401,264

30,891

(10.6)

Prysmian

SpA

9,547

435,201

26,271

(9.0)

UniCredit

SpA

22,646

616,644

(15,858)

5.5

Netherlands

ABN

AMRO

Bank

NV

29,340

441,229

15,950

(5.5)

ASML

Holding

NV

766

578,244

20,807

(7.2)

Koninklijke

Ahold

Delhaize

NV

15,471

445,123

(19,688)

6.8

Wolters

Kluwer

NV

2,076

295,351

(2,926)

1.0

Singapore

STMicroelectronics

NV

5,591

280,439

5,777

(2.0)

Spain

Industria

de

Diseno

Textil

SA

12,973

566,065

19,554

(6.7)

Repsol

SA

46,934

696,216

(19,578)

6.7

United

States

Tenaris

SA

34,975

608,326

9,475

(3.3)

Short

Positions

Common

Stocks

Belgium

UCB

SA

(3,613)

(314,951)

(9,427)

3.2

France

Alstom

SA

(25,824)

(348,243)

(24,816)

8.5

Cie

Generale

des

Etablissements

Michelin

SCA

(9,544)

(342,883)

(3,621)

1.2

EssilorLuxottica

SA

(1,806)

(362,643)

2,649

(0.9)

Kering

SA

(733)

(324,645)

6,721

(2.3)

Sartorius

Stedim

Biotech

(1,645)

(436,225)

(57,045)

19.6

Germany

Bayer

AG

(Registered)

(8,998)

(333,861)

(21,060)

7.2

Covestro

AG

(6,520)

(379,933)

(15,150)

5.2

Fresenius

Medical

Care

AG

(9,415)

(393,625)

5,597

(1.9)

Merck

KGaA

(1,849)

(294,388)

(6,272)

2.2

Rheinmetall

AG

(1,642)

(520,738)

(6,116)

2.1

Siemens

Healthineers

AG

(12,966)

(752,788)

(4,462)

1.5

Italy

Moncler

SpA

(4,825)

(297,072)

(7,840)

2.7

Nexi

SpA

(47,695)

(390,765)

656

(0.2)

Luxembourg

Eurofins

Scientific

SE

(7,509)

(489,830)

(36,225)

12.5

Netherlands

Adyen

NV

(620)

(800,383)

33,002

(11.4)

Heineken

NV

(4,875)

(495,297)

(24,824)

8.5

Portugal

EDP

-

Energias

de

Portugal

SA

(86,984)

(437,791)

(10,379)

3.6

Spain

Grifols

SA

(17,495)

(299,294)

(27,648)

9.5

Switzerland

DSM-Firmenich

AG

(8,536)

(868,055)

(37,295)

12.8

United

States

Ferrovial

SE

(9,826)

(358,658)

(7,310)

2.5

Preferred

Stocks

Germany

Henkel

AG

&

Co.

KGaA

(Preference),

12/31/2049

(5,698)

(458,359)

1,588

(0.5)

Sartorius

AG

(Preference)

(1,284)

(471,511)

(25,433)

8.8

211

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.03%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-60

months

maturity

ranging

from

09/21/2026

-

11/16/2028

$16,957,394

$(73,368)

$24,836

$(48,532)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Glencore

plc

41,150

247,355

16,934

(34.9)

Netherlands

Shell

plc

17,395

569,409

11,438

(23.6)

United

Kingdom

Associated

British

Foods

plc

6,244

188,188

(7,203)

14.8

Auto

Trader

Group

plc

18,205

167,243

(5,077)

10.5

Aviva

plc

30,388

168,150

1,942

(4.0)

BAE

Systems

plc

23,481

332,373

20,352

(41.9)

BP

plc

81,380

482,427

(2,257)

4.6

British

American

Tobacco

plc

4,705

137,664

178

(0.4)

Centrica

plc

454,697

815,137

(18,009)

37.1

DS

Smith

plc

61,614

241,100

3,135

(6.5)

easyJet

plc

39,237

254,540

15,876

(32.7)

Howden

Joinery

Group

plc

14,728

152,476

8,336

(17.2)

HSBC

Holdings

plc

45,568

368,644

10,618

(21.9)

Imperial

Brands

plc

6,313

145,374

(837)

1.7

InterContinental

Hotels

Group

plc

5,818

524,643

12,055

(24.8)

Man

Group

plc

57,214

169,630

9,262

(19.1)

Marks

&

Spencer

Group

plc

80,158

277,796

7,037

(14.5)

Melrose

Industries

plc

21,730

157,073

(363)

0.7

Pearson

plc

17,892

219,766

(84)

0.2

Reckitt

Benckiser

Group

plc

3,699

255,244

1,486

(3.1)

Rolls-Royce

Holdings

plc

217,304

828,878

6,505

(13.4)

Spectris

plc

4,092

196,828

13,543

(27.9)

Standard

Chartered

plc

29,462

250,019

7,046

(14.5)

Tesco

plc

70,668

261,806

132

(0.3)

Vodafone

Group

plc

332,676

290,539

(144)

0.3

United

States

CRH

plc

2,472

170,121

6,210

(12.8)

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(2,294)

(170,630)

(10,276)

21.2

Burkina

Faso

Endeavour

Mining

plc

(6,559)

(146,766)

(4,638)

9.6

212

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Chile

Antofagasta

plc

(16,840)

(360,072)

(30,368)

62.6

Hong

Kong

Prudential

plc

(22,701)

(256,128)

3,310

(6.8)

Italy

Coca-Cola

HBC

AG

(5,804)

(170,423)

(2,486)

5.1

South

Africa

Anglo

American

plc

(10,232)

(256,073)

(22,748)

46.9

United

Kingdom

abrdn

plc

(97,879)

(222,534)

3,284

(6.8)

Ashtead

Group

plc

(2,574)

(178,911)

(11,846)

24.4

AstraZeneca

plc

(1,146)

(154,584)

(7,107)

14.6

Bellway

plc

(4,114)

(134,377)

(5,377)

11.1

ConvaTec

Group

plc

(50,093)

(155,884)

(10,176)

21.0

Diageo

plc

(9,402)

(341,247)

(4,549)

9.4

Direct

Line

Insurance

Group

plc

(62,986)

(145,863)

6,960

(14.3)

J

Sainsbury

plc

(55,444)

(213,760)

(2,522)

5.2

Kingfisher

plc

(87,435)

(270,907)

(12,234)

25.2

Ocado

Group

plc

(15,073)

(145,604)

(24,103)

49.7

Persimmon

plc

(13,181)

(232,990)

(12,642)

26.0

Rentokil

Initial

plc

(65,487)

(369,102)

(20,185)

41.6

Schroders

plc

(34,940)

(191,044)

(2,611)

5.4

Severn

Trent

plc

(5,324)

(175,077)

8,898

(18.3)

Smith

&

Nephew

plc

(14,706)

(202,017)

(5,382)

11.1

Unilever

plc

(4,203)

(203,472)

(990)

2.0

United

Utilities

Group

plc

(10,617)

(143,417)

6,460

(13.3)

Wise

plc

(30,408)

(338,182)

(21,207)

43.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.09%

to

0.03%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-60

months

maturity

ranging

from

09/21/2026

-

11/16/2028

$7,523,543

$(78,373)

$(316)

$(78,689)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

19,999

248,276

5,378

(6.8)

Guatemala

Millicom

International

Cellular

SA

1,001

17,935

850

(1.1)

Sweden

Alfa

Laval

AB

2,217

88,756

3,382

(4.3)

Axfood

AB

1,754

47,476

(800)

1.0

Billerud

Aktiebolag

9,395

95,748

(2,431)

3.1

213

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Boliden

AB

1,882

58,906

3,431

(4.4)

Electrolux

AB

1,979

21,259

1,020

(1.3)

Evolution

AB

655

78,017

2,958

(3.8)

Getinge

AB

4,738

105,503

(98)

0.1

H

&

M

Hennes

&

Mauritz

AB

17,676

310,038

438

(0.6)

Hexpol

AB

10,304

124,840

6,946

(8.8)

Saab

AB

3,390

204,294

22,594

(28.7)

Sandvik

AB

1,842

40,018

790

(1.0)

SKF

AB

14,928

299,165

(3,360)

4.3

SSAB

AB

65,912

504,657

3,425

(4.4)

Swedbank

AB

14,155

286,181

4,514

(5.7)

Trelleborg

AB

9,877

331,512

6,492

(8.2)

Volvo

AB

22,993

598,278

17,187

(21.8)

Volvo

Car

AB

19,464

63,125

(1,909)

2.4

Short

Positions

Common

Stocks

Sweden

Assa

Abloy

AB

(2,938)

(84,671)

(3,487)

4.4

Atlas

Copco

AB

(15,046)

(259,259)

(9,464)

12.0

Beijer

Ref

AB

(7,693)

(103,232)

(2,856)

3.6

Embracer

Group

AB

(27,857)

(75,572)

(654)

0.8

Epiroc

AB

(6,340)

(127,617)

(3,848)

4.9

EQT

AB

(18,802)

(532,353)

(83,464)

106.1

Essity

AB

(11,175)

(276,941)

15,784

(20.1)

Hexagon

AB

(23,369)

(280,692)

(10,766)

13.7

Holmen

AB

(1,771)

(74,801)

4,003

(5.1)

Husqvarna

AB

(13,154)

(108,501)

4,153

(5.3)

Lifco

AB

(1,443)

(35,427)

(490)

0.6

Nibe

Industrier

AB

(31,228)

(219,296)

1,832

(2.3)

Securitas

AB

(27,441)

(269,031)

(9,532)

12.1

Skandinaviska

Enskilda

Banken

AB

(2,270)

(31,328)

(1,079)

1.4

Svenska

Cellulosa

AB

SCA

(7,603)

(114,216)

4,510

(5.7)

Svenska

Handelsbanken

AB

(28,141)

(305,821)

(15,930)

20.2

Swedish

Orphan

Biovitrum

AB

(12,049)

(318,964)

(32,016)

40.7

Tele2

AB

(18,834)

(161,891)

(1,935)

2.5

Telefonaktiebolaget

LM

Ericsson

(30,493)

(191,898)

(11,861)

15.1

Telia

Co.

AB

(167,768)

(428,048)

7,920

(10.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-1.75%

to

0.30%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-14

months

maturity

ranging

from

01/10/2024

-

01/30/2025

$30,901,988

$(98,582)

$1,491

$(97,091)

214

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Asics

Corp.

7,600

237,244

(7,789)

8.0

Disco

Corp.

1,200

296,360

19,254

(19.8)

Fujitsu

Ltd.

1,400

210,691

3,521

(3.6)

Hitachi

Ltd.

3,800

273,333

7,818

(8.1)

Japan

Post

Bank

Co.

Ltd.

30,300

308,361

(2,160)

2.2

Japan

Tobacco,

Inc.

12,900

333,145

(2,438)

2.5

Kansai

Paint

Co.

Ltd.

17,000

289,875

2,442

(2.5)

MISUMI

Group,

Inc.

10,900

184,033

21,345

(22.0)

Mitsubishi

Corp.

21,600

344,072

6,285

(6.5)

Mitsubishi

Motors

Corp.

91,300

288,969

7,040

(7.3)

Mitsui

&

Co.

Ltd.

8,500

318,444

11,961

(12.3)

Ono

Pharmaceutical

Co.

Ltd.

11,000

195,685

1,117

(1.2)

Recruit

Holdings

Co.

Ltd.

10,600

443,198

13,710

(14.1)

SCREEN

Holdings

Co.

Ltd.

3,300

278,160

12,872

(13.3)

Sega

Sammy

Holdings,

Inc.

13,300

185,683

2,973

(3.1)

Shionogi

&

Co.

Ltd.

5,800

279,142

(6,826)

7.0

Sojitz

Corp.

12,660

285,216

(2,013)

2.1

Subaru

Corp.

12,000

218,873

320

(0.3)

Tokyo

Gas

Co.

Ltd.

9,200

211,036

(16,811)

17.3

Toyo

Suisan

Kaisha

Ltd.

8,500

438,569

11,760

(12.1)

Toyota

Tsusho

Corp.

3,200

187,783

(2,674)

2.8

Trend

Micro,

Inc.

3,500

186,795

(6,648)

6.8

Short

Positions

Common

Stocks

Japan

Advantest

Corp.

(11,200)

(377,390)

709

(0.7)

Aeon

Co.

Ltd.

(19,000)

(423,975)

(14,869)

15.3

Canon,

Inc.

(9,600)

(246,276)

(1,169)

1.2

Eisai

Co.

Ltd.

(5,500)

(273,851)

3,216

(3.3)

Ibiden

Co.

Ltd.

(5,200)

(286,862)

(7,021)

7.2

KDDI

Corp.

(6,100)

(193,483)

(2,003)

2.1

Keyence

Corp.

(500)

(219,678)

(317)

0.3

Kobe

Bussan

Co.

Ltd.

(8,100)

(239,280)

(71)

0.1

Kubota

Corp.

(15,600)

(234,125)

(3,942)

4.1

Lasertec

Corp.

(1,000)

(262,527)

(27,491)

28.3

Mercari,

Inc.

(10,700)

(197,604)

(1,096)

1.1

Murata

Manufacturing

Co.

Ltd.

(9,300)

(196,527)

(10,527)

10.8

Nintendo

Co.

Ltd.

(5,400)

(280,983)

(20,060)

20.7

Nippon

Telegraph

&

Telephone

Corp.

(395,200)

(482,573)

(9,173)

9.4

Nitori

Holdings

Co.

Ltd.

(3,800)

(510,251)

(21,102)

21.7

NTT

Data

Group

Corp.

(41,800)

(590,870)

(31,461)

32.4

Rakuten

Group,

Inc.

(90,700)

(404,369)

(30,569)

31.5

Resonac

Holdings

Corp.

(11,700)

(232,512)

7,131

(7.3)

Rohm

Co.

Ltd.

(9,900)

(188,998)

11,880

(12.2)

Sekisui

House

Ltd.

(16,300)

(361,310)

(11,149)

11.5

Seven

&

i

Holdings

Co.

Ltd.

(7,300)

(288,712)

(10,121)

10.4

SMC

Corp.

(600)

(320,962)

(10,664)

11.0

SoftBank

Corp.

(28,800)

(358,898)

(4,413)

4.5

Sony

Group

Corp.

(2,600)

(246,046)

(4,946)

5.1

Terumo

Corp.

(6,500)

(212,557)

2,819

(2.9)

215

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Tokyo

Electron

Ltd.

(1,500)

(266,610)

(7,195)

7.4

Toyota

Motor

Corp.

(17,900)

(327,995)

4,552

(4.7)

Yaskawa

Electric

Corp.

(6,400)

(266,380)

(9,835)

10.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-5.20%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-13

months

maturity

ranging

from

10/04/2023

-

01/31/2025

$165,143,849

$(645,812)

$(1,499,323)

$(2,145,135)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

3M

Co.

6,363

695,603

21,952

(1.0)

AbbVie,

Inc.

5,167

800,730

8,009

(0.4)

Adobe,

Inc.

1,131

674,755

(2,861)

0.1

Allison

Transmission

Holdings,

Inc.

7,631

443,743

2,442

(0.1)

Alphabet,

Inc.

4,407

615,614

17,143

(0.8)

AT&T,

Inc.

30,439

510,766

9,740

(0.5)

Autodesk,

Inc.

2,062

502,056

8,949

(0.4)

Booking

Holdings,

Inc.

268

950,655

20,553

(1.0)

Broadcom,

Inc.

597

666,401

(18,358)

0.9

Builders

FirstSource,

Inc.

3,606

601,986

24,593

(1.1)

Cardinal

Health,

Inc.

5,646

569,117

(1,807)

0.1

Cigna

Group

(The)

1,909

571,650

14,088

(0.7)

Cisco

Systems,

Inc.

16,166

816,706

4,526

(0.2)

Coca-Cola

Co.

(The)

8,081

476,213

(727)

0.0

Dell

Technologies,

Inc.

5,868

448,902

18,367

(0.9)

Expedia

Group,

Inc.

3,890

590,463

12,915

(0.6)

Ferguson

plc

2,381

459,700

11,310

(0.5)

General

Electric

Co.

7,148

912,299

28,521

(1.3)

Humana,

Inc.

1,388

635,440

(3,081)

0.1

KB

Home

8,549

533,971

17,953

(0.8)

KLA

Corp.

1,121

651,637

5,123

(0.2)

Lam

Research

Corp.

591

462,907

7,884

(0.4)

Lennar

Corp.

6,147

916,149

10,819

(0.5)

Lockheed

Martin

Corp.

1,118

506,722

7,077

(0.3)

Marathon

Petroleum

Corp.

2,993

444,041

(10,326)

0.5

McKesson

Corp.

1,412

653,728

21,801

(1.0)

Meta

Platforms,

Inc.

1,903

673,586

17,774

(0.8)

Molson

Coors

Beverage

Co.

8,031

491,578

(5,782)

0.3

NVIDIA

Corp.

1,017

503,639

(5,644)

0.3

216

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Owens

Corning

4,193

621,528

(2,767)

0.1

PACCAR,

Inc.

5,381

525,455

10,224

(0.5)

PulteGroup,

Inc.

4,798

495,250

5,854

(0.3)

Sherwin-Williams

Co.

(The)

1,558

485,940

5,500

(0.3)

Toll

Brothers,

Inc.

7,402

760,852

10,437

(0.5)

Walmart,

Inc.

3,756

592,133

10,066

(0.5)

Short

Positions

Common

Stocks

United

States

agilon

health,

Inc.

(39,669)

(497,846)

12,694

(0.6)

Apellis

Pharmaceuticals,

Inc.

(8,290)

(496,239)

(32,165)

1.5

Atmos

Energy

Corp.

(4,147)

(480,637)

(6,718)

0.3

Celanese

Corp.

(5,749)

(893,222)

(28,343)

1.3

Chart

Industries,

Inc.

(3,405)

(464,204)

(21,009)

1.0

FirstEnergy

Corp.

(12,750)

(467,415)

2,040

(0.1)

Foot

Locker,

Inc.

(14,914)

(464,571)

(24,161)

1.1

JetBlue

Airways

Corp.

(93,558)

(519,247)

6,549

(0.3)

Masimo

Corp.

(4,466)

(523,460)

(8,887)

0.4

MP

Materials

Corp.

(23,023)

(457,007)

(44,204)

2.1

Southwest

Airlines

Co.

(24,277)

(701,120)

2,185

(0.1)

Tractor

Supply

Co.

(2,830)

(608,535)

2,038

(0.1)

Waters

Corp.

(1,964)

(646,608)

(13,650)

0.6

Western

Digital

Corp.

(9,083)

(475,677)

(16,804)

0.8

Xylem,

Inc.

(5,172)

(591,470)

(18,878)

0.9

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

BARC

Cash

$

–

$

3,986,039

$

3,986,039

CITG

Cash

–

501,792

501,792

CITI

Cash

(26,529)

–

(26,529)

Investment

Companies

2,416,152

–

2,416,152

GSCO

Cash

–

462,815

462,815

GSIN

U.S.

Treasury

Bills

8,868,895

–

8,868,895

JPMC

Investment

Companies

16,374,584

–

16,374,584

JPMS

Cash

–

2,670,230

2,670,230

MLIN

Cash

(941,762)

–

(941,762)

MSCL

Cash

–

1,689,300

1,689,300

217

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

GSCO

Cash

$

–

$

589,080

$

589,080

JPPC

Cash

–

4,745,753

4,745,753

MSCL

Cash

–

5,877,520

5,877,520

218

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

109.7%

COMMON

STOCKS

-

57.0%

Australia

-

1.1%

Allkem

Ltd.

(2)*

4,812

32,686

BHP

Group

Ltd.

(2)(a)

8,261

282,234

BlueScope

Steel

Ltd.

(2)

54,541

869,518

Incitec

Pivot

Ltd.

(2)

77,859

150,802

JB

Hi-Fi

Ltd.

(2)

12,577

454,520

Northern

Star

Resources

Ltd.

(2)(a)

5,671

52,616

Qantas

Airways

Ltd.

(2)*

81,115

297,126

Sonic

Healthcare

Ltd.

(2)

5,889

128,679

South32

Ltd.

(2)(a)

116,826

264,218

Whitehaven

Coal

Ltd.

(2)

68,657

348,416

2,880,815

—

Belgium

-

0.3%

Ageas

SA/NV

(2)

1,286

55,903

Proximus

SADP

(2)

74,767

702,909

758,812

—

Brazil

-

0.0%

†

Yara

International

ASA

(2)

335

11,901

Canada

-

1.3%

Agnico

Eagle

Mines

Ltd.

(a)

4,732

259,447

Air

Canada

*

49,937

704,368

CCL

Industries,

Inc.,

Class

B

(a)

272

12,232

Empire

Co.

Ltd.,

Class

A

2,041

53,988

Fairfax

Financial

Holdings

Ltd.

71

65,506

Imperial

Oil

Ltd.

6,392

364,113

Manulife

Financial

Corp.

(a)

2,750

60,768

Nutrien

Ltd.

(a)

2,355

132,675

Parkland

Corp.

10,027

323,198

Shopify,

Inc.,

Class

A

*(a)

6,834

532,052

Suncor

Energy,

Inc.

19,504

624,840

TFI

International,

Inc.

528

71,821

West

Fraser

Timber

Co.

Ltd.

1,979

169,306

3,374,314

—

China

-

0.1%

BOC

Hong

Kong

Holdings

Ltd.

(2)

15,000

40,748

NXP

Semiconductors

NV

636

146,077

SITC

International

Holdings

Co.

Ltd.

(2)

8,000

13,808

200,633

—

Denmark

-

0.4%

AP

Moller

-

Maersk

A/S,

Class

B

(2)

294

529,207

Danske

Bank

A/S

(2)

12,912

345,155

ISS

A/S

(2)(a)

9,647

184,254

1,058,616

—

Finland

-

0.0%

†

Valmet

OYJ

(2)

1,683

48,668

France

-

1.3%

Air

France-KLM

(2)*

11,578

174,227

BNP

Paribas

SA

(2)(a)

836

58,057

Bouygues

SA

(2)

546

20,600

Cie

de

Saint-Gobain

SA

(2)

11,170

823,757

Dassault

Aviation

SA

(2)

781

154,740

Eiffage

SA

(2)

152

16,317

INVESTMENTS

SHARES

VALUE

($)

France

-

1.3%

(continued)

Engie

SA

(2)(a)

2,914

51,334

Ipsen

SA

(2)

244

29,107

Rexel

SA

(2)

12,461

342,008

SCOR

SE

(2)

11,381

333,475

Societe

Generale

SA

(2)

21,739

578,373

TotalEnergies

SE

(2)

6,949

472,525

Verallia

SA

(2)(b)

1,242

47,850

Worldline

SA

(2)*(b)

15,076

262,172

3,364,542

—

Germany

-

1.7%

Bayerische

Motoren

Werke

AG

(2)

8,330

926,893

Bechtle

AG

(2)

756

37,866

Commerzbank

AG

(2)

14,344

170,490

Daimler

Truck

Holding

AG

(2)

1,501

56,384

Deutsche

Bank

AG

(Registered)

(2)

62,021

846,655

Deutsche

Lufthansa

AG

(Registered)

(2)*

33,916

301,522

Fresenius

Medical

Care

AG

(2)

1,785

74,628

Heidelberg

Materials

AG

(2)(a)

318

28,425

HOCHTIEF

AG

(2)

353

39,093

KION

Group

AG

(2)

3,324

141,866

Mercedes-Benz

Group

AG

(2)

10,067

694,601

TeamViewer

SE

(2)*(b)

24,222

376,229

Telefonica

Deutschland

Holding

AG

(2)

20,050

52,088

thyssenkrupp

AG

(2)

80,772

561,886

TUI

AG

(2)*

11,445

89,174

4,397,800

—

Guatemala

-

0.0%

†

Millicom

International

Cellular

SA,

SDR

(2)*

4,618

82,743

Hong

Kong

-

0.1%

Hang

Lung

Properties

Ltd.

(2)

23,000

31,977

Hong

Kong

Exchanges

&

Clearing

Ltd.

(2)

800

27,440

New

World

Development

Co.

Ltd.

(2)

58,000

89,930

WH

Group

Ltd.

(2)(b)

136,500

88,152

237,499

—

Italy

-

0.8%

Banco

BPM

SpA

(2)

82,579

437,582

Eni

SpA

(2)

3,058

51,868

Leonardo

SpA

(2)

16,453

271,855

UniCredit

SpA

(2)

22,373

609,210

Unipol

Gruppo

SpA

(2)

144,513

824,738

2,195,253

—

Japan

-

3.7%

Allegro

MicroSystems,

Inc.

*

3,685

111,545

Dai-ichi

Life

Holdings,

Inc.

(2)

11,900

252,434

Hitachi

Construction

Machinery

Co.

Ltd.

(2)

1,400

36,853

IHI

Corp.

(2)

700

13,659

Iida

Group

Holdings

Co.

Ltd.

(2)

11,600

173,262

Inpex

Corp.

(2)

3,600

48,174

Japan

Post

Bank

Co.

Ltd.

(2)

8,000

81,415

Japan

Post

Insurance

Co.

Ltd.

(2)

28,200

500,568

219

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Japan

-

3.7%

(continued)

JFE

Holdings,

Inc.

(2)(a)

59,100

914,348

JSR

Corp.

(2)

300

8,536

Kansai

Paint

Co.

Ltd.

(2)

1,800

30,693

Kawasaki

Kisen

Kaisha

Ltd.

(2)

4,500

192,584

Kuraray

Co.

Ltd.

(2)

4,600

46,432

Lion

Corp.

(2)(a)

8,600

79,756

Marubeni

Corp.

(2)(a)

1,100

17,319

Mazda

Motor

Corp.

(2)

56,700

606,071

McDonald's

Holdings

Co.

Japan

Ltd.

(2)

2,100

90,966

Mitsubishi

Corp.

(2)(a)

34,200

544,781

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)

6,100

97,389

Mitsubishi

Motors

Corp.

(2)

160,100

506,725

Mitsui

Chemicals,

Inc.

(2)

2,600

76,887

Mitsui

OSK

Lines

Ltd.

(2)

6,900

220,595

Mizuho

Financial

Group,

Inc.

(2)

54,400

927,944

MS&AD

Insurance

Group

Holdings,

Inc.

(2)

400

15,728

NGK

Insulators

Ltd.

(2)

9,200

109,718

NIPPON

EXPRESS

HOLDINGS,

Inc.

(2)

800

45,392

Nippon

Steel

Corp.

(2)(a)

37,700

861,210

Nippon

Yusen

KK

(2)

13,100

404,574

NSK

Ltd.

(2)

30,100

162,656

Obayashi

Corp.

(2)

2,300

19,868

Oji

Holdings

Corp.

(2)

3,200

12,301

Panasonic

Holdings

Corp.

(2)

8,000

78,781

Renesas

Electronics

Corp.

(2)*

10,900

194,903

Ryohin

Keikaku

Co.

Ltd.

(2)

2,800

46,767

Sega

Sammy

Holdings,

Inc.

(2)

4,500

62,825

Shimamura

Co.

Ltd.

(2)

1,700

189,829

Sojitz

Corp.

(2)

28,280

637,117

Stanley

Electric

Co.

Ltd.

(2)

1,300

24,389

Subaru

Corp.

(2)

14,900

271,767

SUMCO

Corp.

(2)

800

11,967

Sumitomo

Forestry

Co.

Ltd.

(2)

3,000

89,133

Sumitomo

Heavy

Industries

Ltd.

(2)

1,100

27,649

THK

Co.

Ltd.

(2)

1,800

35,174

Tokyo

Electron

Ltd.

(2)

2,600

462,124

Tokyo

Gas

Co.

Ltd.

(2)(a)

2,100

48,171

Tosoh

Corp.

(2)

6,700

85,412

Toyota

Tsusho

Corp.

(2)

2,100

123,233

Yamada

Holdings

Co.

Ltd.

(2)

37,300

115,908

9,715,532

—

Luxembourg

-

0.1%

Aperam

SA

(2)

829

30,154

ArcelorMittal

SA

(2)

6,281

178,255

208,409

—

Netherlands

-

1.3%

ABN

AMRO

Bank

NV,

CVA

(2)(b)

11,080

166,626

Argenx

SE

(2)*

88

33,472

ASML

Holding

NV

(2)

526

397,071

BE

Semiconductor

Industries

NV

(2)

2,754

415,788

ING

Groep

NV

(2)

5,135

76,997

Koninklijke

Philips

NV

(2)*

7,970

186,516

Koninklijke

Vopak

NV

(2)

2,614

87,970

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

1.3%

(continued)

NN

Group

NV

(2)

20,051

792,433

Shell

plc

(2)

38,486

1,259,805

3,416,678

—

New

Zealand

-

0.0%

†

Xero

Ltd.

(2)*

382

29,142

Russia

-

0.0%

Evraz

plc

(3)*

27,473

–

Singapore

-

0.2%

Grab

Holdings

Ltd.,

Class

A

*

47,948

161,585

Sea

Ltd.,

ADR

*

5,279

213,799

Singapore

Airlines

Ltd.

(2)

29,600

146,974

STMicroelectronics

NV

(2)

2,103

105,484

627,842

—

Spain

-

0.5%

Acerinox

SA

(2)

17,928

211,282

Banco

de

Sabadell

SA

(2)

525,187

646,482

Banco

Santander

SA

(2)

61,269

256,269

Bankinter

SA

(2)

6,212

39,842

Mapfre

SA

(2)

42,909

92,212

Repsol

SA

(2)

7,317

108,540

1,354,627

—

Sweden

-

0.5%

Autoliv,

Inc.

692

76,251

Billerud

Aktiebolag

(2)

3,121

31,807

Electrolux

AB,

Class

B

(2)*

13,234

142,165

Skanska

AB,

Class

B

(2)

6,691

121,225

SKF

AB,

Class

B

(2)

14,962

299,848

SSAB

AB,

Class

B

(2)(a)

14,076

107,773

Swedbank

AB,

Class

A

(2)

7,430

150,217

Trelleborg

AB,

Class

B

(2)

5,101

171,210

Volvo

Car

AB,

Class

B

(2)*

25,612

83,065

1,183,561

—

Switzerland

-

0.6%

ABB

Ltd.

(Registered)

(2)(a)

4,749

210,847

Baloise

Holding

AG

(Registered)

(2)

1,341

210,253

Clariant

AG

(Registered)

(2)

783

11,569

DKSH

Holding

AG

(a)

172

11,943

Georg

Fischer

AG

(Registered)

(2)

1,899

138,198

Helvetia

Holding

AG

(Registered)

(2)

189

26,061

Novartis

AG

(Registered)

(2)(a)

8,427

851,216

Sandoz

Group

AG

*

1,932

62,160

Swatch

Group

AG

(The)

(2)

138

37,548

Temenos

AG

(Registered)

(2)

605

56,379

1,616,174

—

United

Kingdom

-

2.1%

Aviva

plc

(2)

2,133

11,803

Barclays

plc

(2)

228,022

446,483

BP

plc

(2)

136,743

810,622

British

American

Tobacco

plc

(2)

9,253

270,735

Burberry

Group

plc

(2)

2,637

47,563

Centrica

plc

(2)(a)

615,881

1,104,092

CK

Hutchison

Holdings

Ltd.

(2)

70,000

376,082

DCC

plc

(2)

1,357

99,849

220

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

2.1%

(continued)

Direct

Line

Insurance

Group

plc

(2)*

23,503

54,428

Harbour

Energy

plc

(2)

24,926

97,934

HSBC

Holdings

plc

(2)

84,371

682,559

InterContinental

Hotels

Group

plc

(2)

682

61,500

Legal

&

General

Group

plc

(2)

29,397

93,944

Marks

&

Spencer

Group

plc

(2)

138,350

479,467

Rolls-Royce

Holdings

plc

(2)*

117,890

449,676

Travis

Perkins

plc

(2)

2,913

30,700

Vodafone

Group

plc

(2)

316,171

276,125

Whitbread

plc

(2)

386

17,971

5,411,533

—

United

States

-

40.8%

3M

Co.

4,069

444,823

AbbVie,

Inc.

(a)(c)

3,266

506,132

Adient

plc

*

686

24,943

Adobe,

Inc.

*(a)

2,512

1,498,659

Advance

Auto

Parts,

Inc.

433

26,426

Advanced

Micro

Devices,

Inc.

*

1,331

196,203

AGCO

Corp.

(a)(c)

2,838

344,562

Align

Technology,

Inc.

*

1,652

452,648

Allison

Transmission

Holdings,

Inc.

17,876

1,039,489

Ally

Financial,

Inc.

2,523

88,103

Alphabet,

Inc.,

Class

A

*(a)

9,353

1,306,521

Alphabet,

Inc.,

Class

C

*(a)

9,598

1,352,646

Altria

Group,

Inc.

15,225

614,177

Amazon.com,

Inc.

*(a)

22,915

3,481,704

Amedisys,

Inc.

*

665

63,215

American

Airlines

Group,

Inc.

*(a)

(c)

23,434

321,983

American

Express

Co.

(a)

1,958

366,812

American

International

Group,

Inc.

4,921

333,398

American

Tower

Corp.,

REIT

(a)(c)

725

156,513

Amgen,

Inc.

(a)

1,541

443,839

Amkor

Technology,

Inc.

18,532

616,560

Analog

Devices,

Inc.

1,230

244,229

Apple,

Inc.

(a)

20,341

3,916,252

Applied

Materials,

Inc.

2,747

445,206

AppLovin

Corp.,

Class

A

*

8,725

347,691

Archer-Daniels-Midland

Co.

6,570

474,485

Arrow

Electronics,

Inc.

*

2,181

266,627

AT&T,

Inc.

(a)

43,153

724,107

Autodesk,

Inc.

*(a)(c)

520

126,610

Axis

Capital

Holdings

Ltd.

5,752

318,488

Baker

Hughes

Co.,

Class

A

(a)(c)

11,363

388,387

Bank

of

America

Corp.

(a)

31,529

1,061,581

Bank

of

New

York

Mellon

Corp.

(The)

2,208

114,926

Berkshire

Hathaway,

Inc.,

Class

B

*(a)

2,232

796,065

Boeing

Co.

(The)

*(a)

2,670

695,962

Booking

Holdings,

Inc.

*(a)

321

1,138,658

Boston

Beer

Co.,

Inc.

(The),

Class

A

*(a)(c)

78

26,956

Bristol-Myers

Squibb

Co.

(a)

11,847

607,870

Broadcom,

Inc.

784

875,140

Builders

FirstSource,

Inc.

*

2,479

413,844

Caesars

Entertainment,

Inc.

*

12,714

596,032

Cardinal

Health,

Inc.

5,883

593,006

INVESTMENTS

SHARES

VALUE

($)

United

States

-

40.8%

(continued)

CarMax,

Inc.

*(a)(c)

1,802

138,285

Carnival

Corp.

*(a)(c)

11,466

212,580

Celsius

Holdings,

Inc.

*(a)(c)

229

12,485

Centene

Corp.

*

9,261

687,259

CF

Industries

Holdings,

Inc.

(a)(c)

785

62,408

Chevron

Corp.

(a)(c)

2,865

427,343

Chewy,

Inc.,

Class

A

*

20,246

478,413

Chord

Energy

Corp.

(a)(c)

139

23,106

Cigna

Group

(The)

(a)

5,464

1,636,195

Cincinnati

Financial

Corp.

1,406

145,465

Cisco

Systems,

Inc.

(a)

37,160

1,877,323

Citigroup,

Inc.

(a)

27,071

1,392,532

Citizens

Financial

Group,

Inc.

17,319

573,952

Cleveland-Cliffs,

Inc.

*(a)

25,406

518,791

CNO

Financial

Group,

Inc.

1,041

29,044

Coca-Cola

Co.

(The)

(a)

5,062

298,304

Coca-Cola

Consolidated,

Inc.

592

549,613

Cognizant

Technology

Solutions

Corp.,

Class

A

1,320

99,700

Comcast

Corp.,

Class

A

(a)

15,195

666,301

Commercial

Metals

Co.

8,856

443,154

Concentrix

Corp.

(a)(c)

3,290

323,111

Coterra

Energy,

Inc.

9,306

237,489

Crocs,

Inc.

*

6,997

653,590

Crowdstrike

Holdings,

Inc.,

Class

A

*

1,202

306,895

Crown

Castle,

Inc.,

REIT

(a)(c)

311

35,824

CVS

Health

Corp.

(a)(c)

24,190

1,910,042

Datadog,

Inc.,

Class

A

*

893

108,392

Dell

Technologies,

Inc.,

Class

C

8,685

664,403

Delta

Air

Lines,

Inc.

7,110

286,035

Dick's

Sporting

Goods,

Inc.

(a)(c)

1,020

149,889

Digital

Realty

Trust,

Inc.,

REIT

(a)

(c)

191

25,705

Discover

Financial

Services

8,273

929,885

DocuSign,

Inc.,

Class

A

*

26,768

1,591,358

DraftKings,

Inc.,

Class

A

*(a)(c)

4,719

166,345

Elastic

NV

*

532

59,956

Elevance

Health,

Inc.

(a)

158

74,506

EnerSys

(a)(c)

4,422

446,445

Enphase

Energy,

Inc.

*(a)(c)

1,220

161,211

EOG

Resources,

Inc.

787

95,188

Equinix,

Inc.,

REIT

61

49,129

Everest

Group

Ltd.

46

16,265

Exact

Sciences

Corp.

*

6,596

487,972

Exelixis,

Inc.

*

10,073

241,651

Expedia

Group,

Inc.

*

2,837

430,628

Exxon

Mobil

Corp.

(a)

3,190

318,936

Federated

Hermes,

Inc.,

Class

B

4,555

154,232

Fidelity

National

Information

Services,

Inc.

6,911

415,144

First

Citizens

BancShares,

Inc.,

Class

A

89

126,288

First

Horizon

Corp.

51,211

725,148

First

Solar,

Inc.

*

884

152,296

Flowserve

Corp.

(a)(c)

9,452

389,611

Fortinet,

Inc.

*

6,892

403,389

Gates

Industrial

Corp.

plc

*

64,558

866,368

General

Dynamics

Corp.

(a)(c)

1,450

376,522

General

Electric

Co.

(a)

5,988

764,248

221

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

40.8%

(continued)

General

Motors

Co.

(a)

43,183

1,551,133

Gilead

Sciences,

Inc.

(a)

4,662

377,669

Gitlab,

Inc.,

Class

A

*

1,327

83,548

Global

Payments,

Inc.

3,022

383,794

H&R

Block,

Inc.

(a)(c)

276

13,350

Hawaiian

Electric

Industries,

Inc.

8,404

119,253

Hewlett

Packard

Enterprise

Co.

(a)

(c)

15,807

268,403

HF

Sinclair

Corp.

4,403

244,675

Holcim

AG

(2)(a)

1,393

109,408

Home

Depot,

Inc.

(The)

(a)(c)

647

224,218

HubSpot,

Inc.

*(a)(c)

518

300,720

Humana,

Inc.

(a)

1,991

911,500

Huntington

Bancshares,

Inc.

16,283

207,120

Huntington

Ingalls

Industries,

Inc.

(a)(c)

2,284

593,018

Incyte

Corp.

*

4,937

309,994

Insperity,

Inc.

(a)

710

83,226

Intel

Corp.

7,145

359,036

International

Paper

Co.

(a)

2,788

100,786

Iridium

Communications,

Inc.

885

36,427

Johnson

&

Johnson

(a)

2,989

468,496

Johnson

Controls

International

plc

(a)

779

44,902

JPMorgan

Chase

&

Co.

(a)(c)

111

18,881

KB

Home

11,512

719,040

Keurig

Dr

Pepper,

Inc.

(a)

352

11,729

KLA

Corp.

324

188,341

Kraft

Heinz

Co.

(The)

(a)

5,087

188,117

Kroger

Co.

(The)

(a)(c)

7,272

332,403

L3Harris

Technologies,

Inc.

(a)

512

107,837

Lam

Research

Corp.

(a)(c)

278

217,746

Las

Vegas

Sands

Corp.

(a)

20,982

1,032,524

Lennar

Corp.,

Class

A

3,109

463,365

Lockheed

Martin

Corp.

(a)

586

265,599

Lyft,

Inc.,

Class

A

*

3,211

48,133

LyondellBasell

Industries

NV,

Class

A

(a)

1,068

101,545

Marathon

Petroleum

Corp.

3,809

565,103

Maravai

LifeSciences

Holdings,

Inc.,

Class

A

*

22,166

145,187

Marvell

Technology,

Inc.

(a)(c)

304

18,334

Match

Group,

Inc.

*

3,349

122,239

McKesson

Corp.

(a)

494

228,712

Medpace

Holdings,

Inc.

*

1,488

456,117

Medtronic

plc

(a)

1,443

118,874

Merck

&

Co.,

Inc.

(a)

1,109

120,903

Meta

Platforms,

Inc.,

Class

A

*(a)

4,028

1,425,751

MetLife,

Inc.

(a)

3,152

208,442

Microchip

Technology,

Inc.

(a)(c)

3,152

284,247

Microsoft

Corp.

(a)

10,413

3,915,704

Molson

Coors

Beverage

Co.,

Class

B

14,428

883,138

Mosaic

Co.

(The)

(a)(c)

17,118

611,626

NCR

Voyix

Corp.

*

804

13,596

Netflix,

Inc.

*

517

251,717

Neurocrine

Biosciences,

Inc.

*

3,077

405,426

New

York

Community

Bancorp,

Inc.

(a)(c)

35,938

367,646

INVESTMENTS

SHARES

VALUE

($)

United

States

-

40.8%

(continued)

Nexstar

Media

Group,

Inc.,

Class

A

(a)(c)

206

32,291

Northern

Trust

Corp.

(a)(c)

2,403

202,765

Novocure

Ltd.

*

869

12,974

Nutanix,

Inc.,

Class

A

*

330

15,738

NVIDIA

Corp.

(a)

6,723

3,329,363

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

2,223

168,703

OneMain

Holdings,

Inc.

(a)(c)

3,529

173,627

Oracle

Corp.

(a)

3,426

361,203

Ovintiv,

Inc.

3,019

132,594

Owens

Corning

4,374

648,358

PACCAR,

Inc.

(a)

905

88,373

Palo

Alto

Networks,

Inc.

*(a)(c)

204

60,156

Patterson

Cos.,

Inc.

(a)(c)

419

11,921

Paycom

Software,

Inc.

(a)(c)

123

25,427

PayPal

Holdings,

Inc.

*

12,195

748,895

PBF

Energy,

Inc.,

Class

A

(a)(c)

4,502

197,908

Petco

Health

&

Wellness

Co.,

Inc.,

Class

A

*(a)(c)

75,981

240,100

Pfizer,

Inc.

(a)

12,894

371,218

Pinterest,

Inc.,

Class

A

*(a)(c)

3,074

113,861

Pioneer

Natural

Resources

Co.

246

55,320

Playtika

Holding

Corp.

*

25,931

226,118

Polaris,

Inc.

(a)(c)

1,162

110,123

PPG

Industries,

Inc.

(a)

266

39,780

Premier,

Inc.,

Class

A

6,703

149,879

Prologis,

Inc.,

REIT

1,198

159,693

Prudential

Financial,

Inc.

(a)(c)

199

20,638

Public

Storage,

REIT

111

33,855

PulteGroup,

Inc.

(a)(c)

6,262

646,364

Pure

Storage,

Inc.,

Class

A

*

3,001

107,016

Qorvo,

Inc.

*

117

13,175

QUALCOMM,

Inc.

4,598

665,009

Regeneron

Pharmaceuticals,

Inc.

*(a)

27

23,714

Reinsurance

Group

of

America,

Inc.

799

129,262

RenaissanceRe

Holdings

Ltd.

407

79,772

Rivian

Automotive,

Inc.,

Class

A

*

3,259

76,456

Roku,

Inc.,

Class

A

*(a)(c)

7,213

661,144

Ross

Stores,

Inc.

830

114,864

RTX

Corp.

(a)

173

14,556

Salesforce,

Inc.

*(a)

5,122

1,347,803

Sensata

Technologies

Holding

plc

7,432

279,220

ServiceNow,

Inc.

*(a)(c)

326

230,316

Signify

NV

(2)(b)

12,210

409,477

Simon

Property

Group,

Inc.,

REIT

(a)(c)

376

53,633

Sirius

XM

Holdings,

Inc.

45,653

249,722

Skechers

USA,

Inc.,

Class

A

*

4,683

291,938

Skyworks

Solutions,

Inc.

(a)(c)

1,668

187,517

SLM

Corp.

772

14,761

Smartsheet,

Inc.,

Class

A

*

8,803

420,959

Snowflake,

Inc.,

Class

A

*

3,613

718,987

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

*

904

28,729

Splunk,

Inc.

*

287

43,724

SS&C

Technologies

Holdings,

Inc.

(a)

1,732

105,843

Starbucks

Corp.

(a)(c)

258

24,771

222

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

40.8%

(continued)

State

Street

Corp.

2,835

219,599

Stellantis

NV

(2)

35,173

824,126

Super

Micro

Computer,

Inc.

*

1,526

433,781

Swiss

Re

AG

(2)

7,803

878,076

Synchrony

Financial

21,373

816,235

Tapestry,

Inc.

1,590

58,528

Taylor

Morrison

Home

Corp.,

Class

A

*

6,901

368,168

TD

SYNNEX

Corp.

(a)(c)

3,017

324,659

TEGNA,

Inc.

38,286

585,776

Tenet

Healthcare

Corp.

*

1,703

128,696

Teradata

Corp.

*

2,548

110,863

Terex

Corp.

10,432

599,423

Tesla,

Inc.

*(a)

5,857

1,455,347

Texas

Capital

Bancshares,

Inc.

*

1,127

72,838

Texas

Roadhouse,

Inc.,

Class

A

744

90,939

Textron,

Inc.

3,706

298,037

Toast,

Inc.,

Class

A

*(a)(c)

3,131

57,172

Toll

Brothers,

Inc.

(a)(c)

8,687

892,937

Travel

+

Leisure

Co.

(a)(c)

10,623

415,253

TripAdvisor,

Inc.

*

32,450

698,649

Truist

Financial

Corp.

14,845

548,077

Uber

Technologies,

Inc.

*

10,863

668,835

Ulta

Beauty,

Inc.

*

860

421,391

Ultragenyx

Pharmaceutical,

Inc.

*

401

19,176

United

Airlines

Holdings,

Inc.

*

10,602

437,439

United

Therapeutics

Corp.

*

178

39,140

Unum

Group

16,979

767,790

Valero

Energy

Corp.

6,464

840,320

Veeva

Systems,

Inc.,

Class

A

*(a)

483

92,987

Verizon

Communications,

Inc.

(a)

20,806

784,386

Vertex

Pharmaceuticals,

Inc.

*(a)

1,516

616,845

Vertiv

Holdings

Co.,

Class

A

3,993

191,784

Viatris,

Inc.

(a)(c)

29,277

317,070

Victoria's

Secret

&

Co.

*(a)(c)

20,794

551,873

Virtu

Financial,

Inc.,

Class

A

21,953

444,768

Vistra

Corp.

(a)

695

26,771

Walmart,

Inc.

(a)

5,165

814,262

Walt

Disney

Co.

(The)

*(a)

1,437

129,747

Wayfair,

Inc.,

Class

A

*

3,379

208,484

Wendy's

Co.

(The)

(a)(c)

1,110

21,623

Western

Union

Co.

(The)

(a)(c)

82,555

984,056

Woodward,

Inc.

(a)(c)

171

23,278

Workday,

Inc.,

Class

A

*

1,699

469,026

Worthington

Enterprises,

Inc.

2,923

168,219

Zoom

Video

Communications,

Inc.,

Class

A

*

2,991

215,083

Zscaler,

Inc.

*(a)(c)

1,540

341,202

107,038,872

—

Zambia

-

0.1%

First

Quantum

Minerals

Ltd.

18,502

151,501

TOTAL

COMMON

STOCKS

(Cost

$123,331,889)

149,365,467

INVESTMENTS

SHARES

VALUE

($)

PREFERRED

STOCKS

-

0.2%

Germany

-

0.2%

Volkswagen

AG

(Preference)

(2)(a)

(Cost

$504,153)

3,841

473,428

PRINCIPAL

AMOUNT

FOREIGN

GOVERNMENT

SECURITIES

-

10.9%

Federal

Republic

of

Germany

0.50%,

4/15/2030

(2)(d)(e)

EUR

5,760,442

6,518,793

French

Republic

1.85%,

7/25/2027

(2)(d)(e)

4,380,454

5,110,418

0.10%,

3/1/2029

(2)(d)(e)

2,743,440

3,004,694

0.70%,

7/25/2030

(2)(d)(e)

2,982,624

3,392,798

0.10%,

7/25/2031

(2)(d)(e)

1,892,704

2,059,467

United

Kingdom

Gilt

Inflation

Linked

0.13%,

8/10/2028

(2)(d)(e)

GBP

811,794

1,047,413

0.13%,

3/22/2029

(2)(d)(e)

1,432,143

1,841,399

0.13%,

8/10/2031

(2)(d)(e)

900,739

1,164,685

1.25%,

11/22/2032

(2)(d)(e)

1,565,955

2,207,463

0.75%,

11/22/2033

(2)(d)(e)

304,482

410,758

0.75%,

3/22/2034

(2)(d)(e)

1,464,156

1,961,001

Cost:

$27,541,661

$–

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$27,541,661)

28,718,889

U.S.

TREASURY

OBLIGATIONS

-

8.8%

U.S.

Treasury

Inflation

Linked

Notes

1.63%,

10/15/2027

(2)(e)

$

1,454,082

1,442,952

0.50%,

1/15/2028

(2)(e)

1,247,320

1,180,193

1.25%,

4/15/2028

(2)(e)

512,870

499,474

0.75%,

7/15/2028

(2)(e)

1,348,270

1,290,193

0.25%,

7/15/2029

(2)(e)

1,323,091

1,222,634

0.13%,

1/15/2030

(2)(e)

1,315,424

1,192,117

0.13%,

7/15/2030

(2)(e)

1,200,010

1,083,971

0.13%,

1/15/2031

(2)(e)

1,891,056

1,687,708

0.13%,

7/15/2031

(2)(e)

2,869,850

2,550,978

0.13%,

1/15/2032

(2)(e)

4,217,658

3,703,701

0.63%,

7/15/2032

(2)(e)

3,812,148

3,482,099

1.13%,

1/15/2033

(2)(e)

2,065,760

1,953,998

1.38%,

7/15/2033

(2)(e)

1,924,795

1,865,931

Cost:

$23,685,079

$–

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$23,685,079)

23,155,949

SHARES

SHORT-TERM

INVESTMENTS

-

32.8%

INVESTMENT

COMPANIES

-

16.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.19%

(f)(g)

4,638,284

4,638,284

Limited

Purpose

Cash

Investment

Fund,

5.37%

(f)

38,592,985

38,577,548

TOTAL

INVESTMENT

COMPANIES

(Cost

$43,210,316)

43,215,832

—

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

16.3%

U.S.

Treasury

Bills

5.40%,

1/4/2024

(2)(h)

$

510,000

509,852

5.41%,

1/11/2024

(2)(h)

3,533,000

3,528,383

5.39%,

1/18/2024

(2)(h)

2,980,000

2,973,005

223

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

16.3%

(continued)

5.41%,

1/25/2024

(2)(h)

$

3,667,000

3,654,647

5.44%,

2/15/2024

(2)(h)

7,461,000

7,413,208

5.50%,

2/29/2024

(2)(h)

1,270,000

1,259,229

5.45%,

3/7/2024

(2)(h)

3,355,000

3,323,462

5.45%,

3/14/2024

(2)(h)

1,633,000

1,616,054

5.45%,

3/21/2024

(2)(h)

1,187,000

1,173,477

5.47%,

4/25/2024

(2)(h)(i)

3,780,000

3,718,073

5.47%,

5/2/2024

(2)(h)(i)

3,877,000

3,809,796

5.40%,

5/9/2024

(2)(h)(i)

4,772,000

4,684,820

5.37%,

5/23/2024

(2)(h)

937,000

918,151

5.38%,

5/30/2024

(2)(h)(i)

4,244,000

4,155,325

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$42,719,464)

42,737,482

—

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$85,929,780)

85,953,314

TOTAL

LONG

POSITIONS

(Cost

$260,992,562)

287,667,047

SHARES

SHORT

POSITIONS

-

(13.4)%

COMMON

STOCKS

-

(13.3)%

Australia

-

(0.7)%

Cleanaway

Waste

Management

Ltd.

(2)

(39,750)

(72,872)

Commonwealth

Bank

of

Australia

(2)

(2,222)

(169,354)

Domino's

Pizza

Enterprises

Ltd.

(2)

(323)

(12,966)

Liontown

Resources

Ltd.

(2)

(215,041)

(241,184)

Lynas

Rare

Earths

Ltd.

(2)

(79,606)

(388,576)

Mineral

Resources

Ltd.

(2)

(12,413)

(591,277)

REA

Group

Ltd.

(2)

(326)

(40,199)

Reece

Ltd.

(2)

(858)

(13,087)

(1,529,515)

—

Belgium

-

(0.2)%

Liberty

Global

Ltd.,

Class

C

(20,840)

(388,458)

Lotus

Bakeries

NV

(10)

(90,855)

(479,313)

—

Burkina

Faso

-

(0.0)%

†

Endeavour

Mining

plc

(2)

(2,819)

(63,079)

Canada

-

(0.2)%

Brookfield

Corp.,

Class

A

(1,350)

(54,151)

Hydro

One

Ltd.

(b)

(5,378)

(161,131)

Pan

American

Silver

Corp.

(6,088)

(99,380)

RB

Global,

Inc.

(3,258)

(218,019)

Teck

Resources

Ltd.,

Class

B

(695)

(29,378)

(562,059)

—

Chile

-

(0.1)%

Antofagasta

plc

(2)

(16,530)

(353,444)

Lundin

Mining

Corp.

(2,200)

(17,998)

(371,442)

—

Denmark

-

(0.0)%

†

Vestas

Wind

Systems

A/S

(2)

(2,919)

(92,362)

INVESTMENTS

SHARES

VALUE

($)

France

-

(0.0)%

†

Sartorius

Stedim

Biotech

(2)

(459)

(121,719)

Germany

-

(0.3)%

adidas

AG

(2)

(535)

(108,716)

Covestro

AG

(2)(b)

(867)

(50,522)

CTS

Eventim

AG

&

Co.

KGaA

(2)

(1,102)

(76,220)

Rheinmetall

AG

(2)

(226)

(71,673)

Siemens

Healthineers

AG

(2)(b)

(7,477)

(434,103)

Wacker

Chemie

AG

(2)

(236)

(29,755)

(770,989)

—

Italy

-

(0.4)%

DiaSorin

SpA

(2)

(146)

(15,047)

Ferrari

NV

(2)

(1,582)

(534,094)

Infrastrutture

Wireless

Italiane

SpA

(2)(b)

(16,582)

(209,943)

Reply

SpA

(2)

(822)

(108,643)

Telecom

Italia

SpA

(429,739)

(139,572)

(1,007,299)

—

Japan

-

(0.7)%

Advantest

Corp.

(2)

(7,200)

(242,609)

Aeon

Co.

Ltd.

(2)

(600)

(13,389)

Ajinomoto

Co.,

Inc.

(2)

(1,800)

(69,289)

Asahi

Intecc

Co.

Ltd.

(2)

(5,300)

(107,478)

Asics

Corp.

(2)

(2,700)

(84,284)

Azbil

Corp.

(2)

(700)

(23,087)

BayCurrent

Consulting,

Inc.

(2)

(4,600)

(161,028)

Eisai

Co.

Ltd.

(2)

(3,400)

(169,290)

GMO

Payment

Gateway,

Inc.

(2)

(900)

(62,374)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(500)

(21,997)

Keyence

Corp.

(2)

(400)

(175,743)

Nexon

Co.

Ltd.

(2)

(800)

(14,551)

NTT

Data

Group

Corp.

(2)

(6,300)

(89,055)

Sysmex

Corp.

(2)

(2,800)

(155,653)

Terumo

Corp.

(2)

(1,700)

(55,592)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)

(12,900)

(67,507)

Yaskawa

Electric

Corp.

(2)

(1,100)

(45,784)

(1,558,710)

—

Luxembourg

-

(0.0)%

†

Eurofins

Scientific

SE

(2)

(1,469)

(95,826)

Netherlands

-

(0.1)%

Adyen

NV

(2)(b)

(271)

(349,845)

Norway

-

(0.0)%

†

Salmar

ASA

(2)

(682)

(38,195)

South

Korea

-

(0.0)%

†

Delivery

Hero

SE

(2)(b)

(836)

(23,009)

Spain

-

(0.2)%

Acciona

SA

(2)

(231)

(34,013)

Cellnex

Telecom

SA

(2)(b)

(9,853)

(387,943)

Corp.

ACCIONA

Energias

Renovables

SA

(2)

(5,251)

(162,970)

Endesa

SA

(2)

(3,409)

(69,547)

(654,473)

—

224

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

(0.2)%

Axfood

AB

(2,105)

(56,976)

Beijer

Ref

AB,

Class

B

(2)

(1,753)

(23,523)

EQT

AB

(2)

(11,640)

(329,571)

(410,070)

—

Switzerland

-

(0.2)%

Bachem

Holding

AG,

Class

B

(2)

(2,005)

(155,270)

DSM-Firmenich

AG

(2)

(462)

(46,982)

SIG

Group

AG

(2)

(6,839)

(157,509)

Sika

AG

(Registered)

(2)

(485)

(158,147)

Straumann

Holding

AG

(Registered)

(2)

(333)

(53,814)

(571,722)

—

United

Kingdom

-

(0.2)%

ConvaTec

Group

plc

(2)(b)

(19,418)

(60,427)

Ocado

Group

plc

(2)

(6,901)

(66,663)

Persimmon

plc

(2)

(941)

(16,633)

Rentokil

Initial

plc

(2)

(7,697)

(43,382)

TechnipFMC

plc

(17,362)

(349,671)

Wise

plc,

Class

A

(2)

(7,809)

(86,848)

(623,624)

—

United

States

-

(9.8)%

Advanced

Drainage

Systems,

Inc.

(1,202)

(169,049)

Affirm

Holdings,

Inc.,

Class

A

(6,508)

(319,803)

agilon

health,

Inc.

(33,148)

(416,007)

Arrowhead

Pharmaceuticals,

Inc.

(16,638)

(509,123)

Aspen

Technology,

Inc.

(715)

(157,407)

Avery

Dennison

Corp.

(457)

(92,387)

Avis

Budget

Group,

Inc.

(591)

(104,761)

Axon

Enterprise,

Inc.

(550)

(142,082)

Azenta,

Inc.

(6,039)

(393,380)

Ball

Corp.

(3,361)

(193,325)

Bentley

Systems,

Inc.,

Class

B

(1,346)

(70,234)

BJ's

Wholesale

Club

Holdings,

Inc.

(7,996)

(533,013)

Brighthouse

Financial,

Inc.

(1,593)

(84,302)

Brookfield

Renewable

Corp.,

Class

A

(723)

(20,811)

Cadence

Bank

(5,415)

(160,230)

Catalent,

Inc.

(4,954)

(222,583)

Celanese

Corp.,

Class

A

(3,718)

(577,666)

Ceridian

HCM

Holding,

Inc.

(4,165)

(279,555)

ChampionX

Corp.

(2,937)

(85,790)

Chart

Industries,

Inc.

(5,154)

(702,644)

Churchill

Downs,

Inc.

(4,765)

(642,941)

Civitas

Resources,

Inc.

(353)

(24,138)

Clarivate

plc

(14,667)

(135,816)

Cloudflare,

Inc.,

Class

A

(1,946)

(162,024)

Coinbase

Global,

Inc.,

Class

A

(1,628)

(283,142)

Confluent,

Inc.,

Class

A

(12,794)

(299,380)

Coty,

Inc.,

Class

A

(2,125)

(26,393)

Credit

Acceptance

Corp.

(275)

(146,501)

DISH

Network

Corp.,

Class

A

(9,650)

(55,681)

Entegris,

Inc.

(4,068)

(487,428)

First

Financial

Bankshares,

Inc.

(5,720)

(173,316)

Fortrea

Holdings,

Inc.

(1,536)

(53,606)

Freshpet,

Inc.

(2,084)

(180,808)

Frontier

Communications

Parent,

Inc.

(1,706)

(43,230)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(9.8)%

(continued)

GCI

Liberty,

Inc.

Escrow,

Class

A

(3)

(114)

—

Ginkgo

Bioworks

Holdings,

Inc.,

Class

A

(259,501)

(438,557)

Glacier

Bancorp,

Inc.

(1,956)

(80,822)

Globant

SA

(164)

(39,029)

Goodyear

Tire

&

Rubber

Co.

(The)

(31,679)

(453,643)

Hayward

Holdings,

Inc.

(34,922)

(474,939)

IAC,

Inc.

(917)

(48,032)

ICU

Medical,

Inc.

(1,319)

(131,557)

Illumina,

Inc.

(1,048)

(145,924)

Ionis

Pharmaceuticals,

Inc.

(7,727)

(390,909)

Karuna

Therapeutics,

Inc.

(1,503)

(475,715)

Kinsale

Capital

Group,

Inc.

(242)

(81,048)

Kohl's

Corp.

(17,923)

(514,032)

Kyndryl

Holdings,

Inc.

(7,609)

(158,115)

Light

&

Wonder,

Inc.

(1,656)

(135,974)

Lithia

Motors,

Inc.,

Class

A

(256)

(84,296)

Lumentum

Holdings,

Inc.

(7,769)

(407,251)

MACOM

Technology

Solutions

Holdings,

Inc.

(348)

(32,347)

Masimo

Corp.

(4,859)

(569,523)

Mercury

Systems,

Inc.

(6,291)

(230,062)

MKS

Instruments,

Inc.

(897)

(92,274)

MP

Materials

Corp.

(18,309)

(363,434)

nCino,

Inc.

(384)

(12,914)

Neogen

Corp.

(20,145)

(405,116)

New

Fortress

Energy,

Inc.

(311)

(11,734)

News

Corp.,

Class

A

(16,831)

(413,201)

Nordstrom,

Inc.

(7,347)

(135,552)

Norwegian

Cruise

Line

Holdings

Ltd.

(34,609)

(693,564)

Novanta,

Inc.

(1,478)

(248,910)

Ormat

Technologies,

Inc.

(1,944)

(147,336)

Paramount

Global,

Class

B

(6,065)

(89,701)

Paycor

HCM,

Inc.

(12,338)

(266,377)

Peloton

Interactive,

Inc.,

Class

A

(15,881)

(96,715)

Permian

Resources

Corp.,

Class

A

(27,617)

(375,591)

Planet

Fitness,

Inc.,

Class

A

(4,200)

(306,600)

Power

Integrations,

Inc.

(146)

(11,988)

Quanta

Services,

Inc.

(3,162)

(682,360)

QuantumScape

Corp.

(42,548)

(295,709)

QuidelOrtho

Corp.

(469)

(34,565)

R1

RCM,

Inc.

(9,031)

(95,458)

Range

Resources

Corp.

(2,219)

(67,546)

Repligen

Corp.

(3,723)

(669,395)

RH

(2,434)

(709,461)

RingCentral,

Inc.,

Class

A

(4,337)

(147,241)

ROBLOX

Corp.,

Class

A

(10,287)

(470,322)

Roivant

Sciences

Ltd.

(6,739)

(75,679)

Schlumberger

NV

(2,039)

(106,110)

Seagate

Technology

Holdings

plc

(5,770)

(492,585)

SentinelOne,

Inc.,

Class

A

(10,566)

(289,931)

SiteOne

Landscape

Supply,

Inc.

(595)

(96,688)

Snap,

Inc.,

Class

A

(17,228)

(291,670)

SolarEdge

Technologies,

Inc.

(3,940)

(368,784)

Sotera

Health

Co.

(2,543)

(42,850)

SouthState

Corp.

(1,490)

(125,831)

Southwest

Gas

Holdings,

Inc.

(3,368)

(213,363)

Sunrun,

Inc.

(14,640)

(287,383)

225

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(9.8)%

(continued)

Take-Two

Interactive

Software,

Inc.

(1,129)

(181,713)

Tandem

Diabetes

Care,

Inc.

(7,176)

(212,266)

Tempur

Sealy

International,

Inc.

(10,076)

(513,574)

Topgolf

Callaway

Brands

Corp.

(8,813)

(126,378)

Toro

Co.

(The)

(331)

(31,773)

Tractor

Supply

Co.

(782)

(168,153)

Trex

Co.,

Inc.

(3,952)

(327,186)

Unity

Software,

Inc.

(8,507)

(347,851)

Valaris

Ltd.

(167)

(11,451)

VF

Corp.

(695)

(13,066)

Viasat,

Inc.

(3,428)

(95,813)

Waters

Corp.

(631)

(207,744)

Watsco,

Inc.

(806)

(345,347)

Weatherford

International

plc

(1,236)

(120,918)

Western

Alliance

Bancorp

(2,115)

(139,146)

Western

Digital

Corp.

(1,920)

(100,550)

Wolfspeed,

Inc.

(5,776)

(251,314)

YETI

Holdings,

Inc.

(1,423)

(73,683)

(25,342,195)

—

TOTAL

COMMON

STOCKS

(Proceeds

$(32,088,376))

(34,665,446)

PREFERRED

STOCKS

-

(0.1)%

Germany

-

(0.1)%

Dr

Ing

hc

F

Porsche

AG

(Preference)

(2)(b)

(3,353)

(295,323)

Sartorius

AG

(Preference)

(2)

(224)

(82,257)

TOTAL

PREFERRED

STOCKS

(Proceeds

$(417,704))

(377,580)

NO.

OF

WARRANTS

WARRANTS

-

0.0%

Canada

-

0.0%

Constellation

Software,

Inc.,

expiring

3/31/2040

(3)

(Proceeds

$–)

(97)

–

TOTAL

SHORT

POSITIONS

(Proceeds

$(32,506,080))

(35,043,026)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.3%

(Cost

$228,486,482)

252,624,021

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.7%

‡

9,702,305

NET

ASSETS

-

100.0%

262,326,326

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

7,844,630

3.0

%

Consumer

Discretionary

17,974,066

6.8

Consumer

Staples

4,102,185

1.6

Energy

6,971,427

2.6

Financials

22,526,228

8.6

Foreign

Government

Securities

28,718,889

10.9

Health

Care

7,838,731

3.0

Industrials

15,635,676

6.0

Information

Technology

26,967,477

10.3

Materials

3,826,248

1.5

Real

Estate

636,259

0.2

Utilities

472,942

0.2

Investment

Companies

43,215,832

16.5

U.S.

Treasury

Obligations

65,893,431

25.1

Total

Investments

In

Securities

At

Value

252,624,021

96.3

Other

Assets

in

Excess

of

Liabilities

‡

9,702,305

3.7

Net

Assets

$

262,326,326

100.0%

*

Non-income

producing

security.

†

Represents

less

than

0.05%

of

net

assets.

‡

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$38,365,575,

which

is

inclusive

of

rehypothecated

amounts disclosed

below.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$(621,740),

which

represents

(0.24)%

of

net

assets

of

the

Fund.

226

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

(c)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$9,826,405.

(d)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$28,718,889,

which

represents

10.95%

of

net

assets

of

the

Fund.

(e)

Inflation

protected

security.

(f)

Represents

7-day

effective

yield

as

of

December

31,

2023.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(h)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

(3)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

in

accordance

with

procedures

approved

by

the

Board

of

Trustees

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

2023

:

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Amsterdam

Exchange

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

01/19/2024

EUR

(6,627,768)

$

18,079

Swiss

Market

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

03/15/2024

CHF

(14,959,350)

20,286

Total

unrealized

appreciation

38,365

MSCI

Australia

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.10%)

Monthly

BANA

03/20/2024

AUD

(436,167)

(13,350)

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

(-0.95%)

Monthly

BANA

03/20/2024

CAD

(2,537,491)

(35,336)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/20/2024

EUR

1,592,728

(3,307)

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

(0.09%)

Monthly

BANA

03/20/2024

EUR

(554,979)

(2,366)

227

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Spain

Net

Return

Index

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

BANA

03/20/2024

EUR

214,843

$

(591)

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

(-0.02%)

Monthly

BANA

03/20/2024

SEK

(14,209,907)

(52,333)

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

(-0.08%)

Monthly

BANA

03/20/2024

CHF

(2,062,204)

(8,749)

Total

unrealized

depreciation

(116,032)

Net

unrealized

depreciation

$

(77,667)

Futures

contracts

outstanding

as

of

December

31,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

60

1/2024

USD

$

4,622,400

$

(126,410)

Hang

Seng

Index

6

1/2024

HKD

658,206

19,033

IBEX

35

Index

13

1/2024

EUR

1,447,506

(10,469)

LME

Aluminum

Base

Metal

1

1/2024

USD

58,913

3,710

LME

Aluminum

Base

Metal

1

1/2024

USD

58,794

3,991

LME

Aluminum

Base

Metal

2

1/2024

USD

117,625

7,429

LME

Aluminum

Base

Metal

2

1/2024

USD

117,625

7,869

LME

Aluminum

Base

Metal

3

1/2024

USD

176,427

8,721

LME

Aluminum

Base

Metal

4

1/2024

USD

234,550

5,006

LME

Aluminum

Base

Metal

4

1/2024

USD

234,664

8,025

LME

Aluminum

Base

Metal

4

1/2024

USD

235,725

14,088

LME

Aluminum

Base

Metal

7

1/2024

USD

411,863

22,079

LME

Aluminum

Base

Metal

12

1/2024

USD

704,337

33,713

LME

Copper

Base

Metal

1

1/2024

USD

212,463

12,394

LME

Copper

Base

Metal

1

1/2024

USD

212,499

11,840

LME

Copper

Base

Metal

1

1/2024

USD

212,721

9,587

LME

Copper

Base

Metal

1

1/2024

USD

212,536

10,882

LME

Copper

Base

Metal

1

1/2024

USD

211,917

11,577

LME

Copper

Base

Metal

1

1/2024

USD

212,428

14,476

LME

Copper

Base

Metal

1

1/2024

USD

212,250

11,623

LME

Copper

Base

Metal

2

1/2024

USD

423,911

19,943

LME

Copper

Base

Metal

2

1/2024

USD

424,575

25,715

228

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

5

1/2024

USD

$

1,059,395

$

46,547

LME

Copper

Base

Metal

5

1/2024

USD

1,058,426

67,677

LME

Lead

Base

Metal

1

1/2024

USD

51,123

(1,567)

LME

Lead

Base

Metal

1

1/2024

USD

51,257

(995)

LME

Lead

Base

Metal

1

1/2024

USD

50,995

(1,608)

LME

Lead

Base

Metal

1

1/2024

USD

51,087

110

LME

Lead

Base

Metal

1

1/2024

USD

50,897

(3,168)

LME

Lead

Base

Metal

1

1/2024

USD

50,863

(2,276)

LME

Lead

Base

Metal

1

1/2024

USD

51,322

(1,878)

LME

Lead

Base

Metal

2

1/2024

USD

102,675

(2,918)

LME

Lead

Base

Metal

3

1/2024

USD

152,885

(8,448)

LME

Nickel

Base

Metal

1

1/2024

USD

98,250

(13,953)

LME

Nickel

Base

Metal

1

1/2024

USD

98,456

(13,177)

LME

Nickel

Base

Metal

1

1/2024

USD

98,430

(13,803)

LME

Nickel

Base

Metal

1

1/2024

USD

98,276

(14,179)

LME

Zinc

Base

Metal

1

1/2024

USD

66,000

2,630

LME

Zinc

Base

Metal

1

1/2024

USD

66,144

4,310

LME

Zinc

Base

Metal

3

1/2024

USD

197,756

9,487

RBOB

Gasoline

12

1/2024

USD

1,061,575

14,390

100

oz

Gold

48

2/2024

USD

9,944,640

273,235

Brent

Crude

Oil

47

2/2024

USD

3,614,770

28,673

Lean

Hogs

25

2/2024

USD

679,750

(23,105)

Live

Cattle

5

2/2024

USD

337,000

(16,442)

LME

Aluminum

Base

Metal

1

2/2024

USD

59,223

3,482

LME

Aluminum

Base

Metal

1

2/2024

USD

59,225

3,097

LME

Aluminum

Base

Metal

1

2/2024

USD

59,279

3,726

LME

Aluminum

Base

Metal

1

2/2024

USD

59,063

2,174

LME

Aluminum

Base

Metal

1

2/2024

USD

59,078

2,510

LME

Aluminum

Base

Metal

2

2/2024

USD

118,425

7,075

LME

Aluminum

Base

Metal

2

2/2024

USD

118,188

4,787

LME

Aluminum

Base

Metal

3

2/2024

USD

177,685

9,828

LME

Aluminum

Base

Metal

3

2/2024

USD

177,516

11,457

LME

Aluminum

Base

Metal

4

2/2024

USD

236,800

13,598

LME

Aluminum

Base

Metal

4

2/2024

USD

237,263

17,002

LME

Aluminum

Base

Metal

8

2/2024

USD

472,876

26,885

LME

Copper

Base

Metal

1

2/2024

USD

213,238

3,522

LME

Copper

Base

Metal

1

2/2024

USD

213,006

10,049

LME

Copper

Base

Metal

1

2/2024

USD

213,100

8,063

LME

Copper

Base

Metal

1

2/2024

USD

212,760

9,637

LME

Copper

Base

Metal

2

2/2024

USD

425,975

16,157

LME

Copper

Base

Metal

2

2/2024

USD

425,601

17,499

LME

Copper

Base

Metal

2

2/2024

USD

426,734

7,178

LME

Copper

Base

Metal

4

2/2024

USD

853,672

10,040

LME

Lead

Base

Metal

1

2/2024

USD

51,481

(2,985)

LME

Lead

Base

Metal

1

2/2024

USD

51,558

(5,643)

LME

Lead

Base

Metal

1

2/2024

USD

51,691

(1,524)

LME

Lead

Base

Metal

1

2/2024

USD

51,670

(2,140)

LME

Lead

Base

Metal

1

2/2024

USD

51,539

(4,739)

LME

Lead

Base

Metal

1

2/2024

USD

51,494

(2,752)

LME

Lead

Base

Metal

1

2/2024

USD

51,648

(2,856)

LME

Lead

Base

Metal

1

2/2024

USD

51,363

(1,678)

LME

Lead

Base

Metal

2

2/2024

USD

102,855

(6,042)

LME

Lead

Base

Metal

3

2/2024

USD

154,669

(13,625)

LME

Lead

Base

Metal

3

2/2024

USD

154,688

(15,321)

LME

Nickel

Base

Metal

1

2/2024

USD

98,985

(9,268)

LME

Nickel

Base

Metal

1

2/2024

USD

98,878

(9,125)

229

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

1

2/2024

USD

$

99,189

$

3,315

LME

Nickel

Base

Metal

1

2/2024

USD

99,207

(17)

LME

Zinc

Base

Metal

1

2/2024

USD

66,465

1,967

LME

Zinc

Base

Metal

1

2/2024

USD

66,469

3,391

LME

Zinc

Base

Metal

2

2/2024

USD

132,937

4,781

LME

Zinc

Base

Metal

2

2/2024

USD

132,913

5,287

LME

Zinc

Base

Metal

2

2/2024

USD

132,937

9,456

LME

Zinc

Base

Metal

2

2/2024

USD

132,753

3,476

Low

Sulphur

Gasoil

22

2/2024

USD

1,632,950

(5,512)

Natural

Gas

4

2/2024

USD

93,080

(970)

NY

Harbor

ULSD

11

2/2024

USD

1,152,782

(57,347)

RBOB

Gasoline

12

2/2024

USD

1,071,403

(32,162)

Sugar

No.

11

101

2/2024

USD

2,328,010

(526,589)

WTI

Crude

Oil

39

2/2024

USD

2,801,760

(64,236)

Australia

10

Year

Bond

651

3/2024

AUD

51,775,661

1,404,562

Australia

3

Year

Bond

59

3/2024

AUD

4,296,180

33,693

Coffee

'C'

20

3/2024

USD

1,412,250

111,695

Corn

177

3/2024

USD

4,170,563

(140,869)

Cotton

No.

2

10

3/2024

USD

405,000

5,857

Euro

STOXX

50

Index

276

3/2024

EUR

13,842,076

(111,363)

Euro-Bobl

49

3/2024

EUR

6,451,738

110,159

Euro-BTP

26

3/2024

EUR

3,422,510

119,419

Euro-Buxl

11

3/2024

EUR

1,713,441

122,353

Euro-OAT

33

3/2024

EUR

4,787,677

160,774

Euro-Schatz

6

3/2024

EUR

705,689

724

Feeder

Cattle

5

3/2024

USD

557,750

(2,640)

FTSE

100

Index

73

3/2024

GBP

7,217,381

93,107

FTSE/MIB

Index

138

3/2024

EUR

23,248,624

(82,740)

Japan

10

Year

Bond

33

3/2024

JPY

34,289,574

267,139

KC

HRW

Wheat

6

3/2024

USD

192,600

(407)

LME

Aluminum

Base

Metal

1

3/2024

USD

59,517

6,089

LME

Aluminum

Base

Metal

1

3/2024

USD

59,442

5,589

LME

Aluminum

Base

Metal

2

3/2024

USD

118,921

11,115

LME

Aluminum

Base

Metal

2

3/2024

USD

119,075

7,019

LME

Aluminum

Base

Metal

2

3/2024

USD

119,063

7,457

LME

Aluminum

Base

Metal

3

3/2024

USD

178,001

13,555

LME

Aluminum

Base

Metal

4

3/2024

USD

237,991

25,479

LME

Aluminum

Base

Metal

4

3/2024

USD

237,622

21,710

LME

Aluminum

Base

Metal

5

3/2024

USD

296,938

22,773

LME

Aluminum

Base

Metal

28

3/2024

USD

1,666,700

90,359

LME

Copper

Base

Metal

1

3/2024

USD

213,873

855

LME

Copper

Base

Metal

1

3/2024

USD

213,702

2,759

LME

Copper

Base

Metal

1

3/2024

USD

213,444

(41)

LME

Copper

Base

Metal

1

3/2024

USD

213,829

(140)

LME

Copper

Base

Metal

1

3/2024

USD

213,780

4,773

LME

Copper

Base

Metal

1

3/2024

USD

213,888

8

LME

Copper

Base

Metal

2

3/2024

USD

427,238

8,904

LME

Copper

Base

Metal

2

3/2024

USD

427,950

(3,387)

LME

Copper

Base

Metal

2

3/2024

USD

427,365

11,701

LME

Copper

Base

Metal

5

3/2024

USD

1,067,875

6,439

LME

Copper

Base

Metal

35

3/2024

USD

7,486,063

330,462

LME

Lead

Base

Metal

1

3/2024

USD

51,814

951

LME

Lead

Base

Metal

1

3/2024

USD

51,808

1,145

LME

Lead

Base

Metal

1

3/2024

USD

51,819

1,091

LME

Lead

Base

Metal

1

3/2024

USD

51,783

(1,470)

LME

Lead

Base

Metal

1

3/2024

USD

51,713

(1,590)

230

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

1

3/2024

USD

$

51,814

$

237

LME

Lead

Base

Metal

1

3/2024

USD

51,791

(24)

LME

Lead

Base

Metal

2

3/2024

USD

103,525

(130)

LME

Lead

Base

Metal

2

3/2024

USD

103,425

(180)

LME

Lead

Base

Metal

2

3/2024

USD

103,632

(470)

LME

Lead

Base

Metal

2

3/2024

USD

103,425

(459)

LME

Lead

Base

Metal

29

3/2024

USD

1,502,563

(38,126)

LME

Nickel

Base

Metal

1

3/2024

USD

99,603

(1,530)

LME

Nickel

Base

Metal

1

3/2024

USD

99,510

(1,883)

LME

Nickel

Base

Metal

1

3/2024

USD

99,485

(2,855)

LME

Nickel

Base

Metal

1

3/2024

USD

99,360

(1,443)

LME

Nickel

Base

Metal

1

3/2024

USD

99,429

(24)

LME

Nickel

Base

Metal

2

3/2024

USD

199,236

(890)

LME

Nickel

Base

Metal

8

3/2024

USD

796,464

(49,839)

LME

Zinc

Base

Metal

1

3/2024

USD

66,476

4,606

LME

Zinc

Base

Metal

1

3/2024

USD

66,514

5,342

LME

Zinc

Base

Metal

1

3/2024

USD

66,450

(23)

LME

Zinc

Base

Metal

2

3/2024

USD

133,012

12,145

LME

Zinc

Base

Metal

2

3/2024

USD

132,997

9,241

LME

Zinc

Base

Metal

37

3/2024

USD

2,463,738

159,606

Long

Gilt

9

3/2024

GBP

1,177,700

37,273

Low

Sulphur

Gasoil

21

3/2024

USD

1,542,975

(51,799)

Russell

2000

E-Mini

Index

9

3/2024

USD

921,465

35,057

S&P

500

E-Mini

Index

98

3/2024

USD

23,618,000

468,618

S&P

Midcap

400

E-Mini

Index

2

3/2024

USD

561,900

25,812

Silver

6

3/2024

USD

722,580

1,057

Soybean

43

3/2024

USD

2,790,700

(89,302)

Soybean

Meal

84

3/2024

USD

3,242,400

(246,996)

TOPIX

Index

148

3/2024

JPY

24,834,610

117,602

U.S.

Treasury

10

Year

Note

503

3/2024

USD

56,705,390

1,207,569

U.S.

Treasury

2

Year

Note

27

3/2024

USD

5,559,047

42,471

U.S.

Treasury

5

Year

Note

238

3/2024

USD

25,867,625

469,236

U.S.

Treasury

Long

Bond

112

3/2024

USD

13,947,500

769,428

U.S.

Treasury

Ultra

Bond

53

3/2024

USD

7,053,969

460,407

Wheat

21

3/2024

USD

659,400

4,208

100

oz

Gold

8

4/2024

USD

1,673,440

(1,593)

Total

of

long

contracts

5,916,689

Short

Contracts

CAC

40

10

Euro

Index

(128)

1/2024

EUR

(10,675,638)

52,025

LME

Aluminum

Base

Metal

(1)

1/2024

USD

(58,794)

(4,076)

LME

Aluminum

Base

Metal

(1)

1/2024

USD

(58,913)

(3,624)

LME

Aluminum

Base

Metal

(2)

1/2024

USD

(117,625)

(7,043)

LME

Aluminum

Base

Metal

(2)

1/2024

USD

(117,625)

(8,101)

LME

Aluminum

Base

Metal

(3)

1/2024

USD

(176,427)

(8,223)

LME

Aluminum

Base

Metal

(4)

1/2024

USD

(234,550)

(4,412)

LME

Aluminum

Base

Metal

(4)

1/2024

USD

(234,664)

(6,726)

LME

Aluminum

Base

Metal

(4)

1/2024

USD

(235,725)

(14,473)

LME

Aluminum

Base

Metal

(7)

1/2024

USD

(411,863)

(21,078)

LME

Aluminum

Base

Metal

(12)

1/2024

USD

(704,337)

(32,979)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,721)

(9,223)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,536)

(11,488)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,499)

(12,152)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,250)

(11,378)

LME

Copper

Base

Metal

(1)

1/2024

USD

(211,917)

(11,576)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,428)

(14,780)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,463)

(13,415)

231

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(2)

1/2024

USD

$

(423,911)

$

(21,290)

LME

Copper

Base

Metal

(2)

1/2024

USD

(424,575)

(25,430)

LME

Copper

Base

Metal

(5)

1/2024

USD

(1,058,426)

(66,637)

LME

Copper

Base

Metal

(5)

1/2024

USD

(1,059,395)

(46,882)

LME

Lead

Base

Metal

(1)

1/2024

USD

(50,995)

1,629

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,087)

95

LME

Lead

Base

Metal

(1)

1/2024

USD

(50,897)

2,893

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,322)

1,901

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,123)

1,523

LME

Lead

Base

Metal

(1)

1/2024

USD

(50,863)

2,185

LME

Lead

Base

Metal

(1)

1/2024

USD

(51,257)

864

LME

Lead

Base

Metal

(2)

1/2024

USD

(102,675)

2,594

LME

Lead

Base

Metal

(3)

1/2024

USD

(152,885)

7,969

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,456)

12,346

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,276)

14,508

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,430)

13,377

LME

Nickel

Base

Metal

(1)

1/2024

USD

(98,250)

14,545

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,000)

(2,253)

LME

Zinc

Base

Metal

(1)

1/2024

USD

(66,144)

(4,647)

LME

Zinc

Base

Metal

(3)

1/2024

USD

(197,756)

(8,119)

Natural

Gas

(16)

1/2024

USD

(402,240)

(30,207)

NY

Harbor

ULSD

(10)

1/2024

USD

(1,062,138)

61,098

OMXS30

Index

(420)

1/2024

SEK

(9,999,207)

(221,154)

WTI

Crude

Oil

(68)

1/2024

USD

(4,872,200)

87,163

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,078)

(2,681)

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,223)

(3,390)

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,063)

(2,140)

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,279)

(3,778)

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,225)

(3,028)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(118,188)

(4,693)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(118,425)

(7,323)

LME

Aluminum

Base

Metal

(3)

2/2024

USD

(177,516)

(10,900)

LME

Aluminum

Base

Metal

(3)

2/2024

USD

(177,685)

(10,188)

LME

Aluminum

Base

Metal

(4)

2/2024

USD

(237,263)

(17,119)

LME

Aluminum

Base

Metal

(4)

2/2024

USD

(236,800)

(13,812)

LME

Aluminum

Base

Metal

(8)

2/2024

USD

(472,876)

(27,067)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,006)

(11,084)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,100)

(8,571)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,238)

(3,103)

LME

Copper

Base

Metal

(1)

2/2024

USD

(212,760)

(10,388)

LME

Copper

Base

Metal

(2)

2/2024

USD

(426,734)

(7,492)

LME

Copper

Base

Metal

(2)

2/2024

USD

(425,601)

(19,106)

LME

Copper

Base

Metal

(2)

2/2024

USD

(425,975)

(15,561)

LME

Copper

Base

Metal

(4)

2/2024

USD

(853,672)

(10,033)

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,539)

5,137

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,481)

3,192

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,691)

1,646

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,648)

2,724

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,558)

5,240

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,670)

2,328

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,363)

1,600

LME

Lead

Base

Metal

(1)

2/2024

USD

(51,494)

2,503

LME

Lead

Base

Metal

(2)

2/2024

USD

(102,855)

5,715

LME

Lead

Base

Metal

(3)

2/2024

USD

(154,669)

14,823

LME

Lead

Base

Metal

(3)

2/2024

USD

(154,688)

14,980

LME

Nickel

Base

Metal

(1)

2/2024

USD

(98,878)

9,134

232

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

2/2024

USD

$

(99,207)

$

(1,260)

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,189)

(3,642)

LME

Nickel

Base

Metal

(1)

2/2024

USD

(98,985)

8,742

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,469)

(3,175)

LME

Zinc

Base

Metal

(1)

2/2024

USD

(66,465)

(1,843)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,937)

(8,783)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,937)

(5,468)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,913)

(5,543)

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,753)

(3,058)

Canada

10

Year

Bond

(73)

3/2024

CAD

(6,837,500)

(43,525)

Copper

(3)

3/2024

USD

(291,788)

(431)

DAX

Index

(32)

3/2024

EUR

(14,936,885)

70,489

Euro-Bund

(36)

3/2024

EUR

(5,451,438)

(45,045)

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,517)

(6,241)

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,442)

(5,901)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(119,063)

(7,258)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(119,075)

(5,837)

LME

Aluminum

Base

Metal

(2)

3/2024

USD

(118,921)

(11,354)

LME

Aluminum

Base

Metal

(3)

3/2024

USD

(178,001)

(13,539)

LME

Aluminum

Base

Metal

(4)

3/2024

USD

(237,622)

(21,371)

LME

Aluminum

Base

Metal

(4)

3/2024

USD

(237,991)

(25,581)

LME

Aluminum

Base

Metal

(5)

3/2024

USD

(296,938)

(23,612)

LME

Aluminum

Base

Metal

(43)

3/2024

USD

(2,559,575)

(197,468)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,829)

843

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,888)

(265)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,702)

(2,754)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,444)

(321)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,873)

(1,101)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,780)

(4,108)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,365)

(12,370)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,950)

3,007

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,238)

(9,218)

LME

Copper

Base

Metal

(5)

3/2024

USD

(1,067,875)

(4,863)

LME

Copper

Base

Metal

(9)

3/2024

USD

(1,924,988)

(19,236)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,819)

(1,056)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,814)

(192)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,791)

(26)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,814)

(966)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,713)

1,432

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,808)

(1,435)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,783)

1,223

LME

Lead

Base

Metal

(2)

3/2024

USD

(103,632)

563

LME

Lead

Base

Metal

(2)

3/2024

USD

(103,525)

(180)

LME

Lead

Base

Metal

(2)

3/2024

USD

(103,425)

507

LME

Lead

Base

Metal

(2)

3/2024

USD

(103,425)

185

LME

Lead

Base

Metal

(6)

3/2024

USD

(310,875)

(1,597)

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,485)

3,922

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,603)

1,854

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,429)

(240)

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,510)

1,677

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,360)

1,825

LME

Nickel

Base

Metal

(2)

3/2024

USD

(199,236)

864

LME

Nickel

Base

Metal

(11)

3/2024

USD

(1,095,138)

2,191

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,514)

(5,490)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,450)

(303)

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,476)

(4,310)

233

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(2)

3/2024

USD

$

(132,997)

$

(9,770)

LME

Zinc

Base

Metal

(2)

3/2024

USD

(133,012)

(11,618)

S&P/TSX

60

Index

(38)

3/2024

CAD

(7,286,548)

(230,004)

Soybean

Oil

(27)

3/2024

USD

(780,516)

16,169

SPI

200

Index

(96)

3/2024

AUD

(12,405,116)

(213,422)

Aluminum

(1)

4/2024

USD

(59,638)

(6,037)

Platinum

(6)

10/2024

JPY

(96,064)

(4,203)

Platinum

(1)

12/2024

JPY

(15,986)

(56)

Total

of

short

contracts

(1,336,669)

Net

value

$

4,580,020

Forward

foreign

currency

exchange

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,880,500

USD

1,240,166

CITI

3/20/2024

$

44,299

AUD

1,880,500

USD

1,240,160

JPMC

3/20/2024

44,305

BRL

21,800,001

USD

4,376,171

CITI

**

3/20/2024

78,818

BRL

21,800,000

USD

4,376,149

JPMC

**

3/20/2024

78,840

CAD

19,134,500

USD

14,140,814

CITI

3/20/2024

315,080

CAD

19,134,500

USD

14,140,483

JPMC

3/20/2024

315,411

CHF

20,000

USD

23,146

CITI

3/20/2024

825

CHF

20,000

USD

23,146

JPMC

3/20/2024

825

CLP

150,000,000

USD

169,016

CITI

**

3/20/2024

500

CLP

150,000,000

USD

169,015

JPMC

**

3/20/2024

500

CNY

28,008,125

USD

3,939,759

CITI

**

3/20/2024

12,079

CNY

28,008,125

USD

3,939,740

JPMC

**

3/20/2024

12,100

COP

2,750,000,000

USD

675,742

CITI

**

3/20/2024

22,928

COP

2,750,000,000

USD

675,739

JPMC

**

3/20/2024

22,932

CZK

16,000,000

USD

708,371

CITI

3/20/2024

5,614

CZK

16,000,000

USD

708,368

JPMC

3/20/2024

5,617

DKK

1,500

USD

218

CITI

3/20/2024

5

DKK

1,500

USD

218

JPMC

3/20/2024

5

EUR

12,337,571

USD

13,463,004

CITI

3/20/2024

199,507

EUR

11,260,180

USD

12,272,407

JPMC

3/20/2024

197,012

GBP

8,064,002

USD

10,217,243

CITI

3/20/2024

65,465

GBP

7,210,998

USD

9,133,246

JPMC

3/20/2024

61,765

HKD

106,000

USD

13,590

CITI

3/20/2024

9

HKD

106,000

USD

13,590

JPMC

3/20/2024

9

HUF

910,339,334

USD

2,563,697

CITI

3/20/2024

37,826

HUF

910,339,334

USD

2,563,685

JPMC

3/20/2024

37,839

IDR

3,139,506,172

USD

202,865

CITI

**

3/20/2024

1,024

IDR

3,139,506,172

USD

202,863

JPMC

**

3/20/2024

1,026

INR

584,923,500

USD

6,994,068

CITI

**

3/20/2024

9,878

INR

584,923,500

USD

6,994,033

JPMC

**

3/20/2024

9,913

KRW

1,603,641,249

USD

1,228,146

CITI

**

3/20/2024

15,789

KRW

1,603,641,251

USD

1,228,269

JPMC

**

3/20/2024

15,666

MXN

160,056,500

USD

9,094,604

CITI

3/20/2024

212,698

MXN

160,056,500

USD

9,094,559

JPMC

3/20/2024

212,744

NOK

97,036,500

USD

9,017,815

CITI

3/20/2024

549,558

NOK

97,036,500

USD

9,017,770

JPMC

3/20/2024

549,603

NZD

829,000

USD

509,730

CITI

3/20/2024

14,427

234

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

NZD

829,000

USD

509,727

JPMC

3/20/2024

$

14,429

PLN

3,449,500

USD

861,557

CITI

3/20/2024

14,193

PLN

3,449,500

USD

861,553

JPMC

3/20/2024

14,197

SEK

217,500

USD

20,991

CITI

3/20/2024

640

SEK

217,500

USD

20,991

JPMC

3/20/2024

640

SGD

359,500

USD

270,864

CITI

3/20/2024

2,512

SGD

359,500

USD

270,862

JPMC

3/20/2024

2,514

TWD

25,500,000

USD

826,033

CITI

**

3/20/2024

18,727

TWD

25,500,000

USD

826,029

JPMC

**

3/20/2024

18,731

USD

995,677

CHF

828,500

CITI

3/20/2024

2,691

USD

995,682

CHF

828,500

JPMC

3/20/2024

2,696

USD

515,495

CLP

450,000,000

CITI

**

3/20/2024

6,949

USD

515,498

CLP

450,000,000

JPMC

**

3/20/2024

6,952

USD

65,113

CNY

460,000

CITI

**

3/20/2024

209

USD

65,114

CNY

460,000

JPMC

**

3/20/2024

209

USD

89,620

CZK

2,000,000

CITI

3/20/2024

372

USD

89,621

CZK

2,000,000

JPMC

3/20/2024

373

USD

859,399

EUR

774,501

CITI

3/20/2024

1,724

USD

1,355,157

EUR

1,221,499

JPMC

3/20/2024

2,481

USD

4,449,512

GBP

3,479,999

CITI

3/20/2024

12,035

USD

3,940,398

GBP

3,081,001

JPMC

3/20/2024

11,700

USD

663,896

HKD

5,172,000

CITI

3/20/2024

367

USD

663,899

HKD

5,172,000

JPMC

3/20/2024

370

USD

28,617

HUF

10,000,000

CITI

3/20/2024

40

USD

28,617

HUF

10,000,000

JPMC

3/20/2024

40

USD

253,366

KRW

325,000,000

CITI

**

3/20/2024

1,265

USD

253,367

KRW

324,999,998

JPMC

**

3/20/2024

1,267

USD

99

NOK

1,000

CITI

3/20/2024

–

USD

99

NOK

1,000

JPMC

3/20/2024

–

USD

542,609

PHP

30,000,000

CITI

**

3/20/2024

745

USD

542,612

PHP

30,000,000

JPMC

**

3/20/2024

748

USD

295,913

PLN

1,162,500

CITI

3/20/2024

781

USD

295,915

PLN

1,162,500

JPMC

3/20/2024

783

USD

33,247

TWD

1,000,000

CITI

**

3/20/2024

119

USD

33,247

TWD

1,000,000

JPMC

**

3/20/2024

120

ZAR

38,865,501

USD

2,069,602

CITI

3/20/2024

40,725

ZAR

38,865,501

USD

2,069,592

JPMC

3/20/2024

40,736

JPY

1,539,818,500

USD

10,777,316

CITI

3/21/2024

278,452

JPY

1,539,818,500

USD

10,777,262

JPMC

3/21/2024

278,506

Total

unrealized

appreciation

3,932,479

AUD

929,000

USD

636,397

CITI

3/20/2024

(1,849)

AUD

929,000

USD

636,394

JPMC

3/20/2024

(1,846)

BRL

642,500

USD

131,668

CITI

**

3/20/2024

(368)

BRL

642,500

USD

131,668

JPMC

**

3/20/2024

(368)

CAD

500

USD

378

CITI

3/20/2024

–

CAD

500

USD

378

JPMC

3/20/2024

–

CLP

1,266,481,500

USD

1,445,629

CITI

**

3/20/2024

(14,375)

CLP

1,266,481,500

USD

1,445,622

JPMC

**

3/20/2024

(14,367)

CNY

8,346,875

USD

1,178,442

CITI

**

3/20/2024

(729)

CNY

8,346,875

USD

1,178,436

JPMC

**

3/20/2024

(724)

CZK

21,000,000

USD

942,214

CITI

3/20/2024

(5,110)

CZK

21,000,000

USD

942,210

JPMC

3/20/2024

(5,105)

HUF

372,669,666

USD

1,069,985

CITI

3/20/2024

(4,988)

HUF

372,669,666

USD

1,069,980

JPMC

3/20/2024

(4,983)

INR

20,000,000

USD

239,729

CITI

**

3/20/2024

(246)

INR

20,000,000

USD

239,727

JPMC

**

3/20/2024

(245)

KRW

1,403,641,250

USD

1,094,879

CITI

**

3/20/2024

(6,083)

KRW

1,403,641,248

USD

1,094,873

JPMC

**

3/20/2024

(6,077)

235

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

(Continued)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

MXN

6,500,000

USD

379,451

CITI

3/20/2024

$

(1,475)

MXN

6,500,000

USD

379,449

JPMC

3/20/2024

(1,473)

NOK

1,500,000

USD

148,026

CITI

3/20/2024

(133)

NOK

1,500,000

USD

148,026

JPMC

3/20/2024

(132)

SEK

8,500

USD

854

CITI

3/20/2024

(9)

SEK

8,500

USD

854

JPMC

3/20/2024

(8)

USD

4,392,714

AUD

6,598,500

CITI

3/20/2024

(114,355)

USD

4,392,736

AUD

6,598,500

JPMC

3/20/2024

(114,333)

USD

612,694

BRL

3,026,501

CITI

**

3/20/2024

(5,793)

USD

612,063

BRL

3,026,500

JPMC

**

3/20/2024

(6,424)

USD

1,624,054

CAD

2,198,000

CITI

3/20/2024

(36,509)

USD

1,623,953

CAD

2,198,000

JPMC

3/20/2024

(36,611)

USD

14,818,408

CHF

12,750,500

CITI

3/20/2024

(463,509)

USD

14,818,482

CHF

12,750,500

JPMC

3/20/2024

(463,435)

USD

56,285

CLP

50,000,000

CITI

**

3/20/2024

(220)

USD

56,286

CLP

50,000,000

JPMC

**

3/20/2024

(220)

USD

403,984

CNY

2,870,000

CITI

**

3/20/2024

(962)

USD

403,986

CNY

2,870,000

JPMC

**

3/20/2024

(960)

USD

89,193

CZK

2,000,000

CITI

3/20/2024

(55)

USD

89,194

CZK

2,000,000

JPMC

3/20/2024

(55)

USD

371,557

DKK

2,526,000

CITI

3/20/2024

(4,007)

USD

371,559

DKK

2,526,000

JPMC

3/20/2024

(4,005)

USD

43,140,936

EUR

39,600,432

CITI

3/20/2024

(712,215)

USD

41,032,590

EUR

37,687,042

JPMC

3/20/2024

(701,691)

USD

12,059,557

GBP

9,549,808

CITI

3/20/2024

(117,756)

USD

10,975,205

GBP

8,696,801

JPMC

3/20/2024

(114,409)

USD

39,501

HKD

308,000

CITI

3/20/2024

(13)

USD

39,501

HKD

308,000

JPMC

3/20/2024

(13)

USD

99,820

HUF

35,000,000

CITI

3/20/2024

(202)

USD

99,820

HUF

35,000,000

JPMC

3/20/2024

(201)

USD

73,840

IDR

1,139,506,172

CITI

**

3/20/2024

(163)

USD

73,841

IDR

1,139,506,172

JPMC

**

3/20/2024

(162)

USD

611,661

ILS

2,261,500

CITI

3/20/2024

(14,429)

USD

611,664

ILS

2,261,500

JPMC

3/20/2024

(14,426)

USD

553,811

KRW

724,999,999

CITI

**

3/20/2024

(8,567)

USD

553,814

KRW

725,000,003

JPMC

**

3/20/2024

(8,565)

USD

170,630

MXN

3,000,000

CITI

3/20/2024

(3,821)

USD

170,631

MXN

3,000,000

JPMC

3/20/2024

(3,820)

USD

1,018,868

NOK

10,666,500

CITI

3/20/2024

(32,803)

USD

1,018,873

NOK

10,666,500

JPMC

3/20/2024

(32,797)

USD

10,571,401

NZD

17,180,000

CITI

3/20/2024

(291,096)

USD

10,571,454

NZD

17,180,000

JPMC

3/20/2024

(291,043)

USD

629,550

PHP

35,000,000

CITI

**

3/20/2024

(2,624)

USD

629,553

PHP

35,000,000

JPMC

**

3/20/2024

(2,621)

USD

152,316

PLN

600,500

CITI

3/20/2024

(137)

USD

152,317

PLN

600,500

JPMC

3/20/2024

(137)

USD

5,591,715

SEK

57,790,500

CITI

3/20/2024

(155,570)

USD

5,591,743

SEK

57,790,500

JPMC

3/20/2024

(155,542)

USD

3,960,134

SGD

5,262,500

CITI

3/20/2024

(41,648)

USD

3,960,154

SGD

5,262,500

JPMC

3/20/2024

(41,628)

USD

33,114

TWD

1,000,000

CITI

**

3/20/2024

(14)

USD

33,114

TWD

1,000,000

JPMC

**

3/20/2024

(14)

USD

347,156

ZAR

6,500,000

CITI

3/20/2024

(5,782)

USD

347,158

ZAR

6,500,000

JPMC

3/20/2024

(5,780)

USD

4,017,908

JPY

574,491,500

CITI

3/21/2024

(106,893)

USD

4,017,928

JPY

574,491,500

JPMC

3/21/2024

(106,873)

Total

unrealized

depreciation

(4,295,601)

Net

unrealized

depreciation

$

(363,122)

236

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

BARC

Cash

$

–

$

7,563,047

$

7,563,047

CITI

Cash

1,058

–

1,058

Investment

Companies

1,973,573

–

1,973,573

GSCO

Cash

–

1,515,911

1,515,911

JPMC

Investment

Companies

2,664,711

–

2,664,711

JPMS

Cash

–

(1,268,939)

(1,268,939)

MSCL

Cash

–

(109,396)

(109,396)

MSCS

U.S.

Treasury

Bills

1,108,246

–

1,108,246

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

GSCO

Cash

$

–

$

1,051,744

$

1,051,744

JPPC

Cash

–

462,051

462,051

MSCL

Cash

–

2,292,755

2,292,755

237

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2023

Shares

Held

At

12/31/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

46.5%

INVESTMENT

COMPANIES

-

46.5%

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(a)

(Cost

$212,120,688)

$222,417,600

$1,120,108,794

$(1,130,340,049)

$5,998

$(562)

$212,191,781

212,276,692

$11,269,103

$–

(1)

Level

1

security

(See

Note

5).

(a)

Represents

7-day

effective

yield

as

of

December

31,

2023.

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

91.3%

INVESTMENT

COMPANIES

-

46.5%

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(a)(b)

(Cost

$212,120,688)

212,276,692

212,191,781

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

44.8%

U.S.

Treasury

Bills

5.41%,

1/11/2024

(c)

$

4,360,000

4,354,303

5.39%,

1/18/2024

(c)

11,313,000

11,286,445

5.41%,

1/25/2024

(c)

9,586,000

9,553,708

5.41%,

2/1/2024

(c)

8,849,000

8,810,114

5.44%,

2/15/2024

(c)

315,000

312,982

5.50%,

2/29/2024

(c)

15,378,000

15,247,575

5.45%,

3/7/2024

(c)

34,679,000

34,353,012

5.45%,

3/14/2024

(c)

30,763,000

30,443,772

5.48%,

4/18/2024

(c)

19,834,000

19,527,911

5.47%,

4/25/2024

(c)

11,635,000

11,444,387

5.47%,

5/2/2024

(c)

8,554,000

8,405,724

5.40%,

5/9/2024

(c)

5,409,000

5,310,183

5.41%,

5/16/2024

(c)

2,600,000

2,550,148

5.37%,

5/23/2024

(c)

26,202,000

25,674,920

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

44.8%

(continued)

5.38%,

5/30/2024

(c)

$

6,448,000

6,313,275

5.33%,

6/6/2024

(c)

11,161,000

10,916,760

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$204,412,203)

204,505,219

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$416,532,891)

416,697,000

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

91.3%

(Cost

$416,532,891)

416,697,000

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

8.7%

‡

39,624,157

NET

ASSETS

-

100.0%

456,321,157

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

$

212,191,781

46.5

%

U.S.

Treasury

Obligations

204,505,219

44.8

Total

Investments

In

Securities

At

Value

416,697,000

91.3

Other

Assets

in

Excess

of

Liabilities

‡

39,624,157

8.7

Net

Assets

$

456,321,157

100.0%

‡

Includes

appreciation/(depreciation)

on

futures

contracts.

(a)

Represents

7-day

effective

yield

as

of

December

31,

2023.

(b)

For

the

period

ended

December

31,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Futures

contracts

outstanding

as

of

December

31,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

4

1/2024

USD

$

308,160

$

(7,255)

LME

Aluminum

Base

Metal

1

1/2024

USD

58,961

2,583

238

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

4

1/2024

USD

$

235,175

$

15,963

LME

Aluminum

Base

Metal

6

1/2024

USD

352,725

27,357

LME

Aluminum

Base

Metal

6

1/2024

USD

353,813

14,795

LME

Aluminum

Base

Metal

11

1/2024

USD

647,075

37,064

LME

Aluminum

Base

Metal

12

1/2024

USD

705,600

50,659

LME

Aluminum

Base

Metal

19

1/2024

USD

1,117,438

71,721

LME

Aluminum

Base

Metal

24

1/2024

USD

1,414,350

80,419

LME

Aluminum

Base

Metal

29

1/2024

USD

1,700,488

36,291

LME

Aluminum

Base

Metal

42

1/2024

USD

2,463,972

84,267

LME

Aluminum

Base

Metal

44

1/2024

USD

2,592,150

158,723

LME

Aluminum

Base

Metal

47

1/2024

USD

2,764,023

136,631

LME

Aluminum

Base

Metal

93

1/2024

USD

5,471,888

293,339

LME

Aluminum

Base

Metal

169

1/2024

USD

9,919,413

474,128

LME

Copper

Base

Metal

1

1/2024

USD

212,721

9,587

LME

Copper

Base

Metal

1

1/2024

USD

211,956

10,244

LME

Copper

Base

Metal

1

1/2024

USD

211,598

10,987

LME

Copper

Base

Metal

2

1/2024

USD

425,363

19,519

LME

Copper

Base

Metal

2

1/2024

USD

424,855

28,953

LME

Copper

Base

Metal

3

1/2024

USD

636,506

37,734

LME

Copper

Base

Metal

3

1/2024

USD

637,607

36,642

LME

Copper

Base

Metal

3

1/2024

USD

636,638

42,044

LME

Copper

Base

Metal

7

1/2024

USD

1,486,013

94,196

LME

Copper

Base

Metal

8

1/2024

USD

1,693,134

98,998

LME

Copper

Base

Metal

9

1/2024

USD

1,910,250

104,610

LME

Copper

Base

Metal

12

1/2024

USD

2,549,988

142,077

LME

Copper

Base

Metal

13

1/2024

USD

2,754,924

138,640

LME

Copper

Base

Metal

18

1/2024

USD

3,813,822

163,674

LME

Copper

Base

Metal

51

1/2024

USD

10,795,948

669,113

LME

Lead

Base

Metal

1

1/2024

USD

51,257

(1,220)

LME

Lead

Base

Metal

2

1/2024

USD

102,175

219

LME

Lead

Base

Metal

2

1/2024

USD

102,213

(1,243)

LME

Lead

Base

Metal

3

1/2024

USD

152,936

(5,566)

LME

Lead

Base

Metal

4

1/2024

USD

204,047

(1,464)

LME

Lead

Base

Metal

5

1/2024

USD

255,701

(7,187)

LME

Lead

Base

Metal

5

1/2024

USD

256,125

(7,589)

LME

Lead

Base

Metal

6

1/2024

USD

306,740

(8,576)

LME

Lead

Base

Metal

7

1/2024

USD

359,251

(13,149)

LME

Lead

Base

Metal

14

1/2024

USD

713,465

(39,422)

LME

Lead

Base

Metal

17

1/2024

USD

865,245

(51,386)

LME

Lead

Base

Metal

19

1/2024

USD

975,413

(26,412)

LME

Lead

Base

Metal

95

1/2024

USD

4,867,895

(104,096)

LME

Nickel

Base

Metal

2

1/2024

USD

197,252

(26,443)

LME

Nickel

Base

Metal

2

1/2024

USD

197,409

(24,927)

LME

Nickel

Base

Metal

2

1/2024

USD

196,963

(27,623)

LME

Nickel

Base

Metal

2

1/2024

USD

197,169

(26,097)

LME

Nickel

Base

Metal

3

1/2024

USD

296,208

(33,913)

LME

Nickel

Base

Metal

3

1/2024

USD

295,925

(38,884)

LME

Nickel

Base

Metal

3

1/2024

USD

296,161

(28,658)

LME

Nickel

Base

Metal

3

1/2024

USD

295,213

(42,734)

LME

Nickel

Base

Metal

4

1/2024

USD

393,823

(50,930)

LME

Nickel

Base

Metal

7

1/2024

USD

687,930

(99,254)

LME

Nickel

Base

Metal

8

1/2024

USD

786,411

(105,332)

LME

Nickel

Base

Metal

10

1/2024

USD

984,300

(128,730)

LME

Zinc

Base

Metal

2

1/2024

USD

132,000

9,544

LME

Zinc

Base

Metal

2

1/2024

USD

132,120

9,002

LME

Zinc

Base

Metal

3

1/2024

USD

198,225

18,249

239

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

5

1/2024

USD

$

331,089

$

20,886

LME

Zinc

Base

Metal

6

1/2024

USD

396,000

13,632

LME

Zinc

Base

Metal

7

1/2024

USD

461,781

28,329

LME

Zinc

Base

Metal

8

1/2024

USD

529,250

37,877

LME

Zinc

Base

Metal

10

1/2024

USD

661,313

56,210

LME

Zinc

Base

Metal

10

1/2024

USD

660,910

54,851

LME

Zinc

Base

Metal

13

1/2024

USD

859,602

75,664

LME

Zinc

Base

Metal

19

1/2024

USD

1,252,456

59,790

LME

Zinc

Base

Metal

22

1/2024

USD

1,451,725

74,928

LME

Zinc

Base

Metal

22

1/2024

USD

1,451,450

74,213

LME

Zinc

Base

Metal

33

1/2024

USD

2,182,744

145,076

Natural

Gas

30

1/2024

GBP

895,030

(66,486)

Natural

Gas

39

1/2024

USD

980,460

(314,066)

Natural

Gas

65

1/2024

EUR

1,615,646

(327,745)

WTI

Crude

Oil

11

1/2024

USD

788,150

(5,508)

100

oz

Gold

624

2/2024

USD

129,280,320

3,636,976

Brent

Crude

Oil

108

2/2024

USD

8,306,280

(212,015)

Brent

Crude

Oil

776

2/2024

USD

59,682,160

738,064

Lean

Hogs

289

2/2024

USD

7,857,910

(261,926)

LME

Aluminum

Base

Metal

1

2/2024

USD

59,279

3,582

LME

Aluminum

Base

Metal

2

2/2024

USD

118,188

4,787

LME

Aluminum

Base

Metal

5

2/2024

USD

295,938

18,141

LME

Aluminum

Base

Metal

8

2/2024

USD

472,626

20,034

LME

Aluminum

Base

Metal

8

2/2024

USD

473,780

27,962

LME

Aluminum

Base

Metal

8

2/2024

USD

472,500

17,388

LME

Aluminum

Base

Metal

9

2/2024

USD

533,680

38,653

LME

Aluminum

Base

Metal

10

2/2024

USD

590,000

29,745

LME

Aluminum

Base

Metal

12

2/2024

USD

707,814

34,300

LME

Aluminum

Base

Metal

18

2/2024

USD

1,066,050

54,755

LME

Aluminum

Base

Metal

20

2/2024

USD

1,184,250

69,190

LME

Aluminum

Base

Metal

25

2/2024

USD

1,479,300

98,100

LME

Aluminum

Base

Metal

40

2/2024

USD

2,368,000

137,905

LME

Aluminum

Base

Metal

46

2/2024

USD

2,728,525

193,146

LME

Aluminum

Base

Metal

48

2/2024

USD

2,842,956

158,386

LME

Aluminum

Base

Metal

51

2/2024

USD

3,014,585

177,299

LME

Copper

Base

Metal

1

2/2024

USD

213,006

11,179

LME

Copper

Base

Metal

2

2/2024

USD

426,785

7,779

LME

Copper

Base

Metal

2

2/2024

USD

425,950

17,815

LME

Copper

Base

Metal

4

2/2024

USD

852,800

17,989

LME

Copper

Base

Metal

4

2/2024

USD

851,202

35,162

LME

Copper

Base

Metal

5

2/2024

USD

1,064,938

42,135

LME

Copper

Base

Metal

5

2/2024

USD

1,063,800

48,183

LME

Copper

Base

Metal

5

2/2024

USD

1,066,063

10,397

LME

Copper

Base

Metal

9

2/2024

USD

1,918,350

60,712

LME

Copper

Base

Metal

9

2/2024

USD

1,916,663

61,914

LME

Copper

Base

Metal

9

2/2024

USD

1,917,900

72,569

LME

Copper

Base

Metal

10

2/2024

USD

2,132,000

62,149

LME

Copper

Base

Metal

17

2/2024

USD

3,625,050

59,881

LME

Copper

Base

Metal

18

2/2024

USD

3,840,602

64,361

LME

Copper

Base

Metal

42

2/2024

USD

8,963,556

91,480

LME

Lead

Base

Metal

2

2/2024

USD

102,855

(6,042)

LME

Lead

Base

Metal

3

2/2024

USD

154,442

(8,955)

LME

Lead

Base

Metal

3

2/2024

USD

154,050

(3,224)

LME

Lead

Base

Metal

3

2/2024

USD

155,009

(6,249)

LME

Lead

Base

Metal

3

2/2024

USD

154,549

(12,251)

LME

Lead

Base

Metal

4

2/2024

USD

206,250

(20,428)

240

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

4

2/2024

USD

$

206,225

$

(18,167)

LME

Lead

Base

Metal

5

2/2024

USD

256,973

(14,916)

LME

Lead

Base

Metal

9

2/2024

USD

463,849

(49,512)

LME

Lead

Base

Metal

11

2/2024

USD

568,131

(30,848)

LME

Lead

Base

Metal

18

2/2024

USD

924,525

(36,484)

LME

Lead

Base

Metal

25

2/2024

USD

1,287,350

(61,466)

LME

Lead

Base

Metal

25

2/2024

USD

1,292,275

(43,386)

LME

Nickel

Base

Metal

1

2/2024

USD

99,114

(2,679)

LME

Nickel

Base

Metal

1

2/2024

USD

99,134

(949)

LME

Nickel

Base

Metal

1

2/2024

USD

99,207

1,074

LME

Nickel

Base

Metal

3

2/2024

USD

297,153

(10,656)

LME

Nickel

Base

Metal

4

2/2024

USD

396,276

(22,536)

LME

Nickel

Base

Metal

4

2/2024

USD

395,870

(32,975)

LME

Nickel

Base

Metal

5

2/2024

USD

494,392

(47,334)

LME

Nickel

Base

Metal

6

2/2024

USD

594,360

(33,372)

LME

Nickel

Base

Metal

6

2/2024

USD

593,911

(55,610)

LME

Nickel

Base

Metal

8

2/2024

USD

792,984

(16,027)

LME

Nickel

Base

Metal

8

2/2024

USD

791,597

(83,063)

LME

Nickel

Base

Metal

9

2/2024

USD

892,701

29,836

LME

Nickel

Base

Metal

9

2/2024

USD

891,702

(30,255)

LME

Nickel

Base

Metal

11

2/2024

USD

1,089,033

(84,244)

LME

Zinc

Base

Metal

2

2/2024

USD

132,682

4,986

LME

Zinc

Base

Metal

4

2/2024

USD

265,843

909

LME

Zinc

Base

Metal

5

2/2024

USD

332,438

14,723

LME

Zinc

Base

Metal

6

2/2024

USD

398,868

23,463

LME

Zinc

Base

Metal

9

2/2024

USD

598,347

21,145

LME

Zinc

Base

Metal

9

2/2024

USD

596,237

53,166

LME

Zinc

Base

Metal

12

2/2024

USD

797,583

27,764

LME

Zinc

Base

Metal

13

2/2024

USD

863,931

25,860

LME

Zinc

Base

Metal

14

2/2024

USD

930,559

48,167

LME

Zinc

Base

Metal

16

2/2024

USD

1,063,496

41,248

LME

Zinc

Base

Metal

17

2/2024

USD

1,129,756

44,936

LME

Zinc

Base

Metal

18

2/2024

USD

1,192,752

56,817

LME

Zinc

Base

Metal

20

2/2024

USD

1,327,525

31,559

LME

Zinc

Base

Metal

21

2/2024

USD

1,392,836

41,414

LME

Zinc

Base

Metal

26

2/2024

USD

1,728,181

105,611

Low

Sulphur

Gasoil

13

2/2024

USD

964,925

8,611

Natural

Gas

166

2/2024

USD

3,862,820

(11,654)

Natural

Gas

256

2/2024

USD

5,957,120

14,971

RBOB

Gasoline

236

2/2024

USD

21,070,930

(653,789)

SGX

Iron

Ore

681

2/2024

USD

9,448,194

216,926

Sugar

No.

11

1,448

2/2024

USD

33,375,821

(7,687,286)

Coffee

'C'

295

3/2024

USD

20,830,688

4,430,924

Copper

4

3/2024

USD

389,050

(3,299)

Corn

2,637

3/2024

USD

62,134,313

(2,547,603)

Cotton

No.

2

12

3/2024

USD

486,000

364

Cotton

No.

2

38

3/2024

USD

1,539,000

(615)

Cotton

No.

2

114

3/2024

USD

4,617,000

70,305

Feeder

Cattle

54

3/2024

USD

6,023,700

6,336

KC

HRW

Wheat

90

3/2024

USD

2,889,000

24,656

LME

Aluminum

Base

Metal

1

3/2024

USD

59,424

5,494

LME

Aluminum

Base

Metal

4

3/2024

USD

238,141

25,180

LME

Aluminum

Base

Metal

5

3/2024

USD

296,938

23,121

LME

Aluminum

Base

Metal

5

3/2024

USD

298,000

2,676

LME

Aluminum

Base

Metal

6

3/2024

USD

357,212

28,485

LME

Aluminum

Base

Metal

6

3/2024

USD

356,762

33,344

241

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

8

3/2024

USD

$

476,250

$

29,826

LME

Aluminum

Base

Metal

10

3/2024

USD

595,428

25,648

LME

Aluminum

Base

Metal

11

3/2024

USD

654,893

38,197

LME

Aluminum

Base

Metal

15

3/2024

USD

892,748

91,328

LME

Aluminum

Base

Metal

31

3/2024

USD

1,839,346

140,066

LME

Aluminum

Base

Metal

34

3/2024

USD

2,022,924

216,572

LME

Aluminum

Base

Metal

46

3/2024

USD

2,734,309

257,072

LME

Aluminum

Base

Metal

56

3/2024

USD

3,326,708

303,799

LME

Aluminum

Base

Metal

65

3/2024

USD

3,874,000

14,237

LME

Aluminum

Base

Metal

86

3/2024

USD

5,120,225

229,472

LME

Aluminum

Base

Metal

866

3/2024

USD

51,548,650

2,845,969

LME

Copper

Base

Metal

1

3/2024

USD

213,800

6,031

LME

Copper

Base

Metal

1

3/2024

USD

213,963

(1,409)

LME

Copper

Base

Metal

2

3/2024

USD

427,650

732

LME

Copper

Base

Metal

6

3/2024

USD

1,282,976

(840)

LME

Copper

Base

Metal

7

3/2024

USD

1,496,936

(7,432)

LME

Copper

Base

Metal

9

3/2024

USD

1,924,331

1,205

LME

Copper

Base

Metal

9

3/2024

USD

1,922,963

36,880

LME

Copper

Base

Metal

9

3/2024

USD

1,923,316

24,833

LME

Copper

Base

Metal

10

3/2024

USD

2,137,607

46,378

LME

Copper

Base

Metal

10

3/2024

USD

2,137,803

40,026

LME

Copper

Base

Metal

13

3/2024

USD

2,777,869

76,058

LME

Copper

Base

Metal

19

3/2024

USD

4,055,431

(779)

LME

Copper

Base

Metal

20

3/2024

USD

4,277,750

153

LME

Copper

Base

Metal

29

3/2024

USD

6,205,275

(53,553)

LME

Copper

Base

Metal

30

3/2024

USD

6,408,563

133,553

LME

Copper

Base

Metal

37

3/2024

USD

7,902,275

47,647

LME

Copper

Base

Metal

484

3/2024

USD

103,521,550

3,747,856

LME

Lead

Base

Metal

1

3/2024

USD

51,713

(147)

LME

Lead

Base

Metal

2

3/2024

USD

103,425

(525)

LME

Lead

Base

Metal

4

3/2024

USD

206,850

(819)

LME

Lead

Base

Metal

5

3/2024

USD

259,079

(1,174)

LME

Lead

Base

Metal

5

3/2024

USD

259,095

5,140

LME

Lead

Base

Metal

6

3/2024

USD

310,883

5,706

LME

Lead

Base

Metal

6

3/2024

USD

310,575

(389)

LME

Lead

Base

Metal

8

3/2024

USD

414,326

(295)

LME

Lead

Base

Metal

10

3/2024

USD

517,825

(14,201)

LME

Lead

Base

Metal

10

3/2024

USD

517,125

(16,651)

LME

Lead

Base

Metal

11

3/2024

USD

569,993

(4,905)

LME

Lead

Base

Metal

12

3/2024

USD

621,828

(698)

LME

Lead

Base

Metal

80

3/2024

USD

4,144,600

91,609

LME

Lead

Base

Metal

406

3/2024

USD

21,035,875

(199,184)

LME

Nickel

Base

Metal

1

3/2024

USD

99,343

598

LME

Nickel

Base

Metal

1

3/2024

USD

99,603

(1,530)

LME

Nickel

Base

Metal

3

3/2024

USD

298,674

(1,369)

LME

Nickel

Base

Metal

5

3/2024

USD

497,331

(8,613)

LME

Nickel

Base

Metal

6

3/2024

USD

596,577

(141)

LME

Nickel

Base

Metal

7

3/2024

USD

695,522

(10,099)

LME

Nickel

Base

Metal

7

3/2024

USD

694,693

(10,507)

LME

Nickel

Base

Metal

11

3/2024

USD

1,094,332

(31,403)

LME

Nickel

Base

Metal

13

3/2024

USD

1,290,804

(5,354)

LME

Nickel

Base

Metal

14

3/2024

USD

1,394,652

(7,799)

LME

Nickel

Base

Metal

86

3/2024

USD

8,561,988

(177,213)

LME

Zinc

Base

Metal

1

3/2024

USD

66,549

5,846

LME

Zinc

Base

Metal

2

3/2024

USD

132,988

2,973

LME

Zinc

Base

Metal

3

3/2024

USD

199,556

7,681

242

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

3

3/2024

USD

$

199,500

$

2,073

LME

Zinc

Base

Metal

4

3/2024

USD

265,994

18,382

LME

Zinc

Base

Metal

5

3/2024

USD

332,744

19,604

LME

Zinc

Base

Metal

6

3/2024

USD

399,293

32,825

LME

Zinc

Base

Metal

10

3/2024

USD

664,500

4,379

LME

Zinc

Base

Metal

11

3/2024

USD

732,531

111,548

LME

Zinc

Base

Metal

13

3/2024

USD

864,773

74,009

LME

Zinc

Base

Metal

14

3/2024

USD

931,084

84,042

LME

Zinc

Base

Metal

14

3/2024

USD

931,189

73,647

LME

Zinc

Base

Metal

14

3/2024

USD

930,664

60,522

LME

Zinc

Base

Metal

20

3/2024

USD

1,331,120

63,060

LME

Zinc

Base

Metal

659

3/2024

USD

43,881,163

2,682,777

Low

Sulphur

Gasoil

362

3/2024

USD

26,597,950

(697,653)

Silver

65

3/2024

USD

7,827,950

38,504

Silver

83

3/2024

USD

9,995,690

(4,090)

Soybean

643

3/2024

USD

41,730,700

(796,142)

Soybean

Meal

783

3/2024

USD

30,223,800

(2,649,084)

Wheat

312

3/2024

USD

9,796,800

104,772

100

oz

Gold

153

4/2024

USD

32,004,540

(29,516)

Lean

Hogs

3

4/2024

USD

89,820

(497)

Platinum

19

10/2024

JPY

304,202

2,649

ECX

Emission

224

12/2024

EUR

19,874,279

(363,703)

Phelix

De

Base

Electricity

3

12/2024

EUR

2,770,918

(66,476)

Platinum

5

12/2024

JPY

79,929

271

Total

of

long

contracts

8,305,872

Short

Contracts

Brent

Crude

Oil

(8)

1/2024

USD

(616,320)

(20,437)

LME

Aluminum

Base

Metal

(1)

1/2024

USD

(58,961)

(2,635)

LME

Aluminum

Base

Metal

(4)

1/2024

USD

(235,175)

(16,306)

LME

Aluminum

Base

Metal

(6)

1/2024

USD

(353,813)

(15,871)

LME

Aluminum

Base

Metal

(6)

1/2024

USD

(352,725)

(27,128)

LME

Aluminum

Base

Metal

(11)

1/2024

USD

(647,075)

(37,982)

LME

Aluminum

Base

Metal

(12)

1/2024

USD

(705,600)

(51,287)

LME

Aluminum

Base

Metal

(19)

1/2024

USD

(1,117,438)

(69,143)

LME

Aluminum

Base

Metal

(24)

1/2024

USD

(1,414,350)

(84,861)

LME

Aluminum

Base

Metal

(29)

1/2024

USD

(1,700,488)

(31,798)

LME

Aluminum

Base

Metal

(42)

1/2024

USD

(2,463,972)

(70,296)

LME

Aluminum

Base

Metal

(44)

1/2024

USD

(2,592,150)

(161,507)

LME

Aluminum

Base

Metal

(47)

1/2024

USD

(2,764,023)

(126,449)

LME

Aluminum

Base

Metal

(93)

1/2024

USD

(5,471,888)

(278,112)

LME

Aluminum

Base

Metal

(169)

1/2024

USD

(9,919,413)

(475,941)

LME

Copper

Base

Metal

(1)

1/2024

USD

(212,721)

(9,223)

LME

Copper

Base

Metal

(1)

1/2024

USD

(211,956)

(10,508)

LME

Copper

Base

Metal

(1)

1/2024

USD

(211,598)

(12,326)

LME

Copper

Base

Metal

(2)

1/2024

USD

(425,363)

(19,468)

LME

Copper

Base

Metal

(2)

1/2024

USD

(424,855)

(30,010)

LME

Copper

Base

Metal

(3)

1/2024

USD

(636,638)

(42,495)

LME

Copper

Base

Metal

(3)

1/2024

USD

(637,607)

(35,852)

LME

Copper

Base

Metal

(3)

1/2024

USD

(636,506)

(37,170)

LME

Copper

Base

Metal

(7)

1/2024

USD

(1,486,013)

(92,334)

LME

Copper

Base

Metal

(8)

1/2024

USD

(1,693,134)

(99,244)

LME

Copper

Base

Metal

(9)

1/2024

USD

(1,910,250)

(104,099)

LME

Copper

Base

Metal

(12)

1/2024

USD

(2,549,988)

(145,445)

LME

Copper

Base

Metal

(13)

1/2024

USD

(2,754,924)

(150,483)

LME

Copper

Base

Metal

(18)

1/2024

USD

(3,813,822)

(168,907)

LME

Copper

Base

Metal

(51)

1/2024

USD

(10,795,948)

(675,200)

243

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(1)

1/2024

USD

$

(51,257)

$

1,461

LME

Lead

Base

Metal

(2)

1/2024

USD

(102,213)

1,628

LME

Lead

Base

Metal

(2)

1/2024

USD

(102,175)

190

LME

Lead

Base

Metal

(3)

1/2024

USD

(152,936)

4,983

LME

Lead

Base

Metal

(4)

1/2024

USD

(204,047)

738

LME

Lead

Base

Metal

(5)

1/2024

USD

(255,701)

6,238

LME

Lead

Base

Metal

(5)

1/2024

USD

(256,125)

6,487

LME

Lead

Base

Metal

(6)

1/2024

USD

(306,740)

9,138

LME

Lead

Base

Metal

(7)

1/2024

USD

(359,251)

11,381

LME

Lead

Base

Metal

(14)

1/2024

USD

(713,465)

37,189

LME

Lead

Base

Metal

(17)

1/2024

USD

(865,245)

47,592

LME

Lead

Base

Metal

(19)

1/2024

USD

(975,413)

24,641

LME

Lead

Base

Metal

(95)

1/2024

USD

(4,867,895)

81,355

LME

Nickel

Base

Metal

(2)

1/2024

USD

(197,169)

27,560

LME

Nickel

Base

Metal

(2)

1/2024

USD

(197,409)

23,738

LME

Nickel

Base

Metal

(2)

1/2024

USD

(196,963)

26,831

LME

Nickel

Base

Metal

(2)

1/2024

USD

(197,252)

26,207

LME

Nickel

Base

Metal

(3)

1/2024

USD

(295,925)

37,764

LME

Nickel

Base

Metal

(3)

1/2024

USD

(296,208)

34,128

LME

Nickel

Base

Metal

(3)

1/2024

USD

(296,161)

30,736

LME

Nickel

Base

Metal

(3)

1/2024

USD

(295,213)

43,173

LME

Nickel

Base

Metal

(4)

1/2024

USD

(393,823)

50,268

LME

Nickel

Base

Metal

(7)

1/2024

USD

(687,930)

101,559

LME

Nickel

Base

Metal

(8)

1/2024

USD

(786,411)

102,583

LME

Nickel

Base

Metal

(10)

1/2024

USD

(984,300)

133,771

LME

Zinc

Base

Metal

(2)

1/2024

USD

(132,000)

(9,968)

LME

Zinc

Base

Metal

(2)

1/2024

USD

(132,120)

(9,345)

LME

Zinc

Base

Metal

(3)

1/2024

USD

(198,225)

(18,609)

LME

Zinc

Base

Metal

(5)

1/2024

USD

(331,089)

(21,847)

LME

Zinc

Base

Metal

(6)

1/2024

USD

(396,000)

(13,973)

LME

Zinc

Base

Metal

(7)

1/2024

USD

(461,781)

(28,528)

LME

Zinc

Base

Metal

(8)

1/2024

USD

(529,250)

(37,547)

LME

Zinc

Base

Metal

(10)

1/2024

USD

(661,313)

(53,964)

LME

Zinc

Base

Metal

(10)

1/2024

USD

(660,910)

(56,438)

LME

Zinc

Base

Metal

(13)

1/2024

USD

(859,602)

(74,754)

LME

Zinc

Base

Metal

(19)

1/2024

USD

(1,252,456)

(54,869)

LME

Zinc

Base

Metal

(22)

1/2024

USD

(1,451,450)

(75,464)

LME

Zinc

Base

Metal

(22)

1/2024

USD

(1,451,725)

(72,043)

LME

Zinc

Base

Metal

(33)

1/2024

USD

(2,182,744)

(152,791)

Natural

Gas

(232)

1/2024

USD

(5,832,480)

(50,743)

NY

Harbor

ULSD

(21)

1/2024

USD

(2,230,490)

125,781

RBOB

Gasoline

(22)

1/2024

USD

(1,946,221)

67,673

WTI

Crude

Oil

(82)

1/2024

USD

(5,875,300)

295,921

Live

Cattle

(12)

2/2024

USD

(808,800)

1,401

LME

Aluminum

Base

Metal

(1)

2/2024

USD

(59,279)

(3,782)

LME

Aluminum

Base

Metal

(2)

2/2024

USD

(118,188)

(4,778)

LME

Aluminum

Base

Metal

(5)

2/2024

USD

(295,938)

(17,564)

LME

Aluminum

Base

Metal

(8)

2/2024

USD

(472,500)

(17,124)

LME

Aluminum

Base

Metal

(8)

2/2024

USD

(473,780)

(27,353)

LME

Aluminum

Base

Metal

(8)

2/2024

USD

(472,626)

(20,276)

LME

Aluminum

Base

Metal

(9)

2/2024

USD

(533,680)

(36,961)

LME

Aluminum

Base

Metal

(10)

2/2024

USD

(590,000)

(31,317)

LME

Aluminum

Base

Metal

(12)

2/2024

USD

(707,814)

(34,650)

LME

Aluminum

Base

Metal

(18)

2/2024

USD

(1,066,050)

(55,180)

LME

Aluminum

Base

Metal

(20)

2/2024

USD

(1,184,250)

(73,231)

LME

Aluminum

Base

Metal

(25)

2/2024

USD

(1,479,300)

(90,834)

244

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(40)

2/2024

USD

$

(2,368,000)

$

(138,133)

LME

Aluminum

Base

Metal

(46)

2/2024

USD

(2,728,525)

(192,781)

LME

Aluminum

Base

Metal

(48)

2/2024

USD

(2,842,956)

(162,964)

LME

Aluminum

Base

Metal

(51)

2/2024

USD

(3,014,585)

(174,371)

LME

Copper

Base

Metal

(1)

2/2024

USD

(213,006)

(11,214)

LME

Copper

Base

Metal

(2)

2/2024

USD

(426,785)

(6,706)

LME

Copper

Base

Metal

(2)

2/2024

USD

(425,950)

(17,665)

LME

Copper

Base

Metal

(4)

2/2024

USD

(851,202)

(37,086)

LME

Copper

Base

Metal

(4)

2/2024

USD

(852,800)

(21,688)

LME

Copper

Base

Metal

(5)

2/2024

USD

(1,066,063)

(7,865)

LME

Copper

Base

Metal

(5)

2/2024

USD

(1,063,800)

(50,926)

LME

Copper

Base

Metal

(5)

2/2024

USD

(1,064,938)

(37,518)

LME

Copper

Base

Metal

(9)

2/2024

USD

(1,918,350)

(66,874)

LME

Copper

Base

Metal

(9)

2/2024

USD

(1,917,900)

(78,549)

LME

Copper

Base

Metal

(9)

2/2024

USD

(1,916,663)

(63,975)

LME

Copper

Base

Metal

(10)

2/2024

USD

(2,132,000)

(64,027)

LME

Copper

Base

Metal

(17)

2/2024

USD

(3,625,050)

(52,732)

LME

Copper

Base

Metal

(18)

2/2024

USD

(3,840,602)

(67,299)

LME

Copper

Base

Metal

(42)

2/2024

USD

(8,963,556)

(97,666)

LME

Lead

Base

Metal

(2)

2/2024

USD

(102,855)

5,490

LME

Lead

Base

Metal

(3)

2/2024

USD

(154,549)

11,193

LME

Lead

Base

Metal

(3)

2/2024

USD

(154,050)

1,942

LME

Lead

Base

Metal

(3)

2/2024

USD

(154,442)

9,575

LME

Lead

Base

Metal

(3)

2/2024

USD

(155,009)

6,352

LME

Lead

Base

Metal

(4)

2/2024

USD

(206,250)

19,739

LME

Lead

Base

Metal

(4)

2/2024

USD

(206,225)

19,364

LME

Lead

Base

Metal

(5)

2/2024

USD

(256,973)

14,888

LME

Lead

Base

Metal

(9)

2/2024

USD

(463,849)

48,804

LME

Lead

Base

Metal

(11)

2/2024

USD

(568,131)

30,478

LME

Lead

Base

Metal

(18)

2/2024

USD

(924,525)

34,467

LME

Lead

Base

Metal

(25)

2/2024

USD

(1,292,275)

39,803

LME

Lead

Base

Metal

(25)

2/2024

USD

(1,287,350)

68,364

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,134)

1,243

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,114)

2,403

LME

Nickel

Base

Metal

(1)

2/2024

USD

(99,207)

(26)

LME

Nickel

Base

Metal

(3)

2/2024

USD

(297,153)

12,118

LME

Nickel

Base

Metal

(4)

2/2024

USD

(395,870)

34,966

LME

Nickel

Base

Metal

(4)

2/2024

USD

(396,276)

22,109

LME

Nickel

Base

Metal

(5)

2/2024

USD

(494,392)

44,993

LME

Nickel

Base

Metal

(6)

2/2024

USD

(593,911)

51,191

LME

Nickel

Base

Metal

(6)

2/2024

USD

(594,360)

31,558

LME

Nickel

Base

Metal

(8)

2/2024

USD

(791,597)

79,879

LME

Nickel

Base

Metal

(8)

2/2024

USD

(792,984)

10,992

LME

Nickel

Base

Metal

(9)

2/2024

USD

(891,702)

32,292

LME

Nickel

Base

Metal

(9)

2/2024

USD

(892,701)

(30,888)

LME

Nickel

Base

Metal

(11)

2/2024

USD

(1,089,033)

81,428

LME

Zinc

Base

Metal

(2)

2/2024

USD

(132,682)

(4,886)

LME

Zinc

Base

Metal

(4)

2/2024

USD

(265,843)

(1,755)

LME

Zinc

Base

Metal

(5)

2/2024

USD

(332,438)

(15,120)

LME

Zinc

Base

Metal

(6)

2/2024

USD

(398,868)

(23,701)

LME

Zinc

Base

Metal

(9)

2/2024

USD

(596,237)

(41,220)

LME

Zinc

Base

Metal

(9)

2/2024

USD

(598,347)

(21,002)

LME

Zinc

Base

Metal

(12)

2/2024

USD

(797,583)

(26,121)

LME

Zinc

Base

Metal

(13)

2/2024

USD

(863,931)

(33,758)

LME

Zinc

Base

Metal

(14)

2/2024

USD

(930,559)

(44,443)

LME

Zinc

Base

Metal

(16)

2/2024

USD

(1,063,496)

(43,746)

245

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(17)

2/2024

USD

$

(1,129,756)

$

(43,795)

LME

Zinc

Base

Metal

(18)

2/2024

USD

(1,192,752)

(66,112)

LME

Zinc

Base

Metal

(20)

2/2024

USD

(1,327,525)

(32,410)

LME

Zinc

Base

Metal

(21)

2/2024

USD

(1,392,836)

(41,248)

LME

Zinc

Base

Metal

(26)

2/2024

USD

(1,728,181)

(105,255)

NY

Harbor

ULSD

(5)

2/2024

USD

(523,992)

24,879

WTI

Crude

Oil

(483)

2/2024

USD

(34,698,720)

852,886

Cocoa

(9)

3/2024

USD

(377,640)

6,616

LME

Aluminum

Base

Metal

(1)

3/2024

USD

(59,424)

(5,427)

LME

Aluminum

Base

Metal

(4)

3/2024

USD

(238,141)

(24,653)

LME

Aluminum

Base

Metal

(5)

3/2024

USD

(296,938)

(23,211)

LME

Aluminum

Base

Metal

(5)

3/2024

USD

(298,000)

(4,765)

LME

Aluminum

Base

Metal

(6)

3/2024

USD

(356,762)

(34,062)

LME

Aluminum

Base

Metal

(6)

3/2024

USD

(357,212)

(30,379)

LME

Aluminum

Base

Metal

(8)

3/2024

USD

(476,250)

(29,032)

LME

Aluminum

Base

Metal

(10)

3/2024

USD

(595,428)

(21,283)

LME

Aluminum

Base

Metal

(11)

3/2024

USD

(654,893)

(32,901)

LME

Aluminum

Base

Metal

(15)

3/2024

USD

(892,748)

(93,609)

LME

Aluminum

Base

Metal

(31)

3/2024

USD

(1,839,346)

(139,908)

LME

Aluminum

Base

Metal

(34)

3/2024

USD

(2,022,924)

(217,434)

LME

Aluminum

Base

Metal

(46)

3/2024

USD

(2,734,309)

(271,424)

LME

Aluminum

Base

Metal

(56)

3/2024

USD

(3,326,708)

(299,303)

LME

Aluminum

Base

Metal

(65)

3/2024

USD

(3,874,000)

(2,105)

LME

Aluminum

Base

Metal

(86)

3/2024

USD

(5,120,225)

(239,300)

LME

Aluminum

Base

Metal

(776)

3/2024

USD

(46,191,400)

(2,911,818)

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,963)

2,011

LME

Copper

Base

Metal

(1)

3/2024

USD

(213,800)

(6,278)

LME

Copper

Base

Metal

(2)

3/2024

USD

(427,650)

849

LME

Copper

Base

Metal

(6)

3/2024

USD

(1,282,976)

5,609

LME

Copper

Base

Metal

(7)

3/2024

USD

(1,496,936)

8,756

LME

Copper

Base

Metal

(9)

3/2024

USD

(1,922,963)

(35,486)

LME

Copper

Base

Metal

(9)

3/2024

USD

(1,923,316)

(24,789)

LME

Copper

Base

Metal

(9)

3/2024

USD

(1,924,331)

(2,554)

LME

Copper

Base

Metal

(10)

3/2024

USD

(2,137,803)

(47,926)

LME

Copper

Base

Metal

(10)

3/2024

USD

(2,137,607)

(45,759)

LME

Copper

Base

Metal

(13)

3/2024

USD

(2,777,869)

(79,503)

LME

Copper

Base

Metal

(19)

3/2024

USD

(4,055,431)

3,344

LME

Copper

Base

Metal

(20)

3/2024

USD

(4,277,750)

(8,403)

LME

Copper

Base

Metal

(29)

3/2024

USD

(6,205,275)

38,662

LME

Copper

Base

Metal

(30)

3/2024

USD

(6,408,563)

(140,441)

LME

Copper

Base

Metal

(37)

3/2024

USD

(7,902,275)

(29,504)

LME

Copper

Base

Metal

(130)

3/2024

USD

(27,805,375)

(657,873)

LME

Lead

Base

Metal

(1)

3/2024

USD

(51,713)

110

LME

Lead

Base

Metal

(2)

3/2024

USD

(103,425)

395

LME

Lead

Base

Metal

(4)

3/2024

USD

(206,850)

1,073

LME

Lead

Base

Metal

(5)

3/2024

USD

(259,095)

(5,483)

LME

Lead

Base

Metal

(5)

3/2024

USD

(259,079)

1,408

LME

Lead

Base

Metal

(6)

3/2024

USD

(310,575)

(541)

LME

Lead

Base

Metal

(6)

3/2024

USD

(310,883)

(5,798)

LME

Lead

Base

Metal

(8)

3/2024

USD

(414,326)

(212)

LME

Lead

Base

Metal

(10)

3/2024

USD

(517,825)

12,232

LME

Lead

Base

Metal

(10)

3/2024

USD

(517,125)

14,322

LME

Lead

Base

Metal

(11)

3/2024

USD

(569,993)

4,247

LME

Lead

Base

Metal

(12)

3/2024

USD

(621,828)

1,990

LME

Lead

Base

Metal

(80)

3/2024

USD

(4,144,600)

(114,810)

LME

Lead

Base

Metal

(143)

3/2024

USD

(7,409,188)

238,508

246

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

3/2024

USD

$

(99,343)

$

(726)

LME

Nickel

Base

Metal

(1)

3/2024

USD

(99,603)

1,854

LME

Nickel

Base

Metal

(3)

3/2024

USD

(298,674)

(153)

LME

Nickel

Base

Metal

(5)

3/2024

USD

(497,331)

6,954

LME

Nickel

Base

Metal

(6)

3/2024

USD

(596,577)

(1,440)

LME

Nickel

Base

Metal

(7)

3/2024

USD

(695,522)

12,772

LME

Nickel

Base

Metal

(7)

3/2024

USD

(694,693)

12,463

LME

Nickel

Base

Metal

(11)

3/2024

USD

(1,094,332)

43,145

LME

Nickel

Base

Metal

(13)

3/2024

USD

(1,290,804)

64

LME

Nickel

Base

Metal

(14)

3/2024

USD

(1,394,652)

8,682

LME

Nickel

Base

Metal

(132)

3/2024

USD

(13,141,656)

916,348

LME

Zinc

Base

Metal

(1)

3/2024

USD

(66,549)

(5,919)

LME

Zinc

Base

Metal

(2)

3/2024

USD

(132,988)

(3,406)

LME

Zinc

Base

Metal

(3)

3/2024

USD

(199,556)

(8,615)

LME

Zinc

Base

Metal

(3)

3/2024

USD

(199,500)

(2,559)

LME

Zinc

Base

Metal

(4)

3/2024

USD

(265,994)

(19,540)

LME

Zinc

Base

Metal

(5)

3/2024

USD

(332,744)

(20,198)

LME

Zinc

Base

Metal

(6)

3/2024

USD

(399,293)

(33,794)

LME

Zinc

Base

Metal

(10)

3/2024

USD

(664,500)

(3,178)

LME

Zinc

Base

Metal

(11)

3/2024

USD

(732,531)

(26,354)

LME

Zinc

Base

Metal

(13)

3/2024

USD

(864,773)

(79,530)

LME

Zinc

Base

Metal

(14)

3/2024

USD

(931,189)

(76,855)

LME

Zinc

Base

Metal

(14)

3/2024

USD

(930,664)

(60,334)

LME

Zinc

Base

Metal

(14)

3/2024

USD

(931,084)

(81,328)

LME

Zinc

Base

Metal

(20)

3/2024

USD

(1,331,120)

(68,891)

LME

Zinc

Base

Metal

(241)

3/2024

USD

(16,047,588)

(1,098,505)

Milling

Wheat

No.

2

(45)

3/2024

EUR

(552,665)

(1,910)

Soybean

Oil

(26)

3/2024

USD

(751,608)

6,464

Aluminum

(5)

4/2024

USD

(298,188)

(24,281)

Live

Cattle

(1)

4/2024

USD

(68,900)

368

Total

of

short

contracts

(9,070,708)

Net

value

$

(764,836)

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

GSCO

Cash

$

–

$

4,399,038

$

4,399,038

JPPC

Cash

–

21,593,207

21,593,207

MSCL

Cash

–

17,611,757

17,611,757

247

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

87.8%

COMMON

STOCKS

-

5.9%

Italy

-

4.6%

A2A

SpA

(a)

1,627,401

3,342,801

Assicurazioni

Generali

SpA

(a)

182,344

3,852,477

Azimut

Holding

SpA

(a)

57,723

1,508,903

Banco

BPM

SpA

(a)

403,321

2,137,176

Buzzi

SpA

(a)

93,957

2,857,669

Eni

SpA

(a)

63,741

1,081,136

Hera

SpA

(a)

474,416

1,557,939

Intesa

Sanpaolo

SpA

(a)

481,762

1,409,826

Italgas

SpA

(a)

6,770

38,764

Leonardo

SpA

(a)

548,248

9,058,762

Pirelli

&

C

SpA

(a)(b)

133,824

730,178

Poste

Italiane

SpA

(a)(b)

108,921

1,238,076

Prysmian

SpA

(a)

93,713

4,271,913

UniCredit

SpA

(a)

155,164

4,225,068

Unipol

Gruppo

SpA

(a)

474,730

2,709,295

40,019,983

—

United

States

-

1.3%

Stellantis

NV

(a)

152,837

3,581,070

Tenaris

SA

(a)

440,920

7,668,998

11,250,068

—

TOTAL

COMMON

STOCKS

(Cost

$35,220,979)

51,270,051

SHORT-TERM

INVESTMENTS

-

81.9%

INVESTMENT

COMPANIES

-

33.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.19%

(1)(c)(d)

27,371,962

27,371,962

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(c)(e)

266,053,535

265,947,113

TOTAL

INVESTMENT

COMPANIES

(Cost

$293,285,350)

293,319,075

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

48.4%

U.S.

Treasury

Bills

5.40%,

1/4/2024

(f)

$

6,736,000

6,734,043

5.41%,

1/11/2024

(f)

7,630,000

7,620,030

5.41%,

1/25/2024

(f)

2,860,000

2,850,366

5.41%,

2/1/2024

(f)

1,903,000

1,894,637

5.41%,

2/8/2024

(f)

10,916,000

10,856,882

5.44%,

2/15/2024

(f)(g)

34,346,000

34,125,991

5.44%,

2/22/2024

(f)(g)

12,960,000

12,863,658

5.50%,

2/29/2024

(f)(g)

5,153,000

5,109,296

5.45%,

3/14/2024

(f)(g)

66,880,000

66,185,986

5.45%,

3/21/2024

(f)(g)

58,989,000

58,316,938

5.46%,

3/28/2024

(f)(g)

27,385,000

27,045,030

5.49%,

4/4/2024

(f)(g)

26,548,000

26,191,372

5.48%,

4/18/2024

(f)(g)

35,163,000

34,620,346

5.47%,

4/25/2024

(f)(g)

59,823,000

58,842,935

5.40%,

5/9/2024

(f)(g)

15,721,000

15,433,792

5.41%,

5/16/2024

(f)(g)

38,982,000

38,234,569

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

48.4%

(continued)

5.37%,

5/23/2024

(f)(g)

$

17,668,000

17,312,590

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$424,042,813)

424,238,461

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$717,328,163)

717,557,536

TOTAL

LONG

POSITIONS

(Cost

$752,549,142)

768,827,587

SHARES

SHORT

POSITIONS

-

(5.3)%

COMMON

STOCKS

-

(5.3)%

Italy

-

(5.3)%

Amplifon

SpA

(88,795)

(3,076,802)

Banca

Generali

SpA

(28,907)

(1,075,294)

Brunello

Cucinelli

SpA

(17,936)

(1,755,440)

Davide

Campari-Milano

NV

(425,581)

(4,805,969)

DiaSorin

SpA

(20,854)

(2,149,290)

Enel

SpA

(230,238)

(1,712,928)

ERG

SpA

(72,865)

(2,324,542)

Ferrari

NV

(7,308)

(2,467,230)

FinecoBank

Banca

Fineco

SpA

(65,898)

(991,380)

Infrastrutture

Wireless

Italiane

SpA

(b)

(268,597)

(3,400,683)

Interpump

Group

SpA

(23,104)

(1,198,655)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(33,474)

(414,802)

Moncler

SpA

(56,594)

(3,484,455)

Nexi

SpA

(b)

(253,338)

(2,075,600)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(53,237)

(2,870,688)

Reply

SpA

(3,162)

(417,918)

Snam

SpA

(1,113,850)

(5,730,669)

Telecom

Italia

SpA

(1)

(6,750,209)

(2,192,347)

Terna

-

Rete

Elettrica

Nazionale

(446,356)

(3,723,796)

(45,868,488)

—

United

Kingdom

-

(0.0)%

†

CNH

Industrial

NV

(19,351)

(237,303)

TOTAL

COMMON

STOCKS

(Proceeds

$(45,624,015))

(46,105,791)

TOTAL

SHORT

POSITIONS

(Proceeds

$(45,624,015))

(46,105,791)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

82.5%

(Cost

$706,925,127)

722,721,796

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

17.5%

‡

152,572,581

NET

ASSETS

-

100.0%

875,294,377

248

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

†

Represents

less

than

0.05%

of

net

assets.

‡

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$51,772,508.

In

addition,

$707,350

of

cash

collateral

was

also

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2023

amounted

to

$(3,508,029),

which

represents

(0.40)%

of

net

assets

of

the

Fund.

(c)

Represents

7-day

effective

yield

as

of

December

31,

2023.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

For

the

period

ended

December

31,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(5,593,030)

(0.6)

%

Consumer

Discretionary

(3,395,877)

(0.4)

Consumer

Staples

(4,805,969)

(0.6)

Energy

8,750,134

1.0

Financials

12,523,744

1.4

Health

Care

(8,096,780)

(0.9)

Industrials

11,894,717

1.4

Information

Technology

(417,918)

0.0

†

Materials

2,857,669

0.3

Utilities

(8,552,430)

(1.0)

Investment

Companies

293,319,075

33.5

U.S.

Treasury

Obligations

424,238,461

48.4

Total

Investments

In

Securities

At

Value

722,721,796

82.5

Other

Assets

in

Excess

of

Liabilities

‡

152,572,581

17.5

Net

Assets

$

875,294,377

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2023

Shares

Held

At

12/31/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

30.4%

INVESTMENT

COMPANIES

-

30.4%

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(a)

(Cost

$265,913,388)

$279,889,708

$1,545,979,983

$(1,559,927,625)

$37,280

$(32,233)

$265,947,113

266,053,535

$15,389,343

$–

(1)

Level

1

security

(See

Note

5).

(a)

Represents

7-day

effective

yield

as

of

December

31,

2023.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

249

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

December

31,

2023:

Exchange-Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

CORRA

Semi

4.50%

Semi

3/18/2026

CAD

64,300,000

$

429,869

$

391,306

$

821,175

Pay

1D

CORRA

Semi

3.50%

Semi

6/17/2026

CAD

36,400,000

55,547

25,931

81,478

Pay

1D

CORRA

Semi

4.00%

Semi

6/17/2026

CAD

2,600,000

9,834

14,327

24,161

Pay

1D

CORRA

Semi

4.00%

Semi

3/20/2034

CAD

24,800,000

(282,857)

1,829,908

1,547,051

Pay

1D

SARON

Annual

1.50%

Annual

3/20/2026

CHF

354,700,000

(1,684,213)

5,375,859

3,691,646

Pay

1D

SARON

Annual

1.00%

Annual

6/19/2026

CHF

24,900,000

(27,148)

37,658

10,510

Pay

1D

SOFR

Annual

4.00%

Annual

6/19/2026

USD

116,700,000

(19,859)

982,672

962,813

Pay

1D

SOFR

Annual

3.75%

Annual

6/19/2034

USD

1,200,000

33,649

2,562

36,211

Pay

1D

SONIA

Annual

4.25%

Annual

3/20/2034

GBP

41,900,000

198,010

4,270,729

4,468,739

Pay

1D

SONIA

Annual

3.75%

Annual

6/19/2034

GBP

24,200,000

1,414,742

(5,951)

1,408,791

Pay

1D

SONIA

Annual

4.25%

Annual

6/19/2034

GBP

37,300,000

2,435,685

1,696,103

4,131,788

Pay

1D

TONAR

Annual

0.50%

Annual

3/23/2026

JPY

50,254,000,000

613,855

1,241,709

1,855,564

Pay

1D

TONAR

Annual

1.00%

Annual

6/19/2034

JPY

4,754,800,000

3,935

250,620

254,555

Pay

3M

BBR

Qtrly

4.50%

Qtrly

6/11/2026

AUD

550,900,000

2,242,718

3,328,942

5,571,660

Pay

6M

BBR

Semi

4.50%

Semi

3/09/2034

AUD

69,700,000

380,293

856,410

1,236,703

Pay

6M

BBR

Semi

5.00%

Semi

3/09/2034

AUD

2,700,000

104,468

18,992

123,460

Pay

6M

BBR

Semi

5.00%

Semi

6/08/2034

AUD

15,000,000

255,203

420,402

675,605

Pay

6M

BBR

Semi

4.50%

Semi

6/08/2034

AUD

36,800,000

(420,427)

1,060,195

639,768

Pay

6M

EURIBOR

Semi

3.00%

Annual

3/20/2034

EUR

37,200,000

(1,044,879)

3,003,143

1,958,264

Pay

6M

EURIBOR

Semi

3.00%

Annual

6/19/2034

EUR

96,000,000

1,336,405

3,971,784

5,308,189

Receive

1D

SOFR

Annual

3.50%

Annual

3/20/2026

USD

309,700,000

5,123,146

(3,269,290)

1,853,856

Receive

6M

NIBOR

Semi

3.50%

Annual

6/17/2026

NOK

146,000,000

13,993

(3,708)

10,285

11,171,969

25,500,303

36,672,272

Pay

1D

SOFR

Annual

3.25%

Annual

3/20/2034

USD

78,600,000

(7,291,968)

6,106,171

(1,185,797)

Receive

1D

CORRA

Semi

3.00%

Semi

6/19/2034

CAD

7,300,000

(5,068)

(6,016)

(11,084)

Receive

1D

CORRA

Semi

3.50%

Semi

6/19/2034

CAD

1,700,000

(54,588)

(1,806)

(56,394)

Receive

1D

SONIA

Annual

5.25%

Annual

3/20/2026

GBP

179,000,000

(2,333,267)

(3,929,045)

(6,262,312)

Receive

1D

SONIA

Annual

5.00%

Annual

6/19/2026

GBP

156,000,000

(4,015,006)

(1,477,317)

(5,492,323)

Receive

1D

SONIA

Annual

4.25%

Annual

6/19/2026

GBP

124,900,000

(1,954,582)

(234,419)

(2,189,001)

Receive

1D

TONAR

Annual

0.50%

Annual

6/19/2026

JPY

22,086,500,000

(452,113)

(197,493)

(649,606)

Receive

1D

TONAR

Annual

1.00%

Annual

3/21/2034

JPY

8,080,000,000

15,837

(655,252)

(639,415)

Receive

3M

BBR

Qtrly

4.50%

Qtrly

3/12/2026

AUD

50,900,000

(447,133)

(15,818)

(462,951)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

3/12/2026

AUD

249,700,000

98,237

(743,513)

(645,276)

Receive

3M

BBR

Qtrly

5.00%

Semi

6/10/2026

NZD

66,100,000

(124,093)

(473,890)

(597,983)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

6/11/2026

AUD

215,300,000

359,687

(1,160,882)

(801,195)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

3/18/2026

SEK

1,966,600,000

718,295

(3,780,191)

(3,061,896)

Receive

3M

STIBOR

Qtrly

4.00%

Annual

3/18/2026

SEK

2,277,000,000

(938,073)

(4,751,953)

(5,690,026)

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/17/2026

SEK

1,165,200,000

(100,445)

(1,154,359)

(1,254,804)

Receive

3M

STIBOR

Qtrly

2.50%

Annual

6/17/2026

SEK

13,000,000

(1,268)

(548)

(1,816)

Receive

6M

EURIBOR

Semi

3.25%

Annual

3/20/2026

EUR

157,400,000

307,637

(2,582,114)

(2,274,477)

Receive

6M

EURIBOR

Semi

3.25%

Annual

6/19/2026

EUR

655,800,000

(5,601,858)

(6,955,150)

(12,557,008)

Receive

6M

NIBOR

Semi

5.00%

Annual

3/18/2026

NOK

21,000,000

(12,225)

(35,211)

(47,436)

Receive

6M

NIBOR

Semi

4.50%

Annual

3/18/2026

NOK

1,595,000,000

455,000

(2,587,325)

(2,132,325)

Receive

6M

NIBOR

Semi

4.00%

Annual

6/17/2026

NOK

166,900,000

(30,668)

(110,355)

(141,023)

(21,407,662)

(24,746,486)

(46,154,148)

$

(10,235,693)

$

753,817

$

(9,481,876)

250

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

December

31,

2023

were

as

follows:

1

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

5.06%

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.38%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

5.19%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.70%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.04%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.36%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

4.05%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.45%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.86%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

4.84%

Total

return

swap

contracts

outstanding

as

of

December

31,

2023

:

Over-the-Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Amsterdam

Exchange

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/19/2024

EUR

(45,763,160)

$

243,114

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/14/2024

BRL

151,405,850

1,561,878

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/14/2024

KRW

1,450,800,000

81,519

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

03/14/2024

KRW

11,153,025,000

471,318

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/17/2024

TWD

1,433,174,000

413,518

WIG20

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/15/2024

PLN

805,460

2,535

MSCI

Emerging

Markets

Taiwan

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

OBFR

plus

or

minus

a

specified

spread

(0.75%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2024

USD

4,191,898

258,836

251

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Mexico

Net

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TIIE

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2024

MXN

2,281,242

$

5,061

Total

unrealized

appreciation

3,037,779

DTOP

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

03/20/2024

ZAR

(1,858,080)

(2,414)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2024

HKD

(77,956,200)

(288,220)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2024

HKD

(289,800)

(1,113)

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/15/2024

CHF

89,866,910

(134,083)

MSCI

Australia

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BBR

plus

or

minus

a

specified

spread

(0.10%)

Monthly

CITI

03/20/2024

AUD

(35,936,765)

(1,098,428)

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

(-1.25%)

Monthly

CITI

03/20/2024

CAD

(46,626,392)

(653,086)

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

(-0.29%)

Monthly

CITI

03/20/2024

EUR

(12,618,125)

(29,335)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2024

EUR

9,043,187

(18,624)

252

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.03%)

Monthly

CITI

03/20/2024

EUR

(42,500,682)

$

(182,917)

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.05%)

Monthly

CITI

03/20/2024

SGD

(10,366,836)

(354,475)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.50%)

Monthly

CITI

03/20/2024

ZAR

(17,865,210)

(55,860)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.04%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2024

EUR

16,330,313

(43,953)

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

(-0.46%)

Monthly

CITI

03/20/2024

SEK

(67,240,071)

(248,530)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(-0.09%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2024

CHF

10,240,477

(50,251)

Tel

Aviv

Stock

Exchange

35

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TELBOR

plus

or

minus

a

specified

spread

(-0.50%)

Monthly

BANA

03/20/2024

ILS

(4,738,743)

(9,584)

Total

unrealized

depreciation

(3,170,873)

Net

unrealized

depreciation

$

(133,094)

253

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Futures

contracts

outstanding

as

of

December

31,

2023:

Exchange-Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

1,660

1/2024

USD

$

127,886,400

$

1,017,450

IBEX

35

Index

850

1/2024

EUR

94,644,614

(680,369)

LME

Copper

Base

Metal

2

1/2024

USD

424,425

28,420

LME

Copper

Base

Metal

9

1/2024

USD

1,904,382

110,771

LME

Copper

Base

Metal

10

1/2024

USD

2,121,688

124,989

LME

Copper

Base

Metal

13

1/2024

USD

2,755,422

129,000

LME

Copper

Base

Metal

18

1/2024

USD

3,809,552

222,745

LME

Copper

Base

Metal

24

1/2024

USD

5,085,096

223,475

LME

Copper

Base

Metal

26

1/2024

USD

5,518,500

301,532

LME

Copper

Base

Metal

30

1/2024

USD

6,368,625

389,796

RBOB

Gasoline

257

1/2024

USD

22,735,402

277,341

SGX

FTSE

Taiwan

Index

171

1/2024

USD

10,605,420

147,052

LME

Copper

Base

Metal

8

2/2024

USD

1,707,344

20,080

Low

Sulphur

Gasoil

545

2/2024

USD

40,452,625

(253,961)

Australia

10

Year

Bond

4,169

3/2024

AUD

331,571,019

8,862,590

Corn

545

3/2024

USD

12,841,563

(395,374)

FTSE

100

Index

301

3/2024

GBP

29,759,336

500,430

FTSE/MIB

Index

886

3/2024

EUR

149,262,905

(619,884)

Japan

10

Year

Bond

102

3/2024

JPY

105,985,957

777,534

KOSPI

200

Index

224

3/2024

KRW

15,770,790

1,041,742

LME

Copper

Base

Metal

4

3/2024

USD

854,300

5,151

LME

Copper

Base

Metal

13

3/2024

USD

2,778,890

60,292

LME

Copper

Base

Metal

14

3/2024

USD

2,993,200

84,434

LME

Copper

Base

Metal

14

3/2024

USD

2,991,275

57,368

LME

Copper

Base

Metal

16

3/2024

USD

3,417,900

71,228

LME

Copper

Base

Metal

18

3/2024

USD

3,846,632

49,665

LME

Copper

Base

Metal

19

3/2024

USD

4,065,525

(35,685)

LME

Copper

Base

Metal

24

3/2024

USD

5,130,726

114,562

LME

Copper

Base

Metal

38

3/2024

USD

8,130,575

(49,500)

LME

Copper

Base

Metal

59

3/2024

USD

12,615,056

7,902

LME

Copper

Base

Metal

128

3/2024

USD

27,377,600

313,073

Silver

14

3/2024

USD

1,686,020

(28)

Soybean

905

3/2024

USD

58,734,500

(1,572,000)

TOPIX

Index

1,082

3/2024

JPY

181,561,135

861,827

U.S.

Treasury

10

Year

Note

429

3/2024

USD

48,363,047

76,407

Total

of

long

contracts

12,270,055

Short

Contracts

CAC

40

10

Euro

Index

(766)

1/2024

EUR

(63,887,022)

321,417

FTSE

Bursa

Malaysia

KLCI

Index

(182)

1/2024

MYR

(2,875,560)

13,867

HSCEI

(466)

1/2024

HKD

(17,294,845)

(444,584)

IFSC

NIFTY

50

Index

(283)

1/2024

USD

(12,366,251)

(144,301)

LME

Copper

Base

Metal

(2)

1/2024

USD

(424,425)

(28,956)

LME

Copper

Base

Metal

(9)

1/2024

USD

(1,904,382)

(99,643)

LME

Copper

Base

Metal

(10)

1/2024

USD

(2,121,688)

(125,956)

LME

Copper

Base

Metal

(13)

1/2024

USD

(2,755,422)

(138,382)

LME

Copper

Base

Metal

(18)

1/2024

USD

(3,809,552)

(223,299)

LME

Copper

Base

Metal

(24)

1/2024

USD

(5,085,096)

(225,035)

LME

Copper

Base

Metal

(26)

1/2024

USD

(5,518,500)

(303,219)

LME

Copper

Base

Metal

(30)

1/2024

USD

(6,368,625)

(391,923)

MSCI

Singapore

Index

(814)

1/2024

SGD

(17,744,861)

(650,544)

Natural

Gas

(327)

1/2024

USD

(8,220,780)

(776,480)

NY

Harbor

ULSD

(257)

1/2024

USD

(27,296,947)

358,343

OMXS30

Index

(4,612)

1/2024

SEK

(109,800,814)

(2,468,163)

254

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

WTI

Crude

Oil

(2,143)

1/2024

USD

$

(153,545,950)

$

(366,428)

100

oz

Gold

(41)

2/2024

USD

(8,494,380)

(217,499)

LME

Copper

Base

Metal

(8)

2/2024

USD

(1,707,344)

(20,665)

Canada

10

Year

Bond

(1,250)

3/2024

CAD

(117,080,488)

(2,458,992)

DAX

Index

(262)

3/2024

EUR

(122,295,747)

565,544

Euro

STOXX

50

Index

(694)

3/2024

EUR

(34,805,799)

320,549

Euro-Bund

(967)

3/2024

EUR

(146,431,670)

(2,826,046)

FTSE/JSE

Top

40

Index

(432)

3/2024

ZAR

(16,859,631)

(462,931)

LME

Copper

Base

Metal

(4)

3/2024

USD

(854,300)

(4,086)

LME

Copper

Base

Metal

(13)

3/2024

USD

(2,778,890)

(59,424)

LME

Copper

Base

Metal

(14)

3/2024

USD

(2,991,275)

(53,674)

LME

Copper

Base

Metal

(14)

3/2024

USD

(2,993,200)

(87,887)

LME

Copper

Base

Metal

(16)

3/2024

USD

(3,417,900)

(71,742)

LME

Copper

Base

Metal

(18)

3/2024

USD

(3,846,632)

(49,579)

LME

Copper

Base

Metal

(19)

3/2024

USD

(4,065,525)

29,111

LME

Copper

Base

Metal

(24)

3/2024

USD

(5,130,726)

(98,589)

LME

Copper

Base

Metal

(38)

3/2024

USD

(8,130,575)

76,418

LME

Copper

Base

Metal

(59)

3/2024

USD

(12,615,056)

(11,986)

LME

Copper

Base

Metal

(236)

3/2024

USD

(50,477,450)

(376,686)

Long

Gilt

(596)

3/2024

GBP

(77,989,919)

(157,879)

S&P

500

E-Mini

Index

(45)

3/2024

USD

(10,845,000)

(396,360)

S&P/TSX

60

Index

(174)

3/2024

CAD

(33,364,718)

(621,973)

SET50

Index

(2,565)

3/2024

THB

(13,123,902)

(132,212)

SPI

200

Index

(83)

3/2024

AUD

(10,725,256)

(138,523)

Total

of

short

contracts

(12,948,397)

Net

value

$

(678,342)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

27,605,000

USD

18,211,833

CITI

3/20/2024

$

643,610

AUD

27,605,000

USD

18,211,742

JPMC

3/20/2024

643,702

BRL

143,896,394

USD

28,880,714

CITI

**

3/20/2024

525,564

BRL

143,896,396

USD

28,880,570

JPMC

**

3/20/2024

525,708

CAD

124,635,675

USD

92,035,219

CITI

3/20/2024

2,125,596

CAD

124,635,675

USD

92,033,031

JPMC

3/20/2024

2,127,784

CHF

14,912,501

USD

17,438,393

CITI

3/20/2024

434,756

CHF

14,912,499

USD

17,438,303

JPMC

3/20/2024

434,844

CLP

180,854,500

USD

203,392

CITI

**

3/20/2024

992

CLP

180,854,500

USD

203,391

JPMC

**

3/20/2024

993

CNY

102,276,648

USD

14,379,864

CITI

**

3/20/2024

50,979

CNY

102,276,648

USD

14,379,792

JPMC

**

3/20/2024

51,051

EUR

130,618,143

USD

142,526,979

CITI

3/20/2024

2,118,340

EUR

130,618,144

USD

142,526,268

JPMC

3/20/2024

2,119,049

GBP

28,464,623

USD

36,008,260

CITI

3/20/2024

288,036

GBP

28,464,626

USD

36,008,084

JPMC

3/20/2024

288,215

HUF

2,123,333,334

USD

5,973,230

CITI

3/20/2024

94,726

HUF

2,123,333,334

USD

5,973,200

JPMC

3/20/2024

94,757

INR

127,244,845

USD

1,521,470

CITI

**

3/20/2024

2,176

INR

127,244,845

USD

1,521,463

JPMC

**

3/20/2024

2,183

KRW

5,900,000,000

USD

4,561,678

CITI

**

3/20/2024

14,918

255

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

KRW

5,900,000,000

USD

4,561,655

JPMC

**

3/20/2024

$

14,940

MXN

467,349,672

USD

26,616,577

CITI

3/20/2024

559,857

MXN

467,349,669

USD

26,616,444

JPMC

3/20/2024

559,990

NOK

1,041,051,301

USD

96,682,512

CITI

3/20/2024

5,960,570

NOK

1,041,051,301

USD

96,682,028

JPMC

3/20/2024

5,961,060

NZD

12,549,501

USD

7,855,950

CITI

3/20/2024

78,795

NZD

12,549,499

USD

7,855,909

JPMC

3/20/2024

78,835

PLN

41,406,502

USD

10,341,157

CITI

3/20/2024

171,022

PLN

41,406,502

USD

10,341,106

JPMC

3/20/2024

171,071

SEK

108,612,093

USD

10,481,993

CITI

3/20/2024

319,515

SEK

108,612,092

USD

10,481,940

JPMC

3/20/2024

319,569

SGD

19,003,002

USD

14,329,538

CITI

3/20/2024

120,984

SGD

19,002,998

USD

14,329,463

JPMC

3/20/2024

121,055

TWD

232,882,660

USD

7,540,801

CITI

**

3/20/2024

174,102

TWD

232,882,656

USD

7,540,763

JPMC

**

3/20/2024

174,139

USD

1,685,155

CLP

1,471,650,500

CITI

**

3/20/2024

22,038

USD

1,685,163

CLP

1,471,650,500

JPMC

**

3/20/2024

22,046

USD

2,988,107

CNY

21,157,852

CITI

**

3/20/2024

2,815

USD

2,988,121

CNY

21,157,851

JPMC

**

3/20/2024

2,829

USD

7,452,908

EUR

6,681,000

CITI

3/20/2024

54,431

USD

7,452,946

EUR

6,681,000

JPMC

3/20/2024

54,468

USD

16,864,583

GBP

13,186,500

CITI

3/20/2024

49,989

USD

16,864,668

GBP

13,186,500

JPMC

3/20/2024

50,073

USD

2,022,780

HUF

702,337,165

CITI

3/20/2024

15,675

USD

2,022,791

HUF

702,337,165

JPMC

3/20/2024

15,686

USD

17,851,659

KRW

22,891,938,239

CITI

**

3/20/2024

94,519

USD

17,851,748

KRW

22,891,938,239

JPMC

**

3/20/2024

94,609

USD

113,184

MXN

1,935,999

CITI

3/20/2024

606

USD

113,185

MXN

1,936,001

JPMC

3/20/2024

607

USD

2,197,659

PLN

8,646,000

CITI

3/20/2024

2,634

USD

2,197,670

PLN

8,646,000

JPMC

3/20/2024

2,646

USD

549,376

TWD

16,519,000

CITI

**

3/20/2024

2,137

USD

549,379

TWD

16,519,000

JPMC

**

3/20/2024

2,139

USD

5,893

ZAR

108,500

CITI

3/20/2024

1

USD

5,893

ZAR

108,500

JPMC

3/20/2024

1

ZAR

181,014,500

USD

9,626,145

CITI

3/20/2024

202,619

ZAR

181,014,500

USD

9,626,097

JPMC

3/20/2024

202,666

JPY

10,183,585,208

USD

71,366,999

CITI

3/21/2024

1,750,287

JPY

10,183,585,206

USD

71,366,642

JPMC

3/21/2024

1,750,644

Total

unrealized

appreciation

31,769,648

BRL

6,624,000

USD

1,357,350

CITI

**

3/20/2024

(3,688)

BRL

6,624,000

USD

1,357,343

JPMC

**

3/20/2024

(3,680)

CHF

3,188,500

USD

3,822,442

CITI

3/20/2024

(914)

CHF

3,188,500

USD

3,822,423

JPMC

3/20/2024

(895)

CLP

117,216,000

USD

133,490

CITI

**

3/20/2024

(1,023)

CLP

117,216,000

USD

133,489

JPMC

**

3/20/2024

(1,023)

CNY

30,406,403

USD

4,292,310

CITI

**

3/20/2024

(2,083)

CNY

30,406,401

USD

4,292,288

JPMC

**

3/20/2024

(2,062)

HUF

696,666,666

USD

2,000,089

CITI

3/20/2024

(9,190)

HUF

696,666,666

USD

2,000,079

JPMC

3/20/2024

(9,179)

INR

205,000,000

USD

2,458,426

CITI

**

3/20/2024

(3,730)

INR

205,000,000

USD

2,458,413

JPMC

**

3/20/2024

(3,718)

KRW

2,226,087,000

USD

1,732,114

CITI

**

3/20/2024

(5,351)

KRW

2,226,087,000

USD

1,732,105

JPMC

**

3/20/2024

(5,343)

MXN

2,520,499

USD

147,160

CITI

3/20/2024

(592)

MXN

2,520,501

USD

147,159

JPMC

3/20/2024

(591)

TWD

4,619,500

USD

153,112

CITI

**

3/20/2024

(78)

TWD

4,619,500

USD

153,111

JPMC

**

3/20/2024

(77)

256

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

43,612,192

AUD

65,498,420

CITI

3/20/2024

$

(1,126,144)

USD

43,612,410

AUD

65,498,420

JPMC

3/20/2024

(1,125,926)

USD

9,041,801

BRL

44,749,499

CITI

**

3/20/2024

(103,085)

USD

9,041,847

BRL

44,749,501

JPMC

**

3/20/2024

(103,040)

USD

162,073,827

CHF

140,259,166

CITI

3/20/2024

(6,031,644)

USD

162,074,636

CHF

140,259,165

JPMC

3/20/2024

(6,030,834)

USD

2,411,806

CNY

17,116,513

CITI

**

3/20/2024

(3,268)

USD

2,411,818

CNY

17,116,511

JPMC

**

3/20/2024

(3,255)

USD

798,374

DKK

5,386,212

CITI

3/20/2024

(2,445)

USD

798,377

DKK

5,386,211

JPMC

3/20/2024

(2,441)

USD

102,002,906

EUR

93,533,329

CITI

3/20/2024

(1,575,032)

USD

102,003,418

EUR

93,533,330

JPMC

3/20/2024

(1,574,522)

USD

14,043,125

GBP

11,140,499

CITI

3/20/2024

(162,538)

USD

14,043,198

GBP

11,140,501

JPMC

3/20/2024

(162,467)

USD

877,073

HUF

307,662,835

CITI

3/20/2024

(2,150)

USD

877,078

HUF

307,662,835

JPMC

3/20/2024

(2,146)

USD

399,133

IDR

6,186,119,000

CITI

**

3/20/2024

(2,612)

USD

399,135

IDR

6,186,119,000

JPMC

**

3/20/2024

(2,610)

USD

9,753,591

ILS

36,004,046

CITI

3/20/2024

(214,034)

USD

9,753,640

ILS

36,004,045

JPMC

3/20/2024

(213,986)

USD

22,884,433

KRW

29,885,369,741

CITI

**

3/20/2024

(297,468)

USD

22,884,548

KRW

29,885,369,741

JPMC

**

3/20/2024

(297,355)

USD

4,072,763

MXN

71,047,502

CITI

3/20/2024

(58,657)

USD

4,072,783

MXN

71,047,498

JPMC

3/20/2024

(58,637)

USD

48,441,498

NOK

507,000,000

CITI

3/20/2024

(1,546,477)

USD

48,441,740

NOK

507,000,000

JPMC

3/20/2024

(1,546,235)

USD

86,507,168

NZD

140,679,072

CITI

3/20/2024

(2,440,795)

USD

86,507,600

NZD

140,679,071

JPMC

3/20/2024

(2,440,362)

USD

1,262,414

PLN

4,994,000

CITI

3/20/2024

(5,449)

USD

1,262,421

PLN

4,994,000

JPMC

3/20/2024

(5,444)

USD

18,776,570

SEK

192,522,727

CITI

3/20/2024

(369,880)

USD

18,776,663

SEK

192,522,726

JPMC

3/20/2024

(369,786)

USD

52,158,591

SGD

69,316,751

CITI

3/20/2024

(552,200)

USD

52,158,850

SGD

69,316,748

JPMC

3/20/2024

(551,940)

USD

2,799,821

TWD

86,133,502

CITI

**

3/20/2024

(53,598)

USD

2,800,173

TWD

86,133,498

JPMC

**

3/20/2024

(53,244)

USD

6,134,403

ZAR

114,500,000

CITI

3/20/2024

(82,742)

USD

6,134,433

ZAR

114,500,000

JPMC

3/20/2024

(82,712)

USD

19,505,176

JPY

2,809,407,530

CITI

3/21/2024

(666,134)

USD

19,505,273

JPY

2,809,407,528

JPMC

3/21/2024

(666,037)

Total

unrealized

depreciation

(30,642,548)

Net

unrealized

appreciation

$

1,127,100

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

257

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Total

return

basket

swap

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.20%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

49

months

maturity

12/09/2027

$2,816

$57

$11

$68

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TIIE

plus

or

minus

a

specified

spread

(-2.38%

to

0.50%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

28-61

months

maturity

ranging

from

04/17/2026

-

12/19/2028

$6,346,396

$(15,971)

$291

$(15,680)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-2.63%

to

0.75%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

28-61

months

maturity

ranging

from

04/17/2026

-

11/29/2028

$4,556,220

$2,973

$133,512

$136,485

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-10.75%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

02/26/2024

-

01/27/2025

$796,105,143

$242,250

$860,425

$1,102,675

258

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Acuity

Brands,

Inc.

22,908

4,692,246

22,221

2.0

Adobe,

Inc.

9,213

5,496,476

(15,294)

(1.4)

AGCO

Corp.

32,768

3,978,363

(38,339)

(3.5)

Allison

Transmission

Holdings,

Inc.

70,854

4,120,160

(12,045)

(1.1)

Alphabet,

Inc.

43,226

6,038,240

(79,104)

(7.2)

Amkor

Technology,

Inc.

168,460

5,604,664

(153,299)

(13.9)

Applied

Materials,

Inc.

28,472

4,614,457

(62,923)

(5.7)

Broadcom,

Inc.

3,610

4,029,662

(56,460)

(5.1)

Builders

FirstSource,

Inc.

39,924

6,664,913

(67,871)

(6.2)

Cardinal

Health,

Inc.

57,602

5,806,282

(19,585)

(1.8)

Centene

Corp.

49,950

3,706,790

27,972

2.5

Cigna

Group

(The)

18,352

5,495,506

(12,296)

(1.1)

CVS

Health

Corp.

51,711

4,083,101

(2,068)

(0.2)

eBay,

Inc.

84,655

3,692,651

11,852

1.1

EnerSys

42,677

4,308,670

(117,362)

(10.6)

General

Electric

Co.

35,528

4,534,439

5,684

0.5

Humana,

Inc.

8,983

4,112,507

44,735

4.1

Huntington

Ingalls

Industries,

Inc.

22,263

5,780,365

40,296

3.7

Macy's,

Inc.

263,057

5,292,707

(52,611)

(4.8)

Meta

Platforms,

Inc.

22,925

8,114,533

(19,945)

(1.8)

Microsoft

Corp.

9,611

3,614,120

13,263

1.2

Molina

Healthcare,

Inc.

10,268

3,709,931

36,554

3.3

Owens

Corning

40,628

6,022,288

(1,219)

(0.1)

PACCAR,

Inc.

37,493

3,661,191

(2,625)

(0.2)

QUALCOMM,

Inc.

28,509

4,123,257

(23,662)

(2.1)

Qualys,

Inc.

19,967

3,919,123

(135,776)

(12.3)

Skyworks

Solutions,

Inc.

53,878

6,056,965

(112,605)

(10.2)

Terex

Corp.

90,876

5,221,735

(135,405)

(12.3)

Textron,

Inc.

72,822

5,856,345

(22,575)

(2.0)

TripAdvisor,

Inc.

166,815

3,591,527

10,009

0.9

UFP

Industries,

Inc.

54,008

6,780,704

(94,514)

(8.6)

Veeva

Systems,

Inc.

29,638

5,705,908

72,909

6.6

WESCO

International,

Inc.

20,616

3,584,710

(50,509)

(4.6)

Zoom

Video

Communications,

Inc.

60,759

4,369,180

(139,746)

(12.7)

Short

Positions

Common

Stocks

United

States

agilon

health,

Inc.

(425,699)

(5,342,522)

(12,771)

(1.2)

Antero

Resources

Corp.

(174,343)

(3,954,099)

45,329

4.1

ConocoPhillips

(42,002)

(4,875,172)

123,906

11.2

Emerson

Electric

Co.

(38,472)

(3,744,480)

7,310

0.7

Globus

Medical,

Inc.

(78,405)

(4,178,202)

62,724

5.7

Inspire

Medical

Systems,

Inc.

(17,263)

(3,511,812)

(42,985)

(3.9)

Insulet

Corp.

(17,627)

(3,824,706)

65,749

6.0

Pool

Corp.

(9,456)

(3,770,202)

20,614

1.9

Snap,

Inc.

(218,102)

(3,692,467)

(32,715)

(3.0)

Take-Two

Interactive

Software,

Inc.

(26,999)

(4,345,489)

18,089

1.6

Tandem

Diabetes

Care,

Inc.

(165,437)

(4,893,626)

239,884

21.8

Trex

Co.,

Inc.

(64,960)

(5,378,038)

41,574

3.8

UnitedHealth

Group,

Inc.

(9,409)

(4,953,556)

(60,594)

(5.5)

259

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Valaris

Ltd.

(59,324)

(4,067,847)

179,752

16.3

Wolfspeed,

Inc.

(109,902)

(4,781,836)

365,974

33.2

Xylem,

Inc.

(38,056)

(4,352,084)

(28,161)

(2.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.20%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-61

months

maturity

ranging

from

01/13/2025

-

12/12/2028

$111,201,455

$(12,767)

$(93,930)

$(106,697)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

230,305

1,488,744

(16,324)

15.3

Allkem

Ltd.

314,990

2,139,576

154,064

(144.4)

Aristocrat

Leisure

Ltd.

113,277

3,147,235

116,653

(109.3)

Aurizon

Holdings

Ltd.

1,068,423

2,766,079

72,195

(67.7)

BHP

Group

Ltd.

109,802

3,751,343

194,183

(182.0)

BlueScope

Steel

Ltd.

240,692

3,837,225

369,852

(346.6)

Brambles

Ltd.

278,170

2,578,326

140,598

(131.8)

Fortescue

Ltd.

62,302

1,228,430

127,129

(119.1)

Goodman

Group

153,498

2,642,754

226,466

(212.3)

Harvey

Norman

Holdings

Ltd.

520,609

1,490,547

106,948

(100.2)

IGO

Ltd.

482,854

2,975,891

336,983

(315.8)

Incitec

Pivot

Ltd.

1,156,276

2,239,543

(6,098)

5.7

JB

Hi-Fi

Ltd.

139,887

5,055,370

351,032

(329.0)

Lendlease

Corp.

Ltd.

298,115

1,517,523

130,005

(121.8)

New

Hope

Corp.

Ltd.

174,510

614,125

11,201

(10.5)

Orica

Ltd.

68,371

743,210

14,054

(13.2)

Origin

Energy

Ltd.

313,285

1,807,872

142,665

(133.7)

Pilbara

Minerals

Ltd.

458,928

1,231,819

105,967

(99.3)

Qantas

Airways

Ltd.

307,267

1,125,524

(24,011)

22.5

QBE

Insurance

Group

Ltd.

108,607

1,100,470

28,062

(26.3)

Qube

Holdings

Ltd.

725,652

1,604,490

86,389

(81.0)

Telstra

Group

Ltd.

565,290

1,527,572

52,192

(48.9)

Wesfarmers

Ltd.

47,248

1,837,424

89,119

(83.5)

Whitehaven

Coal

Ltd.

471,909

2,394,815

72,990

(68.4)

Yancoal

Australia

Ltd.

238,293

804,154

10,093

(9.5)

260

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(1,277,567)

(788,043)

(104,623)

98.1

APA

Group

(444,062)

(2,584,239)

33,304

(31.2)

Commonwealth

Bank

of

Australia

(52,257)

(3,982,874)

(174,683)

163.7

Domino's

Pizza

Enterprises

Ltd.

(28,520)

(1,144,889)

(95,207)

89.2

Endeavour

Group

Ltd.

(430,346)

(1,528,290)

(76,657)

71.8

Evolution

Mining

Ltd.

(581,068)

(1,563,279)

(137,792)

129.1

GPT

Group

(The)

(332,921)

(1,050,687)

(68,344)

64.1

IDP

Education

Ltd.

(322,700)

(4,402,000)

592,017

(554.9)

Insurance

Australia

Group

Ltd.

(333,550)

(1,289,295)

56,307

(52.8)

Liontown

Resources

Ltd.

(1,933,348)

(2,168,393)

(409,557)

383.9

Lynas

Rare

Earths

Ltd.

(632,986)

(3,089,756)

(363,635)

340.8

Macquarie

Group

Ltd.

(18,141)

(2,270,923)

(180,354)

169.0

Medibank

Pvt

Ltd.

(328,507)

(797,539)

(11,787)

11.0

Mineral

Resources

Ltd.

(38,041)

(1,812,031)

(209,728)

196.6

NEXTDC

Ltd.

(196,427)

(1,834,401)

(103,653)

97.1

Ramsay

Health

Care

Ltd.

(101,322)

(3,634,644)

(227,921)

213.6

Reece

Ltd.

(96,743)

(1,475,624)

(148,543)

139.2

Scentre

Group

(678,260)

(1,381,215)

(87,055)

81.6

SEEK

Ltd.

(68,346)

(1,243,420)

(98,156)

92.0

Seven

Group

Holdings

Ltd.

(29,789)

(749,838)

(70,204)

65.8

Transurban

Group

(179,630)

(1,678,531)

(61,510)

57.6

Treasury

Wine

Estates

Ltd.

(320,909)

(2,361,088)

(69,285)

64.9

WiseTech

Global

Ltd.

(36,080)

(1,849,264)

(177,367)

166.2

United

States

CSL

Ltd.

(20,646)

(4,024,919)

(257,887)

241.7

James

Hardie

Industries

plc

(96,688)

(3,727,895)

(486,862)

456.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.70%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-61

months

maturity

ranging

from

01/13/2025

-

01/02/2029

$167,916,015

$1,565,806

$298,932

$1,864,738

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

3SBio,

Inc.

1,984,500

1,913,704

133,941

7.2

Baidu,

Inc.

106,550

1,586,094

106,994

5.7

BOC

Hong

Kong

Holdings

Ltd.

727,500

1,976,273

84,969

4.6

261

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

China

(continued)

China

CITIC

Bank

Corp.

Ltd.

4,062,000

1,915,749

94,464

5.1

China

Construction

Bank

Corp.

5,459,000

3,247,290

150,232

8.1

China

Feihe

Ltd.

3,152,000

1,724,576

20,343

1.1

China

Medical

System

Holdings

Ltd.

899,000

1,593,144

(7,704)

(0.4)

China

National

Building

Material

Co.

Ltd.

3,348,000

1,433,725

34,653

1.9

China

Resources

Pharmaceutical

Group

Ltd.

2,718,500

1,787,010

119,064

6.4

CITIC

Ltd.

2,681,000

2,680,607

235,874

12.6

CSPC

Pharmaceutical

Group

Ltd.

2,074,000

1,930,313

179,956

9.7

GCL

Technology

Holdings

Ltd.

7,700,000

1,222,753

197,204

10.6

Geely

Automobile

Holdings

Ltd.

1,834,000

2,020,355

190,665

10.2

JD.com,

Inc.

93,600

1,351,873

140,656

7.5

Kingsoft

Corp.

Ltd.

415,000

1,282,941

(51,677)

(2.8)

Kunlun

Energy

Co.

Ltd.

2,478,000

2,236,310

40,272

2.2

New

China

Life

Insurance

Co.

Ltd.

849,200

1,656,838

51,942

2.8

PICC

Property

&

Casualty

Co.

Ltd.

1,104,000

1,313,779

82,321

4.4

Sinopharm

Group

Co.

Ltd.

832,400

2,181,551

156,118

8.4

SITC

International

Holdings

Co.

Ltd.

850,000

1,467,125

243,587

13.1

Zhongsheng

Group

Holdings

Ltd.

668,000

1,600,015

159,761

8.6

Hong

Kong

CK

Asset

Holdings

Ltd.

498,872

2,503,886

108,074

5.8

Orient

Overseas

International

Ltd.

148,000

2,066,968

280,581

15.0

Sun

Hung

Kai

Properties

Ltd.

247,500

2,678,289

221,832

11.9

Swire

Pacific

Ltd.

249,000

2,108,942

241,880

13.0

WH

Group

Ltd.

6,194,500

4,000,404

240,152

12.9

United

Kingdom

CK

Hutchison

Holdings

Ltd.

954,000

5,125,464

305,678

16.4

Short

Positions

Common

Stocks

China

BeiGene

Ltd.

(96,700)

(1,348,346)

(31,537)

(1.7)

Bilibili,

Inc.

(103,260)

(1,254,079)

(22,252)

(1.2)

Budweiser

Brewing

Co.

APAC

Ltd.

(1,185,500)

(2,222,459)

(279,140)

(15.0)

China

Mengniu

Dairy

Co.

Ltd.

(467,000)

(1,258,057)

(5,045)

(0.3)

China

Resources

Beer

Holdings

Co.

Ltd.

(390,000)

(1,711,299)

(60,312)

(3.2)

China

Southern

Airlines

Co.

Ltd.

(2,958,000)

(1,254,549)

10,473

0.6

China

Tourism

Group

Duty

Free

Corp.

Ltd.

(151,800)

(1,492,365)

(28,881)

(1.5)

CITIC

Securities

Co.

Ltd.

(1,039,500)

(2,123,839)

(69,051)

(3.7)

COSCO

SHIPPING

Energy

Transportation

Co.

Ltd.

(1,650,000)

(1,556,898)

(54,627)

(2.9)

Flat

Glass

Group

Co.

Ltd.

(758,000)

(1,279,436)

(151,674)

(8.1)

Ganfeng

Lithium

Group

Co.

Ltd.

(355,600)

(1,343,437)

(124,422)

(6.7)

Genscript

Biotech

Corp.

(668,000)

(1,700,116)

8,526

0.5

Nongfu

Spring

Co.

Ltd.

(370,800)

(2,145,640)

(23,996)

(1.3)

Postal

Savings

Bank

of

China

Co.

Ltd.

(3,388,000)

(1,619,900)

(101,299)

(5.4)

XPeng,

Inc.

(247,800)

(1,805,091)

112,258

6.0

ZhongAn

Online

P&C

Insurance

Co.

Ltd.

(742,300)

(1,700,983)

107,734

5.8

Zijin

Mining

Group

Co.

Ltd.

(880,000)

(1,434,549)

(119,373)

(6.4)

Hong

Kong

AIA

Group

Ltd.

(866,200)

(7,538,437)

(488,810)

(26.2)

Hong

Kong

&

China

Gas

Co.

Ltd.

(2,756,716)

(2,113,805)

(217,978)

(11.7)

Techtronic

Industries

Co.

Ltd.

(193,500)

(2,305,570)

(357,808)

(19.2)

Wharf

Real

Estate

Investment

Co.

Ltd.

(580,000)

(1,960,678)

(100,013)

(5.4)

Macau

Galaxy

Entertainment

Group

Ltd.

(234,000)

(1,310,603)

(77,447)

(4.2)

Sands

China

Ltd.

(456,400)

(1,335,867)

(99,668)

(5.3)

262

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.03%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-61

months

maturity

ranging

from

01/14/2025

-

12/12/2028

$535,363,403

$(8,699,365)

$14,950

$(8,684,415)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Chubu

Electric

Power

Co.,

Inc.

291,500

3,763,659

(505,473)

5.8

Inpex

Corp.

335,300

4,486,901

(119,313)

1.4

Japan

Post

Insurance

Co.

Ltd.

263,400

4,675,517

(324,413)

3.7

Kansai

Electric

Power

Co.,

Inc.

(The)

248,200

3,294,133

(362,857)

4.2

Mazda

Motor

Corp.

344,700

3,684,528

(90,059)

1.0

Mitsui

&

Co.

Ltd.

92,700

3,472,909

29,202

(0.3)

MS&AD

Insurance

Group

Holdings,

Inc.

119,200

4,686,805

(84,576)

1.0

Obayashi

Corp.

478,600

4,134,345

(93,288)

1.1

Osaka

Gas

Co.

Ltd.

224,000

4,675,882

(9,054)

0.1

Panasonic

Holdings

Corp.

572,800

5,640,693

(176,680)

2.0

Shimamura

Co.

Ltd.

29,400

3,282,920

(108,506)

1.2

Sojitz

Corp.

178,500

4,021,409

(187,900)

2.2

Sompo

Holdings,

Inc.

76,200

3,728,342

(187,581)

2.2

Subaru

Corp.

246,300

4,492,367

(45,841)

0.5

Sumitomo

Heavy

Industries

Ltd.

144,300

3,626,999

(9,156)

0.1

Tokyo

Electric

Power

Co.

Holdings,

Inc.

756,800

3,960,426

(825,127)

9.5

Tokyo

Gas

Co.

Ltd.

257,500

5,906,707

(611,148)

7.0

TOPPAN

Holdings,

Inc.

226,300

6,302,371

6,095

(0.1)

Toyota

Tsusho

Corp.

96,300

5,651,095

(44,948)

0.5

Short

Positions

Common

Stocks

Japan

Advantest

Corp.

(147,700)

(4,976,834)

(427,464)

4.9

Aeon

Co.

Ltd.

(274,300)

(6,120,863)

(109,608)

1.3

ANA

Holdings,

Inc.

(208,600)

(4,519,433)

75,685

(0.9)

Bridgestone

Corp.

(84,600)

(3,494,097)

153,903

(1.8)

Daiichi

Sankyo

Co.

Ltd.

(130,700)

(3,578,138)

259,436

(3.0)

Daikin

Industries

Ltd.

(28,500)

(4,623,269)

(286,620)

3.3

Denso

Corp.

(245,600)

(3,687,032)

84,060

(1.0)

East

Japan

Railway

Co.

(58,000)

(3,338,639)

29,886

(0.3)

Eisai

Co.

Ltd.

(94,800)

(4,720,204)

368,741

(4.2)

GMO

Payment

Gateway,

Inc.

(58,200)

(4,033,506)

(396,625)

4.6

Ibiden

Co.

Ltd.

(65,100)

(3,591,289)

(511,276)

5.9

Japan

Airlines

Co.

Ltd.

(242,500)

(4,763,930)

172,063

(2.0)

Japan

Airport

Terminal

Co.

Ltd.

(96,400)

(4,241,098)

98,953

(1.1)

263

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

KDDI

Corp.

(102,700)

(3,257,490)

38,378

(0.4)

Kobe

Bussan

Co.

Ltd.

(163,700)

(4,835,814)

15,975

(0.2)

Lasertec

Corp.

(19,500)

(5,119,268)

(350,757)

4.0

M3,

Inc.

(211,000)

(3,481,985)

(254,882)

2.9

Marui

Group

Co.

Ltd.

(194,200)

(3,248,351)

(40,608)

0.5

Mercari,

Inc.

(224,200)

(4,140,459)

118,546

(1.4)

Nippon

Telegraph

&

Telephone

Corp.

(2,596,700)

(3,170,790)

(3,184)

0.0

Nitori

Holdings

Co.

Ltd.

(45,900)

(6,163,294)

(289,071)

3.3

NTT

Data

Group

Corp.

(223,800)

(3,163,557)

(367,645)

4.2

Oriental

Land

Co.

Ltd.

(89,600)

(3,330,280)

37,664

(0.4)

Rakuten

Group,

Inc.

(1,088,400)

(4,852,430)

(301,220)

3.5

SMC

Corp.

(5,900)

(3,156,123)

(168,463)

1.9

SoftBank

Corp.

(502,800)

(6,265,758)

185,059

(2.1)

SoftBank

Group

Corp.

(130,200)

(5,746,829)

(424,326)

4.9

Sony

Group

Corp.

(68,800)

(6,510,745)

(160,163)

1.8

Toyota

Motor

Corp.

(275,900)

(5,055,514)

238,439

(2.7)

Unicharm

Corp.

(126,500)

(4,575,169)

(157,538)

1.8

Yaskawa

Electric

Corp.

(84,000)

(3,496,238)

(359,046)

4.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-2.97%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-61

months

maturity

ranging

from

01/13/2025

-

12/20/2028

$1,331,668,588

$(11,617,121)

$(154,019)

$(11,771,140)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Altria

Group,

Inc.

105,145

4,241,549

(110,402)

0.9

Arrow

Electronics,

Inc.

50,556

6,180,471

12,639

(0.1)

AT&T,

Inc.

259,091

4,347,547

41,455

(0.4)

Berry

Global

Group,

Inc.

63,607

4,286,476

117,037

(1.0)

Booking

Holdings,

Inc.

1,513

5,366,944

303,372

(2.6)

Capital

One

Financial

Corp.

49,169

6,447,039

605,269

(5.1)

Cisco

Systems,

Inc.

111,975

5,656,977

126,532

(1.1)

Coca-Cola

Consolidated,

Inc.

5,502

5,108,057

569,181

(4.8)

Comcast

Corp.

117,953

5,172,239

140,364

(1.2)

Corebridge

Financial,

Inc.

237,452

5,143,210

273,070

(2.3)

Dell

Technologies,

Inc.

77,867

5,956,826

565,313

(4.8)

Expedia

Group,

Inc.

27,969

4,245,415

96,493

(0.8)

Gilead

Sciences,

Inc.

77,952

6,314,892

71,716

(0.6)

H&R

Block,

Inc.

111,417

5,389,240

239,547

(2.0)

264

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Hewlett

Packard

Enterprise

Co.

347,258

5,896,441

111,123

(0.9)

HP,

Inc.

139,790

4,206,281

(39,141)

0.3

KB

Home

101,449

6,336,505

647,244

(5.5)

Lennar

Corp.

41,414

6,172,343

389,292

(3.3)

Molson

Coors

Beverage

Co.

96,799

5,925,067

(160,686)

1.4

PulteGroup,

Inc.

68,645

7,085,537

492,185

(4.2)

Synchrony

Financial

171,553

6,551,609

470,055

(4.0)

Taylor

Morrison

Home

Corp.

102,436

5,464,961

580,811

(4.9)

TD

SYNNEX

Corp.

46,791

5,035,180

306,949

(2.6)

Toll

Brothers,

Inc.

62,980

6,473,714

620,982

(5.3)

Unum

Group

113,670

5,140,157

53,425

(0.5)

Vertex

Pharmaceuticals,

Inc.

10,554

4,294,317

534,031

(4.5)

Vistra

Corp.

121,574

4,683,030

199,381

(1.7)

Short

Positions

Common

Stocks

Singapore

Grab

Holdings

Ltd.

(1,242,661)

(4,187,768)

(360,372)

3.1

United

States

Air

Products

and

Chemicals,

Inc.

(16,850)

(4,613,530)

(155,694)

1.3

Alexandria

Real

Estate

Equities,

Inc.

(35,813)

(4,540,014)

(262,509)

2.2

American

Tower

Corp.

(23,896)

(5,158,668)

(245,651)

2.1

Aptiv

plc

(47,779)

(4,286,732)

(435,267)

3.7

Avery

Dennison

Corp.

(20,238)

(4,091,314)

(190,642)

1.6

Brown-Forman

Corp.

(102,238)

(5,837,790)

(67,477)

0.6

Dominion

Energy,

Inc.

(96,361)

(4,528,967)

62,635

(0.5)

FMC

Corp.

(71,581)

(4,513,182)

(518,963)

4.4

Freshpet,

Inc.

(52,930)

(4,592,207)

(502,835)

4.3

Illumina,

Inc.

(33,457)

(4,658,553)

(722,672)

6.1

Ionis

Pharmaceuticals,

Inc.

(101,298)

(5,124,666)

(142,830)

1.2

MP

Materials

Corp.

(292,863)

(5,813,331)

(1,025,022)

8.7

NextEra

Energy,

Inc.

(106,267)

(6,454,658)

(109,455)

0.9

Philip

Morris

International,

Inc.

(45,011)

(4,234,635)

(49,062)

0.4

SoFi

Technologies,

Inc.

(444,763)

(4,425,392)

(836,155)

7.1

Southwest

Airlines

Co.

(165,286)

(4,773,460)

76,032

(0.6)

Sun

Communities,

Inc.

(42,721)

(5,709,662)

(208,906)

1.8

Tesla,

Inc.

(22,829)

(5,672,550)

(199,525)

1.7

T-Mobile

US,

Inc.

(35,960)

(5,765,467)

(53,221)

0.5

United

Parcel

Service,

Inc.

(32,640)

(5,131,987)

(47,328)

0.4

Vornado

Realty

Trust

(160,369)

(4,530,424)

(161,973)

1.4

Western

Digital

Corp.

(84,036)

(4,400,965)

(263,033)

2.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Rand

Overnight

Deposit

Rate

plus

or

minus

a

specified

spread

(-0.09%

to

0.06%),

which

is

denominated

in

ZAR

based

on

the

local

currencies

of

the

positions

within

the

swap.

29-61

months

maturity

ranging

from

04/20/2026

-

11/30/2028

$19,888,015

$698,465

$198,359

$896,824

265

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

South

Africa

Absa

Group

Ltd.

88,428

789,190

19,331

2.2

African

Rainbow

Minerals

Ltd.

164,386

1,797,305

207,499

23.1

Aspen

Pharmacare

Holdings

Ltd.

65,583

731,588

56,774

6.3

Exxaro

Resources

Ltd.

152,735

1,714,749

126,572

14.1

Impala

Platinum

Holdings

Ltd.

191,998

953,458

203,729

22.7

MTN

Group

Ltd.

66,228

418,168

28,747

3.2

MultiChoice

Group

48,729

215,827

28,131

3.1

Nedbank

Group

Ltd.

104,900

1,238,301

71,828

8.0

Northam

Platinum

Holdings

Ltd.

41,096

315,491

45,741

5.1

Old

Mutual

Ltd.

606,398

432,940

39,449

4.4

OUTsurance

Group

Ltd.

10,866

24,922

(644)

(0.1)

Pepkor

Holdings

Ltd.

65,739

70,546

5,067

0.6

Sasol

Ltd.

137,673

1,387,426

44,216

4.9

Sibanye

Stillwater

Ltd.

614,948

824,478

69,093

7.7

Woolworths

Holdings

Ltd.

167,770

662,184

34,668

3.9

Short

Positions

Common

Stocks

Luxembourg

Reinet

Investments

SCA

(10,265)

(261,618)

(20,089)

(2.2)

South

Africa

Anglo

American

Platinum

Ltd.

(19,143)

(1,004,763)

(143,741)

(16.0)

Bidvest

Group

Ltd.

(The)

(45,516)

(627,756)

(30,556)

(3.4)

Capitec

Bank

Holdings

Ltd.

(27,169)

(3,031,388)

(149,789)

(16.7)

Clicks

Group

Ltd.

(6,596)

(117,446)

(4,442)

(0.5)

Discovery

Ltd.

(89,505)

(703,025)

(35,474)

(4.0)

FirstRand

Ltd.

(104,809)

(420,492)

(37,926)

(4.2)

Kumba

Iron

Ore

Ltd.

(6,628)

(222,163)

(14,350)

(1.6)

Naspers

Ltd.

(9,926)

(1,699,034)

165,280

18.4

Shoprite

Holdings

Ltd.

(13,473)

(202,583)

(9,311)

(1.0)

Vodacom

Group

Ltd.

(3,654)

(21,174)

(1,338)

(0.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-8.07%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

15-63

months

maturity

ranging

from

02/25/2025

-

12/12/2028

$161,392,190

$950,550

$(173,870)

$776,680

266

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

339,400

4,787,280

140,878

18.1

AltaGas

Ltd.

65,127

1,367,370

30,473

3.9

Atco

Ltd.

70,565

2,059,355

63,373

8.2

Bank

of

Nova

Scotia

(The)

44,632

2,172,570

71,072

9.2

Bombardier,

Inc.

36,901

1,481,833

77,977

10.0

Canadian

Imperial

Bank

of

Commerce

66,551

3,204,373

145,151

18.7

Canadian

Tire

Corp.

Ltd.

20,610

2,188,777

(29,242)

(3.8)

Capital

Power

Corp.

101,464

2,897,549

55,899

7.2

CGI,

Inc.

19,450

2,083,640

(44,623)

(5.7)

Empire

Co.

Ltd.

93,288

2,467,638

88,708

11.4

Fairfax

Financial

Holdings

Ltd.

6,065

5,595,655

94,336

12.1

Finning

International,

Inc.

73,983

2,139,563

34,617

4.5

George

Weston

Ltd.

15,094

1,873,864

85,548

11.0

iA

Financial

Corp.,

Inc.

23,537

1,604,541

(30,553)

(3.9)

Imperial

Oil

Ltd.

34,371

1,957,906

(7,782)

(1.0)

Loblaw

Cos.

Ltd.

20,414

1,976,309

125,715

16.2

Manulife

Financial

Corp.

292,795

6,469,973

232,017

29.9

Northland

Power,

Inc.

157,989

2,869,926

2,385

0.3

Open

Text

Corp.

71,566

3,007,819

24,845

3.2

Saputo,

Inc.

71,137

1,440,403

32,212

4.1

Sun

Life

Financial,

Inc.

31,198

1,617,997

8,476

1.1

Suncor

Energy,

Inc.

57,150

1,830,888

13,802

1.8

Whitecap

Resources,

Inc.

259,735

1,738,689

(35,283)

(4.5)

United

States

BRP,

Inc.

40,841

2,922,564

234,557

30.2

Zambia

First

Quantum

Minerals

Ltd.

207,233

1,696,901

73,506

9.5

Short

Positions

Common

Stocks

Canada

Algonquin

Power

&

Utilities

Corp.

(659,347)

(4,159,949)

99,520

12.8

Aritzia,

Inc.

(68,584)

(1,423,388)

(125,776)

(16.2)

Barrick

Gold

Corp.

(134,292)

(2,426,286)

(20,270)

(2.6)

BCE,

Inc.

(51,622)

(2,032,466)

(20,648)

(2.7)

Brookfield

Corp.

(64,624)

(2,592,178)

(80,472)

(10.4)

Cameco

Corp.

(35,618)

(1,535,683)

133,327

17.2

Canadian

Natural

Resources

Ltd.

(46,548)

(3,049,569)

(69,907)

(9.0)

Canadian

Pacific

Kansas

City

Ltd.

(29,758)

(2,354,499)

(63,107)

(8.1)

Colliers

International

Group,

Inc.

(11,300)

(1,429,289)

(52,362)

(6.7)

Element

Fleet

Management

Corp.

(117,138)

(1,905,962)

27,405

3.5

Enbridge,

Inc.

(82,459)

(2,968,412)

(8,712)

(1.1)

Franco-Nevada

Corp.

(31,721)

(3,513,597)

25,376

3.3

GFL

Environmental,

Inc.

(77,945)

(2,688,854)

(101,178)

(13.0)

Hydro

One

Ltd.

(54,001)

(1,617,931)

(30,565)

(3.9)

Keyera

Corp.

(80,332)

(1,941,839)

(9,094)

(1.2)

Pan

American

Silver

Corp.

(135,224)

(2,207,385)

(97,970)

(12.6)

RB

Global,

Inc.

(57,466)

(3,845,523)

(138,781)

(17.9)

Rogers

Communications,

Inc.

(73,932)

(3,461,003)

(87,599)

(11.3)

SNC-Lavalin

Group,

Inc.

(88,921)

(2,862,813)

(81,871)

(10.5)

TC

Energy

Corp.

(105,677)

(4,128,026)

36,686

4.7

267

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Teck

Resources

Ltd.

(47,780)

(2,019,666)

(20,914)

(2.7)

Thomson

Reuters

Corp.

(25,589)

(3,741,260)

(99,262)

(12.8)

Toronto-Dominion

Bank

(The)

(41,823)

(2,702,453)

(82,696)

(10.6)

Tourmaline

Oil

Corp.

(74,577)

(3,353,868)

(7,880)

(1.0)

WSP

Global,

Inc.

(22,922)

(3,213,111)

(9,341)

(1.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-2.40%

to

0.23%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-63

months

maturity

ranging

from

01/21/2025

-

12/12/2028

$212,522,066

$(159,636)

$716,068

$556,432

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Germany

TUI

AG

377,386

2,940,397

18,109

3.3

Italy

Coca-Cola

HBC

AG

107,455

3,155,197

41,925

7.5

Netherlands

Shell

plc

115,863

3,792,670

45,907

8.3

United

Kingdom

Associated

British

Foods

plc

73,315

2,209,642

5,134

0.9

BAE

Systems

plc

335,446

4,748,234

179,582

32.3

Barclays

plc

1,664,221

3,258,658

150,954

27.1

BP

plc

471,854

2,797,185

(755)

(0.1)

British

American

Tobacco

plc

123,846

3,623,633

(45,040)

(8.1)

BT

Group

plc

2,812,980

4,432,091

(37,316)

(6.7)

Centrica

plc

5,867,528

10,518,735

(105,247)

(18.9)

DCC

plc

36,332

2,673,345

45,683

8.2

DS

Smith

plc

837,887

3,278,715

6,324

1.1

HSBC

Holdings

plc

243,207

1,967,536

67,833

12.2

Imperial

Brands

plc

167,005

3,845,757

(27,466)

(4.9)

Inchcape

plc

185,637

1,690,244

56,368

10.1

JD

Sports

Fashion

plc

1,075,953

2,270,624

(81,436)

(14.6)

Kingfisher

plc

1,026,057

3,179,120

53,326

9.6

Man

Group

plc

910,442

2,699,311

18,568

3.3

Marks

&

Spencer

Group

plc

1,045,141

3,622,049

137,043

24.6

NatWest

Group

plc

731,294

2,036,950

(9,106)

(1.6)

Rolls-Royce

Holdings

plc

895,051

3,414,056

78,132

14.0

Standard

Chartered

plc

352,081

2,987,809

89,588

16.1

Tesco

plc

596,992

2,211,692

54,382

9.8

Vodafone

Group

plc

2,768,677

2,417,997

45,387

8.2

268

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

CRH

plc

38,700

2,663,306

70,576

12.7

GSK

plc

97,012

1,791,734

7,868

1.4

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(42,059)

(3,128,395)

(37,750)

(6.8)

Chile

Antofagasta

plc

(206,106)

(4,406,953)

(103,714)

(18.6)

Hong

Kong

Prudential

plc

(377,614)

(4,260,503)

(101,849)

(18.3)

United

Kingdom

Admiral

Group

plc

(90,609)

(3,097,787)

(14,077)

(2.5)

Ashtead

Group

plc

(30,565)

(2,124,487)

(25,339)

(4.6)

AstraZeneca

plc

(44,761)

(6,037,807)

(129,232)

(23.2)

Diageo

plc

(186,449)

(6,767,200)

90

0.0

Halma

plc

(104,460)

(3,037,270)

(41,396)

(7.4)

Informa

plc

(442,269)

(4,398,987)

(72,860)

(13.1)

Intermediate

Capital

Group

plc

(108,566)

(2,319,345)

22,798

4.1

M&G

plc

(651,841)

(1,844,784)

(26,012)

(4.7)

National

Grid

plc

(412,381)

(5,555,318)

(43,968)

(7.9)

Ocado

Group

plc

(402,206)

(3,885,286)

(153,035)

(27.5)

Reckitt

Benckiser

Group

plc

(94,045)

(6,489,426)

7,770

1.4

RELX

plc

(55,761)

(2,212,252)

(37,334)

(6.7)

Rentokil

Initial

plc

(485,197)

(2,734,699)

(82,758)

(14.9)

Smiths

Group

plc

(76,243)

(1,711,307)

(34,412)

(6.2)

Spirax-Sarco

Engineering

plc

(13,299)

(1,779,349)

(65,545)

(11.8)

Unilever

plc

(108,535)

(5,254,290)

(46,325)

(8.3)

Weir

Group

plc

(The)

(70,224)

(1,687,379)

(42,166)

(7.6)

Wise

plc

(209,598)

(2,331,042)

(126,404)

(22.7)

WPP

plc

(289,756)

(2,767,717)

(23,540)

(4.2)

United

States

Experian

plc

(43,429)

(1,771,701)

823

0.1

Ferguson

plc

(12,476)

(2,389,499)

(28,768)

(5.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-0.95%

to

0.70%),

which

is

denominated

in

PLN

based

on

the

local

currencies

of

the

positions

within

the

swap.

28-62

months

maturity

ranging

from

04/17/2026

-

01/02/2029

$10,965,073

$153,717

$11,954

$165,671

269

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Poland

Bank

Polska

Kasa

Opieki

SA

27,770

1,073,679

14,682

8.9

Cyfrowy

Polsat

SA

74,749

234,254

(7,864)

(4.7)

ORLEN

SA

142,611

2,374,476

91,467

55.2

PGE

Polska

Grupa

Energetyczna

SA

788,405

1,739,265

17,287

10.4

Powszechna

Kasa

Oszczednosci

Bank

Polski

SA

23,651

302,587

(357)

(0.2)

United

Kingdom

Pepco

Group

NV

66,989

443,461

(3,615)

(2.2)

Short

Positions

Common

Stocks

Poland

Allegro.eu

SA

(190,583)

(1,613,130)

25,939

15.7

Budimex

SA

(886)

(140,977)

(3,621)

(2.2)

CD

Projekt

SA

(5,026)

(146,940)

337

0.2

Dino

Polska

SA

(8,222)

(962,676)

(1,675)

(1.0)

KGHM

Polska

Miedz

SA

(6,470)

(201,824)

2,401

1.4

LPP

SA

(68)

(279,794)

(1,383)

(0.8)

mBank

SA

(7,898)

(1,073,906)

7,196

4.3

Powszechny

Zaklad

Ubezpieczen

SA

(7,063)

(84,839)

647

0.4

Santander

Bank

Polska

SA

(2,355)

(293,265)

12,276

7.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.75%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

15-61

months

maturity

ranging

from

02/25/2025

-

12/11/2028

$27,834,592

$(6,991)

$17,005

$10,014

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

915,000

2,471,760

52,097

520.2

Yangzijiang

Shipbuilding

Holdings

Ltd.

2,969,500

3,350,178

110,110

1,099.6

Singapore

CapitaLand

Integrated

Commercial

Trust

439,000

684,310

25,685

256.5

DBS

Group

Holdings

Ltd.

22,100

558,883

31,397

313.5

Genting

Singapore

Ltd.

3,924,400

2,972,563

73,309

732.1

270

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Singapore

(continued)

Jardine

Cycle

&

Carriage

Ltd.

73,800

1,663,265

80,738

806.3

Oversea-Chinese

Banking

Corp.

Ltd.

179,500

1,766,174

66,042

659.5

Singapore

Airlines

Ltd.

154,500

767,144

19,082

190.6

United

Overseas

Bank

Ltd.

49,600

1,070,527

27,978

279.4

UOL

Group

Ltd.

125,100

594,288

13,221

132.0

Short

Positions

Common

Stocks

Singapore

City

Developments

Ltd.

(343,300)

(1,728,515)

(42,905)

(428.4)

Keppel

Corp.

Ltd.

(168,300)

(900,541)

(35,927)

(358.8)

Mapletree

Logistics

Trust

(617,900)

(813,586)

(36,383)

(363.3)

Seatrium

Ltd.

(27,224,700)

(2,430,942)

(203,045)

(2,027.6)

Singapore

Technologies

Engineering

Ltd.

(569,600)

(1,677,304)

(63,131)

(630.4)

Singapore

Telecommunications

Ltd.

(2,342,200)

(4,384,612)

(125,259)

(1,250.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-3.70%

to

0.45%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-24

months

maturity

01/19/2024

-

01/27/2025

$29,159,213

$(254,954)

$1,154,219

$899,265

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

South

Korea

BGF

retail

Co.

Ltd.

1,423

144,524

(3,663)

(0.4)

Coway

Co.

Ltd.

348

15,392

(228)

(0.0)

DB

Insurance

Co.

Ltd.

16,883

1,093,397

14,665

1.6

Doosan

Bobcat,

Inc.

42,933

1,672,382

22,159

2.5

E-MART,

Inc.

1,536

91,109

(1,328)

(0.1)

GS

Holdings

Corp.

34,780

1,101,120

(43,595)

(4.8)

Hana

Financial

Group,

Inc.

16,363

548,890

(412)

(0.0)

Hankook

Tire

&

Technology

Co.

Ltd.

27,747

975,220

3,029

0.3

Hanmi

Pharm

Co.

Ltd.

650

177,330

7,535

0.8

HMM

Co.

Ltd.

33,622

510,088

6,662

0.7

Hyundai

Engineering

&

Construction

Co.

Ltd.

17,547

473,656

(158)

(0.0)

Hyundai

Glovis

Co.

Ltd.

6,082

901,193

14,024

1.6

Hyundai

Mobis

Co.

Ltd.

2,458

450,338

12,603

1.4

Hyundai

Steel

Co.

24,011

676,676

16,259

1.8

Industrial

Bank

of

Korea

86,826

798,062

11,186

1.2

Kia

Corp.

21,172

1,637,301

62,062

6.9

Korea

Investment

Holdings

Co.

Ltd.

30,747

1,456,286

(42,675)

(4.7)

271

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Korea

(continued)

Kumho

Petrochemical

Co.

Ltd.

12,374

1,270,710

(46,690)

(5.2)

LG

Corp.

1,015

67,451

(1,786)

(0.2)

LG

Electronics,

Inc.

14,644

1,151,574

20,169

2.2

Mirae

Asset

Securities

Co.

Ltd.

108,969

643,485

10,375

1.2

NH

Investment

&

Securities

Co.

Ltd.

60,953

487,503

5,274

0.6

Pan

Ocean

Co.

Ltd.

47,329

136,852

1,569

0.2

Samsung

Life

Insurance

Co.

Ltd.

537

28,729

(1,596)

(0.2)

Samsung

SDS

Co.

Ltd.

2,844

374,009

689

0.1

Samsung

Securities

Co.

Ltd.

21,220

632,149

(33,476)

(3.7)

Woori

Financial

Group,

Inc.

194,446

1,957,103

4,110

0.5

Short

Positions

Common

Stocks

South

Korea

Amorepacific

Corp.

(3,934)

(441,313)

(22,783)

(2.5)

Hanon

Systems

(101,115)

(569,578)

1,495

0.2

HYBE

Co.

Ltd.

(1,046)

(188,875)

(5,830)

(0.6)

Kakao

Corp.

(7,789)

(326,746)

(11,412)

(1.3)

KakaoBank

Corp.

(32,555)

(716,852)

(26,424)

(2.9)

Korea

Electric

Power

Corp.

(25,527)

(373,942)

(4,937)

(0.5)

KT&G

Corp.

(5,734)

(386,289)

16,409

1.8

LG

Chem

Ltd.

(1,305)

(501,934)

(7,386)

(0.8)

NAVER

Corp.

(2,566)

(443,970)

(16,740)

(1.9)

Pearl

Abyss

Corp.

(14,574)

(436,307)

(5,614)

(0.6)

Samsung

Biologics

Co.

Ltd.

(2,579)

(1,517,174)

(78,551)

(8.7)

Samsung

C&T

Corp.

(2,151)

(215,763)

(2,212)

(0.2)

Samsung

Heavy

Industries

Co.

Ltd.

(182,060)

(1,091,330)

(36,374)

(4.0)

Samsung

SDI

Co.

Ltd.

(3,350)

(1,219,704)

(62,765)

(7.0)

SK

Biopharmaceuticals

Co.

Ltd.

(7,710)

(598,696)

(17,909)

(2.0)

SK

IE

Technology

Co.

Ltd.

(6,723)

(409,061)

(1,833)

(0.2)

Yuhan

Corp.

(4,673)

(249,150)

(8,851)

(1.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.28%

to

0.28%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

5-76

months

maturity

05/21/2024

$81,242,838

$251,794

$(7,233)

$244,561

272

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

6,059

269,008

(785)

(0.3)

Adecco

Group

AG

(Registered)

77,755

3,818,822

(35,415)

(14.5)

Avolta

AG

1,617

63,663

1,832

0.7

Baloise

Holding

AG

(Registered)

3,438

539,039

273

0.1

BKW

AG

11,849

2,107,549

(57,830)

(23.6)

DKSH

Holding

AG

15,769

1,094,952

19,687

8.0

Flughafen

Zurich

AG

(Registered)

12,489

2,609,511

(55,937)

(22.9)

Georg

Fischer

AG

(Registered)

28,868

2,100,844

10,527

4.3

Helvetia

Holding

AG

(Registered)

11,256

1,552,055

(7,096)

(2.9)

Julius

Baer

Group

Ltd.

14,925

837,264

1,265

0.5

Kuehne

+

Nagel

International

AG

(Registered)

1,362

470,022

(577)

(0.2)

Logitech

International

SA

(Registered)

16,159

1,536,533

(12,794)

(5.2)

Novartis

AG

(Registered)

27,676

2,795,566

(10,041)

(4.1)

Schindler

Holding

AG

1,451

363,265

5,626

2.3

SGS

SA

(Registered)

5,010

432,517

(1,617)

(0.7)

Swatch

Group

AG

(The)

9,788

2,663,218

(48,397)

(19.8)

Swiss

Life

Holding

AG

(Registered)

204

141,770

(415)

(0.2)

Swisscom

AG

(Registered)

3,019

1,817,044

(18,657)

(7.6)

Tecan

Group

AG

(Registered)

2,947

1,205,639

9,390

3.8

UBS

Group

AG

(Registered)

137,356

4,266,495

126,462

51.7

Zurich

Insurance

Group

AG

1,363

712,613

(5,958)

(2.4)

United

States

Holcim

AG

92,562

7,269,952

(301)

(0.1)

Swiss

Re

AG

8,408

946,156

(13,358)

(5.5)

Short

Positions

Common

Stocks

Switzerland

Alcon,

Inc.

(16,378)

(1,281,350)

(10,134)

(4.1)

Bachem

Holding

AG

(11,076)

(857,740)

54,230

22.2

Banque

Cantonale

Vaudoise

(Registered)

(14,773)

(1,905,257)

(9,999)

(4.1)

Barry

Callebaut

AG

(Registered)

(732)

(1,235,747)

(17,270)

(7.1)

Belimo

Holding

AG

(Registered)

(909)

(501,728)

4,731

1.9

Chocoladefabriken

Lindt

&

Spruengli

AG

(201)

(2,412,729)

189,839

77.6

Cie

Financiere

Richemont

SA

(Registered)

(1,864)

(257,463)

7,936

3.2

Clariant

AG

(Registered)

(38,779)

(572,949)

10,315

4.2

EMS-Chemie

Holding

AG

(Registered)

(1,711)

(1,387,327)

12,314

5.0

Galenica

AG

(1,078)

(93,252)

(518)

(0.2)

Geberit

AG

(Registered)

(972)

(623,945)

(3,104)

(1.3)

Givaudan

SA

(Registered)

(827)

(3,429,331)

6,301

2.6

Lonza

Group

AG

(Registered)

(861)

(362,986)

(12,464)

(5.1)

Partners

Group

Holding

AG

(1,794)

(2,594,037)

(14,115)

(5.8)

PSP

Swiss

Property

AG

(Registered)

(1,087)

(151,972)

2,861

1.2

SIG

Group

AG

(231,401)

(5,329,401)

283,321

115.8

Sika

AG

(Registered)

(14,411)

(4,699,084)

(119,023)

(48.7)

Sonova

Holding

AG

(Registered)

(2,201)

(719,832)

(2,784)

(1.1)

Straumann

Holding

AG

(Registered)

(14,240)

(2,301,225)

(23,976)

(9.8)

Swiss

Prime

Site

AG

(Registered)

(3,105)

(331,749)

1,807

0.7

Temenos

AG

(Registered)

(14,511)

(1,352,254)

(17,184)

(7.0)

VAT

Group

AG

(4,537)

(2,278,744)

(36,273)

(14.8)

273

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

Nestle

SA

(Registered)

(52,586)

(6,095,763)

36,613

15.0

Roche

Holding

AG

(2,936)

(853,476)

2,486

1.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

9-24

months

maturity

02/21/2024

$46,470,405

$(794,844)

$(1,475)

$(796,319)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

2,027

3,648,649

(8,999)

1.1

Carlsberg

A/S

18,896

2,371,149

50,248

(6.3)

Danske

Bank

A/S

1,568

41,915

815

(0.1)

Demant

A/S

24,158

1,059,574

(9,393)

1.2

Genmab

A/S

8,426

2,686,656

60,043

(7.5)

ISS

A/S

189,635

3,621,957

159,342

(20.0)

Jyske

Bank

A/S

(Registered)

9,369

671,822

16,809

(2.1)

Novo

Nordisk

A/S

15,585

1,615,092

50,060

(6.3)

Pandora

A/S

24,522

3,390,292

38,477

(4.8)

ROCKWOOL

A/S

9,212

2,695,178

34,998

(4.4)

Royal

Unibrew

A/S

325

21,712

150

(0.0)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(37,825)

(589,269)

(29,795)

3.7

Coloplast

A/S

(24,315)

(2,778,381)

36,710

(4.6)

DSV

A/S

(27,208)

(4,780,630)

(280,010)

35.2

GN

Store

Nord

A/S

(35,176)

(895,101)

26,923

(3.4)

Novozymes

A/S

(47,519)

(2,612,281)

(69,799)

8.8

Orsted

A/S

(34,569)

(1,916,387)

(63,206)

7.9

Tryg

A/S

(104,880)

(2,282,422)

50,419

(6.3)

Vestas

Wind

Systems

A/S

(277,859)

(8,791,938)

(858,636)

107.8

274

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.75%

to

0.28%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-85

months

maturity

11/13/2024

$411,869,684

$402,598

$47,650

$450,248

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

80,080

3,481,120

(14,386)

(3.2)

Syensqo

SA

37,968

3,950,887

(80,896)

(18.0)

Finland

Nokia

OYJ

947,746

3,227,959

101,199

22.5

France

BNP

Paribas

SA

46,807

3,250,545

26,692

5.9

Bouygues

SA

108,257

4,084,455

(32,676)

(7.3)

Cie

de

Saint-Gobain

SA

110,173

8,124,962

216,874

48.2

Credit

Agricole

SA

237,855

3,381,502

12,076

2.7

Eiffage

SA

36,838

3,954,583

100,135

22.2

Rexel

SA

207,986

5,708,432

(75,346)

(16.7)

Societe

Generale

SA

118,522

3,153,317

(11,760)

(2.6)

Germany

Brenntag

SE

45,402

4,172,784

97,903

21.7

Commerzbank

AG

296,735

3,526,932

95,525

21.2

Deutsche

Bank

AG

(Registered)

638,308

8,713,603

266,137

59.1

Heidelberg

Materials

AG

83,744

7,485,723

43,564

9.7

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

7,432

3,082,896

(16,785)

(3.7)

SAP

SE

20,644

3,177,558

(40,382)

(9.0)

Luxembourg

ArcelorMittal

SA

136,035

3,860,676

(85,945)

(19.1)

Netherlands

ABN

AMRO

Bank

NV

292,808

4,403,390

4,020

0.9

Koninklijke

Ahold

Delhaize

NV

170,075

4,893,305

(35,245)

(7.8)

Koninklijke

Philips

NV

149,194

3,491,472

93,655

20.8

Randstad

NV

55,038

3,454,189

18,863

4.2

Singapore

STMicroelectronics

NV

69,920

3,507,117

(5,718)

(1.3)

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

353,521

3,222,082

2,359

0.5

Banco

de

Sabadell

SA

2,621,368

3,226,791

(23,013)

(5.1)

Banco

Santander

SA

1,136,933

4,755,431

1,048

0.2

Repsol

SA

439,614

6,521,203

(66,906)

(14.9)

United

States

Signify

NV

96,821

3,247,012

6,242

1.4

275

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Dassault

Systemes

SE

(73,888)

(3,616,619)

(12,508)

(2.8)

Kering

SA

(6,694)

(2,964,763)

45,489

10.1

L'Oreal

SA

(10,516)

(5,242,234)

(47,725)

(10.6)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(8,269)

(6,718,870)

52,698

11.7

Pernod

Ricard

SA

(28,576)

(5,050,002)

62,104

13.8

Sartorius

Stedim

Biotech

(18,437)

(4,889,171)

(146,799)

(32.6)

Germany

adidas

AG

(18,660)

(3,791,839)

168,249

37.4

Bayer

AG

(Registered)

(84,656)

(3,141,070)

(140,198)

(31.1)

Carl

Zeiss

Meditec

AG

(27,370)

(2,979,344)

42,167

9.4

Merck

KGaA

(38,459)

(6,123,232)

(153,804)

(34.2)

Rheinmetall

AG

(9,304)

(2,950,636)

(40,819)

(9.1)

Siemens

Healthineers

AG

(94,717)

(5,499,139)

48,965

10.9

Symrise

AG

(28,482)

(3,130,046)

(3,384)

(0.8)

Vonovia

SE

(192,962)

(6,063,195)

(156,140)

(34.7)

Netherlands

Adyen

NV

(5,332)

(6,883,298)

46,009

10.2

Argenx

SE

(8,884)

(3,379,195)

737,008

163.7

Heineken

NV

(38,669)

(3,928,750)

(46,645)

(10.4)

Spain

Cellnex

Telecom

SA

(156,554)

(6,164,000)

4,223

0.9

Iberdrola

SA

(255,867)

(3,356,152)

(52,731)

(11.7)

Switzerland

DSM-Firmenich

AG

(65,639)

(6,675,055)

(225,922)

(50.2)

United

States

Ferrovial

SE

(201,093)

(7,340,071)

(178,460)

(39.6)

Preferred

Stocks

Germany

Dr

Ing

hc

F

Porsche

AG

(Preference)

(41,809)

(3,682,417)

47,834

10.6

Sartorius

AG

(Preference)

(16,179)

(5,941,265)

58,181

12.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

17-24

months

maturity

02/21/2024

$18,243,902

$(13,248)

$(2,337)

$(15,585)

276

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

105,527

3,749,019

(44,174)

283.4

Norway

DNB

Bank

ASA

8,197

174,278

4,124

(26.5)

Equinor

ASA

87,640

2,777,484

(81,626)

523.7

Norsk

Hydro

ASA

279,084

1,875,893

21,724

(139.4)

United

Kingdom

Subsea

7

SA

65,303

951,269

(6,111)

39.2

Short

Positions

Common

Stocks

Norway

Gjensidige

Forsikring

ASA

(56,957)

(1,051,073)

(14,513)

93.1

Kongsberg

Gruppen

ASA

(10,248)

(469,163)

(5,376)

34.5

Mowi

ASA

(61,385)

(1,099,268)

10,325

(66.3)

Orkla

ASA

(92,715)

(720,001)

(8,935)

57.3

Salmar

ASA

(15,199)

(851,217)

(1,501)

9.6

Schibsted

ASA

(18,733)

(539,319)

28,577

(183.4)

Telenor

ASA

(217,188)

(2,492,556)

65,200

(418.3)

TOMRA

Systems

ASA

(123,173)

(1,493,362)

19,038

(122.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-24

months

maturity

02/21/2024

$72,723,098

$(2,192)

$(5,968)

$(8,160)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

114,321

1,419,227

592

(7.3)

Guatemala

Millicom

International

Cellular

SA

5,774

103,455

4,217

(51.7)

Sweden

AAK

AB

6,338

141,359

2,610

(32.0)

Billerud

Aktiebolag

143,527

1,462,736

(5,114)

62.7

Elekta

AB

110,204

902,569

22,996

(281.8)

277

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Embracer

Group

AB

1,320,020

3,581,008

(18,077)

221.5

Essity

AB

46,548

1,153,561

(13,133)

160.9

Evolution

AB

14,031

1,671,239

21,638

(265.2)

Getinge

AB

45,341

1,009,630

(4,087)

50.1

H

&

M

Hennes

&

Mauritz

AB

59,872

1,050,157

(25,705)

315.0

Hexpol

AB

36,955

447,735

3,662

(44.9)

Husqvarna

AB

76,029

627,129

(10,890)

133.5

Saab

AB

35,712

2,152,136

92,846

(1,137.8)

Sandvik

AB

40,630

882,701

495

(6.1)

Securitas

AB

162,186

1,590,071

31,253

(383.0)

Skandinaviska

Enskilda

Banken

AB

11,096

153,133

2,799

(34.3)

Skanska

AB

99,271

1,798,551

25,441

(311.8)

SKF

AB

203,532

4,078,895

(68,003)

833.4

SSAB

AB

367,983

2,817,472

(18,822)

230.7

Svenska

Handelsbanken

AB

42,874

465,931

4,079

(50.0)

Swedbank

AB

117,400

2,373,553

9,502

(116.4)

Trelleborg

AB

65,349

2,193,379

4,075

(49.9)

Volvo

AB

93,526

2,433,547

26,790

(328.3)

Volvo

Car

AB

652,073

2,114,796

(35,496)

435.0

Short

Positions

Common

Stocks

Sweden

AddTech

AB

(54,901)

(1,207,963)

15,682

(192.2)

Alfa

Laval

AB

(3,861)

(154,572)

(3,976)

48.7

Assa

Abloy

AB

(21,484)

(619,151)

(19,750)

242.0

Atlas

Copco

AB

(6,505)

(112,088)

(2,834)

34.7

Axfood

AB

(7,427)

(201,027)

(6,995)

85.7

Beijer

Ref

AB

(135,432)

(1,817,356)

(32,821)

402.2

Boliden

AB

(12,345)

(386,393)

2,217

(27.2)

Castellum

AB

(100,414)

(1,425,753)

(5,070)

62.1

Electrolux

AB

(98,099)

(1,053,818)

(12,627)

154.7

Epiroc

AB

(107,455)

(2,162,951)

(15,140)

185.5

EQT

AB

(187,864)

(5,319,115)

(116,839)

1,431.8

Fastighets

AB

Balder

(184,872)

(1,311,089)

(41,956)

514.2

Hexagon

AB

(222,669)

(2,674,546)

(52,910)

648.4

Holmen

AB

(28,928)

(1,221,827)

18,348

(224.9)

Indutrade

AB

(15,400)

(401,363)

(257)

3.1

Lifco

AB

(61,187)

(1,502,196)

22,922

(280.9)

Nibe

Industrier

AB

(769,022)

(5,400,391)

258,594

(3,169.0)

Sagax

AB

(35,647)

(981,169)

(4,645)

56.9

Svenska

Cellulosa

AB

SCA

(163,715)

(2,459,403)

26,501

(324.8)

Swedish

Orphan

Biovitrum

AB

(4,608)

(121,984)

(3,381)

41.4

Tele2

AB

(210,038)

(1,805,420)

(23,250)

284.9

Telefonaktiebolaget

LM

Ericsson

(144,414)

(908,824)

(33,982)

416.4

Telia

Co.

AB

(1,117,306)

(2,850,729)

(23,691)

290.3

278

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-7.25%

to

0.40%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-49

months

maturity

ranging

from

01/09/2025

-

04/22/2025

$124,299,307

$(125,474)

$373,058

$247,584

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Banco

do

Brasil

SA

247,500

2,821,361

62,503

25.2

TIM

SA/Brazil

423,600

1,559,974

(25,476)

(10.3)

Ultrapar

Participacoes

SA

174,900

948,790

31,964

12.9

Vibra

Energia

SA

348,100

1,630,511

74,156

30.0

South

Korea

Coway

Co.

Ltd.

20,259

896,046

21,617

8.7

DB

Insurance

Co.

Ltd.

16,938

1,096,958

30,954

12.5

Hana

Financial

Group,

Inc.

56,883

1,908,117

54,675

22.1

HMM

Co.

Ltd.

67,770

1,028,156

113,600

45.9

Hyundai

Glovis

Co.

Ltd.

8,187

1,213,099

79,918

32.3

Kia

Corp.

25,295

1,956,146

216,280

87.4

Posco

International

Corp.

28,703

1,379,824

28,306

11.4

Woori

Financial

Group,

Inc.

173,329

1,744,560

21,601

8.7

Taiwan

ASE

Technology

Holding

Co.

Ltd.

199,000

872,066

36,484

14.7

CTBC

Financial

Holding

Co.

Ltd.

1,071,000

988,324

22,282

9.0

Hon

Hai

Precision

Industry

Co.

Ltd.

631,000

2,146,811

91,707

37.0

Novatek

Microelectronics

Corp.

107,000

1,799,661

26,467

10.7

Pegatron

Corp.

605,000

1,719,074

67,363

27.2

Shanghai

Commercial

&

Savings

Bank

Ltd.

(The)

677,764

1,032,870

41,708

16.8

Wistron

Corp.

294,000

940,535

74,058

29.9

WPG

Holdings

Ltd.

576,000

1,530,273

34,977

14.1

Zhen

Ding

Technology

Holding

Ltd.

263,000

932,367

33,801

13.7

Preferred

Stocks

Brazil

Petroleo

Brasileiro

SA

(Preference)

274,800

2,096,672

87,802

35.5

Short

Positions

Common

Stocks

Brazil

Cosan

SA

(473,200)

(1,863,923)

(61,931)

(25.0)

Equatorial

Energia

SA

(164,006)

(1,206,481)

(52,388)

(21.2)

Localiza

Rent

a

Car

SA

(178,700)

(2,339,684)

6,558

2.6

Rede

D'Or

Sao

Luiz

SA

(241,000)

(1,427,835)

(24,902)

(10.1)

Rumo

SA

(201,600)

(953,029)

(39,740)

(16.1)

279

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Korea

Hyundai

Mipo

Dockyard

Co.

Ltd.

(14,359)

(942,232)

(69,472)

(28.1)

Kakao

Corp.

(35,493)

(1,488,921)

(17,033)

(6.9)

Korea

Electric

Power

Corp.

(80,495)

(1,179,160)

4,969

2.0

L&F

Co.

Ltd.

(7,331)

(1,150,708)

(122,471)

(49.5)

LG

Energy

Solution

Ltd.

(6,652)

(2,195,264)

(35,491)

(14.3)

POSCO

Future

M

Co.

Ltd.

(4,559)

(1,259,093)

22,944

9.3

Samsung

Biologics

Co.

Ltd.

(2,002)

(1,177,736)

(97,981)

(39.6)

Samsung

Electronics

Co.

Ltd.

(33,005)

(2,003,299)

(152,112)

(61.4)

SK

Hynix,

Inc.

(18,740)

(2,045,245)

(26,687)

(10.8)

SK

Square

Co.

Ltd.

(52,177)

(2,120,498)

(109,273)

(44.1)

Taiwan

AUO

Corp.

(1,867,924)

(1,103,045)

(130,791)

(52.8)

Chailease

Holding

Co.

Ltd.

(147,492)

(926,802)

(48,488)

(19.6)

China

Steel

Corp.

(2,360,000)

(2,075,377)

(67,253)

(27.2)

Chunghwa

Telecom

Co.

Ltd.

(244,000)

(954,641)

(31,394)

(12.7)

Delta

Electronics,

Inc.

(125,000)

(1,274,804)

(49,466)

(20.0)

E.Sun

Financial

Holding

Co.

Ltd.

(3,174,571)

(2,667,039)

(67,066)

(27.1)

Formosa

Petrochemical

Corp.

(424,000)

(1,114,271)

12,127

4.9

Formosa

Plastics

Corp.

(371,000)

(956,984)

(3,365)

(1.4)

Fubon

Financial

Holding

Co.

Ltd.

(733,050)

(1,546,424)

(36,707)

(14.8)

Hotai

Motor

Co.

Ltd.

(54,500)

(1,257,402)

(28,814)

(11.6)

Mega

Financial

Holding

Co.

Ltd.

(1,527,246)

(1,948,769)

(44,446)

(18.0)

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

(1,202,533)

(1,045,872)

(20,713)

(8.4)

NO.

OF

UNITS

Unit

Brazil

Banco

BTG

Pactual

SA

(164,200)

(1,270,009)

(30,809)

(12.4)

280

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2023

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

BANA

Cash

$

(283,096)

$

–

$

(283,096)

Investment

Companies

3,265

–

3,265

BARC

Cash

–

59,985,291

59,985,291

CITG

Cash

–

25,035,078

25,035,078

CITI

Cash

(80,528)

–

(80,528)

Investment

Companies

27,368,633

–

27,368,633

GSCO

Cash

–

17,084,940

17,084,940

GSIN

U.S.

Treasury

Bills

142,307,609

–

142,307,609

JPMC

Investment

Companies

64

–

64

U.S.

Treasury

Bills

39,978,854

–

39,978,854

JPMS

Cash

–

924,962

924,962

MLIN

Cash

4,411,416

–

4,411,416

MSCL

Cash

–

10,925,300

10,925,300

MSIP

U.S.

Treasury

Bills

50,120,888

–

50,120,888

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

GSCO

Cash

$

–

$

13,596,909

$

13,596,909

MSCL

Cash

–

23,201,413

23,201,413

281

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

51.7%

INVESTMENT

COMPANIES

-

30.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.19%

(1)(a)(b)

105,602

105,602

Limited

Purpose

Cash

Investment

Fund,

5.37%

(1)(a)

6,991,424

6,988,628

TOTAL

INVESTMENT

COMPANIES

(Cost

$7,091,931)

7,094,230

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

21.2%

U.S.

Treasury

Bills

5.48%,

4/18/2024

(c)

$

1,693,000

1,666,873

5.38%,

5/30/2024

(c)

1,649,000

1,614,545

5.33%,

6/13/2024

(c)

192,000

187,609

5.27%,

6/20/2024

(c)

514,000

501,745

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

21.2%

(continued)

5.21%,

6/27/2024

(c)

$

969,000

944,972

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$4,912,497)

4,915,744

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$12,004,428)

12,009,974

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

51.7%

(Cost

$12,004,428)

12,009,974

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

48.3%

‡

11,228,840

NET

ASSETS

-

100.0%

23,238,814

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

$

7,094,230

30.5

%

U.S.

Treasury

Obligations

4,915,744

21.2

Total

Investments

In

Securities

At

Value

12,009,974

51.7

Other

Assets

in

Excess

of

Liabilities

‡

11,228,840

48.3

Net

Assets

$

23,238,814

100.0%

‡

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange

and

swap

contracts.

(a)

Represents

7-day

effective

yield

as

of

December

31,

2023.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Forward

foreign

currency

exchange

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

253,500

USD

168,758

CITI

3/20/2024

$

4,394

AUD

253,500

USD

168,757

JPMC

3/20/2024

4,395

CAD

358,000

USD

264,503

CITI

3/20/2024

5,962

CAD

358,000

USD

264,492

JPMC

3/20/2024

5,973

CHF

194,500

USD

224,720

CITI

3/20/2024

8,394

CHF

194,500

USD

224,719

JPMC

3/20/2024

8,396

DKK

517,500

USD

76,704

CITI

3/20/2024

238

DKK

517,500

USD

76,703

JPMC

3/20/2024

238

EUR

705,000

USD

768,037

CITI

3/20/2024

12,674

EUR

705,000

USD

768,033

JPMC

3/20/2024

12,678

GBP

271,500

USD

342,968

CITI

3/20/2024

3,232

GBP

271,500

USD

342,966

JPMC

3/20/2024

3,233

ILS

56,000

USD

15,153

CITI

3/20/2024

350

ILS

56,000

USD

15,153

JPMC

3/20/2024

350

NOK

129,000

USD

11,974

CITI

3/20/2024

745

NOK

129,000

USD

11,974

JPMC

3/20/2024

745

NZD

5,000

USD

3,076

CITI

3/20/2024

86

NZD

5,000

USD

3,076

JPMC

3/20/2024

86

SEK

605,000

USD

58,388

CITI

3/20/2024

1,780

SEK

605,000

USD

58,387

JPMC

3/20/2024

1,780

282

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SGD

146,500

USD

110,201

CITI

3/20/2024

$

1,202

SGD

146,500

USD

110,201

JPMC

3/20/2024

1,202

JPY

74,827,500

USD

518,780

CITI

3/21/2024

18,476

JPY

74,827,500

USD

518,777

JPMC

3/21/2024

18,478

Total

unrealized

appreciation

115,087

HKD

433,500

USD

55,652

CITI

3/20/2024

(37)

HKD

433,500

USD

55,651

JPMC

3/20/2024

(37)

USD

65,250

SGD

86,000

CITI

3/20/2024

(147)

USD

65,250

SGD

86,000

JPMC

3/20/2024

(147)

Total

unrealized

depreciation

(368)

Net

unrealized

appreciation

$

114,719

Total

return

basket

swap

contracts

outstanding

as

of

December

31,

2023:

Over-the-Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.10%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

12/18/2026

-

01/05/2029

$22,973,717

$(364,838)

$46,159

$(318,679)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

ANA

Holdings,

Inc.

10,800

233,988

(3,760)

1.2

Fujitsu

Ltd.

1,300

195,642

(4,613)

1.4

Honda

Motor

Co.

Ltd.

36,200

373,411

(7,813)

2.5

Japan

Airlines

Co.

Ltd.

8,200

161,090

(5,818)

1.8

Japan

Post

Bank

Co.

Ltd.

19,000

193,362

(11,596)

3.6

Japan

Post

Insurance

Co.

Ltd.

9,100

161,531

(11,208)

3.5

Kansai

Paint

Co.

Ltd.

9,500

161,989

2,536

(0.8)

Kirin

Holdings

Co.

Ltd.

10,900

159,577

(4,348)

1.4

Komatsu

Ltd.

6,300

163,947

2,068

(0.6)

Mazda

Motor

Corp.

19,000

203,093

(4,964)

1.6

Mitsubishi

Motors

Corp.

71,200

225,352

(8,649)

2.7

Mizuho

Financial

Group,

Inc.

30,800

525,381

(22,029)

6.9

NGK

Insulators

Ltd.

15,500

184,851

(181)

0.1

Nintendo

Co.

Ltd.

2,900

150,898

4,294

(1.3)

Niterra

Co.

Ltd.

7,700

182,366

(413)

0.1

NSK

Ltd.

29,800

161,035

284

(0.1)

283

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Panasonic

Holdings

Corp.

28,000

275,732

(8,637)

2.7

Santen

Pharmaceutical

Co.

Ltd.

15,900

158,192

1,187

(0.4)

Sekisui

Chemical

Co.

Ltd.

11,500

165,404

(3,372)

1.1

Shimamura

Co.

Ltd.

2,400

267,993

(8,858)

2.8

Shionogi

&

Co.

Ltd.

3,800

182,886

(9,458)

3.0

Sumitomo

Mitsui

Trust

Holdings,

Inc.

8,000

153,215

(5,735)

1.8

Tokyo

Electron

Ltd.

1,100

195,514

5,111

(1.6)

Toyo

Suisan

Kaisha

Ltd.

3,700

190,906

(18,157)

5.7

Yamada

Holdings

Co.

Ltd.

50,800

157,859

2,280

(0.7)

Short

Positions

Common

Stocks

Japan

Advantest

Corp.

(5,200)

(175,217)

(15,050)

4.7

Aeon

Co.

Ltd.

(9,400)

(209,756)

(3,756)

1.2

Asahi

Intecc

Co.

Ltd.

(12,300)

(249,430)

(5,524)

1.7

BayCurrent

Consulting,

Inc.

(4,300)

(150,526)

(5,149)

1.6

Chiba

Bank

Ltd.

(The)

(24,200)

(174,352)

20,754

(6.5)

Denso

Corp.

(13,000)

(195,160)

4,341

(1.4)

Hamamatsu

Photonics

KK

(3,700)

(151,803)

(7,383)

2.3

Keyence

Corp.

(900)

(395,421)

(5,687)

1.8

Kobe

Bussan

Co.

Ltd.

(5,900)

(174,290)

576

(0.2)

Lasertec

Corp.

(600)

(157,516)

(10,793)

3.4

M3,

Inc.

(16,200)

(267,337)

(10,194)

3.2

MINEBEA

MITSUMI,

Inc.

(8,700)

(178,072)

(10,380)

3.3

Nissan

Chemical

Corp.

(5,300)

(206,375)

(15,753)

4.9

Nitori

Holdings

Co.

Ltd.

(2,400)

(322,264)

(9,773)

3.1

NTT

Data

Group

Corp.

(17,600)

(248,787)

(28,912)

9.1

Obic

Co.

Ltd.

(1,000)

(172,055)

(4,573)

1.4

Rakuten

Group,

Inc.

(35,000)

(156,041)

(9,686)

3.0

Resonac

Holdings

Corp.

(11,900)

(236,487)

(892)

0.3

Shimano,

Inc.

(1,000)

(154,044)

2,917

(0.9)

SMC

Corp.

(800)

(427,949)

(17,021)

5.3

Suzuki

Motor

Corp.

(6,000)

(255,699)

(5,319)

1.7

Sysmex

Corp.

(2,800)

(155,653)

2,543

(0.8)

Tohoku

Electric

Power

Co.,

Inc.

(22,900)

(155,669)

8,123

(2.5)

Toyota

Industries

Corp.

(2,400)

(195,097)

3,081

(1.0)

Yaskawa

Electric

Corp.

(4,100)

(170,650)

(17,525)

5.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.61%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

12/18/2026

-

01/03/2029

$84,742,657

$(53,927)

$(113,130)

$(167,057)

284

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

3M

Co.

4,377

478,494

17,840

(10.7)

Adobe,

Inc.

722

430,745

(17,226)

10.3

Amazon.com,

Inc.

5,088

773,071

24,357

(14.6)

Apple,

Inc.

1,701

327,494

(1,106)

0.7

Applied

Materials,

Inc.

1,704

276,167

8,895

(5.3)

Baker

Hughes

Co.

8,133

277,986

12,193

(7.3)

Booking

Holdings,

Inc.

112

397,289

18,830

(11.3)

Centene

Corp.

3,951

293,204

195

(0.1)

Cisco

Systems,

Inc.

8,980

453,670

9,889

(5.9)

Citigroup,

Inc.

6,631

341,099

21,816

(13.1)

Citizens

Financial

Group,

Inc.

8,773

290,737

31,144

(18.6)

Coca-Cola

Co.

(The)

4,918

289,818

(541)

0.3

Crown

Castle,

Inc.

2,469

284,404

1,027

(0.6)

CVS

Health

Corp.

3,769

297,600

19,599

(11.7)

Dell

Technologies,

Inc.

3,817

292,000

24,462

(14.6)

DocuSign,

Inc.

5,556

330,304

29,716

(17.8)

Electronic

Arts,

Inc.

1,897

259,529

(2,409)

1.4

Flowserve

Corp.

6,311

260,139

10,047

(6.0)

General

Electric

Co.

2,196

280,275

6,154

(3.7)

Hewlett

Packard

Enterprise

Co.

16,133

273,938

3,106

(1.9)

Humana,

Inc.

903

413,402

(9,254)

5.5

Johnson

&

Johnson

1,750

274,295

2,842

(1.7)

Kimberly-Clark

Corp.

3,707

450,438

2,875

(1.7)

Microsoft

Corp.

1,909

717,860

9,049

(5.4)

Molson

Coors

Beverage

Co.

7,274

445,242

(10,453)

6.3

NVIDIA

Corp.

1,321

654,186

30,684

(18.4)

PayPal

Holdings,

Inc.

4,124

253,255

9,575

(5.7)

PPG

Industries,

Inc.

1,889

282,500

5,681

(3.4)

Starbucks

Corp.

2,956

283,806

(3,834)

2.3

Toll

Brothers,

Inc.

2,785

286,270

27,460

(16.4)

Valero

Energy

Corp.

2,141

278,330

13,959

(8.4)

Walmart,

Inc.

1,715

270,370

10,993

(6.6)

Wendy's

Co.

(The)

13,737

267,597

(43)

0.0

Short

Positions

Common

Stocks

United

States

Abbott

Laboratories

(3,023)

(332,742)

(1,513)

0.9

AMETEK,

Inc.

(1,590)

(262,175)

(2,822)

1.7

Celanese

Corp.

(2,089)

(324,568)

(25,519)

15.3

Churchill

Downs,

Inc.

(2,548)

(343,802)

(29,149)

17.4

Gaming

and

Leisure

Properties,

Inc.

(5,989)

(295,557)

(5,779)

3.5

Globe

Life,

Inc.

(2,194)

(267,054)

1,012

(0.6)

HEICO

Corp.

(1,770)

(316,600)

4,126

(2.5)

Home

BancShares,

Inc.

(10,905)

(276,224)

(11,398)

6.8

Ionis

Pharmaceuticals,

Inc.

(6,457)

(326,660)

(5,620)

3.4

Liberty

Broadband

Corp.

(3,150)

(253,858)

(5,092)

3.0

Monster

Beverage

Corp.

(6,682)

(384,950)

(7,858)

4.7

Neogen

Corp.

(12,843)

(258,273)

(20,355)

12.2

News

Corp.

(13,274)

(325,877)

(27,543)

16.5

Southern

Co.

(The)

(3,758)

(263,511)

3,048

(1.8)

285

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Southwest

Airlines

Co.

(8,793)

(253,942)

3,793

(2.3)

T-Mobile

US,

Inc.

(3,585)

(574,783)

(4,773)

2.9

TransDigm

Group,

Inc.

(286)

(289,318)

(1,712)

1.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-1.37%

to

0.35%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/28/2025

-

12/29/2025

$3,100,994

$6,549

$46,200

$52,749

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Allkem

Ltd.

4,755

32,298

446

0.8

Ampol

Ltd.

3,096

76,301

181

0.3

ANZ

Group

Holdings

Ltd.

2,600

45,937

190

0.4

Aristocrat

Leisure

Ltd.

4,795

133,222

310

0.6

Atlas

Arteria

Ltd.

8,912

35,088

(2)

(0.0)

Aurizon

Holdings

Ltd.

21,011

54,396

274

0.5

BlueScope

Steel

Ltd.

4,522

72,092

46

0.1

Brambles

Ltd.

19,646

182,097

1,910

3.6

Cochlear

Ltd.

618

125,730

(376)

(0.7)

Coles

Group

Ltd.

4,639

50,960

411

0.8

Computershare

Ltd.

887

14,773

200

0.4

Fortescue

Ltd.

1,628

32,100

426

0.8

Harvey

Norman

Holdings

Ltd.

14,427

41,306

506

1.0

Incitec

Pivot

Ltd.

14,996

29,045

432

0.8

JB

Hi-Fi

Ltd.

3,432

124,029

1,853

3.5

Lendlease

Corp.

Ltd.

8,348

42,495

322

0.6

Northern

Star

Resources

Ltd.

8,976

83,280

(715)

(1.4)

Orica

Ltd.

4,435

48,210

458

0.9

Qantas

Airways

Ltd.

36,912

135,209

637

1.2

QBE

Insurance

Group

Ltd.

18,111

183,511

2,747

5.2

Qube

Holdings

Ltd.

9,220

20,386

155

0.3

SEEK

Ltd.

1,351

24,579

292

0.6

Sonic

Healthcare

Ltd.

2,350

51,349

392

0.7

Suncorp

Group

Ltd.

8,971

84,950

586

1.1

Telstra

Group

Ltd.

15,756

42,577

274

0.5

Transurban

Group

13,825

129,186

(1,032)

(2.0)

Westpac

Banking

Corp.

3,175

49,538

35

0.1

Worley

Ltd.

5,044

60,123

(193)

(0.4)

New

Zealand

Xero

Ltd.

1,062

81,018

208

0.4

286

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

James

Hardie

Industries

plc

1,836

70,789

644

1.2

Short

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

(15,686)

(101,398)

(699)

(1.3)

Alumina

Ltd.

(72,330)

(44,615)

484

0.9

APA

Group

(2,042)

(11,884)

98

0.2

Cleanaway

Waste

Management

Ltd.

(55,160)

(101,123)

(385)

(0.7)

Commonwealth

Bank

of

Australia

(444)

(33,840)

(198)

(0.4)

Domino's

Pizza

Enterprises

Ltd.

(2,706)

(108,628)

(920)

(1.7)

Endeavour

Group

Ltd.

(2,978)

(10,576)

(84)

(0.2)

IDP

Education

Ltd.

(1,051)

(14,337)

95

0.2

Liontown

Resources

Ltd.

(43,555)

(48,850)

(618)

(1.2)

Lynas

Rare

Earths

Ltd.

(14,396)

(70,270)

(618)

(1.2)

Macquarie

Group

Ltd.

(130)

(16,274)

(90)

(0.2)

Medibank

Pvt

Ltd.

(4,407)

(10,699)

(98)

(0.2)

Mineral

Resources

Ltd.

(2,169)

(103,317)

(459)

(0.9)

Pro

Medicus

Ltd.

(589)

(38,435)

(59)

(0.1)

REA

Group

Ltd.

(306)

(37,733)

(307)

(0.6)

Reece

Ltd.

(4,117)

(62,797)

(738)

(1.4)

Santos

Ltd.

(2,480)

(12,895)

34

0.1

Treasury

Wine

Estates

Ltd.

(2,764)

(20,336)

(88)

(0.2)

Wesfarmers

Ltd.

(408)

(15,867)

(186)

(0.4)

WiseTech

Global

Ltd.

(299)

(15,325)

13

0.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CORRA

plus

or

minus

a

specified

spread

(-0.23%

to

0.24%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

08/26/2024

-

02/25/2025

$3,838,321

$(8,993)

$68,899

$59,906

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

8,854

124,887

(134)

(0.2)

Alamos

Gold,

Inc.

5,756

77,410

(2,155)

(3.6)

Atco

Ltd.

2,202

64,263

1,080

1.8

Bank

of

Nova

Scotia

(The)

2,013

97,988

912

1.5

Canadian

Imperial

Bank

of

Commerce

1,006

48,438

91

0.2

Canadian

Tire

Corp.

Ltd.

376

39,931

219

0.4

287

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Canadian

Utilities

Ltd.

954

22,960

223

0.4

CGI,

Inc.

210

22,497

13

0.0

Descartes

Systems

Group,

Inc.

(The)

408

34,280

436

0.7

Empire

Co.

Ltd.

1,739

46,000

446

0.7

Finning

International,

Inc.

3,688

106,656

(1,531)

(2.6)

George

Weston

Ltd.

855

106,145

936

1.6

iA

Financial

Corp.,

Inc.

945

64,422

107

0.2

Kinross

Gold

Corp.

6,997

42,350

(1,109)

(1.9)

Magna

International,

Inc.

476

28,124

(154)

(0.3)

Northland

Power,

Inc.

1,383

25,123

31

0.1

Nutrien

Ltd.

521

29,352

(515)

(0.9)

Open

Text

Corp.

2,148

90,277

(956)

(1.6)

Parkland

Corp.

4,200

135,378

(1,585)

(2.6)

Pembina

Pipeline

Corp.

3,551

122,257

(348)

(0.6)

Shopify,

Inc.

1,607

125,111

(459)

(0.8)

SNC-Lavalin

Group,

Inc.

2,121

68,286

143

0.2

Stantec,

Inc.

1,229

98,669

1,015

1.7

Sun

Life

Financial,

Inc.

3,299

171,093

1,917

3.2

TFI

International,

Inc.

444

60,395

(580)

(1.0)

Toromont

Industries

Ltd.

709

62,122

(139)

(0.2)

West

Fraser

Timber

Co.

Ltd.

649

55,523

(215)

(0.4)

Zambia

First

Quantum

Minerals

Ltd.

9,325

76,357

(1,847)

(3.1)

Short

Positions

Common

Stocks

Canada

Aritzia,

Inc.

(2,302)

(47,776)

824

1.4

BCE,

Inc.

(5,655)

(222,649)

(2,120)

(3.5)

Boralex,

Inc.

(1,144)

(29,078)

(426)

(0.7)

Brookfield

Corp.

(857)

(34,376)

433

0.7

Brookfield

Infrastructure

Corp.

(811)

(28,607)

(40)

(0.1)

Capital

Power

Corp.

(3,423)

(97,752)

255

0.4

Dollarama,

Inc.

(699)

(50,374)

(596)

(1.0)

Element

Fleet

Management

Corp.

(2,610)

(42,468)

(689)

(1.2)

Emera,

Inc.

(1,685)

(63,964)

(763)

(1.3)

GFL

Environmental,

Inc.

(3,609)

(124,499)

(641)

(1.1)

Hydro

One

Ltd.

(1,362)

(40,807)

(370)

(0.6)

Intact

Financial

Corp.

(296)

(45,540)

(469)

(0.8)

Pan

American

Silver

Corp.

(3,683)

(60,121)

1,754

2.9

RB

Global,

Inc.

(1,030)

(68,926)

(513)

(0.9)

Restaurant

Brands

International,

Inc.

(1,848)

(144,390)

(280)

(0.5)

Teck

Resources

Ltd.

(1,673)

(70,718)

353

0.6

Thomson

Reuters

Corp.

(464)

(67,839)

(704)

(1.2)

TMX

Group

Ltd.

(1,666)

(40,297)

(478)

(0.8)

WSP

Global,

Inc.

(157)

(22,008)

(237)

(0.4)

Chile

Lundin

Mining

Corp.

(5,408)

(44,242)

35

0.1

United

States

Brookfield

Renewable

Corp.

(1,159)

(33,360)

–

–

BRP,

Inc.

(922)

(65,978)

330

0.6

288

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.23%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

-

01/26/2026

$4,074,572

$7,230

$(74,781)

$(67,551)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

6,856

304,394

335

(0.5)

Adecco

Group

AG

(Registered)

3,100

152,252

(380)

0.6

Alcon,

Inc.

299

23,393

121

(0.2)

Baloise

Holding

AG

(Registered)

310

48,604

(123)

0.2

Barry

Callebaut

AG

(Registered)

11

18,570

97

(0.1)

Cie

Financiere

Richemont

SA

(Registered)

152

20,995

(87)

0.1

Clariant

AG

(Registered)

2,129

31,455

(187)

0.3

DKSH

Holding

AG

750

52,078

357

(0.5)

Galenica

AG

387

33,477

209

(0.3)

Georg

Fischer

AG

(Registered)

2,595

188,849

21

(0.0)

Kuehne

+

Nagel

International

AG

(Registered)

308

106,290

166

(0.2)

Logitech

International

SA

(Registered)

1,255

119,336

725

(1.1)

Lonza

Group

AG

(Registered)

256

107,926

863

(1.3)

Novartis

AG

(Registered)

4,915

496,467

4,411

(6.5)

Sandoz

Group

AG

120

3,861

27

(0.0)

SGS

SA

(Registered)

211

18,216

80

(0.1)

Sonova

Holding

AG

(Registered)

63

20,604

102

(0.2)

Temenos

AG

(Registered)

621

57,870

193

(0.3)

United

States

Holcim

AG

2,301

180,724

(345)

0.5

Roche

Holding

AG

202

58,720

189

(0.3)

Swiss

Re

AG

2,465

277,388

(1,396)

2.1

Short

Positions

Common

Stocks

Switzerland

Avolta

AG

(2,274)

(89,530)

411

(0.6)

Bachem

Holding

AG

(1,391)

(107,721)

673

(1.0)

Belimo

Holding

AG

(Registered)

(40)

(22,078)

(49)

0.1

BKW

AG

(200)

(35,573)

(13)

0.0

Chocoladefabriken

Lindt

&

Spruengli

AG

(16)

(192,058)

653

(1.0)

EMS-Chemie

Holding

AG

(Registered)

(215)

(174,328)

(773)

1.1

Flughafen

Zurich

AG

(Registered)

(2)

(418)

3

(0.0)

Geberit

AG

(Registered)

(110)

(70,611)

(116)

0.2

Givaudan

SA

(Registered)

(7)

(29,027)

(121)

0.2

Helvetia

Holding

AG

(Registered)

(53)

(7,308)

(7)

0.0

Julius

Baer

Group

Ltd.

(191)

(10,715)

5

(0.0)

289

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Partners

Group

Holding

AG

(45)

(65,068)

(194)

0.3

Schindler

Holding

AG

(95)

(23,784)

(10)

0.0

SIG

Group

AG

(8,502)

(195,810)

907

(1.3)

Sika

AG

(Registered)

(539)

(175,755)

(671)

1.0

Straumann

Holding

AG

(Registered)

(1,235)

(199,580)

1,151

(1.7)

Swatch

Group

AG

(The)

(286)

(77,818)

(92)

0.1

Swiss

Life

Holding

AG

(Registered)

(13)

(9,034)

(20)

0.0

Swisscom

AG

(Registered)

(25)

(15,047)

12

(0.0)

Tecan

Group

AG

(Registered)

(115)

(47,047)

372

(0.6)

UBS

Group

AG

(Registered)

(1,738)

(53,985)

(142)

0.2

VAT

Group

AG

(258)

(129,583)

(7)

0.0

Zurich

Insurance

Group

AG

(10)

(5,228)

(13)

0.0

United

States

Nestle

SA

(Registered)

(138)

(15,997)

(107)

0.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-1.26%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

01/26/2026

$1,130,936

$1,740

$13,423

$15,163

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Carlsberg

A/S

1,590

199,520

991

6.5

Danske

Bank

A/S

519

13,874

39

0.3

Demant

A/S

1,302

57,106

770

5.1

Genmab

A/S

257

81,945

575

3.8

ISS

A/S

9,315

177,913

1,197

7.9

Jyske

Bank

A/S

(Registered)

91

6,525

22

0.1

Pandora

A/S

888

122,771

394

2.6

ROCKWOOL

A/S

37

10,825

(65)

(0.4)

Vestas

Wind

Systems

A/S

750

23,731

(111)

(0.7)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(3,302)

(51,441)

(719)

(4.7)

AP

Moller

-

Maersk

A/S

(11)

(19,800)

(47)

(0.3)

Coloplast

A/S

(257)

(29,366)

236

1.6

DSV

A/S

(637)

(111,925)

(1,132)

(7.5)

GN

Store

Nord

A/S

(1,051)

(26,744)

234

1.5

290

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Denmark

(continued)

Novo

Nordisk

A/S

(518)

(53,681)

(598)

(3.9)

Novozymes

A/S

(1,482)

(81,471)

150

1.0

Orsted

A/S

(63)

(3,492)

3

0.0

Royal

Unibrew

A/S

(3)

(200)

2

0.0

Tryg

A/S

(2,693)

(58,606)

(201)

(1.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.75%

to

0.30%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

-

01/26/2026

$18,935,680

$(2,065)

$181,108

$179,043

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

3,311

143,931

104

0.1

France

Bouygues

SA

4,981

187,929

(726)

(0.4)

Cie

de

Saint-Gobain

SA

2,940

216,817

335

0.2

Eiffage

SA

1,766

189,581

940

0.5

Orange

SA

14,491

165,163

(881)

(0.5)

Rexel

SA

6,556

179,938

(954)

(0.5)

Safran

SA

764

134,701

(188)

(0.1)

Societe

Generale

SA

6,172

164,208

(881)

(0.5)

Sodexo

SA

1,631

179,554

1,661

0.9

Worldline

SA

8,821

153,397

(1,697)

(0.9)

Germany

Allianz

SE

(Registered)

639

170,767

269

0.2

Bayerische

Motoren

Werke

AG

2,368

263,491

1,030

0.6

Daimler

Truck

Holding

AG

3,849

144,584

(55)

(0.0)

Deutsche

Bank

AG

(Registered)

14,872

203,019

(563)

(0.3)

GEA

Group

AG

3,406

141,602

1,453

0.8

HOCHTIEF

AG

1,298

143,748

(537)

(0.3)

Mercedes-Benz

Group

AG

4,843

334,157

(904)

(0.5)

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

590

244,740

(1,480)

(0.8)

Siemens

AG

(Registered)

956

179,355

1,186

0.7

Italy

Assicurazioni

Generali

SpA

9,611

203,057

(1,134)

(0.6)

Banco

BPM

SpA

36,694

194,440

283

0.2

Enel

SpA

22,415

166,763

171

0.1

Intesa

Sanpaolo

SpA

45,562

133,332

(285)

(0.2)

291

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Italy

(continued)

Leonardo

SpA

11,464

189,421

1,168

0.7

Pirelli

&

C

SpA

22,837

124,605

1,771

1.0

Poste

Italiane

SpA

15,504

176,230

(47)

(0.0)

UniCredit

SpA

6,166

167,898

1,468

0.8

Netherlands

Akzo

Nobel

NV

1,714

141,931

247

0.1

ASML

Holding

NV

315

237,790

(464)

(0.3)

Koninklijke

Ahold

Delhaize

NV

10,557

303,740

5

0.0

NN

Group

NV

3,376

133,422

(114)

(0.1)

Singapore

STMicroelectronics

NV

4,257

213,527

(1,100)

(0.6)

Spain

Banco

de

Sabadell

SA

246,624

303,583

3,558

2.0

Banco

Santander

SA

56,087

234,594

(1,310)

(0.7)

Industria

de

Diseno

Textil

SA

3,040

132,648

845

0.5

Short

Positions

Common

Stocks

France

Hermes

International

SCA

(59)

(125,405)

275

0.2

Sartorius

Stedim

Biotech

(853)

(226,201)

(765)

(0.4)

Germany

Beiersdorf

AG

(946)

(141,668)

(1,039)

(0.6)

Deutsche

Post

AG

(3,940)

(195,014)

59

0.0

RWE

AG

(5,822)

(264,976)

(1,198)

(0.7)

Siemens

Healthineers

AG

(5,303)

(307,885)

2,976

1.7

Italy

Davide

Campari-Milano

NV

(13,682)

(154,507)

424

0.2

Ferrari

NV

(1,866)

(629,974)

(1,658)

(0.9)

Luxembourg

ArcelorMittal

SA

(6,409)

(181,888)

1,278

0.7

Eurofins

Scientific

SE

(3,017)

(196,806)

(509)

(0.3)

Netherlands

Adyen

NV

(126)

(162,659)

1,191

0.7

Spain

Cellnex

Telecom

SA

(7,861)

(309,511)

2,902

1.6

Switzerland

DSM-Firmenich

AG

(1,996)

(202,980)

(304)

(0.2)

Preferred

Stocks

Germany

Dr

Ing

hc

F

Porsche

AG

(Preference)

(2,533)

(223,099)

783

0.4

Sartorius

AG

(Preference)

(790)

(290,104)

1,895

1.1

292

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.23%

to

0.30%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

01/26/2026

$8,251,533

$5,970

$171,734

$177,704

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

Kingdom

Associated

British

Foods

plc

6,348

191,322

(560)

(0.3)

Auto

Trader

Group

plc

7,668

70,443

93

0.1

Aviva

plc

22,694

125,576

251

0.1

BAE

Systems

plc

10,350

146,504

2,045

1.2

Barclays

plc

73,396

143,714

(41)

(0.0)

Barratt

Developments

plc

12,812

91,779

(719)

(0.4)

Burberry

Group

plc

15,359

277,029

(1,121)

(0.6)

DCC

plc

1,492

109,783

227

0.1

easyJet

plc

13,520

87,708

(802)

(0.5)

Hiscox

Ltd.

7,251

97,416

(537)

(0.3)

Howden

Joinery

Group

plc

9,222

95,473

(2,162)

(1.2)

HSBC

Holdings

plc

25,632

207,362

910

0.5

Informa

plc

6,196

61,628

161

0.1

InterContinental

Hotels

Group

plc

1,601

144,372

18

0.0

Intertek

Group

plc

1,971

106,703

(253)

(0.1)

Kingfisher

plc

44,542

138,008

(2,114)

(1.2)

Man

Group

plc

33,478

99,257

(627)

(0.4)

Marks

&

Spencer

Group

plc

55,071

190,854

(498)

(0.3)

Melrose

Industries

plc

21,017

151,919

(657)

(0.4)

Pearson

plc

8,371

102,820

473

0.3

Rightmove

plc

9,597

70,547

150

0.1

Rolls-Royce

Holdings

plc

54,476

207,792

311

0.2

Smiths

Group

plc

5,483

123,068

(321)

(0.2)

Spectris

plc

2,192

105,437

(719)

(0.4)

Standard

Chartered

plc

8,154

69,196

658

0.4

Taylor

Wimpey

plc

107,362

200,973

2,641

1.5

Vodafone

Group

plc

161,512

141,055

(90)

(0.1)

Weir

Group

plc

(The)

2,724

65,454

(224)

(0.1)

WPP

plc

8,959

85,575

(574)

(0.3)

United

States

GSK

plc

6,764

124,926

(55)

(0.0)

293

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Australia

Glencore

plc

(38,714)

(232,712)

230

0.1

Rio

Tinto

plc

(3,244)

(241,292)

143

0.1

Burkina

Faso

Endeavour

Mining

plc

(4,308)

(96,397)

2,165

1.2

Chile

Antofagasta

plc

(9,403)

(201,055)

3,958

2.2

Hong

Kong

Prudential

plc

(9,667)

(109,070)

(1,572)

(0.9)

South

Africa

Anglo

American

plc

(4,141)

(103,636)

654

0.4

United

Kingdom

Admiral

Group

plc

(2,375)

(81,198)

872

0.5

Ashtead

Group

plc

(3,620)

(251,616)

1,006

0.6

AstraZeneca

plc

(2,505)

(337,899)

(1,040)

(0.6)

Croda

International

plc

(1,399)

(89,989)

622

0.4

Halma

plc

(3,031)

(88,129)

1,025

0.6

Lloyds

Banking

Group

plc

(156,185)

(94,732)

715

0.4

Ocado

Group

plc

(6,827)

(65,948)

(402)

(0.2)

Persimmon

plc

(5,572)

(98,492)

231

0.1

Rentokil

Initial

plc

(20,611)

(116,169)

570

0.3

RS

GROUP

plc

(7,005)

(73,120)

972

0.5

Severn

Trent

plc

(6,148)

(202,174)

1,847

1.0

Spirax-Sarco

Engineering

plc

(1,317)

(176,209)

554

0.3

United

Utilities

Group

plc

(8,285)

(111,916)

342

0.2

Wise

plc

(12,630)

(140,464)

954

0.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

12/29/2025

$1,303,652

$1,695

$13,079

$14,774

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

62,000

168,425

3,614

24.5

Hong

Kong

AIA

Group

Ltd.

4,800

41,774

269

1.8

ASMPT

Ltd.

2,400

22,886

141

1.0

CK

Asset

Holdings

Ltd.

17,500

87,834

1,662

11.2

294

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Hang

Lung

Properties

Ltd.

17,000

23,635

770

5.2

Hang

Seng

Bank

Ltd.

800

9,340

120

0.8

Hong

Kong

Exchanges

&

Clearing

Ltd.

100

3,430

126

0.9

Man

Wah

Holdings

Ltd.

50,000

34,292

1,828

12.4

MTR

Corp.

Ltd.

3,500

13,585

227

1.5

New

World

Development

Co.

Ltd.

23,000

35,662

238

1.6

Power

Assets

Holdings

Ltd.

5,000

28,989

430

2.9

Sino

Land

Co.

Ltd.

14,000

15,225

182

1.2

Sun

Hung

Kai

Properties

Ltd.

7,500

81,160

767

5.2

Swire

Pacific

Ltd.

9,500

80,462

679

4.6

Swire

Properties

Ltd.

15,200

30,769

480

3.2

WH

Group

Ltd.

97,500

62,965

1,033

7.0

Macau

Sands

China

Ltd.

9,200

26,928

595

4.0

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(19,000)

(35,619)

(1,116)

(7.6)

ESR

Group

Ltd.

(56,400)

(77,999)

(1,252)

(8.5)

SITC

International

Holdings

Co.

Ltd.

(26,000)

(44,877)

408

2.8

Xinyi

Glass

Holdings

Ltd.

(68,004)

(76,381)

(2,936)

(19.9)

Hong

Kong

CLP

Holdings

Ltd.

(2,000)

(16,524)

(132)

(0.9)

Hong

Kong

&

China

Gas

Co.

Ltd.

(60,000)

(46,007)

(864)

(5.8)

Techtronic

Industries

Co.

Ltd.

(10,500)

(125,108)

164

1.1

Wharf

Real

Estate

Investment

Co.

Ltd.

(32,000)

(108,175)

(5,554)

(37.6)

Macau

Galaxy

Entertainment

Group

Ltd.

(1,000)

(5,601)

(184)

(1.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.30%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

01/26/2026

$600,272

$(2,398)

$2,138

$(260)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

584

20,748

(193)

74.1

295

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Norway

DNB

Bank

ASA

1,966

41,800

279

(107.4)

Kongsberg

Gruppen

ASA

176

8,057

49

(19.0)

Mowi

ASA

2,179

39,021

545

(209.6)

Norsk

Hydro

ASA

23,886

160,552

(14)

5.2

Orkla

ASA

6,810

52,885

765

(294.0)

Telenor

ASA

5,468

62,753

(269)

103.6

United

Kingdom

Subsea

7

SA

3,136

45,682

(274)

105.3

Short

Positions

Common

Stocks

Norway

Gjensidige

Forsikring

ASA

(75)

(1,384)

(38)

14.5

Salmar

ASA

(2,129)

(119,234)

(2,264)

870.7

Schibsted

ASA

(240)

(6,910)

(78)

30.0

TOMRA

Systems

ASA

(3,402)

(41,246)

(906)

348.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.50%

to

0.30%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

11/25/2025

$3,146,551

$(4,833)

$(46,901)

$(51,734)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Guatemala

Millicom

International

Cellular

SA

3,093

55,419

(410)

0.8

Sweden

Alfa

Laval

AB

1,170

46,840

(90)

0.2

Assa

Abloy

AB

88

2,536

2

(0.0)

Billerud

Aktiebolag

8,161

83,172

(237)

0.5

Boliden

AB

2,717

85,041

(492)

1.0

Electrolux

AB

5,934

63,745

(149)

0.3

Elekta

AB

6,955

56,961

776

(1.5)

Embracer

Group

AB

15,292

41,485

(1,339)

2.6

Essity

AB

2,745

68,027

233

(0.4)

Evolution

AB

494

58,841

50

(0.1)

Getinge

AB

3,293

73,327

(36)

0.1

H

&

M

Hennes

&

Mauritz

AB

8,554

150,037

(427)

0.8

Husqvarna

AB

1,837

15,153

(109)

0.2

Saab

AB

556

33,507

387

(0.7)

Sandvik

AB

1,405

30,524

101

(0.2)

296

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Skanska

AB

1,207

21,868

10

(0.0)

SKF

AB

5,271

105,634

(1,134)

2.2

SSAB

AB

9,544

73,074

(383)

0.7

Svenska

Handelsbanken

AB

1,774

19,279

10

(0.0)

Swedbank

AB

5,117

103,454

1,023

(2.0)

Tele2

AB

4,856

41,741

159

(0.3)

Telia

Co.

AB

33,456

85,361

231

(0.4)

Trelleborg

AB

4,692

157,483

990

(1.9)

Volvo

AB

5,550

144,411

297

(0.6)

Volvo

Car

AB

18,399

59,671

75

(0.1)

Short

Positions

Common

Stocks

Sweden

AddTech

AB

(1,461)

(32,146)

128

(0.2)

Atlas

Copco

AB

(2,626)

(45,249)

(363)

0.7

Axfood

AB

(1,436)

(38,868)

(711)

1.4

Beijer

Ref

AB

(7,007)

(94,027)

1,150

(2.2)

Epiroc

AB

(9,717)

(195,592)

(1,917)

3.7

EQT

AB

(8,022)

(227,132)

(1,887)

3.6

Hexagon

AB

(16,798)

(201,766)

(1,306)

2.5

Hexpol

AB

(1,523)

(18,452)

60

(0.1)

Holmen

AB

(1,452)

(61,328)

804

(1.6)

Indutrade

AB

(3,449)

(89,890)

(598)

1.2

Lifco

AB

(3,649)

(89,586)

308

(0.6)

Nibe

Industrier

AB

(13,786)

(96,811)

159

(0.3)

Securitas

AB

(10,459)

(102,540)

28

(0.1)

Svenska

Cellulosa

AB

SCA

(2,530)

(38,007)

(42)

0.1

Swedish

Orphan

Biovitrum

AB

(4,065)

(107,610)

(49)

0.1

Telefonaktiebolaget

LM

Ericsson

(4,919)

(30,956)

(135)

0.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.30%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

12/29/2025

$500,123

$6,487

$3,994

$10,481

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contract

as

of

period

end:

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

9,700

26,203

626

6.0

Yangzijiang

Shipbuilding

Holdings

Ltd.

13,500

15,231

194

1.8

297

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

December

31,

2023

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Singapore

Genting

Singapore

Ltd.

61,600

46,659

1,151

11.0

Oversea-Chinese

Banking

Corp.

Ltd.

8,500

83,635

2,161

20.6

Singapore

Airlines

Ltd.

12,900

64,053

1,300

12.4

Singapore

Telecommunications

Ltd.

8,500

15,912

261

2.5

United

Overseas

Bank

Ltd.

7,000

151,082

3,167

30.2

Short

Positions

Common

Stocks

Singapore

City

Developments

Ltd.

(400)

(2,014)

6

0.1

Seatrium

Ltd.

(404,800)

(36,145)

(913)

(8.7)

Singapore

Technologies

Engineering

Ltd.

(20,100)

(59,189)

(1,466)

(14.0)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2023

was

as

follows:

COUNTERPARTY

OVER-THE-COUNTER

EXCHANGE-TRADED/

EXCHANGE-CLEARED

TOTAL

CITI

Investment

Companies

$

105,602

$

–

$

105,602

GSIN

Cash

10,331,438

–

10,331,438

MLIN

Cash

(401,781)

–

(401,781)

298

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Abbreviations

ADR

-

American

Depositary

Receipt

CHESS

-

Clearing

House

Electronic

Subregister

System  Depository

Interest

CVA

-

Dutch

Certification

CVR

-

Contingent

Value

Rights

OYJ

-

Public

Traded

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference.  Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

SDR

-

Swedish

Depositary

Receipt

Currencies

AUD

-

Australian

dollar

BRL

-

Brazilian

real

CAD

-

Canadian

dollar

CHF

-

Swiss

franc

CLP

-

Chilean

peso

CNY

-

Chinese

renminbi

COP

-

Colombian

peso

CZK

-

Czech

Republic

koruna

DKK

-

Danish

krone

EUR

-

Euro

GBP

-

British

pound

HKD

-

Hong

Kong

dollar

HUF

-

Hungarian

forint

IDR

-

Indonesian

rupiah

ILS

-

Israeli

shekel

INR

-

Indian

rupee

JPY

-

Japanese

yen

KRW

-

Korean

won

MXN

-

Mexican

peso

MYR

-

Malaysian

ringgit

NOK

-

Norwegian

krone

NZD

-

New

Zealand

dollar

PEN

-

Peruvian

Nuevo

sol

PHP

-

Philippine

peso

PLN

-

Poland

zloty

SEK

-

Swedish

krona

SGD

-

Singapore

dollar

THB

-

Thai

baht

TWD

-

New

Taiwan

dollar

USD

-

United

States

dollar

ZAR

-

South

African

rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BANA

-

Bank

of

America,

NA

BARC

-

Barclays

Capital,

Inc.

BNPP

-

BNP

Paribas

SA

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

JPPC

-

J.P.

Morgan

Securities

plc

MLIN

-

Merrill

Lynch

International

MSCL

-

Morgan

Stanley

&

Co.

LLC

MSCS

-

Morgan

Stanley

Capital

Services

LLC

MSIP

-

Morgan

Stanley

&

Co.

International

plc

299

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

1

Month

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

4.02%

Australian

Bank-Bill

Reference

Rate

(“BBR”):

4.31%

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”):

4.32%

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate

(“MUTSC”):

-0.04%

Brazilian

Interbank

Certificate

of

Deposit

(“CDI”):

11.65%

Canadian

Dollar

Offered

Rate

(“CDOR”):

5.46%

Canadian

Overnight

Repo

Rate

Average

("CORRA"):

5.06%

Copenhagen

Interbank

Offered

Rate(“CIBOR”):

3.87%

Denmark

Tomorrow/Next

:

3.60%

Euro

Short-Term

Rate

("ESTR"):

3.88%

Federal

Funds

Floating

Rate:

5.33%

Hong

Kong

Interbank

Offered

Rate

(“HIBOR”):

5.27%

Hong

Kong

Overnight

Index

Average

(“HONIX”):

6.07%

Johannesburg

Interbank

Agreed

Rate

(“JIBAR”):

8.30%

Mexico

Equilibrium

Interbank

Interest

Rate

("TIIE"):

11.50%

Norway

Interbank

Offered

Rate

("NIBOR"):

4.59%

Norwegian

Overnight

Weighted

Average

("NOWA"):

4.50%

Overnight

Bank

Funding

Rate

("OBFR"):

5.32%

Rand

Overnight

Deposit

Rate:

8.07%

Reserve

Bank

of

Australia

Cash

Rate (“RBACR”): 4.32%

Singapore

Overnight

Rate

Average

(“SORA”):

3.62%

Sterling

Overnight

Index

Average

(“SONIA”):

5.19%

Swiss

Average

Rate

Overnight

(“SARON”):

1.70%

Tel

Aviv

Interbank

Offer

Rate

("TELBOR"):

4.60%

Tokyo

Overnight

Average

Rate

(“TONAR”): -0.04%

Warsaw

Interbank

Offered

Rate(“WIBOR”):

5.70%

Statements

of

Assets

and

Liabilities

300

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

ALTERNATIVE

RISK

PREMIA

FUND

*

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

386,286,455

$

1,659,973,941

$

9,211,457

$

255,000,272

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

333,673,392

453,868,222

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

482,153,221

$

1,693,336,862

$

9,212,123

$

257,736,148

Investments

in

securities

of

affiliated

issuers,

at

value

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

—

333,797,563

442,974,590

—

Cash

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

140,263

1,168,676

—

—

Cash

denominated

in

foreign

currencies

‡

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

460,951

4,604,827

—

1,833,980

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

5,169,935

1,898

—

12,225

Unrealized

appreciation

on

OTC

swaps

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

563,436

805,092

—

892,730

Deposits

for

securities

sold

short

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

37,478,484

51,830,875

—

—

Due

from

brokers

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

2,667,019

29,167,570

—

29,160

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

premium

(received)

$(1,108,368),

$(1,128,906),

$—

and

$—,

respectively)

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

2,123,389

5,467,433

—

—

Deposits

with

brokers

for

futures

contracts

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

19,592,573

3,963,502

—

—

Variation

margin

on

centrally

cleared

swaps

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

—

78,474

—

—

Variation

margin

on

futures

contracts

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

138,185

5,637

—

—

Receivables:

Securities

sold

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

14,086

5,160,058

8,475,342

4,587,315

Foreign

tax

reclaims

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

352,440

66,249

—

103,777

Dividends

and

interest

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

839,120

4,990,617

43,909

656,828

Capital

shares

sold

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

726,821

2,138,036

3,487,810

2,497,656

Due

from

Investment

Adviser

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

—

—

4,045

—

Due

from

custodian

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

—

1,200,329

—

—

Prepaid

expenses

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

25,031

20,625

36,020

28,702

Total

Assets

552,444,954

2,137,804,323

464,233,839

268,378,521

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $387,201,925,

$284,596,875,

$–

and

$7,896,948,

respectively)

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

374,140,121

299,234,251

—

8,312,783

Due

to

brokers

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

331,392

625,092

—

321

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

5,561,604

743,589

—

115,308

Unrealized

depreciation

on

OTC

swaps

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

64,257

19,252,840

—

2,489,070

Variation

margin

on

centrally

cleared

swaps

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

152,548

—

—

—

Variation

margin

on

futures

contracts

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

462,411

183,898

—

—

Payables:

–

–

–

–

Securities

purchased

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

802,856

13,057,619

9,270,957

2,177,336

Accrued

investment

advisory

fees

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

144,825

1,484,782

—

251,344

Accrued

distribution

fees—Class

N

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

1,395

11,674

5,991

7,414

Capital

shares

redeemed

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

4,232

2,506,773

2,831,173

1,191,633

Dividends

and

interest

payable

on

securities

sold

short

.........

493,024

392,732

—

3,726

Other

accrued

expenses

and

liabilities

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

139,613

587,211

135,329

156,932

Total

Liabilities

382,298,278

338,080,461

12,243,450

14,705,867

Commitments

and

contingent

liabilities

^

Net

Assets

$

170,146,676

$

1,799,723,862

$

451,990,389

$

253,672,654

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

196,397,379

$

1,945,462,453

$

475,523,148

$

255,513,461

Total

distributable

earnings

(loss)

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

(26,250,703)

(145,738,591)

(23,532,759)

(1,840,807)

Net

Assets

$

170,146,676

$

1,799,723,862

$

451,990,389

$

253,672,654

NET

ASSETS:

Class

I

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

$

53,905,495

$

1,217,508,771

$

422,537,688

$

142,947,212

Class

N

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

6,463,594

54,731,151

28,964,580

22,616,203

Class

R6

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

109,777,587

527,483,940

488,121

88,109,239

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

5,531,350

102,379,836

37,660,958

16,865,505

Class

N

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

668,409

4,605,535

2,590,043

2,721,551

Class

R6

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

11,220,343

44,376,909

43,445

10,340,243

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

9.75

$

11.89

$

11.22

$

8.48

Class

N

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

$

9.67

$

11.88

$

11.18

$

8.31

Class

R6

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

$

9.78

$

11.89

$

11.24

$

8.52

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

454,813

$

4,570,038

$

—

$

1,818,745

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

^

See

Note

9

in

the

Notes

to

Financial

Statements

for

additional

information

on

potential

future

recoupment

of

expenses

reimbursed

by

the

Adviser.

Statements

of

Assets

and

Liabilities

301

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

*

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

594,794,874

$

81,677,250

$

1,252,913,377

$

140,599,949

Investments

in

securities

of

affiliated

issuers,

at

cost

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

267,174,066

—

—

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

595,110,711

$

82,727,424

$

1,253,492,983

$

140,641,422

Investments

in

securities

of

affiliated

issuers,

at

value

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

267,234,005

—

—

—

Cash

denominated

in

foreign

currencies

‡

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

11,071,953

518,956

3,252,454

1,059,589

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

3,693,333

8,105,720

55,842,051

9,012,706

Unrealized

appreciation

on

OTC

swaps

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

4,317,756

769,359

6,935,770

1,091,330

Due

from

brokers

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

95,110,571

166,401

4,423,962

—

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

premium

(received)

$—,

$(3,749,373),

$(1,377,691)

and

$(201,532),

respectively)

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

—

4,787,133

17,845,565

3,036,578

Deposits

with

brokers

for

futures

contracts

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

13,299,802

16,616,364

102,820,998

18,189,350

Variation

margin

on

centrally

cleared

swaps

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

—

19,921

36,584

16,642

Variation

margin

on

futures

contracts

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

—

318,997

2,769,695

511,903

Receivables:

Securities

sold

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

4,272

33,425

244,357

6,821

Foreign

tax

reclaims

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

8,835

2,700

—

—

Dividends

and

interest

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

1,264,809

213,628

1,151,405

151,543

Capital

shares

sold

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

4,568,760

391,837

5,849,720

4,352,242

Prepaid

expenses

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

62,152

15,446

15,183

21,411

Total

Assets

995,746,959

114,687,311

1,454,680,727

178,091,537

LIABILITIES:

Due

to

custodian

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

210,008

99,993

1,042,604

—

Due

to

brokers

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

1,435,422

1,451,695

3,161,453

986,477

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

215,463

6,616,306

66,269,995

10,973,929

Unrealized

depreciation

on

OTC

swaps

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

34,447,695

321,688

17,038,329

3,203,050

Deposits

from

brokers

for

futures

contracts

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

—

46

—

—

Variation

margin

on

centrally

cleared

swaps

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

—

209,876

998,686

170,404

Variation

margin

on

futures

contracts

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

475,207

559,083

2,153,552

355,923

Payables:

–

–

–

–

Securities

purchased

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

—

37,106

303,543

12,186

Accrued

investment

advisory

fees

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

937,561

58,874

1,256,274

172,958

Accrued

distribution

fees—Class

N

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

9,572

799

11,233

913

Capital

shares

redeemed

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

1,303,229

1,647,826

13,981,977

274,388

Dividends

and

interest

payable

on

securities

sold

short

.........

—

1,183

2,537

478

Other

accrued

expenses

and

liabilities

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

377,234

118,156

364,728

129,041

Total

Liabilities

39,411,391

11,122,631

106,584,911

16,279,747

Commitments

and

contingent

liabilities

^

Net

Assets

$

956,335,568

$

103,564,680

$

1,348,095,816

$

161,811,790

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

952,635,307

$

114,237,453

$

2,373,369,857

$

270,331,577

Total

distributable

earnings

(loss)

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

3,700,261

(10,672,773)

(1,025,274,041)

(108,519,787)

Net

Assets

$

956,335,568

$

103,564,680

$

1,348,095,816

$

161,811,790

NET

ASSETS:

Class

I

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

$

909,817,413

$

36,897,605

$

1,147,293,309

$

77,589,772

Class

N

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

39,327,401

2,206,702

50,893,091

3,886,978

Class

R6

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

7,190,754

64,460,373

149,909,416

80,335,040

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

69,014,395

3,769,119

140,232,406

10,059,144

Class

N

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

3,057,909

228,446

6,278,552

500,108

Class

R6

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

540,594

6,569,722

18,291,330

10,383,649

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

13.18

$

9.79

$

8.18

$

7.71

Class

N

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

$

12.86

$

9.66

$

8.11

$

7.77

Class

R6

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

$

13.30

$

9.81

$

8.20

$

7.74

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

11,004,799

$

512,706

$

3,247,691

$

1,057,207

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

^

See

Note

9

in

the

Notes

to

Financial

Statements

for

additional

information

on

potential

future

recoupment

of

expenses

reimbursed

by

the

Adviser.

Statements

of

Assets

and

Liabilities

302

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

MULTI-

ASSET

FUND

*

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

*

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

*

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

260,992,562

$

204,412,203

$

486,635,754

$

12,004,428

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

212,120,688

265,913,388

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

287,667,047

$

204,505,219

$

502,880,474

$

12,009,974

Investments

in

securities

of

affiliated

issuers,

at

value

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

—

212,191,781

265,947,113

—

Cash

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

—

—

8,254

999,973

Cash

denominated

in

foreign

currencies

‡

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

1,216,421

—

16,395,932

274,065

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

3,932,479

—

31,769,648

115,087

Unrealized

appreciation

on

OTC

swaps

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

38,365

—

10,389,024

509,820

Deposits

for

securities

sold

short

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

—

—

707,350

—

Due

from

brokers

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

1,133

—

4,475,468

10,331,437

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

premium

(received)

$—,

$—,

$(10,235,693)

and

$—,

respectively)

..

—

—

16,746,829

—

Deposits

with

brokers

for

futures

contracts

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

16,987,606

48,749,238

126,932,973

—

Variation

margin

on

futures

contracts

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

68,269

—

2,408,605

—

Receivables:

Securities

sold

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

3,700

—

122,156

120

Foreign

tax

reclaims

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

162,112

—

177,374

—

Dividends

and

interest

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

458,771

1,010,612

1,385,875

76,166

Capital

shares

sold

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

1,301,831

656,625

9,295,533

234

Prepaid

expenses

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

23,017

27,416

38,332

29,456

Total

Assets

311,860,751

467,140,891

989,680,940

24,346,332

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $32,506,080,

$–,

$45,624,015

and

$–,

respectively)

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

35,043,026

—

46,105,791

—

Due

to

custodian

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

324

60

—

—

Due

to

brokers

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

273

139

363,625

401,808

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

4,295,601

—

30,642,548

368

Unrealized

depreciation

on

OTC

swaps

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

116,032

—

24,568,869

605,281

Variation

margin

on

centrally

cleared

swaps

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

—

—

1,193,626

—

Variation

margin

on

futures

contracts

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

968,682

5,910,072

4,301,106

—

Payables:

–

–

–

–

Securities

purchased

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

1,358,565

—

1,359,082

—

Accrued

investment

advisory

fees

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

114,273

305,213

1,002,307

7,737

Accrued

distribution

fees—Class

N

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

2,421

9,019

7,112

1,825

Capital

shares

redeemed

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

7,439,240

4,298,757

4,490,119

—

Dividends

and

interest

payable

on

securities

sold

short

.........

34,288

—

18,280

—

Other

accrued

expenses

and

liabilities

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

161,700

296,474

334,098

90,499

Total

Liabilities

49,534,425

10,819,734

114,386,563

1,107,518

Commitments

and

contingent

liabilities

^

Net

Assets

$

262,326,326

$

456,321,157

$

875,294,377

$

23,238,814

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

253,494,647

$

473,595,617

$

1,296,289,221

$

22,484,942

Total

distributable

earnings

(loss)

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

8,831,679

(17,274,460)

(420,994,844)

753,872

Net

Assets

$

262,326,326

$

456,321,157

$

875,294,377

$

23,238,814

NET

ASSETS:

Class

I

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

$

119,048,018

$

374,018,579

$

356,484,036

$

2,811,910

Class

N

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

11,538,752

41,426,031

31,491,415

7,725,393

Class

R6

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

131,739,556

40,876,547

487,318,926

12,701,511

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

12,420,748

45,138,520

52,104,314

246,514

Class

N

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

1,208,423

5,106,449

4,656,394

678,939

Class

R6

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

13,762,129

4,906,237

70,825,820

1,112,251

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

9.58

$

8.29

$

6.84

$

11.41

Class

N

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

$

9.55

$

8.11

$

6.76

$

11.38

Class

R6

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

$

9.57

$

8.33

$

6.88

$

11.42

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

1,197,258

$

—

$

16,312,162

$

271,913

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

^

See

Note

9

in

the

Notes

to

Financial

Statements

for

additional

information

on

potential

future

recoupment

of

expenses

reimbursed

by

the

Adviser.

Statements

of

Operations

303

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

For

the

year

Ended

December

31,

2023

AQR

ALTERNATIVE

RISK

PREMIA

FUND

*

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

12,563,307

$

6,977,943

$

347,080

$

6,727,626

Affiliated

issuers

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

—

23,716,954

47,361,219

—

Interest

income

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

1,248,927

49,963,763

544

5,215,346

Total

Income

13,812,234

80,658,660

47,708,843

11,942,972

EXPENSES:

Investment

advisory

fees

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

2,025,778

17,258,268

—

2,544,879

Custody

fees

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

14,640

148,293

19,133

7,636

Administration

&

accounting

fees

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

79,096

808,969

88,234

108,286

Legal

fees

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

14,850

145,476

24,192

22,225

Audit

&

tax

fees

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

149,348

179,159

38,098

109,447

Shareholder

reporting

fees

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

24,860

238,169

41,630

26,919

Transfer

agent

fees

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

85,433

1,255,457

360,375

166,853

Trustee

fees

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

17,404

120,913

22,975

21,425

Distribution

fees—Class

N

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

15,346

146,636

52,546

66,454

Dividends

and

interest

on

securities

sold

short

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

5,606,935

2,034,223

—

216,527

Interest

expense

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

27,130

100,747

—

167,714

Recoupment

of

reimbursement

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

—

33,799

2,427

12,963

Registration

fees

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

57,139

84,783

115,340

99,209

Other

expenses

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

68,263

89,072

5,776

24,964

Total

Expenses

8,186,222

22,643,964

770,726

3,595,501

Less

expense

reimbursements

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

(278,672)

(115,550)

(37,548)

(196,856)

Net

Expenses

7,907,550

22,528,414

733,178

3,398,645

Net

Investment

Income

(Loss)

5,904,684

58,130,246

46,975,665

8,544,327

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

3,065,800

(16,764,501)

(86)

2,486,230

Transactions

in

investment

securities

of

affiliated

issuers

........

—

44,282

(8,529,561)

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(273,341)

(34,982)

—

(146,096)

Settlement

of

forward

foreign

currency

exchange

contracts

......

(614,933)

1,373,441

—

(35,929)

Expiration

or

closing

of

futures

contracts

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

(2,116,358)

619,780

—

—

Closed

short

positions

in

securities

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

(22,784,542)

7,198,528

—

(509,362)

Expiration

or

closing

of

swap

contracts

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

1,374,470

(68,577,465)

—

27,128,904

Expiration

or

closing

of

written

option

contracts

(premium-style)

...

—

167,528

—

—

Net

realized

gain

(loss)

(21,348,904)

(75,973,389)

(8,529,647)

28,923,747

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

51,681,762

85,343,743

(6)

1,904,255

Investment

securities

of

affiliated

issuers

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

—

(37,203)

(10,166,359)

—

Foreign

currency

and

foreign

currency

transactions

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

(3,566)

45,819

—

7,464

Forward

foreign

currency

exchange

contracts

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

568,053

(1,401,254)

—

(89,073)

Futures

contracts

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

(264,313)

(5,132,229)

—

—

Short

positions

in

securities

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

(24,947,479)

(33,647,372)

—

(872,745)

Swap

contracts

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

757,529

47,735,553

—

(4,844,739)

Net

change

in

unrealized

appreciation

(depreciation)

27,791,986

92,907,057

(10,166,365)

(3,894,838)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

6,443,082

16,933,668

(18,696,012)

25,028,909

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

12,347,766

$

75,063,914

$

28,279,653

$

33,573,236

†

Net

of

foreign

taxes

withheld

of

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

$

651,817

$

1,102,630

$

—

$

70,435

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

304

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

For

the

year

Ended

December

31,

2023

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

*

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

97,437

$

3,229,781

$

2,460,285

$

2,061,723

Affiliated

issuers

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

11,351,715

—

12,566,122

—

Interest

income

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

23,678,406

1,875,855

51,909,288

5,210,726

Interfund

lending

income

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

—

—

63,971

—

Total

Income

35,127,558

5,105,636

66,999,666

7,272,449

EXPENSES:

Investment

advisory

fees

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

7,992,716

1,314,387

15,490,975

2,380,007

Custody

fees

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

50,743

46,384

66,324

37,944

Administration

&

accounting

fees

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

340,059

61,728

691,568

76,914

Legal

fees

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

51,927

13,605

93,701

14,212

Audit

&

tax

fees

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

111,558

118,736

145,713

136,975

Shareholder

reporting

fees

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

60,436

31,753

213,426

29,768

Transfer

agent

fees

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

651,254

95,805

1,181,880

115,952

Trustee

fees

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

54,566

15,091

106,399

17,417

Distribution

fees—Class

N

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

63,111

17,905

149,554

10,874

Interest

expense

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

427,747

16,884

286,548

54,954

Recoupment

of

reimbursement

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

83,866

—

1,415

—

Registration

fees

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

113,218

69,357

114,994

59,558

Other

expenses

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

43,609

80,515

141,038

97,964

Total

Expenses

10,044,810

1,882,150

18,683,535

3,032,539

Less

expense

reimbursements

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

(103,455)

(322,857)

(22,249)

(323,230)

Net

Expenses

9,941,355

1,559,293

18,661,286

2,709,309

Net

Investment

Income

(Loss)

25,186,203

3,546,343

48,338,380

4,563,140

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

223,511

330,223

96,024

2,575

Transactions

in

investment

securities

of

affiliated

issuers

........

(12,217)

—

21,443

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(666,414)

(404,390)

(4,004,896)

(819,449)

Settlement

of

forward

foreign

currency

exchange

contracts

......

(383,463)

(3,538,561)

(28,440,039)

(5,345,628)

Expiration

or

closing

of

futures

contracts

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

25,973,278

(4,173,951)

45,604,289

5,046,845

Expiration

or

closing

of

swap

contracts

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

128,383,846

947,480

10,060,337

1,081,430

Net

realized

gain

(loss)

153,518,541

(6,839,199)

23,337,158

(34,227)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

241,021

1,401,994

1,160,460

79,945

Investment

securities

of

affiliated

issuers

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

(403)

—

(10,422)

—

Foreign

currency

and

foreign

currency

transactions

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

(266,789)

14,816

467,404

9,821

Forward

foreign

currency

exchange

contracts

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

1,731,756

506,415

9,560,085

1,248,673

Futures

contracts

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

13,088,654

(1,680,008)

(49,553,164)

(7,341,000)

Swap

contracts

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

(43,221,566)

877,113

(7,604,113)

(1,400,819)

Net

change

in

unrealized

appreciation

(depreciation)

(28,427,327)

1,120,330

(45,979,750)

(7,403,380)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

125,091,214

(5,718,869)

(22,642,592)

(7,437,607)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

150,277,417

$

(2,172,526)

$

25,695,788

$

(2,874,467)

†

Net

of

foreign

taxes

withheld

of

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

$

—

$

19,121

$

26,653

$

6,405

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

305

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

For

the

year

Ended

December

31,

2023

AQR

MULTI-

ASSET

FUND

*

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

*

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

*

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

5,339,527

$

—

$

2,779,995

$

451,455

Affiliated

issuers

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

—

11,269,103

15,389,343

—

Interest

income

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

3,395,042

9,690,480

21,243,979

780,336

Total

Income

8,734,569

20,959,583

39,413,317

1,231,791

EXPENSES:

Investment

advisory

fees

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

1,293,817

3,767,375

11,704,240

328,055

Custody

fees

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

28,343

11,919

29,177

9,338

Administration

&

accounting

fees

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

100,990

220,731

421,821

19,802

Legal

fees

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

16,767

37,550

74,895

3,591

Audit

&

tax

fees

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

149,724

119,724

148,576

108,594

Shareholder

reporting

fees

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

20,088

101,215

77,245

15,777

Transfer

agent

fees

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

142,681

396,427

409,276

36,866

Trustee

fees

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

19,996

38,230

66,773

8,002

Distribution

fees—Class

N

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

27,343

108,787

87,649

19,054

Dividends

and

interest

on

securities

sold

short

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

410,784

—

1,007,727

—

Interest

expense

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

19,334

26,923

995,900

15,828

Recoupment

of

reimbursement

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

—

50,180

—

—

Registration

fees

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

74,321

100,347

88,640

51,382

Tax

expense  (Note

3)

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

863

—

—

—

Other

expenses

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

11,647

15,193

125,124

1,118

Total

Expenses

2,316,698

4,994,601

15,237,043

617,407

Less

expense

reimbursements

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

(229,134)

(188,028)

(145,451)

(206,169)

Net

Expenses

2,087,564

4,806,573

15,091,592

411,238

Net

Investment

Income

(Loss)

6,647,005

16,153,010

24,321,725

820,553

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

3,593,930

(114,799)

3,431,490

2,018

Transactions

in

investment

securities

of

affiliated

issuers

........

—

5,998

37,280

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(292,736)

111,515

(2,324,009)

5,231

Settlement

of

forward

foreign

currency

exchange

contracts

......

(77,750)

—

(3,250,916)

(62,969)

Expiration

or

closing

of

futures

contracts

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

(7,958,470)

4,789,700

(16,788,604)

—

Closed

short

positions

in

securities

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

(1,991,791)

—

(759,875)

—

Expiration

or

closing

of

swap

contracts

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

(585,094)

—

109,412,114

6,128,899

Net

realized

gain

(loss)

(7,311,911)

4,792,414

89,757,480

6,073,179

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

23,079,728

188,234

13,848,517

524

Investment

securities

of

affiliated

issuers

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

—

(562)

(32,233)

—

Foreign

currency

and

foreign

currency

transactions

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

(1,046)

37,941

(64,733)

2,490

Forward

foreign

currency

exchange

contracts

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

76,997

—

4,773,049

36,546

Futures

contracts

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

5,438,851

(26,241,396)

11,771,616

—

Short

positions

in

securities

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

(4,891,096)

—

(5,612,043)

—

Swap

contracts

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

(150,707)

—

(29,584,383)

(562,641)

Net

change

in

unrealized

appreciation

(depreciation)

23,552,727

(26,015,783)

(4,900,210)

(523,081)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

16,240,816

(21,223,369)

84,857,270

5,550,098

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

22,887,821

$

(5,070,359)

$

109,178,995

$

6,370,651

†

Net

of

foreign

taxes

withheld

of

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

$

217,852

$

33,719

$

165,684

$

—

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

306

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

ALTERNATIVE

RISK

PREMIA

FUND

*

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

5,904,684

$

1,454,014

$

58,130,246

$

10,248,801

Net

realized

gain

(loss)

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

(21,348,904)

7,658,320

(75,973,389)

89,234,550

Net

change

in

unrealized

appreciation

(depreciation)

.......

27,791,986

23,324,564

92,907,057

(145,330,183)

Net increase

(decrease)

in

net

assets

resulting

from

operations

12,347,766

32,436,898

75,063,914

(45,846,832)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(2,416,752)

—

(32,312,558)

(983,966)

Class

N

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

(267,800)

—

(1,338,069)

(63,776)

Class

R6

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

(4,644,520)

—

(14,892,005)

(438,704)

Total

distributions

(7,329,072)

—

(48,542,632)

(1,486,446)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

14,078,199

28,234,985

549,502,676

521,817,437

Reinvestment

of

distributions

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

2,401,949

—

25,611,807

742,297

Cost

of

shares

redeemed

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

(19,081,993)

(30,094,366)

(392,791,254)

(395,246,621)

Net

increase

(decrease)

from

capital

transactions

(2,601,845)

(1,859,381)

182,323,229

127,313,113

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

534,244

2,322,031

15,979,067

38,988,288

Reinvestment

of

distributions

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

267,778

—

1,287,719

62,274

Cost

of

shares

redeemed

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

(404,080)

(5,355,159)

(29,962,157)

(15,589,646)

Net

increase

(decrease)

from

capital

transactions

397,942

(3,033,128)

(12,695,371)

23,460,916

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

20,619,034

21,868,314

176,063,486

200,615,218

Reinvestment

of

distributions

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

4,623,069

—

9,114,671

277,229

Cost

of

shares

redeemed

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

(19,557,145)

(24,517,916)

(124,317,289)

(87,170,719)

Net

increase

(decrease)

from

capital

transactions

5,684,958

(2,649,602)

60,860,868

113,721,728

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

3,481,055

(7,542,111)

230,488,726

264,495,757

Total

increase

(decrease)

in

net

assets

8,499,749

24,894,787

257,010,008

217,162,479

NET

ASSETS:

Beginning

of

period

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

161,646,927

136,752,140

1,542,713,854

1,325,551,375

End

of

period

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

$

170,146,676

$

161,646,927

$

1,799,723,862

$

1,542,713,854

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

307

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

ALTERNATIVE

RISK

PREMIA

FUND

*

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

5,768,614

6,189,769

87,011,068

76,251,849

Shares

sold

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

1,417,491

3,141,915

46,374,371

44,294,939

Shares

issued

on

reinvestment

of

distributions

...........

242,866

—

2,163,159

63,662

Shares

redeemed

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

(1,897,621)

(3,563,070)

(33,168,762)

(33,599,382)

Shares

outstanding,

end

of

period

5,531,350

5,768,614

102,379,836

87,011,068

CLASS

N

Shares

outstanding,

beginning

of

period

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

630,223

985,910

5,682,394

3,685,631

Shares

sold

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

53,874

266,631

1,350,589

3,318,631

Shares

issued

on

reinvestment

of

distributions

...........

27,296

—

108,760

5,345

Shares

redeemed

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

(42,984)

(622,318)

(2,536,208)

(1,327,213)

Shares

outstanding,

end

of

period

668,409

630,223

4,605,535

5,682,394

CLASS

R6

Shares

outstanding,

beginning

of

period

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

10,635,041

10,881,765

39,270,687

29,636,579

Shares

sold

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

2,088,197

2,499,526

14,852,333

17,048,380

Shares

issued

on

reinvestment

of

distributions

...........

465,566

—

769,820

23,796

Shares

redeemed

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

(1,968,461)

(2,746,250)

(10,515,931)

(7,438,068)

Shares

outstanding,

end

of

period

11,220,343

10,635,041

44,376,909

39,270,687

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

308

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

46,975,665

$

12,616,695

$

8,544,327

$

487,788

Net

realized

gain

(loss)

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

(8,529,647)

(1,985,929)

28,923,747

17,987,376

Net

change

in

unrealized

appreciation

(depreciation)

.......

(10,166,365)

(1,847,154)

(3,894,838)

3,290,520

Net increase

(decrease)

in

net

assets

resulting

from

operations

28,279,653

8,783,612

33,573,236

21,765,684

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(44,830,249)

(12,924,414)

(28,885,846)

(6,276,832)

Class

N

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

(2,921,676)

(441,524)

(6,409,401)

(1,346,438)

Class

R6

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

(51,096)

(413,813)

(16,615,768)

(2,153,069)

Total

distributions

(47,803,021)

(13,779,751)

(51,911,015)

(9,776,339)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

385,845,748

194,581,642

153,859,038

161,528,758

Reinvestment

of

distributions

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

44,762,594

12,861,488

28,762,933

6,220,864

Cost

of

shares

redeemed

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

(166,786,247)

(52,183,714)

(146,808,669)

(92,245,889)

Net

increase

(decrease)

from

capital

transactions

263,822,095

155,259,416

35,813,302

75,503,733

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

30,549,695

10,308,609

35,547,452

51,353,961

Reinvestment

of

distributions

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

2,921,676

395,667

6,312,780

1,318,232

Cost

of

shares

redeemed

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

(9,828,738)

(5,991,291)

(40,292,981)

(47,352,895)

Net

increase

(decrease)

from

capital

transactions

23,642,633

4,712,985

1,567,251

5,319,298

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

215,622

566,450

60,919,375

39,880,808

Reinvestment

of

distributions

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

51,096

32,337

16,601,004

2,149,176

Cost

of

shares

redeemed

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

(4,898,183)

(459,754)

(22,075,522)

(10,344,821)

Net

increase

(decrease)

from

capital

transactions

(4,631,465)

139,033

55,444,857

31,685,163

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

282,833,263

160,111,434

92,825,410

112,508,194

Total

increase

(decrease)

in

net

assets

263,309,895

155,115,295

74,487,631

124,497,539

NET

ASSETS:

Beginning

of

period

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

188,680,494

33,565,199

179,185,023

54,687,484

End

of

period

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

$

451,990,389

$

188,680,494

$

253,672,654

$

179,185,023

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

309

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

15,429,691

2,500,544

13,224,680

4,481,423

Shares

sold

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

32,397,071

16,196,387

16,391,354

18,732,347

Shares

issued

on

reinvestment

of

distributions

...........

3,971,836

1,118,390

3,375,931

721,678

Shares

redeemed

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

(14,137,640)

(4,385,630)

(16,126,460)

(10,710,768)

Shares

outstanding,

end

of

period

37,660,958

15,429,691

16,865,505

13,224,680

CLASS

N

Shares

outstanding,

beginning

of

period

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

567,533

165,948

2,790,246

2,215,198

Shares

sold

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

2,607,284

869,901

3,679,390

5,985,898

Shares

issued

on

reinvestment

of

distributions

...........

260,167

34,466

756,022

155,269

Shares

redeemed

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

(844,941)

(502,782)

(4,504,107)

(5,566,119)

Shares

outstanding,

end

of

period

2,590,043

567,533

2,721,551

2,790,246

CLASS

R6

Shares

outstanding,

beginning

of

period

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

446,722

436,452

4,410,230

805,243

Shares

sold

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

17,845

46,993

6,399,995

4,553,523

Shares

issued

on

reinvestment

of

distributions

...........

4,526

2,807

1,939,370

248,173

Shares

redeemed

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

(425,648)

(39,530)

(2,409,352)

(1,196,709)

Shares

outstanding,

end

of

period

43,445

446,722

10,340,243

4,410,230

Statements

of

Changes

in

Net

Assets

(Continued)

310

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

LONG-SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

*

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

25,186,203

$

714,867

$

3,546,343

$

1,016,516

Net

realized

gain

(loss)

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

153,518,541

49,300,133

(6,839,199)

6,124,889

Net

change

in

unrealized

appreciation

(depreciation)

.......

(28,427,327)

1,565,649

1,120,330

7,328,512

Net increase

(decrease)

in

net

assets

resulting

from

operations

150,277,417

51,580,649

(2,172,526)

14,469,917

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(164,516,062)

(69,421,677)

(3,530,906)

(7,653,485)

Class

N

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

(7,228,838)

(1,615,998)

(189,004)

(521,926)

Class

R6

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

(1,218,197)

(855,304)

(6,631,684)

(2,950,237)

Total

distributions

(172,963,097)

(71,892,979)

(10,351,594)

(11,125,648)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

658,146,995

577,335,870

24,823,319

140,398,205

Reinvestment

of

distributions

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

157,671,049

64,695,538

3,530,475

7,646,245

Cost

of

shares

redeemed

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

(429,148,535)

(355,208,306)

(114,890,456)

(24,654,888)

Net

increase

(decrease)

from

capital

transactions

386,669,509

286,823,102

(86,536,662)

123,389,562

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

58,302,242

11,460,850

4,205,421

7,232,994

Reinvestment

of

distributions

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

7,169,037

1,569,643

189,004

517,179

Cost

of

shares

redeemed

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

(37,865,187)

(10,294,244)

(9,043,464)

(1,442,119)

Net

increase

(decrease)

from

capital

transactions

27,606,092

2,736,249

(4,649,039)

6,308,054

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

3,139,996

3,724,868

45,256,386

25,588,871

Reinvestment

of

distributions

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

1,117,424

816,662

6,629,752

1,541,995

Cost

of

shares

redeemed

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

(4,167,443)

(14,070,856)

(24,586,402)

(7,415,398)

Net

increase

(decrease)

from

capital

transactions

89,977

(9,529,326)

27,299,736

19,715,468

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

414,365,578

280,030,025

(63,885,965)

149,413,084

Total

increase

(decrease)

in

net

assets

391,679,898

259,717,695

(76,410,085)

152,757,353

NET

ASSETS:

Beginning

of

period

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

564,655,670

304,937,975

179,974,765

27,217,412

End

of

period

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

$

956,335,568

$

564,655,670

$

103,564,680

$

179,974,765

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

311

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

LONG-SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

*

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

42,486,728

22,660,129

11,930,178

798,180

Shares

sold

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

44,602,424

41,190,658

2,348,485

12,594,098

Shares

issued

on

reinvestment

of

distributions

...........

11,953,832

5,163,251

362,844

723,391

Shares

redeemed

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

(30,028,589)

(26,527,310)

(10,872,388)

(2,185,491)

Shares

outstanding,

end

of

period

69,014,395

42,486,728

3,769,119

11,930,178

CLASS

N

Shares

outstanding,

beginning

of

period

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

1,089,869

913,522

693,995

72,073

Shares

sold

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

3,999,972

838,701

389,479

702,793

Shares

issued

on

reinvestment

of

distributions

...........

557,035

127,717

19,688

49,873

Shares

redeemed

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

(2,588,967)

(790,071)

(874,716)

(130,744)

Shares

outstanding,

end

of

period

3,057,909

1,089,869

228,446

693,995

CLASS

R6

Shares

outstanding,

beginning

of

period

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

521,296

1,207,353

4,014,101

2,147,926

Shares

sold

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

224,239

267,646

4,235,962

2,399,970

Shares

issued

on

reinvestment

of

distributions

...........

83,954

64,712

679,975

145,471

Shares

redeemed

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

(288,895)

(1,018,415)

(2,360,316)

(679,266)

Shares

outstanding,

end

of

period

540,594

521,296

6,569,722

4,014,101

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

312

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

MANAGED

FUTURES

STRATEGY

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

*

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

48,338,380

$

4,138,357

$

4,563,140

$

122,546

Net

realized

gain

(loss)

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

23,337,158

343,310,144

(34,227)

25,262,537

Net

change

in

unrealized

appreciation

(depreciation)

.......

(45,979,750)

17,428,117

(7,403,380)

3,871,281

Net increase

(decrease)

in

net

assets

resulting

from

operations

25,695,788

364,876,618

(2,874,467)

29,256,364

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

(92,438,620)

(156,421,893)

(5,768,114)

(9,939,643)

Class

N

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

(3,970,333)

(7,583,288)

(293,634)

(410,857)

Class

R6

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

(12,657,017)

(19,712,879)

(5,827,349)

(3,651,151)

Total

(109,065,970)

(183,718,060)

(11,889,097)

(14,001,651)

Return

of

capital:

—

—

—

—

Class

I

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

(1,176,888)

—

—

—

Class

N

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

(56,113)

—

—

—

Class

R6

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

(150,956)

—

—

—

Total

(1,383,957)

—

—

—

Total

distributions

(110,449,927)

(183,718,060)

(11,889,097)

(14,001,651)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

486,068,022

855,979,584

32,484,125

158,000,767

Reinvestment

of

distributions

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

73,469,468

123,757,286

5,551,086

9,752,600

Cost

of

shares

redeemed

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

(652,488,987)

(706,257,428)

(84,191,395)

(80,999,983)

Net

increase

(decrease)

from

capital

transactions

(92,951,497)

273,479,442

(46,156,184)

86,753,384

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

22,264,866

40,962,020

1,384,624

22,522,870

Reinvestment

of

distributions

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

3,858,127

7,378,524

293,071

410,137

Cost

of

shares

redeemed

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

(36,191,010)

(42,316,387)

(2,303,345)

(20,612,615)

Net

increase

(decrease)

from

capital

transactions

(10,068,017)

6,024,157

(625,650)

2,320,392

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

63,936,717

132,705,451

52,767,735

33,151,969

Reinvestment

of

distributions

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

5,078,413

7,120,170

5,813,063

3,634,444

Cost

of

shares

redeemed

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

(73,229,025)

(80,207,618)

(18,290,655)

(17,606,902)

Net

increase

(decrease)

from

capital

transactions

(4,213,895)

59,618,003

40,290,143

19,179,511

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(107,233,409)

339,121,602

(6,491,691)

108,253,287

Total

increase

(decrease)

in

net

assets

(191,987,548)

520,280,160

(21,255,255)

123,508,000

NET

ASSETS:

Beginning

of

period

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

1,540,083,364

1,019,803,204

183,067,045

59,559,045

End

of

period

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

$

1,348,095,816

$

1,540,083,364

$

161,811,790

$

183,067,045

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

313

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

MANAGED

FUTURES

STRATEGY

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

*

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

150,640,327

119,912,936

15,784,683

6,090,044

Shares

sold

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

55,948,699

92,885,302

3,889,698

17,770,919

Shares

issued

on

reinvestment

of

distributions

...........

8,970,631

14,307,201

718,122

1,175,012

Shares

redeemed

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

(75,327,251)

(76,465,112)

(10,333,359)

(9,251,292)

Shares

outstanding,

end

of

period

140,232,406

150,640,327

10,059,144

15,784,683

CLASS

N

Shares

outstanding,

beginning

of

period

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

7,438,592

6,791,239

585,351

380,076

Shares

sold

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

2,541,116

4,427,942

161,908

2,432,234

Shares

issued

on

reinvestment

of

distributions

...........

475,725

859,968

37,622

49,059

Shares

redeemed

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

(4,176,881)

(4,640,557)

(284,773)

(2,276,018)

Shares

outstanding,

end

of

period

6,278,552

7,438,592

500,108

585,351

CLASS

R6

Shares

outstanding,

beginning

of

period

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

18,857,750

13,840,246

5,531,627

3,296,965

Shares

sold

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

7,306,007

13,450,710

6,360,086

3,842,745

Shares

issued

on

reinvestment

of

distributions

...........

619,319

821,242

750,073

436,832

Shares

redeemed

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

(8,491,746)

(9,254,448)

(2,258,137)

(2,044,915)

Shares

outstanding,

end

of

period

18,291,330

18,857,750

10,383,649

5,531,627

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

314

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

MULTI-ASSET

FUND

*

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

*

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

6,647,005

$

3,667,806

$

16,153,010

$

1,470,142

Net

realized

gain

(loss)

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

(7,311,911)

(5,755,127)

4,792,414

22,059,407

Net

change

in

unrealized

appreciation

(depreciation)

.......

23,552,727

(14,086,298)

(26,015,783)

14,352,416

Net increase

(decrease)

in

net

assets

resulting

from

operations

22,887,821

(16,173,619)

(5,070,359)

37,881,965

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(2,787,665)

(6,314,647)

(27,092,983)

(33,303,715)

Class

N

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

(250,388)

(557,782)

(2,975,001)

(3,596,724)

Class

R6

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

(3,634,726)

(2,404,191)

(3,737,882)

(2,857,711)

Total

distributions

(6,672,779)

(9,276,620)

(33,805,866)

(39,758,150)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

30,239,260

72,900,278

195,704,315

509,819,069

Reinvestment

of

distributions

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

1,761,501

4,059,089

25,539,547

32,944,319

Cost

of

shares

redeemed

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

(15,971,672)

(68,048,548)

(206,992,174)

(365,099,249)

Net

increase

(decrease)

from

capital

transactions

16,029,089

8,910,819

14,251,688

177,664,139

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

3,315,503

8,999,250

27,708,644

33,560,689

Reinvestment

of

distributions

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

247,923

538,964

2,964,187

3,596,724

Cost

of

shares

redeemed

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

(1,784,594)

(5,121,711)

(25,913,255)

(29,051,812)

Net

increase

(decrease)

from

capital

transactions

1,778,832

4,416,503

4,759,576

8,105,601

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

110,895,377

40,488,257

35,298,962

34,316,049

Reinvestment

of

distributions

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

3,634,726

2,404,191

3,737,086

2,850,875

Cost

of

shares

redeemed

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

(29,229,254)

(15,213,727)

(23,895,324)

(8,114,335)

Net

increase

(decrease)

from

capital

transactions

85,300,849

27,678,721

15,140,724

29,052,589

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

103,108,770

41,006,043

34,151,988

214,822,329

Total

increase

(decrease)

in

net

assets

119,323,812

15,555,804

(4,724,237)

212,946,144

NET

ASSETS:

Beginning

of

period

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

143,002,514

127,446,710

461,045,394

248,099,250

End

of

period

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

$

262,326,326

$

143,002,514

$

456,321,157

$

461,045,394

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

315

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

MULTI-ASSET

FUND

*

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

*

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

10,693,455

9,928,770

43,761,998

26,596,501

Shares

sold

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

3,268,598

7,366,862

21,661,214

51,808,420

Shares

issued

on

reinvestment

of

distributions

...........

185,032

458,654

3,088,216

3,778,018

Shares

redeemed

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

(1,726,337)

(7,060,831)

(23,372,908)

(38,420,941)

Shares

outstanding,

end

of

period

12,420,748

10,693,455

45,138,520

43,761,998

CLASS

N

Shares

outstanding,

beginning

of

period

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

1,015,293

556,832

4,589,425

3,735,120

Shares

sold

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

358,244

911,972

3,154,028

3,528,389

Shares

issued

on

reinvestment

of

distributions

...........

26,152

61,107

365,949

420,670

Shares

redeemed

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

(191,266)

(514,618)

(3,002,953)

(3,094,754)

Shares

outstanding,

end

of

period

1,208,423

1,015,293

5,106,449

4,589,425

CLASS

R6

Shares

outstanding,

beginning

of

period

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

4,499,554

1,609,210

3,321,303

430,409

Shares

sold

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

11,979,574

4,164,895

3,892,452

3,441,415

Shares

issued

on

reinvestment

of

distributions

...........

382,200

271,967

449,169

325,071

Shares

redeemed

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

(3,099,199)

(1,546,518)

(2,756,687)

(875,592)

Shares

outstanding,

end

of

period

13,762,129

4,499,554

4,906,237

3,321,303

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

316

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

*

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

24,321,725

$

(876,375)

$

820,553

$

(46,972)

Net

realized

gain

(loss)

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

89,757,480

252,813,600

6,073,179

876,432

Net

change

in

unrealized

appreciation

(depreciation)

.......

(4,900,210)

(42,344,878)

(523,081)

470,576

Net increase

(decrease)

in

net

assets

resulting

from

operations

109,178,995

209,592,347

6,370,651

1,300,036

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(71,829,844)

(63,228,460)

(2,359,663)

(196,621)

Class

N

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

(6,340,099)

(6,367,403)

(1,713,941)

(100,622)

Class

R6

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

(98,155,440)

(94,082,119)

(2,397,812)

(225,621)

Total

distributions

(176,325,383)

(163,677,982)

(6,471,416)

(522,864)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

130,339,634

237,851,533

2,909,537

9,380,014

Reinvestment

of

distributions

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

70,582,053

60,326,832

2,359,663

184,415

Cost

of

shares

redeemed

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

(139,069,139)

(233,719,578)

(11,814,957)

(322,648)

Net

increase

(decrease)

from

capital

transactions

61,852,548

64,458,787

(6,545,757)

9,241,781

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

13,978,264

33,082,015

3,598,074

5,865,960

Reinvestment

of

distributions

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

5,482,374

5,576,392

1,713,941

89,042

Cost

of

shares

redeemed

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

(17,804,697)

(25,998,628)

(2,557,103)

(1,330,063)

Net

increase

(decrease)

from

capital

transactions

1,655,941

12,659,779

2,754,912

4,624,939

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

141,322,769

160,336,346

—

—

Reinvestment

of

distributions

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

94,388,856

88,280,427

2,397,812

288

Cost

of

shares

redeemed

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

(194,235,414)

(192,398,557)

—

—

Net

increase

(decrease)

from

capital

transactions

41,476,211

56,218,216

2,397,812

288

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

104,984,700

133,336,782

(1,393,033)

13,867,008

Total

increase

(decrease)

in

net

assets

37,838,312

179,251,147

(1,493,798)

14,644,180

NET

ASSETS:

Beginning

of

period

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

837,456,065

658,204,918

24,732,612

10,088,432

End

of

period

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

$

875,294,377

$

837,456,065

$

23,238,814

$

24,732,612

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

317

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

*

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

43,075,480

34,514,139

829,442

50,000

Shares

sold

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

16,874,625

27,913,018

230,227

793,457

Shares

issued

on

reinvestment

of

distributions

...........

10,185,000

8,097,561

207,900

16,480

Shares

redeemed

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

(18,030,791)

(27,449,238)

(1,021,055)

(30,495)

Shares

outstanding,

end

of

period

52,104,314

43,075,480

246,514

829,442

CLASS

N

Shares

outstanding,

beginning

of

period

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

4,317,987

2,732,084

440,938

50,000

Shares

sold

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

1,819,879

3,865,711

302,972

510,761

Shares

issued

on

reinvestment

of

distributions

...........

800,347

755,609

151,408

7,972

Shares

redeemed

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

(2,281,819)

(3,035,417)

(216,379)

(127,795)

Shares

outstanding,

end

of

period

4,656,394

4,317,987

678,939

440,938

CLASS

R6

Shares

outstanding,

beginning

of

period

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

64,261,848

56,170,219

901,176

901,150

Shares

sold

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

18,263,498

18,894,649

—

—

Shares

issued

on

reinvestment

of

distributions

...........

13,542,160

11,802,196

211,075

26

Shares

redeemed

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

(25,241,686)

(22,605,216)

—

—

Shares

outstanding,

end

of

period

70,825,820

64,261,848

1,112,251

901,176

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

318

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

AQR

ALTERNATIVE

RISK

PREMIA

FUND

**

AQR

MULTI-

ASSET

FUND

**

CASH

FLOWS

FROM

(USED

IN)

OPERATING

ACTIVITIES:

Net

increase

(decrease)

in

net

assets

resulting

from

operations

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

$

12,347,766

$

22,887,821

Adjustments

to

reconcile

net

increase

(decrease)

in

net

assets

resulting

from

operations

to

net

cash

provided

by

(used

in)

operating

activities:

—

—

Payments

to

purchase

securities

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

(223,037,310)

(201,651,060)

Payments

to

cover

short

positions

in

securities

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

(263,966,689)

(51,244,167)

Proceeds

from

sale

of

securities

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

153,325,937

125,512,544

Proceeds

from

short

positions

in

securities

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

355,255,723

62,003,747

(Purchases)

sales

of

short-term

investments,

net

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

19,619,826

(29,015,219)

Realized

(gain)

loss

on

investments

in

securities

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

(3,065,800)

(3,593,930)

Realized

(gain)

loss

on

short

positions

in

securities

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

22,784,542

1,991,791

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

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

(51,681,762)

(23,079,728)

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

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

24,947,479

4,891,096

Amortization

(accretion)

of

bond

premium

(discount)

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

(1,228,880)

(3,201,823)

(Increases)

decreases

in

operating

assets:

–

–

Due

from

brokers

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

(2,220,815)

97,723

Deposits

with

brokers

for

futures

contracts

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

(4,931,740)

(7,399,241)

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

(2,952,795)

(1,857,437)

Unrealized

appreciation

on

OTC

swaps

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

(346,761)

34,675

Deposits

for

securities

sold

short

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

(32,628,945)

—

Deposits

with

brokers

for

centrally

cleared

swaps

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

51,457

—

Variation

margin

on

futures

contracts

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

80,744

20,751

Foreign

tax

reclaim

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

(107,059)

(66,732)

Dividends

and

Interest

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

(196,705)

(285,977)

Prepaid

expenses

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

4,481

20,495

Increases

(decreases)

in

operating

liabilities

–

–

Due

to

broker

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

(132,933)

21

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

2,384,742

1,780,440

Unrealized

depreciation

on

OTC

swaps

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

(123,554)

116,032

Variation

margin

on

centrally

cleared

swaps

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

111,959

—

Variation

margin

on

futures

contracts

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

381,899

427,533

Accrued

investment

advisory

fees

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

25,436

71,533

Accrued

distribution

fees—Class

N

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

143

545

Dividends

and

Interest

payable

on

securities

sold

short

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

176,852

20,468

Other

accrued

expenses

and

liabilities

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

24,871

37,702

Net

cash

provided

by

(used

in)

operating

activities

$

4,902,109

$

(101,480,397)

—

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

—

Proceeds

from

shares

sold

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

34,603,052

144,834,555

Payments

on

shares

redeemed

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

(39,040,542)

(41,241,064)

Cash

distributions

paid

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

(36,276)

(1,028,629)

Due

to

custodian

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

—

(350,462)

Net

cash

provided

by

(used

in)

financing

activities

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

$

(4,473,766)

$

102,214,400

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

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

428,343

734,003

Cash,

beginning

of

period

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

172,871

482,418

Cash,

end

of

period^

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

$

601,214

$

1,216,421

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$500,681

and

$186,895.

Non-cash

financing

activities

consist

of

reinvestment

of

distributions

in

the

amount

$7,292,796

and

$5,644,150.

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

319

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

^

The

following

is

a

reconciliation

of

cash

and

cash

denominated

in

foreign

currencies

reported

on

the

Statements

of

Assets

and

Liabilities

that

sum

to

the

total

of

the

same

such

amounts

disclosed

on

the

Statements

of

Cash

Flows:

FUND

CASH

CASH

DENOMINATED

IN

FOREIGN

CURRENCIES

TOTAL

CASH

AND

CASH

DENOMINATED

IN

FOREIGN

CURRENCIES

AQR

Alternative

Risk

Premia

Fund

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

$

140,263

$

460,951

$

601,214

AQR

Multi-Asset

Fund

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

—

1,216,421

1,216,421

320

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Return

of

Capital

Total

Distributions

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

I

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

9.47

0.34

0.38

0.72

(0.44)

—

—

(0.44)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.56

0.08

1.83

1.91

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.89

(0.05)

1.03

0.98

(0.31)

—

—

(0.31)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.89

(0.02)

(1.84)

(1.86)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.25

0.05

6

(0.33)

(0.28)

(0.08)

—

—

(0.08)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

N

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

9.40

0.31

0.38

0.69

(0.42)

—

—

(0.42)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.53

0.05

1.82

1.87

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.86

(0.06)

1.02

0.96

(0.29)

—

—

(0.29)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.88

(0.04)

(1.84)

(1.88)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.23

0.03

6

(0.33)

(0.30)

(0.05)

—

—

(0.05)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

R6

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

9.51

0.35

0.37

0.72

(0.45)

—

—

(0.45)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.58

0.09

1.84

1.93

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.91

(0.03)

1.02

0.99

(0.32)

—

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.91

(0.02)

(1.84)

(1.86)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.27

0.05

6

(0.32)

(0.27)

(0.09)

—

—

(0.09)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

11.69

0.40

0.13

0.53

(0.33)

—

—

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.10

0.08

7

(0.48)

(0.40)

(0.01)

—

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

11.46

(0.12)

0.84

0.72

(0.08)

—

—

(0.08)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.30

(0.03)

2.37

2.34

(0.15)

—

(0.03)

(0.18)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.75

0.08

0.67

0.75

(0.20)

—

—

(0.20)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

11.68

0.36

0.13

0.49

(0.29)

—

—

(0.29)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.12

0.07

7

(0.50)

(0.43)

(0.01)

—

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

11.48

(0.15)

0.84

0.69

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.31

(0.06)

2.38

2.32

(0.12)

—

(0.03)

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.76

0.05

0.67

0.72

(0.17)

—

—

(0.17)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

11.69

0.41

0.13

0.54

(0.34)

—

—

(0.34)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.08

0.10

7

(0.48)

(0.38)

(0.01)

—

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

11.44

(0.11)

0.84

0.73

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.28

(0.01)

2.36

2.35

(0.15)

—

(0.04)

(0.19)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.73

0.12

0.63

0.75

(0.20)

—

—

(0.20)

321

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

9.75

7.53%

$

53,905

4.90%

4.74%

1.40%

3.44%

158%

$

9.47

25.26%

$

54,627

3.30%

3.12%

1.40%

0.91%

262%

$

7.56

14.25%

$

46,808

3.09%

2.79%

1.40%

(0.62)%

179%

$

6.89

(20.95)%

$

61,080

3.31%

3.20%

1.41%

(0.31)%

232%

$

8.89

(3.08)%

$

144,245

3.60%

3.55%

1.40%

0.58%

6

192%

$

9.67

7.24%

$

6,464

5.14%

4.99%

1.65%

3.18%

158%

$

9.40

24.83%

$

5,926

3.56%

3.37%

1.65%

0.58%

262%

$

7.53

14.03%

$

7,422

3.35%

3.04%

1.65%

(0.78)%

179%

$

6.86

(21.20)%

$

6,503

3.57%

3.45%

1.66%

(0.51)%

232%

$

8.88

(3.24)%

$

8,989

3.85%

3.80%

1.65%

0.28%

6

192%

$

9.78

7.49%

$

109,778

4.80%

4.64%

1.30%

3.54%

158%

$

9.51

25.46%

$

101,094

3.21%

3.02%

1.30%

1.08%

262%

$

7.58

14.31%

$

82,522

3.00%

2.69%

1.30%

(0.43)%

179%

$

6.91

(20.90)%

$

54,859

3.22%

3.10%

1.31%

(0.24)%

232%

$

8.91

(2.93)%

$

82,300

3.51%

3.45%

1.30%

0.53%

6

192%

$

11.89

4.51%

$

1,217,509

1.33%

1.33%

1.20%

3.35%

197%

$

11.69

(3.29)%

$

1,017,383

1.31%

1.30%

1.20%

0.68%

7

164%

$

12.10

6.27%

$

922,765

1.51%

1.47%

1.20%

(0.98)%

518%

$

11.46

25.21%

$

611,741

2.10%

2.04%

1.20%

(0.29)%

598%

$

9.30

8.53%

$

464,186

2.06%

1.98%

1.20%

0.88%

361%

$

11.88

4.23%

$

54,731

1.58%

1.58%

1.45%

3.05%

197%

$

11.68

(3.54)%

$

66,385

1.57%

1.55%

1.45%

0.58%

7

164%

$

12.12

5.99%

$

44,676

1.76%

1.72%

1.45%

(1.22)%

518%

$

11.48

24.96%

$

34,599

2.35%

2.29%

1.45%

(0.60)%

598%

$

9.31

8.21%

$

55,694

2.30%

2.22%

1.44%

0.52%

361%

$

11.89

4.61%

$

527,484

1.23%

1.23%

1.10%

3.46%

197%

$

11.69

(3.13)%

$

458,946

1.22%

1.20%

1.10%

0.81%

7

164%

$

12.08

6.37%

$

358,110

1.42%

1.37%

1.10%

(0.88)%

518%

$

11.44

25.36%

$

232,201

2.00%

1.94%

1.10%

(0.10)%

598%

$

9.28

8.64%

$

19,077

1.96%

1.88%

1.10%

1.27%

361%

322

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Return

of

Capital

Total

Distributions

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

11.47

1.66

(0.64)

1.02

(1.25)

(0.02)

—

(1.27)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.82

1.43

0.17

8

1.60

(0.93)

(0.02)

—

(0.95)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

10.37

0.57

0.54

1.11

(0.51)

(0.15)

—

(0.66)

FOR

THE

PERIOD

6/08/20

10

-12/31/20

$

10.00

0.23

0.34

0.57

(0.20)

—

—

(0.20)

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

11.45

1.54

(0.56)

0.98

(1.23)

(0.02)

—

(1.25)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.80

0.95

0.62

8

1.57

(0.90)

(0.02)

—

(0.92)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

10.37

0.75

0.33

1.08

(0.50)

(0.15)

—

(0.65)

FOR

THE

PERIOD

6/08/20

10

-12/31/20

$

10.00

0.15

0.41

0.56

(0.19)

—

—

(0.19)

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

11.49

1.02

0.01

1.03

(1.26)

(0.02)

—

(1.28)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.83

0.91

0.70

8

1.61

(0.93)

(0.02)

—

(0.95)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

10.37

0.51

0.62

1.13

(0.52)

(0.15)

—

(0.67)

FOR

THE

PERIOD

6/08/20

10

-12/31/20

$

10.00

0.18

0.39

0.57

(0.20)

—

—

(0.20)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.78

0.35

1.16

1.51

(1.81)

—

—

(1.81)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.32

0.03

1.95

1.98

(0.52)

—

—

(0.52)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.31

(0.09)

1.20

1.11

—

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.20

(0.02)

(1.77)

(1.79)

—

(1.10)

—

(1.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.76

0.13

(1.34)

(1.21)

—

(0.35)

—

(0.35)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.65

0.32

1.13

1.45

(1.79)

—

—

(1.79)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.21

0.01

1.93

1.94

(0.50)

—

—

(0.50)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.23

(0.10)

1.18

1.08

—

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.12

(0.03)

(1.76)

(1.79)

—

(1.10)

—

(1.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.70

0.12

(1.35)

(1.23)

—

(0.35)

—

(0.35)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.82

0.36

1.16

1.52

(1.82)

—

—

(1.82)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.35

0.06

1.94

2.00

(0.53)

—

—

(0.53)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.32

(0.08)

1.21

1.13

—

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.22

(0.00)

11

(1.80)

(1.80)

—

(1.10)

—

(1.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.77

0.11

(1.31)

(1.20)

—

(0.35)

—

(0.35)

323

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

11.22

8.88%

$

422,538

0.21%

0.20%

0.20%

13.85%

37%

$

11.47

14.69%

$

177,048

0.29%

0.20%

0.20%

11.92%

48%

$

10.82

10.66%

$

27,048

1.03%

9

0.20%

0.20%

5.11%

14%

$

10.37

5.71%

$

15,645

1.31%

9

0.20%

0.20%

3.91%

14%

$

11.18

8.53%

$

28,964

0.46%

0.45%

0.45%

12.92%

37%

$

11.45

14.49%

$

6,499

0.52%

0.45%

0.45%

7.90%

48%

$

10.80

10.37%

$

1,792

1.15%

9

0.45%

0.45%

6.69%

14%

$

10.37

5.61%

$

533

1.87%

9

0.45%

0.45%

2.56%

14%

$

11.24

8.94%

$

488

0.12%

0.10%

0.10%

8.56%

37%

$

11.49

14.84%

$

5,133

0.22%

0.10%

0.10%

7.65%

48%

$

10.83

10.84%

$

4,725

0.93%

9

0.10%

0.10%

4.55%

14%

$

10.37

5.75%

$

4,492

1.62%

9

0.10%

0.10%

3.06%

14%

$

8.48

17.13%

$

142,947

1.55%

1.47%

1.30%

3.68%

197%

$

8.78

27.22%

$

116,154

1.62%

1.47%

1.30%

0.35%

319%

$

7.32

17.64%

$

32,802

1.87%

1.48%

1.30%

(1.22)%

282%

$

6.31

(19.52)%

$

38,498

1.73%

1.63%

1.30%

(0.20)%

312%

$

9.20

(11.27)%

$

208,679

2.23%

2.21%

1.27%

1.31%

263%

$

8.31

16.71%

$

22,616

1.81%

1.72%

1.55%

3.43%

197%

$

8.65

27.03%

$

24,133

1.88%

1.72%

1.55%

0.12%

319%

$

7.21

17.38%

$

15,968

2.13%

1.73%

1.55%

(1.45)%

282%

$

6.23

(19.70)%

$

10,040

2.03%

1.88%

1.55%

(0.33)%

312%

$

9.12

(11.52)%

$

14,129

2.50%

2.49%

1.55%

1.20%

263%

$

8.52

17.14%

$

88,110

1.46%

1.37%

1.20%

3.82%

197%

$

8.82

27.33%

$

38,898

1.53%

1.37%

1.20%

0.72%

319%

$

7.35

17.93%

$

5,917

1.79%

1.38%

1.20%

(1.13)%

282%

$

6.32

(19.61)%

$

4,758

1.67%

1.53%

1.20%

(0.01)%

312%

$

9.22

(11.17)%

$

38,112

2.15%

2.14%

1.20%

1.05%

263%

324

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Return

of

Capital

Total

Distributions

AQR

LONG-SHORT

EQUITY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

12.81

0.50

2.61

3.11

(2.74)

—

—

(2.74)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.31

0.02

2.29

2.31

(1.32)

(0.49)

—

(1.81)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.39

(0.14)

3.06

2.92

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

11.08

(0.04)

(1.50)

(1.54)

—

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.94

0.10

0.04

0.14

—

—

—

—

AQR

LONG-SHORT

EQUITY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

12.56

0.47

2.55

3.02

(2.72)

—

—

(2.72)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.09

(0.03)

2.27

2.24

(1.28)

(0.49)

—

(1.77)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.25

(0.17)

3.01

2.84

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

10.95

(0.08)

(1.47)

(1.55)

—

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.84

0.07

0.04

0.11

—

—

—

—

AQR

LONG-SHORT

EQUITY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

12.90

0.50

2.65

3.15

(2.75)

—

—

(2.75)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.38

(0.03)

2.37

2.34

(1.33)

(0.49)

—

(1.82)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.44

(0.13)

3.07

2.94

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

11.12

(0.02)

(1.51)

(1.53)

—

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.97

0.10

0.05

0.15

—

—

—

—

AQR

MACRO

OPPORTUNITIES

FUND

CLASS

I

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

10.82

0.28

(0.32)

(0.04)

(0.99)

—

—

(0.99)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

9.01

0.15

2.46

2.61

(0.03)

(0.77)

—

(0.80)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.58

(0.12)

(0.31)

(0.43)

(0.08)

(0.06)

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.52

(0.07)

0.22

0.15

—

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.08

0.06

0.38

0.44

(0.00)

11

—

—

(0.00)

11

AQR

MACRO

OPPORTUNITIES

FUND

CLASS

N

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

10.61

0.26

(0.32)

(0.06)

(0.89)

—

—

(0.89)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

8.86

0.12

2.42

2.54

(0.02)

(0.77)

—

(0.79)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.42

(0.14)

(0.30)

(0.44)

(0.06)

(0.06)

—

(0.12)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.39

(0.10)

0.22

0.12

—

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.97

0.03

0.39

0.42

(0.00)

11

—

—

(0.00)

11

AQR

MACRO

OPPORTUNITIES

FUND

CLASS

R6

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

10.85

0.30

(0.33)

(0.03)

(1.01)

—

—

(1.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

9.03

0.12

2.51

2.63

(0.04)

(0.77)

—

(0.81)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.60

(0.11)

(0.31)

(0.42)

(0.09)

(0.06)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.53

(0.07)

0.23

0.16

—

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.08

0.06

0.39

0.45

(0.00)

11

—

—

(0.00)

11

325

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

13.18

24.28%

$

909,818

1.37%

1.36%

1.30%

3.47%

0%

$

12.81

19.11%

$

544,239

1.37%

1.34%

1.30%

0.16%

0%

$

12.31

31.10%

$

278,938

1.36%

1.31%

1.30%

(1.26)%

0%

$

9.39

(13.91)%

$

350,475

1.32%

1.31%

1.30%

(0.42)%

269%

$

11.08

1.28%

$

901,269

2.06%

2.06%

1.26%

0.92%

292%

$

12.86

24.02%

$

39,327

1.62%

1.61%

1.55%

3.29%

0%

$

12.56

18.84%

$

13,691

1.63%

1.59%

1.55%

(0.23)%

0%

$

12.09

30.70%

$

11,049

1.62%

1.56%

1.55%

(1.52)%

0%

$

9.25

(14.17)%

$

6,934

1.57%

1.56%

1.55%

(0.79)%

269%

$

10.95

1.01%

$

28,689

2.33%

2.33%

1.53%

0.60%

292%

$

13.30

24.42%

$

7,191

1.28%

1.26%

1.20%

3.52%

0%

$

12.90

19.25%

$

6,726

1.28%

1.24%

1.20%

(0.19)%

0%

$

12.38

31.14%

$

14,951

1.27%

1.21%

1.20%

(1.16)%

0%

$

9.44

(13.77)%

$

15,920

1.23%

1.21%

1.20%

(0.25)%

269%

$

11.12

1.37%

$

76,285

1.99%

1.99%

1.19%

0.87%

292%

$

9.79

(0.33)%

$

36,898

1.44%

1.21%

1.20%

2.59%

70%

$

10.82

29.28%

$

129,055

1.98%

1.68%

1.20%

1.34%

319%

$

9.01

(4.54)%

$

7,190

2.32%

12

1.26%

1.25%

(1.23)%

0%

$

9.58

1.61%

$

8,510

2.22%

1.35%

1.34%

(0.77)%

0%

$

9.52

4.90%

$

14,985

2.15%

1.45%

1.45%

0.59%

0%

$

9.66

(0.55)%

$

2,207

1.71%

1.46%

1.45%

2.49%

70%

$

10.61

28.87%

$

7,366

2.28%

1.93%

1.45%

1.13%

319%

$

8.86

(4.72)%

$

638

2.60%

12

1.50%

1.50%

(1.47)%

0%

$

9.42

1.31%

$

537

2.47%

1.60%

1.59%

(1.04)%

0%

$

9.39

4.73%

$

1,173

2.23%

1.70%

1.70%

0.37%

0%

$

9.81

(0.25)%

$

64,460

1.38%

1.11%

1.10%

2.85%

70%

$

10.85

29.38%

$

43,554

1.98%

1.58%

1.10%

1.13%

319%

$

9.03

(4.41)%

$

19,389

2.24%

12

1.16%

1.15%

(1.13)%

0%

$

9.60

1.71%

$

19,070

2.12%

1.23%

1.22%

(0.71)%

0%

$

9.53

5.01%

$

11,841

2.08%

1.35%

1.35%

0.67%

0%

326

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Return

of

Capital

Total

Distributions

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

I

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.71

0.29

(0.13)

0.16

(0.68)

—

(0.01)

(0.69)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.26

0.03

2.53

2.56

(1.11)

—

—

(1.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

7.85

(0.09)

0.00

11

(0.09)

(0.50)

—

—

(0.50)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.30

(0.04)

0.01

(0.03)

(0.42)

—

—

(0.42)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.41

0.09

0.06

0.15

(0.26)

—

—

(0.26)

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

N

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.63

0.26

(0.12)

0.14

(0.65)

—

(0.01)

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.20

0.00

11

2.52

2.52

(1.09)

—

—

(1.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

7.78

(0.11)

0.00

11

(0.11)

(0.47)

—

—

(0.47)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.16

(0.06)

0.00

11

(0.06)

(0.32)

—

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.27

0.06

0.07

0.13

(0.24)

—

—

(0.24)

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

R6

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.72

0.30

(0.12)

0.18

(0.69)

—

(0.01)

(0.70)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.27

0.05

2.52

2.57

(1.12)

—

—

(1.12)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

7.86

(0.09)

0.01

(0.08)

(0.51)

—

—

(0.51)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.32

(0.03)

0.00

11

(0.03)

(0.43)

—

—

(0.43)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.42

0.09

0.08

0.17

(0.27)

—

—

(0.27)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

I

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.35

0.23

(0.28)

(0.05)

(0.59)

—

—

(0.59)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

6.09

0.01

3.03

3.04

(0.78)

—

—

(0.78)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.91

(0.12)

(0.03)

(0.15)

(0.67)

—

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.64

(0.06)

(0.01)

(0.07)

(0.66)

—

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.82

0.04

0.10

0.14

(0.32)

—

—

(0.32)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

N

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.41

0.21

(0.28)

(0.07)

(0.57)

—

—

(0.57)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

6.12

(0.01)

3.04

3.03

(0.74)

—

—

(0.74)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.94

(0.13)

(0.04)

(0.17)

(0.65)

—

—

(0.65)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.56

(0.07)

(0.01)

(0.08)

(0.54)

—

—

(0.54)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.73

0.02

0.10

0.12

(0.29)

—

—

(0.29)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

R6

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.37

0.24

(0.27)

(0.03)

(0.60)

—

—

(0.60)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

6.11

0.01

3.04

3.05

(0.79)

—

—

(0.79)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.93

(0.11)

(0.03)

(0.14)

(0.68)

—

—

(0.68)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.66

(0.05)

(0.01)

(0.06)

(0.67)

—

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.84

0.05

0.10

0.15

(0.33)

—

—

(0.33)

327

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

8.18

1.80%

$

1,147,293

1.27%

1.27%

1.25%

3.28%

0%

$

8.71

35.38%

$

1,311,469

1.27%

1.27%

1.25%

0.28%

0%

$

7.26

(1.06)%

$

870,337

1.24%

1.24%

1.23%

(1.18)%

0%

$

7.85

(0.29)%

$

1,445,072

1.22%

1.22%

1.22%

(0.46)%

0%

$

8.30

1.80%

$

2,315,083

1.21%

1.21%

1.20%

1.00%

0%

$

8.11

1.64%

$

50,893

1.53%

1.52%

1.50%

3.01%

0%

$

8.63

35.04%

$

64,180

1.53%

1.52%

1.50%

0.01%

0%

$

7.20

(1.31)%

$

48,894

1.47%

1.47%

1.47%

(1.41)%

0%

$

7.78

(0.60)%

$

367,278

1.49%

1.49%

1.49%

(0.72)%

0%

$

8.16

1.56%

$

1,506,755

1.49%

1.49%

1.48%

0.71%

0%

$

8.20

2.02%

$

149,910

1.18%

1.17%

1.15%

3.38%

0%

$

8.72

35.41%

$

164,434

1.19%

1.17%

1.15%

0.52%

0%

$

7.27

(0.94)%

$

100,572

1.15%

1.15%

1.15%

(1.09)%

0%

$

7.86

(0.30)%

$

437,288

1.14%

1.14%

1.14%

(0.37)%

0%

$

8.32

2.03%

$

580,587

1.14%

1.14%

1.13%

1.07%

0%

$

7.71

(0.58)%

$

77,590

1.87%

1.68%

1.65%

2.72%

0%

$

8.35

50.00%

$

131,821

1.93%

13

1.66%

1.65%

0.12%

0%

$

6.09

(2.11)%

$

37,100

1.94%

1.71%

1.70%

(1.65)%

0%

$

6.91

(0.65)%

$

90,075

1.76%

1.66%

1.65%

(0.83)%

0%

$

7.64

1.81%

$

159,510

1.70%

1.64%

1.64%

0.50%

0%

$

7.77

(0.81)%

$

3,887

2.12%

1.93%

1.90%

2.49%

0%

$

8.41

49.52%

$

4,923

2.17%

13

1.91%

1.90%

(0.06)%

0%

$

6.12

(2.34)%

$

2,325

2.20%

1.96%

1.95%

(1.91)%

0%

$

6.94

(0.80)%

$

3,141

1.99%

1.91%

1.90%

(0.87)%

0%

$

7.56

1.55%

$

31,794

1.96%

1.90%

1.90%

0.26%

0%

$

7.74

(0.34)%

$

80,335

1.78%

1.58%

1.55%

2.89%

0%

$

8.37

49.95%

$

46,323

1.84%

13

1.56%

1.55%

0.07%

0%

$

6.11

(1.92)%

$

20,134

1.84%

1.60%

1.59%

(1.55)%

0%

$

6.93

(0.49)%

$

25,354

1.65%

1.56%

1.55%

(0.65)%

0%

$

7.66

1.93%

$

95,310

1.61%

1.55%

1.55%

0.59%

0%

328

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Return

of

Capital

Total

Distributions

AQR

MULTI-ASSET

FUND

CLASS

I

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.83

0.29

0.69

0.98

(0.23)

—

—

(0.23)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.54

0.25

(1.36)

(1.11)

(0.60)

(0.00)

11

—

(0.60)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.81

0.14

1.27

1.41

(0.57)

(0.11)

—

(0.68)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.66

0.01

0.25

0.26

(0.11)

—

—

(0.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.51

0.12

1.67

1.79

(0.64)

—

—

(0.64)

AQR

MULTI-ASSET

FUND

CLASS

N

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.80

0.26

0.70

0.96

(0.21)

—

—

(0.21)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.51

0.22

(1.34)

(1.12)

(0.59)

(0.00)

11

—

(0.59)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.79

0.11

1.27

1.38

(0.55)

(0.11)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.63

(0.01)

0.24

0.23

(0.07)

—

—

(0.07)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.49

0.11

1.65

1.76

(0.62)

—

—

(0.62)

AQR

MULTI-ASSET

FUND

CLASS

R6

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.82

0.29

0.70

0.99

(0.24)

—

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.53

0.26

(1.36)

(1.10)

(0.61)

(0.00)

11

—

(0.61)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.80

0.16

1.26

1.42

(0.58)

(0.11)

—

(0.69)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.65

0.02

0.25

0.27

(0.12)

—

—

(0.12)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.51

0.04

1.75

1.79

(0.65)

—

—

(0.65)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

I

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.94

0.31

(0.33)

(0.02)

(0.63)

(0.00)

11

—

(0.63)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

8.08

0.03

1.68

1.71

(0.85)

—

—

(0.85)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.85

(0.08)

2.78

2.70

(1.47)

—

—

(1.47)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.33

(0.01)

0.54

0.53

—

(0.01)

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.65

0.06

0.95

1.01

(0.33)

—

(0.00)

11

(0.33)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

N

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.76

0.28

(0.33)

(0.05)

(0.60)

(0.00)

11

—

(0.60)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.94

0.01

1.64

1.65

(0.83)

—

—

(0.83)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.75

(0.10)

2.74

2.64

(1.45)

—

—

(1.45)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.25

(0.03)

0.54

0.51

—

(0.01)

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.58

0.05

0.93

0.98

(0.31)

—

(0.00)

11

(0.31)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

R6

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

8.98

0.32

(0.34)

(0.02)

(0.63)

(0.00)

11

—

(0.63)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

8.12

0.09

1.63

1.72

(0.86)

—

—

(0.86)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.87

(0.08)

2.81

2.73

(1.48)

—

—

(1.48)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.35

(0.01)

0.54

0.53

—

(0.01)

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.66

0.07

0.95

1.02

(0.33)

—

(0.00)

11

(0.33)

329

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

9.58

11.13%

$

119,048

1.11%

1.00%

0.80%

3.07%

125%

$

8.83

(10.52)%

$

94,401

1.19%

1.00%

0.80%

2.52%

179%

$

10.54

14.34%

$

104,649

1.15%

0.97%

0.80%

1.35%

125%

$

9.81

2.68%

$

120,287

1.20%

1.04%

0.87%

0.10%

187%

$

9.66

21.05%

$

119,488

1.47%

1.34%

0.93%

1.31%

233%

$

9.55

10.91%

$

11,539

1.35%

1.25%

1.05%

2.82%

125%

$

8.80

(10.70)%

$

8,931

1.44%

1.25%

1.05%

2.24%

179%

$

10.51

14.06%

$

5,855

1.40%

1.22%

1.05%

1.03%

125%

$

9.79

2.41%

$

5,585

1.46%

1.31%

1.14%

(0.08)%

187%

$

9.63

20.67%

$

11,366

1.74%

1.61%

1.20%

1.13%

233%

$

9.57

11.25%

$

131,739

1.00%

0.90%

0.70%

3.12%

125%

$

8.82

(10.43)%

$

39,671

1.09%

0.90%

0.70%

2.67%

179%

$

10.53

14.48%

$

16,943

1.05%

0.87%

0.70%

1.51%

125%

$

9.80

2.78%

$

12,202

1.08%

0.92%

0.75%

0.20%

187%

$

9.65

21.07%

$

4,691

1.38%

1.26%

0.85%

0.48%

233%

$

8.29

(0.23)%

$

374,019

1.05%

1.01%

1.00%

3.44%

0%

$

8.94

21.44%

$

391,025

1.04%

1.01%

1.00%

0.30%

0%

$

8.08

39.60%

$

214,957

1.11%

1.01%

1.00%

(0.98)%

0%

$

6.85

8.32%

$

38,558

1.10%

1.00%

1.00%

(0.13)%

0%

$

6.33

17.96%

$

105,145

1.06%

0.99%

0.99%

1.05%

0%

$

8.11

(0.51)%

$

41,426

1.30%

1.26%

1.25%

3.19%

0%

$

8.76

21.01%

$

40,199

1.30%

1.26%

1.25%

0.07%

0%

$

7.94

39.33%

$

29,648

1.37%

1.26%

1.25%

(1.23)%

0%

$

6.75

8.11%

$

16,188

1.39%

1.25%

1.25%

(0.63)%

0%

$

6.25

17.67%

$

13,586

1.32%

1.25%

1.25%

0.79%

0%

$

8.33

(0.16)%

$

40,876

0.95%

0.91%

0.90%

3.60%

0%

$

8.98

21.45%

$

29,821

0.96%

0.91%

0.90%

0.90%

0%

$

8.12

39.89%

$

3,494

1.02%

0.91%

0.90%

(0.88)%

0%

$

6.87

8.29%

$

789

1.02%

0.90%

0.90%

(0.14)%

0%

$

6.35

18.20%

$

148,682

0.97%

0.90%

0.90%

1.12%

0%

330

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Return

of

Capital

Total

Distributions

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

I

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

7.48

0.21

0.77

0.98

(1.62)

—

—

(1.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.03

(0.01)

2.16

2.15

(1.70)

—

—

(1.70)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.36

(0.10)

1.67

1.57

(0.90)

—

—

(0.90)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.15

(0.06)

(1.73)

(1.79)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.02

0.02

6

(0.76)

(0.74)

(0.13)

—

(0.00)

11

(0.13)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

N

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

7.41

0.19

0.76

0.95

(1.60)

—

—

(1.60)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

6.98

(0.03)

2.14

2.11

(1.68)

—

—

(1.68)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.32

(0.12)

1.66

1.54

(0.88)

—

—

(0.88)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.12

(0.08)

(1.72)

(1.80)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.00

0.00

6,11

(0.75)

(0.75)

(0.13)

—

(0.00)

11

(0.13)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

R6

^

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

7.52

0.22

0.77

0.99

(1.63)

—

—

(1.63)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.06

(0.01)

2.17

2.16

(1.70)

—

—

(1.70)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.38

(0.10)

1.69

1.59

(0.91)

—

—

(0.91)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.17

(0.05)

(1.74)

(1.79)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.03

0.03

6

(0.76)

(0.73)

(0.13)

—

(0.00)

11

(0.13)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

11.39

0.34

2.33

2.67

(2.65)

—

—

(2.65)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.08

(0.01)

1.56

1.55

(0.24)

(0.00)

11

—

(0.24)

FOR

THE

PERIOD

12/16/21

10

-12/31/21

$

10.00

(0.01)

0.09

0.08

—

—

—

—

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

11.37

0.32

2.31

2.63

(2.62)

—

—

(2.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.08

(0.03)

1.55

1.52

(0.23)

(0.00)

11

—

(0.23)

FOR

THE

PERIOD

12/16/21

10

-12/31/21

$

10.00

(0.01)

0.09

0.08

—

—

—

—

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2023

$

11.40

0.36

2.32

2.68

(2.66)

—

—

(2.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.08

(0.04)

1.61

1.57

(0.25)

(0.00)

11

—

(0.25)

FOR

THE

PERIOD

12/16/21

10

-12/31/21

$

10.00

(0.00)

11

0.08

0.08

—

—

—

—

331

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

December

31,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

6.84

12.81%

$

356,484

1.74%

1.72%

1.50%

2.66%

115%

$

7.48

30.64%

$

322,368

1.67%

1.63%

1.49%

(0.13)%

174%

$

7.03

24.83%

$

242,712

1.67%

1.60%

1.50%

(1.38)%

194%

$

6.36

(21.96)%

$

237,379

1.84%

1.78%

1.50%

(0.80)%

544%

$

8.15

(8.20)%

$

866,804

2.51%

2.48%

1.49%

0.28%

6

170%

$

6.76

12.49%

$

31,491

1.98%

1.96%

1.74%

2.42%

115%

$

7.41

30.28%

$

32,005

1.94%

1.89%

1.75%

(0.34)%

174%

$

6.98

24.53%

$

19,068

1.92%

1.85%

1.75%

(1.63)%

194%

$

6.32

(22.17)%

$

14,857

2.08%

2.03%

1.75%

(1.06)%

544%

$

8.12

(8.33)%

$

40,665

2.77%

2.74%

1.75%

0.02%

6

170%

$

6.88

12.84%

$

487,319

1.64%

1.62%

1.40%

2.75%

115%

$

7.52

30.79%

$

483,083

1.59%

1.54%

1.40%

(0.07)%

174%

$

7.06

25.04%

$

396,425

1.57%

1.50%

1.40%

(1.28)%

194%

$

6.38

(21.91)%

$

390,127

1.74%

1.68%

1.40%

(0.68)%

544%

$

8.17

(8.08)%

$

1,163,852

2.42%

2.39%

1.40%

0.33%

6

170%

$

11.41

23.56%

$

2,812

2.04%

1.35%

1.30%

2.76%

0%

$

11.39

15.46%

$

9,447

2.91%

1.35%

1.30%

(0.06)%

0%

$

10.08

0.80%

$

504

3.45%

9

1.30%

1.30%

(1.29)%

0%

$

11.38

23.27%

$

7,725

2.28%

1.60%

1.55%

2.59%

0%

$

11.37

15.14%

$

5,015

3.12%

1.60%

1.55%

(0.28)%

0%

$

10.08

0.80%

$

503

3.70%

9

1.55%

1.55%

(1.54)%

0%

$

11.42

23.64%

$

12,702

1.95%

1.25%

1.20%

2.84%

0%

$

11.40

15.62%

$

10,271

3.41%

1.25%

1.20%

(0.35)%

0%

$

10.08

0.80%

$

9,081

3.43%

9

1.20%

1.20%

(1.19)%

0%

332

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2023

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Alternative

Risk

Premia

Fund

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

$

0.01

0.11%

AQR

Style

Premia

Alternative

Fund

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

0.01

0.12

*

Annualized

for

periods

less

than

one

year.

^

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

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

December

31,

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:

7

For

the

year

ended

December

31,

2022,

the

AQR

Diversified

Arbitrage

Fund

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

$0.04

and

0.38%,

respectively.

8

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.

9

Certain

expenses

incurred

by

the

Fund

were

not

annualized

for

the

period.

10

Commencement

of

operations.

11

Amount

is

less

than

$.005

per

share.

12

For

the

year

ended

December

31,

2021,

the

AQR

Macro

Opportunities

Fund

incurred

certain

non-recurring

professional

service

expenses.

Without

these

costs,

the

Expenses,

Before

Reimbursements

and/or

Waivers,

of

each

class

would

have

been

reduced

by

0.22%.

13

For

the

year

ended

December

31,

2022,

the

AQR

Managed

Futures

Strategy

HV

Fund

incurred

certain

non-recurring

professional

service

and

other

expenses.

Without

these

costs,

the

Expenses,

Before

Reimbursements

and/or

Waivers,

of

each

class

would

have

been

reduced

by

0.06%.

333

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

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

December

31,

2023,

the

Trust

consists

of

twenty-two

active

series, twelve

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund,

AQR

Diversifying

Strategies

Fund,

AQR

Equity

Market

Neutral

Fund,

AQR

Long-Short

Equity

Fund,

AQR

Macro Opportunities Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund,

AQR

Multi-Asset

Fund,

AQR

Risk-

Balanced

Commodities

Strategy

Fund,

AQR

Style

Premia

Alternative

Fund

and

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund.

The

remaining

active

series

have

a

different

fiscal

year

end

and

are

reported

in

a separate

book.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

Adviser

has

retained

AQR

Arbitrage,

LLC

(the

“Sub-Adviser”),

an

affiliate

of

the

Adviser,

to

serve

as

an

investment

sub-adviser

to

the

AQR

Diversified

Arbitrage

Fund.

The

investment

objective

of

the

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund, AQR

Equity

Market

Neutral

Fund,

AQR

Macro

Opportunities Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund

and

AQR

Style

Premia

Alternative

Fund

is

to

seek

positive

absolute

returns.

The

investment

objective

of

the

AQR

Multi-Asset

Fund

and AQR

Risk-Balanced

Commodities

Strategy

Fund

is

to

seek

total

return.

The

investment

objective

of

the

AQR

Diversifying

Strategies

Fund,

AQR

Long-Short

Equity

Fund

and

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

is

to

seek

capital

appreciation.

The

AQR

Diversifying

Strategies

Fund

pursues

its

investment

objective

by

investing

in

a

portfolio

of

mutual

funds

that

are

each

managed

by

the

Adviser.

Each

Fund

offers

Class

I,

N

and

R6

shares.

2.

Consolidation

of

Subsidiaries

The

Consolidated

Schedules

of

Investments,

Statements

of

Assets

and

Liabilities,

of

Operations,

of

Changes

in

Net

Assets,

and

of

Cash

Flows

(as

applicable),

and

the

Financial

Highlights

of

the

AQR

Alternative

Risk

Premia

Fund,

AQR

Macro

Opportunities Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund,

AQR

Multi-Asset

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund

and

AQR

Style

Premia

Alternative

Fund

(collectively,

the

“Consolidated

Funds”)

include

the

accounts

of

the

AQR

Alternative

Risk

Premia

Offshore

Fund

Ltd.,

AQR

Macro

Opportunities

Offshore

Fund

Ltd.,

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.,

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.,

AQR

Multi-Asset

Offshore

Fund

Ltd.,

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

and

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.,

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(collectively,

the

“Subsidiaries”).

All

intercompany

accounts

and

transactions

have

been

eliminated

in

consolidation.

Subsequent

references

to

the

Funds

within

the

Notes

to

Financial

Statements

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

Each

Consolidated

Fund

may

invest

up

to

25%

of

its

total

assets

(on

a

tax

basis)

in

its

respective

Subsidiary,

which

acts

as

an

investment

vehicle

in

order

to

affect

certain

investment

strategies

consistent

with

the

Fund’s

investment

objectives

and

policies.

The

Funds

expect

that

they

will

achieve

a

significant

portion

of

their

exposure

to

commodities

and

commodities-related

investments

through

investment

in

the

Subsidiaries.

Unlike

the

Funds,

the

Subsidiaries

may

invest

without

limitation

in

commodities

and

commodities-related

investments,

however,

each

Consolidated

Fund

and

its

Subsidiary

will

comply

with

1940

Act

Rule

18f-4

on

a

consolidated

basis

with

respect

to

investments

in

derivative

instruments.

3.

Significant

Accounting

Policies

Basis

of

Preparation:

The

Funds

are

investment

companies

and

apply

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

5.

SUBSIDIARY

NET

ASSETS

AT

DECEMBER

31,

2023

%

OF

TOTAL

ASSETS

AT

DECEMBER

31,

2023

AQR

Alternative

Risk

Premia

Offshore

Fund

Ltd.

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

$

38,877,184

4.1%

AQR

Macro

Opportunities

Offshore

Fund

Ltd.

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

24,050,970

14.8%

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.

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

310,453,743

18.7%

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.

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

36,446,165

17.2%

AQR

Multi-Asset

Offshore

Fund

Ltd.

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

27,096,731

7.6%

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

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

105,039,926

22.5%

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

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

202,162,962

15.1%

334

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

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.

Net

change

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

.

The

Funds

may

be

subject

to

foreign

taxes

on

income

or capital

gains

on

investments,

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 on

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 on

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.

335

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

The

Adviser

evaluates

tax

positions

taken

or

expected

to

be

taken

in

the

course

of

preparing

the

Funds’

tax

returns

to

determine

whether

the

tax

positions

are

“more-likely-than-not”

to

be

sustained

if

challenged

by

the

applicable

tax

authority.

Tax

positions

deemed

to

meet

the more-likely-than-

not

threshold

would

be

recorded

as

a

tax

benefit

or

expense

in

the

current

year.

The

Funds

are

required

to

analyze

all

open

tax

years.

Open

tax

years

are

those

years

that

are

open

for

examination

by

the

relevant

income

taxing

authority.

The

Funds

have

determined

that

there

is

no

tax

liability/benefit

resulting

from

uncertain

income

tax

positions

taken

or

expected

to

be

taken

for

any

of

the

Funds'

open

tax

years.

The

Funds

are

not

aware

of

any

tax

positions

for

which

it

is

reasonably

possible

that

the

total

amounts

of

unrecognized

tax

expense/benefit

will

materially

change

in

the

next

twelve

months.

The

returns

of

the

Funds

for

the

prior

three

fiscal

years

as

well

as

current

year,

or

since

inception

if

shorter,

are

open

for

examination. As

of

December

31,

2023,

the

Funds

had

no

examinations

in

progress.

For

federal

income tax

purposes,

taxable

income

for

each

Consolidated

Fund

and

its

Subsidiary

are

calculated

separately.

The

Subsidiaries

are

classified

as

controlled

foreign

corporations

(“CFCs”)

under

the

Code

and

each

CFC's

taxable

income

is

included

in

the

calculation

of

the

relevant

Consolidated

Fund’s

taxable

income.

Net

losses

of

the

Subsidiaries

are

not

deductible

by

the

Consolidated

Funds

either

in

the

current

period

or

future

periods.

Each

of

the

CFCs

has

a

fiscal

year

end

of

December

31st

for

financial

statement

consolidation

purposes

and

a

nonconforming

tax

year

end

of

November

30th. 

For

the

year

ended

December

31,

2023,

AQR

Multi-Asset

Fund

incurred

an

excise

tax

liability

of

$863

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.

4.

Securities

and

Other

Investments 

Affiliate

Investments:

 Certain

investments

may

be

classified

as

an

affiliate

or

a

controlled

affiliate

of

the

Funds

on

the

Schedule

of

Investments.

Section

2a-3

of

the

1940

Act

defines

an

affiliate

as,

among

other

things,

a

company

in

which

a

Fund

owns

at

least

5%

of

the

outstanding

voting

securities 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.

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.

The

AQR

Diversifying

Strategies

Fund

invests

in

funds

which

are

managed

by

the

Adviser,

and

as

such

assumes

the

AQR

Funds

in

which

it

invests

to

be

affiliated

issuers.

A

summary

of

transactions

with

each

affiliated

issuer

is

included

in

the

Schedules

of

Investments,

if

applicable.

Convertible

Securities:

Certain

Funds

invest

in

preferred

stocks

and

fixed

income

securities

which

are

convertible

into

common

stock.

Convertible

securities

may

be

converted

either

at

a

stated

price

or

rate

within

a

specified

period

of

time

into

a

specified

number

of

shares

of

common

stock.

By

investing

in

a

convertible

security,

the

Funds

may

participate

in

any

capital

appreciation

or

depreciation

of

a

company’s

stock,

but

to

a

lesser

degree

than

if

they

had

invested

in

that

company’s

common

stock.

Convertible

securities

rank

senior

to

common

stock

in

a

corporation’s

capital

structure

and,

therefore,

entail

less

risk

than

the

corporation’s

common

stock.

The

Funds

may

attempt

to

hedge

some

of

their

investments

in

convertible

debt

securities

by

selling

short

the

issuer’s

common

stock.

The

premiums

attributable

to

the

conversion

feature

are

not

amortized. 

High

Yield

Securities:

Certain

Funds

invest

in

lower-quality

debt

securities.

Investments

in

lower-rated

securities

or

unrated

securities

of

comparable

quality

tend

to

be

more

sensitive

to

economic

conditions

than

higher

rated

securities

causing

greater

price

volatility.

These

instruments

involve

a

greater

risk

of

loss

due

to

default

by

the

issuer

because

such

securities

are

generally

unsecured

and

are

often

subordinated

to

other

creditors’

claims. 

336

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

Inflation-Indexed

Bonds:

Certain

Funds

invest

in

inflation-indexed

bonds

which

are

adjusted

for

inflation

through

periodic

increases

or

decreases

in

the

security’s

interest

accruals,

face

amount,

or

principal

redemption

value,

by

amounts

corresponding

to

the

rate

of

inflation

as

measured

by

an

index.

Inflation-indexed

bonds

typically

pay

a

fixed

rate

of

interest

but

that

fixed

rate

is

applied

to

an

inflation

adjusted

principal

amount.

If

the

index

measuring

inflation

rises

or

falls,

the

principal

value

of

inflation-indexed

bonds

will

be

adjusted

upward

or

downward,

and

consequently

the

interest

payable

on

these

securities

(calculated

with

respect

to

a

larger

or

smaller

principal

amount)

will

be

increased

or

reduced,

respectively.

Any

upward

or

downward

adjustment

in

the

principal

amount

of

an

inflation-indexed

bond

will

be

included in

interest

income on

the

Statements

of

Operations,

even

though

investors

do

not

receive

their

principal

until

maturity.

Repayment

of

the

original

bond

principal

upon

maturity

(as

adjusted

for

inflation)

is

guaranteed

in

the

case

of

U.S.

Treasury

inflation-indexed

bonds.

For

bonds

that

do

not

provide

a

similar

guarantee,

the

adjusted

principal

value

of

the

bond

repaid

at

maturity

may

be

less

than

the

original

principal.

Defaulted

Securities

and

Distressed

Investments:

Certain

Funds

held

defaulted

securities

or

other

securities

which

were

placed

in

non-accrual

status

as

the

collection

of

a

portion

or

all

of

the

interest

has

been

deemed

to

be

uncollectible.

The

securities

have

been

identified

on

the

Schedules

of

Investments.

Debt

obligations

may

be

placed

on

non-accrual

status

and

related

interest

income

may

be

reduced

by

ceasing

current

accruals

and

writing

off

interest

receivable

when

the

collection

of

a

portion

of

interest

has

become

doubtful

based

on

consistently

applied

procedures.

A

debt

obligation

is

removed

from

non-accrual

status

when

the

issuer

resumes

interest

payments

or

when

collectability

of

interest

is

probable.

The

Funds

may

invest

in

distressed

investments,

which

are

issued

by

companies

that

are,

or

might

be,

involved

in

reorganizations

or

financial

restructurings,

either

out

of

court

or

in

bankruptcy. 

Special

Purpose

Acquisition

Companies

(“SPACs”):

 Certain

Funds

invest

in

common

stocks,

rights,

units,

warrants,

and

other

securities

of

SPACs

or

similar

special

purpose

entities

that

pool

funds

to

seek

potential

acquisition

opportunities.

The

securities

of

a

SPAC

are

often

issued

in

“units”

that

include

one

share

of

common

stock

and

one

right

or

warrant

(or

partial

right

or

warrant)

conveying

the

right

to

purchase

additional

shares

or

partial

shares.

Unless

and

until

a

transaction

is

completed,

a

SPAC

generally

invests

its

assets

(less

a

portion

retained

to

cover

expenses)

in

U.S.

Government

securities,

money

market

fund

securities

and

cash.

If

an

acquisition

that

meets

the

requirements

for

the

SPAC

is

not

completed

within

a

pre-established

period

of

time,

the

invested

funds

are

returned

to

the

entity’s

shareholders,

less

certain

permitted

expenses,

and

any

rights

or

warrants

issued

by

the

SPAC

may

expire

worthless.

Because

SPACs

and

similar

entities

have

no

operating

history

or

ongoing

business

other

than

seeking

acquisitions,

the

value

of

their

securities

is

particularly

dependent

on

the

ability

of

the

entity’s

management

to

identify

and

complete

a

suitable

acquisition.

Some

SPACs

may

pursue

acquisitions

only

within

certain

industries

or

regions,

which

may

increase

the

volatility

of

their

securities’

prices.

Securities

Sold

Short:

Certain

Funds

engage

in

short

sales,

which

is

when

a

Fund

sells

securities

it

does

not

own

as

a

hedge

against

some

of

its

long

positions

and/or

in

anticipation

of

a

decline

in

the

market

value

of

that

security.

When

one

of

the

Funds

makes

a

short

sale,

it

must

borrow

the

security

sold

short

and

deliver

it

to

the

broker

through

which

it

made

the

short

sale.

The

Fund

may

have

to

pay

a

fee

to

borrow

the

particular

security

and

may

be

obligated

to

remit

any

interest

or

dividends

received

on

such

borrowed

securities.

Dividends

declared

on

short

positions

are

recorded

on

the ex-

dividend

date

as

an

expense.

A

gain,

limited

to

the

price

at

which

the

Fund

sold

the

security

short,

or

a

loss,

which

could

be

unlimited

in

magnitude,

will

be

recognized

upon

the

termination

of

a

short

sale

if

the

market

price

at

termination

is

less

than

or

greater

than,

respectively,

the

proceeds

originally

received.

The

Fund

is

subject

to

the

risk

that

it

may

be

unable

to

reacquire

a

security

to

terminate

a

short

position

except

at

a

price

substantially

in

excess

of

the

last

quoted

price.

The

Fund

is

also

subject

to

risk

of

loss

if

the

broker

were

to

fail

to

perform

its

obligations

under

the

contractual

terms.

Liabilities

for

securities

sold

short

are

reported

at

market

value

on

the

Statements

of

Assets

and

Liabilities

and

the

change

in

market

value

is

reported

as

net

change

in

unrealized

appreciation

(depreciation)

on

the

Statements

of

Operations.

The

Funds

are

required

to

pledge

cash

or

liquid

securities

to

the

broker

as

collateral

for

securities

sold

short.

Collateral

requirements

are

calculated

daily

based

on

the

current

market

value

of

the

short

positions.

Daily

market

fluctuations

and

trading

activity

could

cause

the

value

of

securities

sold

short

to

be

more

or

less

than

the

value

of

the

collateral

segregated.

Cash

deposited

with

the

broker

for

collateral

for

securities

sold

short

is

recorded

as

an

asset

on

the

Statements

of

Assets

and

Liabilities

and

securities

segregated

as

collateral

are

denoted

in

the

Schedules

of

Investments.

The

Funds

may

receive

or

pay

the

net

of

the

following

amounts:

(i)

a

portion

of

the

income

from

the

investment

of

cash

collateral;

(ii)

the

broker’s

fee

on

the

borrowed

securities;

and

(iii)

a

financing

charge

for

the

difference

in

the

market

value

of

the

short

position

and

cash

collateral

deposited

with

the

broker.

This

income

or

fee

is

calculated

daily

based

upon

the

market

value

of

each

borrowed

security

and

a

variable

rate

that

is

dependent

on

the

availability

of

the

security.

Pursuant

to

a

Master

Securities

Loan

Agreement

("MSLA"),

State

Street

Bank

and

Trust

Company

(“SSB”)

is

permitted,

subject

to

certain

conditions,

to

rehypothecate

up

to

30%

of

portfolio

securities

pledged

by certain

Funds

as

collateral

for

securities

sold

short.

The

Funds

continue

to

receive

dividends

and

interest

on

rehypothecated

securities.

The

Funds

also

have

the

right

under

the

MSLA

to

recall

the

rehypothecated

securities

from

SSB

on

demand.

If

SSB

fails

to

deliver

the

recalled

security

in

a

timely

manner,

the

Funds

will

be

compensated

by

SSB

for

any

fees

or

losses

related

to

the

failed

delivery

or,

in

the

event

a

recalled

security

will

not

be

returned

by

SSB,

the

Funds

may

reduce

the

loan

balance

outstanding

by

the

amount

of

the

recalled

security. 

The

net

amount

of

fees

incurred

are

included

in

the

dividend

and

interest

on

securities

sold

short

on

the

Statements

of

Operations

and

are

as

follows:

FUND

FEES

AQR

Alternative

Risk

Premia

Fund

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

$

500,681

AQR

Diversified

Arbitrage

Fund

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

565,906

AQR

Equity

Market

Neutral

Fund

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

45,475

AQR

Multi-Asset

Fund

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

186,895

AQR

Style

Premia

Alternative

Fund

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

187,457

337

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

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 on

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

on

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

on

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

on

the

Statements

of

Operations.

Total

return

swap

contracts

outstanding

at

period

end,

if

any, are

disclosed

in

each

Fund’s

Schedule

of

Investments. 

Total

Return

Basket

Swap

Contracts:

Certain

Funds

enter

into

a

total

return

basket

swap

contract

to

obtain

exposure

to

a

portfolio

of

long

and/or

short

securities.

Under

the

terms

of

the

agreement,

the

swap

is

designed

to

function

as

a

portfolio

of

direct

investments

in

long

and

short

equity

or

fixed

income

positions.

The

absolute

notional

value

of

the

total

return

basket

swap

contract represents

the

accumulated

notional

value

of

the

underlying

long

components

and

absolute

notional

value

of

the

short

components

held

within

the

total

return

basket

swap

contract

at

period

end.

The

notional

value

of

each

component

represents

the

market

value

at

period

end.

The

Funds

have

the

ability

to

trade

in

and

out

of

long

and

short

positions

within

the

swap

and

will

receive

all

of

the

economic

benefits

and

risks

equivalent

to

direct

investments

in

these

positions

such

as:

capital

appreciation

(depreciation),

corporate

actions,

and

dividends

and

interest

received

and

paid,

all

of

which

are

reflected

in

the

swap

value.

The

swap

value

also

includes

financing

charges

and

credits

related

to

the

notional

values

of

the

long

and

short

positions

and

cash

balances

within

the

swap.

Finance

charges

and

credits

are

based

on

defined

market

rates

plus

or

minus

a

specified

spread.

Positions

within

the

swap

are

reset

periodically,

and

financing

costs

are

reset

generally

monthly.

During

a

reset,

any

realized

gains

(losses)

from

positions,

income,

proceeds

from

corporate

actions

and

accrued

financing

costs

may

become

available

for

cash

settlement

between

the

Funds

and

the

swap

counterparty.

Prior

to

the

reset,

these

amounts

are

included

as

a

component

of

the

swap

value

in

net

cash

and

other

receivables

(payables).

Cash

settlement

in

and

out

of

the

swap

may

occur

at

a

reset

date

or

any

other

date,

at

the

discretion

of

the

Funds

and

the

counterparty,

over

the

life

of

the

agreement,

and

is

generally

determined

based

on

limits

and

thresholds

established

as

part

of

the

master

netting

arrangement

between

the

Funds

and

the

counterparty.

The

maturity

dates

are

measured

from

the

commencement

of

investment

in

each

underlying

portfolio

swap

position.

A

change

in

the

market

value

of

a

total

return

basket

swap

contract

is

reported

as

net

change

in

unrealized

appreciation

(depreciation)

on

swap

contracts

on

the

Statements

of

Operations.

Cash

settlements

between

a

Fund

and

the

counterparty

are

reported

as

net

realized

gain

(loss)

from

expiration

or

closing

of

swap

contracts

on

the

Statements

of

Operations.

Total

return

basket

swap

contracts

outstanding

at

period

end,

if

any, are

disclosed

in

each

Fund’s

Schedule

of

Investments. 

338

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

Credit

Default

Swap

Contracts:

Certain

Funds

enter

into

credit

default

swap

contracts

to

provide

a

measure

of

protection

against

risk

of

loss

following

a

default,

or

other

credit

event

in

respect

of

issuers

within

an

underlying

index

or

a

single

issuer,

or

to

gain

credit

exposure

to

an

underlying

index

or

issuer.

In

a

credit

default

swap

contract,

the

protection

buyer

typically

makes

an

upfront

payment

and

a

periodic

stream

of

payments

to

a

counterparty,

the

protection

seller,

in

exchange

for

the

right

to

receive

a

contingent

payment

upon

the

occurrence

of

a

credit

event

on

the

reference

obligation

or

all

other

equally

ranked

obligations

of

the

reference

entity.

Credit

events

are

contract

specific

but

may

include

bankruptcy,

failure

to

pay,

restructuring

and

obligation

acceleration.

Credit

default

swap

contracts

are

marked

to

market

daily

and

the

change,

if

any,

is

reported as

net

change

in

unrealized

appreciation

(depreciation)

on

swap

contracts.

Variation

margin

is

accounted

for

as

unrealized

appreciation

or

depreciation

until

the

contract

is

closed,

at

which

time

the

gains

or

losses

are

realized.

Upon

the

occurrence

of

a

credit

event,

the

difference

between

the

par

value

and

market

value

of

the

reference

obligation,

net

of

any

proportional

amount

of

the

upfront

payment,

is

reported

as

a

realized

gain

(loss)

from

expiration

or

closing

of

swap

contracts

on

the

Statements

of

Operations.

Implied

credit

spreads

are

used

to

determine

the

value

of

credit

default

swap

contracts

and

reflect

the

cost

of

buying/selling

protection,

which

may

include

upfront

payments

made

to

enter

into

the

contract.

Therefore,

higher

spreads

indicate

a

greater

likelihood

that

a

seller

will

be

obligated

to

perform

(i.e.,

make

payment)

under

the

swap

contract.

Implied

credit

spreads

for

credit

default

swap

contracts

on

credit

indexes

are

linked

to

the

weighted

average

spread

across

the

underlying

reference

obligations

included

in

a

particular

index.

Risks

of

loss

may

exceed

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

A

Fund’s

maximum

risk

of

loss

from

counterparty

risk,

either

as

the

protection

seller

or

as

the

protection

buyer,

is

the

fair

value

of

the

contract.

This

risk

may

be

mitigated

by

having

a

master

netting

arrangement

between

the

specific

Fund

and

the

counterparty.

The

central

clearing

house

acts

as

the

counterparty

to

each

centrally

cleared

swap

transaction,

therefore

credit

risk

is

limited

to

the

failure

of

the

clearing

house.

Where

a

Fund

is

a

seller

of

protection,

the

maximum

potential

amount

of

future

payments

the

Fund

may

be

required

to

make

is

equal

to

the

notional

amount

of

the

relevant

credit

default

swap

contract.

The

Funds'

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Schedule

of

Investments.

Credit

default

swap

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any, are

disclosed

in

each

Fund’s

Schedule

of

Investments.

Interest

Rate

Swap

Contracts:

Certain

Funds

enter

into

interest

rate

swap

contracts

as

part

of

their

investment

strategy.

Interest

rate

swap

contracts

generally

involve

agreements

to

exchange

fixed

and

floating

payment

obligations,

without

the

exchange

of

the

underlying

notional

amounts.

Interest

rate

swap

contracts

are

privately

negotiated

in

the

OTC

market

or

may

be

executed

in

a

multilateral

or

other

trade

facility

platform,

such

as

a

registered

exchange

(centrally

cleared

swaps).

Periodic

payments

received

(paid)

by

the

Funds

are reported

as

realized

gains

(losses)

from

expiration

or

closing

of

swap

contracts

on

the

Statements

of

Operations.

Interest

rate

swap

contracts

are

marked

to

market

daily

and

the

change

is reported

as

net

change

in

unrealized

appreciation

(depreciation)

on

swap

contracts

on

the

Statements

of

Operations.

The

Funds’

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Schedule

of

Investments.

Non-deliverable

interest

rate

swap

contracts

are

settled

with

the

counterparty

in

U.S.

dollars

without

the

delivery

of

foreign

currency.

Centrally

cleared

interest

rate

swap

contracts

may

have

forward

effective

dates.

The

amortization

of

the

upfront

premiums

(if

applicable)

and

payments

related

to

these

swap

contracts

begin

on

the

effective

date

of

the

contract.

Interest

rate

swap

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any, are

disclosed

in

each

Fund’s

Schedule

of

Investments.

Option

Contracts:

Certain

Funds

may

write

and

purchase

put

and

call

option

contracts.

When

a

Fund

writes

a

premium-style option

contract,

an

amount

equal

to

the

premium

received

by

the

Fund

is

reflected

as

an

asset

and

an

equivalent

liability.

The

amount

of

the

liability

is

subsequently

marked

to

market

to

reflect

the

current

market

value

of

the

written

option

contract.

When

a

security

is

purchased

or

sold

through

an

exercise

of

an

option

contract,

the

related

premium

paid

(or

received)

is

added

to

(or

deducted

from)

the

basis

of

the

security

acquired

or

deducted

from

(or

added

to)

the

proceeds

of

the

security

sold.

When

a

premium-style option

contract expires,

a

Fund

realizes

a

gain

or

loss

on

the

option

contract to

the

extent

of

the

premiums

received

or

paid.

When

a

Fund

enters

into

a

closing

transaction,

the

Fund

realizes

a

gain

or

loss

to

the

extent

the

cost

of

the

closing

transaction

exceeds

the

premiums

paid

or

received.

Written

uncovered

call

option

contracts subject

a

Fund

to

unlimited

risk

of

loss.

Written

covered

call

option

contracts limit

the

upside

potential

of

a

security

above

the

strike

price.

Written

put

option

contracts subject

a

Fund

to

risk

of

loss

if

the

value

of

the

security

declines

below

the

exercise

price

minus

the

put

premium.

A

Fund,

as

writer

of

an

option

contract,

bears

the

market

risk

of

an

unfavorable

change

in

the

price

of

the

security

underlying

the

written

option

contract.

Written

and

purchased

option

contracts are

non-income

producing

investments.

The

maximum

financial

exposure

for

premium-style

written

put option

contracts is

limited

to

the

number

of

contracts

written

and

the

related

strike

prices.

The

number

of contracts,

strike

price,

and

expiration

date

for

each

written

put

option

contract 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.

339

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

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

futures

contracts and

deposits

with

brokers

for

centrally

cleared

swaps

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

on

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

Agreements

on

the

Statements

of

Assets

and

Liabilities.

5.

Investment

Valuation

and

Fair

Value

Measurements 

Investment

Valuation

Policies:

The

Net

Asset

Value

(“NAV”)

of

the

Funds’

shares

are

valued

as

of

the

close

of

regular

trading

on

the

New

York

Stock

Exchange

(“NYSE”)

(normally

4:00

p.m.

Eastern

time)

on

each

day

that

the

NYSE

is

open

(each

a

“Business

Day”).

The

NAV

per

share

of

each

class

within

each

Fund

is

computed

by

dividing

the

total

current

value

of

the

assets

of

such

Fund

attributable

to

a

class,

less

class

liabilities,

by

the

total

number

of

shares

of

that

class

of

the

Fund

outstanding

at

the

time

the

computation

is

made.

GAAP

defines

fair

value

as

the

price

the

Funds

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

For

purposes

of

calculating

the

NAV,

portfolio

securities

and

other

financial

derivative

instruments

are

valued

on

each

Business

Day

using

valuation

methods

as

adopted

by

the

Funds’

Board

of

Trustees

(the

“Board”).

The

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.

340

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

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

as

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

as 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

as

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.

Fixed

income

securities

(other

than

certain

short-term

investments

maturing

in

60

days

or

less)

and

other

investments

that

trade

in

markets

that

are

not

considered

to

be

active,

are

valued

based

on

quoted

market

prices,

dealer

quotations

or

alternative

pricing

sources

supported

by

observable

inputs

and

are

also

classified as

Level

2.

These

include

certain

U.S.

government

and

sovereign

obligations,

most

government

agency

securities,

investment-grade

corporate

bonds,

and

less

liquid

listed

equities.

Corporate

and

sovereign

bonds

and

other

fixed

income

securities

are

valued

at

estimated

fair

value

using

the

latest

bid

prices

or

evaluated

quotes

furnished

by

independent

pricing

services,

as

well

as

quotations

from

counterparties

and

other

market

participants.

Evaluated

quotes

are

generally

based

on

a

matrix

system,

which

may

consider

such

factors

as

quoted

prices

for

identical

or

similar

assets,

yields,

maturities

and

ratings

and

are

not

necessarily

reliant

on

quoted

prices.

Short-term

debt

investments

of

sufficient

credit

quality

maturing

in

60

days

or

less

are

generally

valued

at

amortized

cost,

which

approximates

fair

value.

These

investments

are

classified

as

Level

2

within

the

fair

value

hierarchy. 

Investments

classified as

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. 

341

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

Exchange-traded

derivatives,

such

as

futures

and

exchange-traded

option

contracts,

are

typically

classified as

Level

1

or

Level

2

within

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.

The

value

of

each

total

return

swap

contract

and

total

return

basket

swap

contract

is

derived

from

a

combination

of

(i)

the

net

value

of

the

underlying

positions,

which

are

valued

daily

using

the

last

sale

or

closing

price

on

the

principal

exchange

on

which

the

securities

are

traded;

(ii)

financing

costs;

(iii)

the

value

of

dividends

or

accrued

interest;

(iv)

cash

balances

within

the

swap;

and

(v)

other

factors,

as

applicable. 

The

U.S.

dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Credit

default

swap

and

interest

rate

swap

contracts

are

marked

to

market

daily

based

on

quotations

as

provided

by

an

independent

pricing

service.

The

independent

pricing

services

aggregate

valuation

information

from

various

market

participants

to

create

a

single

reference

value

for

each

credit

default

swap

contract

and

interest

rate

swap

contract. 

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

as

Level

2.

Those

OTC

derivatives

that

have

less

liquidity

or

for

which

inputs

are

unobservable

are

classified as

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

ALTERNATIVE

RISK

PREMIA

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

226,718,377

$

158,278,462

$

–

$

384,996,839

Preferred

Stocks

†

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

–

95,565

–

95,565

Warrants

†

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

–

–

–

(a)

–

(a)

Short-Term

Investments

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

69,563,888

27,496,929

–

97,060,817

Interest

Rate

Swap

Contracts*

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

–

4,660,465

–

4,660,465

Total

Return

Swap

Contracts*

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

–

563,436

–

563,436

Futures

Contracts*

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

3,774,332

–

–

3,774,332

Forward

Foreign

Currency

Exchange

Contracts*

........

–

5,169,935

–

5,169,935

Total

Assets

$

300,056,597

$

196,264,792

$

–

(a)

$

496,321,389

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(216,052,270)

$

(156,319,757)

$

–

$

(372,372,027)

Preferred

Stocks

(Sold

Short)

†

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

–

(1,760,215)

–

(1,760,215)

Warrants

(Sold

Short)

†

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

(7,879)

–

–

(7,879)

Interest

Rate

Swap

Contracts*

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

–

(5,731,831)

–

(5,731,831)

Total

Return

Swap

Contracts*

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

–

(64,257)

–

(64,257)

Futures

Contracts*

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

(4,497,403)

–

–

(4,497,403)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(5,561,604)

–

(5,561,604)

Total

Liabilities

$

(220,557,552)

$

(169,437,664)

$

–

$

(389,995,216)

342

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

DIVERSIFIED

ARBITRAGE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

205,763,710

$

43,616,867

$

1,275,546

$

250,656,123

Closed-End

Funds

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

154,650,349

–

–

154,650,349

Corporate

Bonds

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

–

361

125,629

125,990

Convertible

Bonds

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

–

675,254,278

–

675,254,278

Rights

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

148,036

100,648

44,423

293,107

Warrants

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

657,548

129,738

31,406

818,692

Securities

in

Litigation

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

–

–

–

(a)

–

(a)

Units

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

634,427

–

–

634,427

Short-Term

Investments

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

348,269,930

596,431,529

–

944,701,459

Total

Return

Swap

Contracts*

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

–

–

(a)

–

–

(a)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,898

–

1,898

Total

Return

Basket

Swap

Contracts*

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

–

805,092

–

805,092

Total

Assets

$

710,124,000

$

1,316,340,411

$

1,477,004

$

2,027,941,415

LIABILITIES

Common

Stocks

(Sold

Short)

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

$

(262,368,566)

$

(20,937,056)

$

–

(a)

$

(283,305,622)

Corporate

Bonds

(Sold

Short)

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

–

(2,000,119)

–

(2,000,119)

Convertible

Bonds

(Sold

Short)

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

–

(13,928,510)

–

(13,928,510)

Credit

Default

Swap

Contracts*

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

–

(5,943,464)

–

(5,943,464)

Futures

Contracts*

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

(4,693,211)

–

–

(4,693,211)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(743,589)

–

(743,589)

Total

Return

Basket

Swap

Contracts*

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

–

(19,252,840)

–

(19,252,840)

Total

Liabilities

$

(267,061,777)

$

(62,805,578)

$

–

(a)

$

(329,867,355)

AQR

DIVERSIFYING

STRATEGIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Investment

Companies

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

$

442,974,590

$

–

$

–

$

442,974,590

Short-Term

Investments

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

9,212,123

–

–

9,212,123

Total

Assets

$

452,186,713

$

–

$

–

$

452,186,713

AQR

EQUITY

MARKET

NEUTRAL

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

11,015,163

$

–

$

11,015,163

Short-Term

Investments

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

113,508,139

133,212,846

–

246,720,985

Forward

Foreign

Currency

Exchange

Contracts*

........

–

12,225

–

12,225

Total

Return

Basket

Swap

Contracts*

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

–

892,730

–

892,730

Total

Assets

$

113,508,139

$

145,132,964

$

–

$

258,641,103

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(372,567)

$

(7,940,216)

$

–

$

(8,312,783)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(115,308)

–

(115,308)

Total

Return

Basket

Swap

Contracts*

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

–

(2,489,070)

–

(2,489,070)

Total

Liabilities

$

(372,567)

$

(10,544,594)

$

–

$

(10,917,161)

AQR

LONG-SHORT

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

267,453,500

$

594,891,216

$

–

$

862,344,716

Total

Return

Swap

Contracts*

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

–

583,223

–

583,223

Futures

Contracts*

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

8,223,216

–

–

8,223,216

Forward

Foreign

Currency

Exchange

Contracts*

........

–

3,693,333

–

3,693,333

Total

Return

Basket

Swap

Contracts*

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

–

3,734,533

–

3,734,533

Total

Assets

$

275,676,716

$

602,902,305

$

–

$

878,579,021

LIABILITIES

Total

Return

Swap

Contracts*

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

$

–

$

(36,913)

$

–

$

(36,913)

Futures

Contracts*

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

(56,826)

–

–

(56,826)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(215,463)

–

(215,463)

Total

Return

Basket

Swap

Contracts*

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

–

(34,410,782)

–

(34,410,782)

Total

Liabilities

$

(56,826)

$

(34,663,158)

$

–

$

(34,719,984)

343

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

MACRO

OPPORTUNITIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

4,107,781

$

7,264,315

$

–

$

11,372,096

Short-Term

Investments

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

41,120,524

30,234,804

–

71,355,328

Credit

Default

Swap

Contracts*

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

–

975,557

–

975,557

Interest

Rate

Swap

Contracts*

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

–

17,504,796

–

17,504,796

Total

Return

Swap

Contracts*

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

–

769,359

–

769,359

Futures

Contracts*

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

7,433,704

–

–

7,433,704

Forward

Foreign

Currency

Exchange

Contracts*

........

–

8,105,720

–

8,105,720

Total

Assets

$

52,662,009

$

64,854,551

$

–

$

117,516,560

LIABILITIES

Credit

Default

Swap

Contracts*

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

$

–

$

(301,491)

$

–

$

(301,491)

Interest

Rate

Swap

Contracts*

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

–

(17,353,519)

–

(17,353,519)

Total

Return

Swap

Contracts*

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

–

(321,688)

–

(321,688)

Futures

Contracts*

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

(6,655,192)

–

–

(6,655,192)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(6,616,306)

–

(6,616,306)

Total

Liabilities

$

(6,655,192)

$

(24,593,004)

$

–

$

(31,248,196)

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

214,499,987

$

1,038,992,996

$

–

$

1,253,492,983

Credit

Default

Swap

Contracts*

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

–

3,169,366

–

3,169,366

Interest

Rate

Swap

Contracts*

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

–

33,411,401

–

33,411,401

Total

Return

Swap

Contracts*

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

–

5,916,279

–

5,916,279

Futures

Contracts*

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

52,471,114

–

–

52,471,114

Forward

Foreign

Currency

Exchange

Contracts*

........

–

55,842,051

–

55,842,051

Total

Return

Basket

Swap

Contracts*

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

–

1,019,491

–

1,019,491

Total

Assets

$

266,971,101

$

1,138,351,584

$

–

$

1,405,322,685

LIABILITIES

Credit

Default

Swap

Contracts*

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

$

–

$

(446,810)

$

–

$

(446,810)

Interest

Rate

Swap

Contracts*

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

–

(29,589,431)

–

(29,589,431)

Total

Return

Swap

Contracts*

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

–

(439,723)

–

(439,723)

Futures

Contracts*

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

(55,104,909)

–

–

(55,104,909)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(66,269,995)

–

(66,269,995)

Total

Return

Basket

Swap

Contracts*

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

–

(16,598,606)

–

(16,598,606)

Total

Liabilities

$

(55,104,909)

$

(113,344,565)

$

–

$

(168,449,474)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

46,305,706

$

94,335,716

$

–

$

140,641,422

Credit

Default

Swap

Contracts*

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

–

550,800

–

550,800

Interest

Rate

Swap

Contracts*

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

–

6,067,798

–

6,067,798

Total

Return

Swap

Contracts*

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

–

1,055,614

–

1,055,614

Futures

Contracts*

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

9,551,284

–

–

9,551,284

Forward

Foreign

Currency

Exchange

Contracts*

........

–

9,012,706

–

9,012,706

Total

Return

Basket

Swap

Contracts*

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

–

35,716

–

35,716

Total

Assets

$

55,856,990

$

111,058,350

$

–

$

166,915,340

LIABILITIES

Credit

Default

Swap

Contracts*

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

$

–

$

(80,100)

$

–

$

(80,100)

Interest

Rate

Swap

Contracts*

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

–

(5,283,242)

–

(5,283,242)

Total

Return

Swap

Contracts*

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

–

(78,132)

–

(78,132)

Futures

Contracts*

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

(9,979,317)

–

–

(9,979,317)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(10,973,929)

–

(10,973,929)

Total

Return

Basket

Swap

Contracts*

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

–

(3,124,918)

–

(3,124,918)

Total

Liabilities

$

(9,979,317)

$

(19,540,321)

$

–

$

(29,519,638)

344

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

MULTI-ASSET

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

109,126,960

$

40,238,507

$

–

(a)

$

149,365,467

Preferred

Stocks

†

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

–

473,428

$

–

473,428

Foreign

Government

Securities

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

–

28,718,889

–

28,718,889

U.S.

Treasury

Obligations

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

–

23,155,949

–

23,155,949

Short-Term

Investments

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

43,215,832

42,737,482

–

85,953,314

Total

Return

Swap

Contracts*

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

–

38,365

–

38,365

Futures

Contracts*

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

8,229,059

–

–

8,229,059

Forward

Foreign

Currency

Exchange

Contracts*

........

–

3,932,479

–

3,932,479

Total

Assets

$

160,571,851

$

139,295,099

$

–

(a)

$

299,866,950

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(26,947,784)

$

(7,717,662)

$

–

(a)

$

(34,665,446)

Preferred

Stocks

(Sold

Short)

†

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

–

(377,580)

–

(377,580)

Warrants

(Sold

Short)

†

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

–

–

–

(a)

–

(a)

Total

Return

Swap

Contracts*

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

–

(116,032)

–

(116,032)

Futures

Contracts*

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

(3,649,039)

–

–

(3,649,039)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(4,295,601)

–

(4,295,601)

Total

Liabilities

$

(30,596,823)

$

(12,506,875)

$

–

(a)

$

(43,103,698)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

212,191,781

$

204,505,219

$

–

$

416,697,000

Futures

Contracts*

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

31,506,529

–

–

31,506,529

Total

Assets

$

243,698,310

$

204,505,219

$

–

$

448,203,529

LIABILITIES

Futures

Contracts*

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

$

(32,271,365)

$

–

$

–

$

(32,271,365)

Total

Liabilities

$

(32,271,365)

$

–

$

–

$

(32,271,365)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

51,270,051

$

–

$

51,270,051

Short-Term

Investments

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

293,319,075

424,238,461

–

717,557,536

Interest

Rate

Swap

Contracts*

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

–

36,672,272

–

36,672,272

Total

Return

Swap

Contracts*

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

–

3,037,779

–

3,037,779

Futures

Contracts*

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

17,562,105

–

–

17,562,105

Forward

Foreign

Currency

Exchange

Contracts*

........

–

31,769,648

–

31,769,648

Total

Return

Basket

Swap

Contracts*

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

–

7,351,245

–

7,351,245

Total

Assets

$

310,881,180

$

554,339,456

$

–

$

865,220,636

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(2,192,347)

$

(43,913,444)

$

–

$

(46,105,791)

Interest

Rate

Swap

Contracts*

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

–

(46,154,148)

–

(46,154,148)

Total

Return

Swap

Contracts*

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

–

(3,170,873)

–

(3,170,873)

Futures

Contracts*

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

(18,240,447)

–

–

(18,240,447)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(30,642,548)

–

(30,642,548)

Total

Return

Basket

Swap

Contracts*

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

–

(21,397,996)

–

(21,397,996)

Total

Liabilities

$

(20,432,794)

$

(145,279,009)

$

–

$

(165,711,803)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

7,094,230

$

4,915,744

$

–

$

12,009,974

Forward

Foreign

Currency

Exchange

Contracts*

........

–

115,087

–

115,087

Total

Return

Basket

Swap

Contracts*

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

–

509,820

–

509,820

Total

Assets

$

7,094,230

$

5,540,651

$

–

$

12,634,881

LIABILITIES

Forward

Foreign

Currency

Exchange

Contracts*

........

$

–

$

(368)

$

–

$

(368)

Total

Return

Basket

Swap

Contracts*

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

–

(605,281)

–

(605,281)

Total

Liabilities

$

–

$

(605,649)

$

–

$

(605,649)

345

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

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.

6.

Federal

Income

Tax

Matters

At

December

31,

2023,

the

cost

and

aggregate

gross

unrealized

appreciation

(depreciation)

of

long

security

positions,

short

security

positions

and

derivative

instruments

for

federal

income

tax

purposes

were

as

follows:

The

differences

between

book-basis

and

tax-basis

cost

of

investments

was

due

primarily

to

timing

differences

in

recognizing

certain

gains

and

losses

on

security

transactions

(e.g.

wash

sale

loss

deferrals

and

passive

foreign

investment

company

("PFIC") transactions).

As

of

December

31,

2023,

the

components

of

distributable

earnings

(accumulated

losses)

on

a

U.S.

federal

income

tax

basis

were

as

follows:

*

Derivative

instruments,

including

total

return

swap,

futures

and

forward

foreign

currency

exchange

contracts,

are

reported

at

the

cumulative

unrealized

appreciation/(depreciation)

of

the

instrument

on

the

Funds’

Schedules

of

Investments.

Credit

default

swaps,

interest

rate

swaps

and

total

return

basket

swap

contracts

are

reported

at

market

value.

Only

current

day’s

variation

margin

is

reported

on

the

Statements

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Alternative

Risk

Premia

Fund

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

$

2,309,174

$

144,769,932

$

(40,752,933)

$

104,016,999

AQR

Diversified

Arbitrage

Fund

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

1,715,542,374

60,480,322

(77,948,636)

(17,468,314)

AQR

Diversifying

Strategies

Fund

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

475,719,969

—

(23,533,256)

(23,533,256)

AQR

Equity

Market

Neutral

Fund

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

246,029,949

3,290,223

(1,596,230)

1,693,993

AQR

Long-Short

Equity

Fund

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

843,297,357

5,180,645

(4,618,965)

561,680

AQR

Macro

Opportunities

Fund

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

81,393,605

32,796,759

(27,922,000)

4,874,759

AQR

Managed

Futures

Strategy

Fund

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

1,243,660,074

130,323,224

(137,110,087)

(6,786,863)

AQR

Managed

Futures

Strategy

HV

Fund

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

137,976,861

22,903,502

(23,484,661)

(581,159)

AQR

Multi-Asset

Fund

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

236,417,031

34,840,091

(14,493,870)

20,346,221

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

422,402,435

25,801,094

(32,271,365)

(6,470,271)

AQR

Style

Premia

Alternative

Fund

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

695,637,885

92,122,616

(88,251,668)

3,870,948

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

..........

12,028,883

202,228

(201,879)

349

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

Alternative

Risk

Premia

Fund

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

$

—

$

—

$

104,041,022

$

(132,617,843)

$

2,326,118

$

(26,250,703)

AQR

Diversified

Arbitrage

Fund

—

—

(17,429,443)

(128,144,030)

(165,118)

(145,738,591)

AQR

Diversifying

Strategies

Fund

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

—

497

(23,533,256)

—

—

(23,532,759)

AQR

Equity

Market

Neutral

Fund

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

—

—

1,701,422

(3,535,917)

(6,312)

(1,840,807)

AQR

Long-Short

Equity

Fund

3,145,411

—

554,850

—

—

3,700,261

AQR

Macro

Opportunities

Fund

—

—

4,962,196

(17,593,662)

1,958,693

(10,672,773)

AQR

Managed

Futures

Strategy

Fund

..........

—

—

(6,657,907)

(1,047,759,015)

29,142,881

(1,025,274,041)

AQR

Managed

Futures

Strategy

HV

Fund

.......

—

—

(594,376)

(112,335,199)

4,409,788

(108,519,787)

AQR

Multi-Asset

Fund

.....

—

—

20,360,789

(10,648,801)

(880,309)

8,831,679

AQR

Risk-Balanced

Commodities

Strategy

Fund

82,632

—

(6,432,306)

(3,422)

(10,921,364)

(17,274,460)

346

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

As

of

December

31,

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.

Reclassifications

are

primarily

due

to

the

difference

in

tax

treatment

of

certain

non-deductible

expenses,

net

operating

losses,

and

income

from

investments

in

the

Cayman

subsidiary.

The

result

of

operations

and

net

assets

were

not

affected

by

the

reclassifications. 

The

tax

character

of

distributions

paid

during

the

fiscal

years

ended December

31,

2023

and 2022 were

as

follows:

During

the

year

ended

December

31,

2023,

the

Funds

utilized

capital

loss

carryforwards

in

the

amounts

listed

below:

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

Style

Premia

Alternative

Fund

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

—

—

4,102,233

(440,392,260)

15,295,183

(420,994,844)

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

1,126,290

—

5,022

(377,440)

—

753,872

(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

and

Cayman

subsidiary

income.

FUND

TOTAL

DISTRIBUTABLE

EARNINGS

(LOSS)

PAID-IN

CAPITAL

AQR

Alternative

Risk

Premia

Fund

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

$

1,446,992

$

(1,446,992)

AQR

Diversified

Arbitrage

Fund

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

122,212

(122,212)

AQR

Diversifying

Strategies

Fund

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

—

—

AQR

Equity

Market

Neutral

Fund

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

(1,012,438)

1,012,438

AQR

Long-Short

Equity

Fund

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

(10,669,380)

10,669,380

AQR

Macro

Opportunities

Fund

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

6,145

(6,145)

AQR

Managed

Futures

Strategy

Fund

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

8,040

(8,040)

AQR

Managed

Futures

Strategy

HV

Fund

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

588

(588)

AQR

Multi-Asset

Fund

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

43,669

(43,669)

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

121

(121)

AQR

Style

Premia

Alternative

Fund

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

8,447,285

(8,447,285)

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

—

—

DECEMBER

31,

2023

DECEMBER

31,

2022

FUND

ORDINARY

INCOME

LONG-TERM

CAPITAL

GAINS

RETURN

OF

CAPITAL

ORDINARY

INCOME

LONG-TERM

CAPITAL

GAINS

AQR

Alternative

Risk

Premia

Fund

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

$

7,329,072

$

—

$

—

$

—

$

—

AQR

Diversified

Arbitrage

Fund

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

48,542,632

—

—

1,486,446

—

AQR

Diversifying

Strategies

Fund

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

47,293,987

509,034

—

13,686,935

92,816

AQR

Equity

Market

Neutral

Fund

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

51,911,015

—

—

9,776,339

—

AQR

Long-Short

Equity

Fund

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

172,963,097

—

—

62,742,042

9,150,937

AQR

Macro

Opportunities

Fund

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

10,351,594

—

—

7,011,680

4,113,968

AQR

Managed

Futures

Strategy

Fund

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

109,065,970

—

1,383,957

183,718,060

—

AQR

Managed

Futures

Strategy

HV

Fund

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

11,889,097

—

—

14,001,651

—

AQR

Multi-Asset

Fund

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

6,672,779

—

—

9,276,620

—

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

33,787,619

18,247

—

39,758,150

—

AQR

Style

Premia

Alternative

Fund

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

176,325,383

—

—

163,677,982

—

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

......

6,471,416

—

—

517,684

5,180

FUND

SHORT-TERM

LONG-TERM

AQR

Equity

Market

Neutral

Fund

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

$

629,515

$

374,455

AQR

Long-Short

Equity

Fund

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

13,591,078

17,371,894

AQR

Multi-Asset

Fund

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

2,643,445

–

AQR

Style

Premia

Alternative

Fund

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

45,248,852

–

347

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

As

of

December

31,

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.

7.

Investment

Transactions

During

the year

ended

December

31,

2023,

the

cost

of

purchases

and

the

proceeds

from

sales

of

investments

(excluding

swap

contracts,

forward

foreign

currency

exchange

contracts,

futures

contracts

and

short-term

investments)

were

as

follows:

During

the year

ended

December

31,

2023,

the

Funds

had

purchases

and

sales

of

long-term

U.S.

Government

obligations,

which

are

included

in

the

table

above,

as

follows:

8.

Derivative

Instruments

and

Activities

The

Funds

use

derivative

instruments

as

part

of

their

principal

investment

strategy

to

achieve

their

investment

objectives.

The

Funds’

derivative

contracts

are

not

accounted

for

as

hedging

instruments

under

GAAP.

For

financial

reporting

purposes,

the

Funds

do

not

offset

financial

assets

and

financial

liabilities

that

are

subject

to

Master Agreements

or

similar

agreements

on

the

Statements

of

Assets

and

Liabilities.

All

derivative

instruments

held

by

the

Funds

were

subject

to

a

Master

Agreement

or

similar

arrangement.

The

following

table

lists

the

fair

value

of

derivative

instruments

held

by

the

Funds,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statements

of

Assets

and

Liabilities

at

December

31,

2023:

FUND

SHORT-TERM

LONG

TERM

AQR

Alternative

Risk

Premia

Fund

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

$

131,329,284

$

1,076,062

AQR

Diversified

Arbitrage

Fund

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

—

117,955,931

AQR

Macro

Opportunities

Fund

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

5,589,249

11,619,119

AQR

Managed

Futures

Strategy

Fund

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

510,915,605

507,099,689

AQR

Managed

Futures

Strategy

HV

Fund

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

58,180,711

48,875,367

AQR

Multi-Asset

Fund

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

—

9,241,060

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

3,422

—

AQR

Style

Premia

Alternative

Fund

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

399,033,500

29,900,653

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

149,265

228,175

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Alternative

Risk

Premia

Fund

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

$

223,826,406

$

153,225,204

$

355,253,707

$

263,951,448

AQR

Diversified

Arbitrage

Fund

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

1,289,428,325

982,846,188

572,790,339

397,252,882

AQR

Diversifying

Strategies

Fund

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

398,567,304

121,655,936

—

—

AQR

Equity

Market

Neutral

Fund

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

13,625,169

15,628,052

7,878,460

8,050,535

AQR

Macro

Opportunities

Fund

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

7,937,907

8,198,225

—

—

AQR

Multi-Asset

Fund

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

203,002,023

125,546,444

62,003,747

51,241,510

AQR

Style

Premia

Alternative

Fund

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

31,537,644

37,601,073

24,202,143

24,471,063

FUND

PURCHASES

SALES

AQR

Multi-Asset

Fund

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

$

16,932,213

$

4,039,132

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

Equity

Risk

Exposure:

2,739,452

10,813,326

3,381,800

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

970,875

$

–

$

–

Swaps

at

Value

(Assets)

**

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

563,436

947,646

892,730

Unrealized

Depreciation

on

Futures

Contracts

*

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

(1,140,882)

–

–

Swaps

at

Value

(Liabilities)

**

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

(64,257)

(9,865,680)

(2,489,070)

2,739,452

10,813,326

3,381,800

Foreign

Exchange

Rate

Risk

Exposure:

10,731,539

745,487

127,533

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

5,169,935

1,898

12,225

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

...........

(5,561,604)

(743,589)

(115,308)

10,731,539

745,487

127,533

348

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

Interest

Rate

Risk

Exposure:

13,070,387

14,222,925

–

Unrealized

Appreciation

on

Futures

Contracts

*

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

1,417,135

–

–

Swaps

at

Value

(Assets)

**

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

4,660,465

–

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

(1,260,958)

(4,693,211)

–

Swaps

at

Value

(Liabilities)

**

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

(5,731,831)

(9,529,714)

–

13,070,387

14,222,925

–

Credit

Risk

Exposure:

–

5,943,464

–

Swaps

at

Value

(Liabilities)

**

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

–

(5,943,464)

–

–

5,943,464

–

Commodity

Risk

Exposure:

3,481,885

–

–

Unrealized

Appreciation

on

Futures

Contracts

*

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

1,386,322

–

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

(2,095,563)

–

–

3,481,885

–

–

Net

Fair

Value

of

Derivative

Contracts:

(3,373,852)

(59,652,228)

(3,398,846)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

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

(723,071)

(4,693,211)

–

Swaps

at

Value

**

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

(572,187)

(24,391,212)

(1,596,340)

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

(391,669)

(741,691)

(103,083)

3,373,852

59,652,228

3,398,846

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Equity

Risk

Exposure:

47,045,495

4,216,121

40,468,122

7,161,049

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

8,223,215

$

1,812,648

$

15,141,814

$

2,654,768

Swaps

at

Value

(Assets)

**

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

4,317,756

769,359

6,935,770

1,091,330

Unrealized

Depreciation

on

Futures

Contracts

*

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

(56,825)

(1,312,424)

(1,352,212)

(211,900)

Swaps

at

Value

(Liabilities)

**

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

(34,447,695)

(321,688)

(17,038,329)

(3,203,050)

47,045,495

4,216,121

40,468,122

7,161,049

Foreign

Exchange

Rate

Risk

Exposure:

3,908,796

14,722,026

122,112,046

19,986,635

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

3,693,333

8,105,720

55,842,051

9,012,706

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

(215,463)

(6,616,306)

(66,269,995)

(10,973,929)

3,908,796

14,722,026

122,112,046

19,986,635

Interest

Rate

Risk

Exposure:

–

37,057,070

74,660,821

13,407,577

Unrealized

Appreciation

on

Futures

Contracts

*

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

–

1,557,825

2,773,025

507,957

Swaps

at

Value

(Assets)

**

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

–

17,504,796

33,411,401

6,067,798

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

(640,937)

(8,886,965)

(1,548,583)

Swaps

at

Value

(Liabilities)

**

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

–

(17,353,519)

(29,589,431)

(5,283,242)

–

37,057,070

74,660,821

13,407,577

Credit

Risk

Exposure:

–

1,277,049

3,616,176

630,898

Swaps

at

Value

(Assets)

**

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

–

975,557

3,169,366

550,800

Swaps

at

Value

(Liabilities)

**

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

–

(301,491)

(446,810)

(80,100)

–

1,277,049

3,616,176

630,898

Commodity

Risk

Exposure:

–

8,765,066

79,422,011

14,607,392

Unrealized

Appreciation

on

Futures

Contracts

*

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

–

4,063,231

34,556,275

6,388,559

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

(4,701,831)

(44,865,732)

(8,218,834)

–

8,765,066

79,422,011

14,607,392

Net

Fair

Value

of

Derivative

Contracts:

(48,615,618)

3,540,938

(33,239,544)

(6,491,440)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

8,166,390

778,512

(2,633,795)

(428,033)

Swaps

at

Value

**

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

(30,129,939)

1,273,014

(3,558,033)

(856,464)

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

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

3,477,870

1,489,414

(10,427,944)

(1,961,223)

48,615,618

3,540,938

33,239,544

6,491,440

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Equity

Risk

Exposure:

1,905,291

–

45,490,166

1,115,101

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

881,743

$

–

$

3,772,428

$

–

349

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Swaps

at

Value

(Assets)

**

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

38,365

–

10,389,024

509,820

Unrealized

Depreciation

on

Futures

Contracts

*

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

(869,152)

–

(6,759,844)

–

Swaps

at

Value

(Liabilities)

**

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

(116,032)

–

(24,568,869)

(605,281)

1,905,291

–

45,490,166

1,115,101

Foreign

Exchange

Rate

Risk

Exposure:

8,228,080

–

62,412,196

115,455

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

3,932,479

–

31,769,648

115,087

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

(4,295,601)

–

(30,642,548)

(368)

8,228,080

–

62,412,196

115,455

Interest

Rate

Risk

Exposure:

5,293,777

–

97,985,869

–

Unrealized

Appreciation

on

Futures

Contracts

*

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

5,205,207

–

9,716,531

–

Swaps

at

Value

(Assets)

**

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

–

–

36,672,272

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

(88,570)

–

(5,442,917)

–

Swaps

at

Value

(Liabilities)

**

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

–

–

(46,154,148)

–

5,293,777

–

97,985,869

–

Commodity

Risk

Exposure:

4,833,427

63,777,894

10,110,831

–

Unrealized

Appreciation

on

Futures

Contracts

*

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

2,142,109

31,506,529

4,073,146

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

(2,691,317)

(32,271,365)

(6,037,686)

–

4,833,427

63,777,894

10,110,831

–

Net

Fair

Value

of

Derivative

Contracts:

3,698,442

(1,529,672)

(47,553,026)

(76,203)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

4,580,020

(764,836)

(678,342)

–

Swaps

at

Value

**

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

(77,667)

–

(23,661,721)

(95,461)

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

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

(363,122)

–

1,127,100

114,719

3,698,442

1,529,672

47,553,026

76,203

*

Includes

cumulative

appreciation/(depreciation)

on

futures

contracts,

if

any,

as

reported

on

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

on

the

Statements

of

Assets

and

Liabilities.

**

Includes

the

fair

value

of

centrally

cleared

swap

contracts

as

reported

on

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

on

the

Statements

of

Assets

and

Liabilities

.

350

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

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

December

31,

2023:

*

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

Realized

Gain

(Loss)

on

Derivatives

Equity

Risk

Exposure:

1,681,958

(51,665,676)

27,128,904

Futures

Contracts

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

$

968,175

$

(4,786,617)

$

–

Swap

Contracts

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

713,783

(43,518,260)

27,128,904

Written

Option

Contracts

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

–

167,528

–

Purchased

Option

Contracts

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

–

(3,528,327)

–

1,681,957.95

(51,665,676.28)

27,128,904.26

Foreign

Exchange

Rate

Risk

Exposure:

(614,933)

1,373,441

(35,929)

Forward

Foreign

Currency

Exchange

Contracts

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

(614,933)

1,373,441

(35,929)

(614,933)

1,373,441

(35,929)

Interest

Rate

Risk

Exposure:

(1,587,844)

(7,805,095)

–

Futures

Contracts

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

(2,248,532)

5,406,397

–

Swap

Contracts

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

660,687

(13,211,492)

–

(1,587,844.02)

(7,805,094.87)

–

Credit

Risk

Exposure:

–

(11,847,713)

–

Swap

Contracts

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

–

(11,847,713)

–

–

(11,847,713.2)

–

Commodity

Risk

Exposure:

(836,002)

–

–

Futures

Contracts

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

(836,001)

–

–

(836,001.55)

–

–

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Equity

Risk

Exposure:

161,145

11,790,720

(4,844,739)

Futures

Contracts

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

(309,170)

(74,691)

–

Swap

Contracts

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

470,315

11,865,411

(4,844,739)

161,145

11,790,720

4,844,739

Foreign

Exchange

Rate

Risk

Exposure:

568,053

1,401,254

89,073

Forward

Foreign

Currency

Exchange

Contracts

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

568,053

(1,401,254)

(89,073)

568,053

1,401,254

89,073

Interest

Rate

Risk

Exposure:

906,935

30,317,350

–

Futures

Contracts

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

619,721

(5,057,538)

–

Swap

Contracts

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

287,214

35,374,888

–

906,935

30,317,350

–

Credit

Risk

Exposure:

–

495,255

–

Swap

Contracts

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

–

495,254

–

–

495,255

–

Commodity

Risk

Exposure:

574,864

–

–

Futures

Contracts

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

(574,864)

–

–

574,864

–

–

*

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Realized

Gain

(Loss)

on

Derivatives

Equity

Risk

Exposure:

154,357,124

(9,269,882)

(24,958,691)

(3,882,081)

Futures

Contracts

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

$

25,973,278

$

(9,154,623)

$

(42,953,656)

$

(7,294,324)

Swap

Contracts

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

128,383,846

(115,259)

17,994,965

3,412,243

154,357,123.53

(9,269,881.91)

(24,958,690.59)

(3,882,080.57)

Foreign

Exchange

Rate

Risk

Exposure:

(383,463)

(3,538,561)

(28,440,039)

(5,345,628)

Forward

Foreign

Currency

Exchange

Contracts

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

(383,463)

(3,538,561)

(28,440,039)

(5,345,628)

(383,463)

(3,538,561)

(28,440,039)

(5,345,628)

Interest

Rate

Risk

Exposure:

–

2,676,741

41,005,542

3,941,889

Futures

Contracts

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

–

1,352,477

49,406,113

6,358,521

Swap

Contracts

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

–

1,324,264

(8,400,570)

(2,416,632)

–

2,676,740.59

41,005,542.37

3,941,889.24

Credit

Risk

Exposure:

–

(261,524)

465,942

85,819

Swap

Contracts

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

–

(261,525)

465,942

85,819

351

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

*

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

–

(261,524.44)

465,941.93

85,818.76

Commodity

Risk

Exposure:

–

3,628,195

39,151,832

5,982,648

Futures

Contracts

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

–

3,628,195

39,151,832

5,982,648

–

3,628,195.1

39,151,832.24

5,982,648.19

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Equity

Risk

Exposure:

(30,132,911)

(1,042,084)

(12,301,811)

(2,387,681)

Futures

Contracts

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

13,088,654

(1,414,159)

6,155,820

1,205,451

Swap

Contracts

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

(43,221,566)

372,078

(18,457,634)

(3,593,131)

30,132,911

1,042,084

12,301,811

2,387,681

Foreign

Exchange

Rate

Risk

Exposure:

1,731,756

506,415

9,560,085

1,248,673

Forward

Foreign

Currency

Exchange

Contracts

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

1,731,756

506,415

9,560,085

1,248,673

1,731,756

506,415

9,560,085

1,248,673

Interest

Rate

Risk

Exposure:

–

362,913

35,466,398

4,671,670

Futures

Contracts

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

–

(363,979)

(44,557,474)

(6,556,474)

Swap

Contracts

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

–

1,066

9,091,076

1,884,809

–

362,913

35,466,398

4,671,670

Credit

Risk

Exposure:

–

503,968

1,762,445

307,502

Swap

Contracts

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

–

503,969

1,762,445

307,503

–

503,968

1,762,445

307,502

Commodity

Risk

Exposure:

–

98,129

11,151,513

1,989,974

Futures

Contracts

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

–

98,130

(11,151,510)

(1,989,977)

–

98,129

11,151,513

1,989,974

*

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Realized

Gain

(Loss)

on

Derivatives

Equity

Risk

Exposure:

(180,873)

–

126,590,145

6,128,899

Futures

Contracts

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

$

404,221

$

–

$

18,825,042

$

–

Swap

Contracts

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

(585,094)

–

107,765,102

6,128,899

(180,873.2)

–

126,590,144.83

6,128,899.14

Foreign

Exchange

Rate

Risk

Exposure:

(77,750)

–

(3,250,916)

(62,969)

Forward

Foreign

Currency

Exchange

Contracts

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

(77,750)

–

(3,250,916)

(62,969)

(77,750)

–

(3,250,916)

(62,969)

Interest

Rate

Risk

Exposure:

(8,291,904)

–

(20,239,708)

–

Futures

Contracts

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

(8,291,904)

–

(21,886,720)

–

Swap

Contracts

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

–

–

1,647,012

–

(8,291,903.57)

–

(20,239,708.2)

–

Commodity

Risk

Exposure:

(70,787)

4,789,700

(13,726,926)

–

Futures

Contracts

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

(70,787)

4,789,700

(13,726,926)

–

(70,786.96)

4,789,699.93

(13,726,926.32)

–

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Equity

Risk

Exposure:

(894,875)

–

(36,407,402)

(562,641)

Futures

Contracts

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

(744,168)

–

(1,958,940)

–

Swap

Contracts

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

(150,707)

–

(34,448,460)

(562,641)

894,875

–

36,407,402

562,641

Foreign

Exchange

Rate

Risk

Exposure:

76,997

–

4,773,049

36,546

Forward

Foreign

Currency

Exchange

Contracts

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

76,997

–

4,773,049

36,546

76,997

–

4,773,049

36,546

Interest

Rate

Risk

Exposure:

7,708,273

–

19,473,290

–

Futures

Contracts

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

7,708,274

–

14,609,214

–

Swap

Contracts

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

–

–

4,864,077

–

7,708,273

–

19,473,290

–

Commodity

Risk

Exposure:

1,525,255

26,241,396

878,655

–

Futures

Contracts

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

(1,525,255)

(26,241,396)

(878,658)

–

1,525,255

26,241,396

878,655

–

352

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

The

following

tables

present

the

Funds’

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

Funds

as

of

December

31,

2023:

AQR

Alternative

Risk

Premia

Fund

R

-

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$7,685,499.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

2,584,567

$

(2,584,567)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,585,368

(2,585,368)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

140,184

(64,257)

75,927

–

–

75,927

MSCS

..........

Total

Return

Swap

Contracts

423,252

–

423,252

–

(330,734)

92,518

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

5,733,371

(5,234,192)

499,179

–

(330,734)

168,445

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

2,781,025

$

(2,584,567)

$

196,458

$

–

$

(196,458)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,780,579

(2,585,368)

195,211

–

(195,211)

–

MLIN

..........

Total

Return

Swap

Contracts

64,257

(64,257)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

5,625,861

(5,234,192)

391,669

–

(391,669)

–

353

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Diversified

Arbitrage

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$25,540

and

total

additional

collateral

pledged

was

$154,008,079.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

1,898

$

(1,898)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

805,092

(805,092)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

806,990

(806,990)

–

–

–

–

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BNPP

..........

Total

Return

Basket

Swap

Contracts

$

14,459,337

$

–

$

14,459,337

$

–

$

(14,459,337)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

372,866

(1,898)

370,968

–

(370,968)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

4,591,081

(805,092)

3,785,989

(3,785,989)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

370,723

–

370,723

–

(370,723)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

202,422

–

202,422

(202,422)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

19,996,429

(806,990)

19,189,439

(3,988,411)

(15,201,028)

–

354

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Equity

Market

Neutral

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$82,136,724.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

6,111

$

(6,111)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

6,114

(6,114)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

180,297

(180,297)

–

Total

JPMC

186,411

(186,411)

–

–

–

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

54,924

(54,924)

–

–

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

657,509

(657,509)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

904,955

(904,955)

–

–

–

–

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

57,666

$

(6,111)

$

51,555

$

–

$

(51,555)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

57,642

(6,114)

51,528

JPMC

..........

Total

Return

Basket

Swap

Contracts

349,690

(180,297)

169,393

Total

JPMC

407,332

(186,411)

220,921

–

(220,921)

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

74,375

(54,924)

19,451

–

(19,451)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

2,065,005

(657,509)

1,407,496

(1,407,496)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

2,604,378

(904,955)

1,699,423

(1,407,496)

(291,927)

–

355

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Long-Short

Equity

Fund

b

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

698,344

$

–

$

698,344

$

–

$

(698,344)

$

–

BNPP

..........

Total

Return

Basket

Swap

Contracts

664,871

(664,871)

–

–

–

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

1,846,314

(107,760)

1,738,554

–

–

1,738,554

GSIN

..........

Total

Return

Swap

Contracts

11,617

(6,130)

5,487

–

–

5,487

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,847,019

(107,703)

1,739,316

JPMC

..........

Total

Return

Swap

Contracts

571,606

(30,783)

540,823

JPMC

..........

Total

Return

Basket

Swap

Contracts

1,557,546

(1,557,546)

–

Total

JPMC

3,976,171

(1,696,032)

2,280,139

–

–

2,280,139

MSIP

..........

Total

Return

Basket

Swap

Contracts

813,772

(23,520)

790,252

–

(640,280)

149,972

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

8,011,089

(2,498,313)

5,512,776

–

(1,338,624)

4,174,152

356

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Long-Short

Equity

Fund

(continued)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$90,116

and

total

additional

collateral

pledged

was

$243,010,456.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BNPP

..........

Total

Return

Basket

Swap

Contracts

$

10,268,966

$

(664,871)

$

9,604,095

$

–

$

(9,604,095)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

107,760

(107,760)

–

–

–

–

GSIN

..........

Total

Return

Swap

Contracts

6,130

(6,130)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

6,971,228

–

6,971,228

Total

GSIN

6,977,358

(6,130)

6,971,228

(6,971,228)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

107,703

(107,703)

–

JPMC

..........

Total

Return

Swap

Contracts

30,783

(30,783)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

17,147,068

(1,557,546)

15,589,522

Total

JPMC

17,285,554

(1,696,032)

15,589,522

(15,589,522)

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

23,520

(23,520)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

34,663,158

(2,498,313)

32,164,845

(22,560,750)

(9,604,095)

–

357

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Macro

Opportunities

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

$124,362

and

total

additional

collateral

pledged

was

$4,338,103.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

4,052,152

$

(3,307,526)

$

744,626

$

–

$

(744,626)

$

–

GSIN

..........

Total

Return

Swap

Contracts

68,139

(68,139)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

4,053,568

(3,308,780)

744,788

–

–

744,788

MLIN

..........

Total

Return

Swap

Contracts

701,220

(28,769)

672,451

–

(672,451)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

8,875,079

(6,713,214)

2,161,865

–

(1,417,077)

744,788

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

6,877

$

–

$

6,877

$

–

$

–

$

6,877

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

3,307,526

(3,307,526)

–

–

–

–

GSIN

..........

Total

Return

Swap

Contracts

286,042

(68,139)

217,903

(217,903)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

3,308,780

(3,308,780)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

28,769

(28,769)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

6,937,994

(6,713,214)

224,780

(217,903)

–

6,877

358

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Managed

Futures

Strategy

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

27,935,970

$

(27,935,970)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

154,145

–

154,145

–

–

154,145

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

27,906,081

(27,906,081)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

2,350,288

(170,788)

2,179,500

MLIN

..........

Total

Return

Basket

Swap

Contracts

1,019,491

(1,019,491)

–

Total

MLIN

3,369,779

(1,190,279)

2,179,500

–

–

2,179,500

MSCS

..........

Total

Return

Swap

Contracts

3,411,846

(268,935)

3,142,911

–

(3,142,911)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

62,777,821

(57,301,265)

5,476,556

–

(3,142,911)

2,333,645

359

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Managed

Futures

Strategy

Fund

(continued)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$18,415

and

total

additional

collateral

pledged

was

$107,457,889.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

33,136,863

$

(27,935,970)

$

5,200,893

$

–

$

(5,200,893)

$

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

10,740,275

–

10,740,275

(10,740,275)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

33,133,132

(27,906,081)

5,227,051

(3,069,986)

(2,157,065)

–

MLIN

..........

Total

Return

Swap

Contracts

170,788

(170,788)

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

5,858,331

(1,019,491)

4,838,840

Total

MLIN

6,029,119

(1,190,279)

4,838,840

(988,607)

(3,150,069)

700,164

MSCS

..........

Total

Return

Swap

Contracts

268,935

(268,935)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

83,308,324

(57,301,265)

26,007,059

(14,798,868)

(10,508,027)

700,164

360

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Managed

Futures

Strategy

HV

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

4,509,072

$

(4,509,072)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

52,579

(52,579)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

35,716

(35,716)

–

Total

GSIN

88,295

(88,295)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

4,503,634

(4,503,634)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

1,003,035

(23,757)

979,278

–

(941,762)

37,516

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

10,104,036

(9,124,758)

979,278

–

(941,762)

37,516

361

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Managed

Futures

Strategy

HV

Fund

(continued)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$26,529

and

total

additional

collateral

pledged

was

$22,607,410.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

5,487,265

$

(4,509,072)

$

978,193

$

–

$

(978,193)

$

–

GSIN

..........

Total

Return

Swap

Contracts

54,375

(52,579)

1,796

GSIN

..........

Total

Return

Basket

Swap

Contracts

882,692

(35,716)

846,976

Total

GSIN

937,067

(88,295)

848,772

(848,772)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

5,486,664

(4,503,634)

983,030

JPMC

..........

Total

Return

Basket

Swap

Contracts

2,242,226

–

2,242,226

Total

JPMC

7,728,890

(4,503,634)

3,225,256

–

(3,225,256)

–

MLIN

..........

Total

Return

Swap

Contracts

23,757

(23,757)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

14,176,979

(9,124,758)

5,052,221

(848,772)

(4,203,449)

–

362

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Multi-Asset

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$5,384,466.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

1,968,875

$

(1,968,875)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,963,604

(1,963,604)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

20,286

–

20,286

–

–

20,286

MSCS

..........

Total

Return

Swap

Contracts

18,079

–

18,079

–

–

18,079

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

3,970,844

(3,932,479)

38,365

–

–

38,365

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

116,032

$

–

$

116,032

$

–

$

–

$

116,032

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

2,154,508

(1,968,875)

185,633

–

(185,633)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,141,093

(1,963,604)

177,489

–

(177,489)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

4,411,633

(3,932,479)

479,154

–

(363,122)

116,032

363

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Style

Premia

Alternative

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

1,102,675

$

–

$

1,102,675

$

–

$

(283,096)

$

819,579

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

15,882,289

(15,323,001)

559,288

CITI

...........

Total

Return

Swap

Contracts

476,379

(476,379)

–

Total

CITI

16,358,668

(15,799,380)

559,288

–

(80,528)

478,760

GSIN

..........

Total

Return

Swap

Contracts

245,649

(1,113)

244,536

GSIN

..........

Total

Return

Basket

Swap

Contracts

2,761,630

(2,761,630)

–

Total

GSIN

3,007,279

(2,762,743)

244,536

–

–

244,536

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

15,887,359

(15,319,547)

567,812

JPMC

..........

Total

Return

Swap

Contracts

258,836

–

258,836

JPMC

..........

Total

Return

Basket

Swap

Contracts

1,645,282

(15,680)

1,629,602

Total

JPMC

17,791,477

(15,335,227)

2,456,250

–

–

2,456,250

MLIN

..........

Total

Return

Swap

Contracts

2,056,915

(424,717)

1,632,198

MLIN

..........

Total

Return

Basket

Swap

Contracts

899,265

–

899,265

Total

MLIN

2,956,180

(424,717)

2,531,463

–

–

2,531,463

MSIP

..........

Total

Return

Basket

Swap

Contracts

942,393

(820,064)

122,329

–

–

122,329

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

42,158,672

(35,142,131)

7,016,541

–

(363,624)

6,652,917

364

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Style

Premia

Alternative

Fund

(continued)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$244,127,762.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

9,584

$

–

$

9,584

$

–

$

(3,265)

$

6,319

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

15,323,001

(15,323,001)

–

CITI

...........

Total

Return

Swap

Contracts

2,735,459

(476,379)

2,259,080

Total

CITI

18,058,460

(15,799,380)

2,259,080

–

(2,259,080)

–

GSIN

..........

Total

Return

Swap

Contracts

1,113

(1,113)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

20,562,252

(2,761,630)

17,800,622

Total

GSIN

20,563,365

(2,762,743)

17,800,622

(17,800,622)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

15,319,547

(15,319,547)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

15,680

(15,680)

–

Total

JPMC

15,335,227

(15,335,227)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

424,717

(424,717)

–

–

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

820,064

(820,064)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

55,211,417

(35,142,131)

20,069,286

(17,800,622)

(2,262,345)

6,319

365

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

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

$11,506

and

total

additional

collateral

pledged

was

$9,951,304.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

57,533

$

(184)

$

57,349

$

–

$

–

$

57,349

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

57,554

(184)

57,370

–

–

57,370

MLIN

..........

Total

Return

Basket

Swap

Contracts

509,820

(119,545)

390,275

–

(390,275)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

624,907

(119,913)

504,994

–

(390,275)

114,719

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

184

$

(184)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

485,736

–

485,736

–

(485,736)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

184

(184)

–

–

–

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

119,545

(119,545)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

605,649

(119,913)

485,736

–

(485,736)

–

366

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

For

the year

ended

December

31,

2023,

the

average

and

ending

volume

of

the

derivatives

held

by

the

Funds

were

as

follows:

Derivatives

Volume

Disclosure*

*

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

LONG-

SHORT

EQUITY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

190,065,126

$

220,375,000

$

–

$

193,942,334

Average

Notional

Balance

-

Short

274,816,700

279,577,140

–

120,004

Ending

Notional

Balance

-

Long

263,475,786

–

–

242,677,706

Ending

Notional

Balance

-

Short

217,131,081

343,217,905

–

–

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

183,666,195

5,019,721

1,900,636

118,997,181

Average

Settlement

Value

-

Sold

188,668,862

38,315,941

3,291,193

4,593,469

Ending

Value

-

Purchased

234,317,873

335,855

4,389,285

165,814,785

Ending

Value

-

Sold

230,906,899

25,505,866

7,163,137

19,841,009

Exchange-Traded

Option

Contracts:

Average

Number

of

Contracts

-

Purchased

–

2,832

–

–

Average

Number

of

Contracts

-

Written

–

2,832

–

–

Ending

Number

of

Contracts

-

Purchased

–

–

–

–

Ending

Number

of

Contracts

-

Written

–

–

–

–

Credit

Default

Swap

Contracts:

Average

Notional

Balance

-

Buy

Protection

–

110,835,000

–

–

Average

Notional

Balance

-

Sell

Protection

–

–

–

–

Ending

Notional

Balance

-

Buy

Protection

–

100,525,000

–

–

Ending

Notional

Balance

-

Sell

Protection

–

–

–

–

Total

Return

Swap

Contracts:

Average

Notional

Balance

-

Long

14,014,803

–

–

41,070,981

Average

Notional

Balance

-

Short

12,914,533

49,976,360

–

661,469

Ending

Notional

Balance

-

Long

31,811,753

–

–

54,587,847

Ending

Notional

Balance

-

Short

12,119,942

49,976,360

–

–

Interest

Rate

Swap

Contracts:

Average

Notional

Balance

-

Pays

Fixed

Rate

431,147,864

–

–

–

Average

Notional

Balance

-

Receives

Fixed

Rate

237,609,346

–

–

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

402,999,259

–

–

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

236,120,930

–

–

–

Total

Return

Basket

Swap

Contracts:

Average

Notional

of

Underlying

Positions

-

Long

–

758,509,429

489,169,286

1,613,213,524

Average

Notional

of

Underlying

Positions

-

Short

–

132,900,615

454,191,416

1,491,261,530

Ending

Notional

Balance

-

Long

–

544,475,915

593,826,301

2,216,515,257

Ending

Notional

Balance

-

Short

–

169,657,366

553,815,894

2,059,083,055

367

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

*

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

288,007,516

$

889,677,577

$

154,642,279

$

276,243,802

$

1,036,169,450

Average

Notional

Balance

-

Short

430,888,407

4,560,375,316

769,699,344

87,376,628

453,790,370

Ending

Notional

Balance

-

Long

304,088,811

2,689,813,332

478,154,902

396,571,066

1,042,459,003

Ending

Notional

Balance

-

Short

247,677,718

1,833,435,290

328,341,066

102,905,769

414,487,053

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

373,401,380

1,899,651,070

313,553,347

152,075,203

–

Average

Settlement

Value

-

Sold

365,391,729

1,976,446,838

328,065,065

171,054,250

–

Ending

Value

-

Purchased

381,722,614

3,154,540,403

523,669,188

199,069,253

–

Ending

Value

-

Sold

353,401,343

2,910,366,221

484,225,389

225,260,215

–

Credit

Default

Swap

Contracts:

Average

Notional

Balance

-

Buy

Protection

36,330,773

9,374,108

1,603,134

–

–

Average

Notional

Balance

-

Sell

Protection

13,931,004

43,943,918

7,666,106

–

–

Ending

Notional

Balance

-

Buy

Protection

13,861,679

–

–

–

–

Ending

Notional

Balance

-

Sell

Protection

13,989,436

117,639,751

20,618,685

–

–

Total

Return

Swap

Contracts:

Average

Notional

Balance

-

Long

19,475,974

77,603,989

13,576,138

1,414,296

–

Average

Notional

Balance

-

Short

14,296,938

55,844,504

8,644,277

14,919,123

–

Ending

Notional

Balance

-

Long

21,703,469

191,403,702

33,823,021

1,995,468

–

Ending

Notional

Balance

-

Short

15,663,545

–

–

31,788,959

–

Interest

Rate

Swap

Contracts:

Average

Notional

Balance

-

Pays

Fixed

Rate

935,292,338

2,755,532,057

474,598,368

–

–

Average

Notional

Balance

-

Receives

Fixed

Rate

655,188,329

1,460,476,465

256,536,541

–

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

988,504,819

1,890,178,372

329,983,010

–

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

824,040,856

2,209,915,641

389,656,434

–

–

Total

Return

Basket

Swap

Contracts:

Average

Notional

of

Underlying

Positions

-

Long

–

781,163,948

131,978,003

–

–

Average

Notional

of

Underlying

Positions

-

Short

–

765,917,226

129,731,240

–

–

Ending

Notional

Balance

-

Long

–

844,325,641

152,993,520

–

–

Ending

Notional

Balance

-

Short

–

842,118,907

153,199,498

–

–

368

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

9.

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

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

1,317,458,305

$

–

Average

Notional

Balance

-

Short

1,131,229,040

–

Ending

Notional

Balance

-

Long

1,335,757,446

–

Ending

Notional

Balance

-

Short

1,132,046,103

–

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

1,143,380,561

4,683,108

Average

Settlement

Value

-

Sold

1,109,878,728

139,406

Ending

Value

-

Purchased

1,265,353,498

5,237,803

Ending

Value

-

Sold

1,318,579,574

130,500

Total

Return

Swap

Contracts:

Average

Notional

Balance

-

Long

108,916,571

–

Average

Notional

Balance

-

Short

124,458,448

–

Ending

Notional

Balance

-

Long

239,221,536

–

Ending

Notional

Balance

-

Short

197,975,632

–

Interest

Rate

Swap

Contracts:

Average

Notional

Balance

-

Pays

Fixed

Rate

3,465,012,594

–

Average

Notional

Balance

-

Receives

Fixed

Rate

1,949,067,848

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

3,135,136,426

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

1,873,541,362

–

Total

Return

Basket

Swap

Contracts:

Average

Notional

of

Underlying

Positions

-

Long

1,973,523,630

76,641,489

Average

Notional

of

Underlying

Positions

-

Short

1,824,480,048

55,476,155

Ending

Notional

Balance

-

Long

2,129,768,133

87,432,649

Ending

Notional

Balance

-

Short

2,040,002,284

65,166,359

*

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

Alternative

Risk

Premia

Fund

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

1.20%

AQR

Diversified

Arbitrage

Fund

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

1.00

AQR

Diversifying

Strategies

Fund

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

0.00

AQR

Equity

Market

Neutral

Fund

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

1.10

AQR

Long-Short

Equity

Fund

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

1.10

AQR

Macro

Opportunities

Fund

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

1.00

AQR

Managed

Futures

Strategy

Fund

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

1.05

AQR

Managed

Futures

Strategy

HV

Fund

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

1.45

AQR

Multi-Asset

Fund

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

0.60

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

0.80

AQR

Style

Premia

Alternative

Fund

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

1.30

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

1.10

369

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

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

April

30,

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.

The

amounts

reimbursed

by

the

Adviser

for

the

year

ended

December

31,

2023,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at

December

31,

2023

are

as

follows:

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Alternative

Risk

Premia

Fund

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

0.20

%

0.20

%

0.10

%

AQR

Diversified

Arbitrage

Fund

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

0.20

0.20

0.10

AQR

Diversifying

Strategies

Fund

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

0.20

0.20

0.10

AQR

Equity

Market

Neutral

Fund

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

0.20

0.20

0.10

AQR

Long-Short

Equity

Fund

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

0.20

0.20

0.10

AQR

Macro

Opportunities

Fund

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

0.20

0.20

0.10

AQR

Managed

Futures

Strategy

Fund

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

0.20

0.20

0.10

AQR

Managed

Futures

Strategy

HV

Fund

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

0.20

0.20

0.10

AQR

Multi-Asset

Fund

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

0.20

0.20

0.10

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

0.20

0.20

0.10

AQR

Style

Premia

Alternative

Fund

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

0.20

0.20

0.10

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

0.20

0.20

0.10

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

DECEMBER

31

,

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

DECEMBER

31

,

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

DECEMBER

31

,

2023

2023

20

24

20

25

20

26

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Class

I

...........

$

94,106

$

310,137

$

138,157

$

77,874

$

94,106

Class

N

...........

9,509

42,501

21,032

11,960

9,509

Class

R6

..........

175,057

542,575

186,472

181,046

175,057

Totals

$

278,672

$

895,213

$

345,661

$

270,880

$

278,672

AQR

DIVERSIFIED

ARBITRAGE

FUND

Class

I

...........

$

71,392

$

501,933

$

307,319

$

123,222

$

71,392

Class

N

...........

3,635

27,772

15,755

8,382

3,635

Class

R6

..........

40,523

239,670

117,432

81,715

40,523

Totals

$

115,550

$

769,375

$

440,506

$

213,319

$

115,550

AQR

DIVERSIFYING

STRATEGIES

FUND

Class

I

...........

$

35,498

$

282,796

$

156,974

$

90,324

$

35,498

Class

N

...........

1,881

12,680

7,540

3,259

1,881

Class

R6

..........

169

47,075

40,888

6,018

169

Totals

$

37,548

$

342,551

$

205,402

$

99,601

$

37,548

AQR

EQUITY

MARKET

NEUTRAL

FUND

Class

I

...........

$

113,994

$

379,777

$

136,888

$

128,895

$

113,994

Class

N

...........

23,528

117,976

56,656

37,792

23,528

Class

R6

..........

59,334

113,231

18,980

34,917

59,334

Totals

$

196,856

$

610,984

$

212,524

$

201,604

$

196,856

AQR

LONG-SHORT

EQUITY

FUND

Class

I

...........

$

98,350

$

303,837

$

71,058

$

134,429

$

98,350

Class

N

...........

3,762

15,444

6,160

5,522

3,762

Class

R6

..........

1,343

14,834

9,902

3,589

1,343

Totals

$

103,455

$

334,115

$

87,120

$

143,540

$

103,455

370

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

During

the

year

ended

December

31,

2023,

the

Funds

repaid

to

the

Advisor

the

following

amounts

previously

reimbursed:

Pursuant

to

the

Sub-Advisory

Agreements

between

the

Sub-Adviser,

the

Adviser

and

the

Trust,

the

Adviser

will

pay

the

Sub-Adviser

an

annual

fee,

payable

monthly,

at

the

annual

rate

of

0.50%

of

the

average

daily

net

assets

for

the

AQR

Diversified

Arbitrage

Fund. 

10.

Distribution

Plan

The

Trust

has

adopted

a

Plan

of

Distribution

(the

“Plan”)

pursuant

to

Rule

12b-1

under

the

1940

Act

with

respect

to

the

Class

N

shares

of

the

Funds.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily NAV

of

the

Class

N

shares

of

the

Funds.

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

DECEMBER

31,

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

DECEMBER

31,

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

DECEMBER

31,

2023

2023

2024

2025

2026

AQR

MACRO

OPPORTUNITIES

FUND

Class

I

...........

$

150,418

$

386,746

$

98,175

$

138,153

$

150,418

Class

N

...........

17,821

40,714

7,047

15,846

17,821

Class

R6

..........

154,618

492,450

210,700

127,132

154,618

Totals

$

322,857

$

919,910

$

315,922

$

281,131

$

322,857

AQR

MANAGED

FUTURES

STRATEGY

FUND

Class

I

...........

$

–

$

–

$

–

$

–

$

–

Class

N

...........

5,743

11,038

–

5,295

5,743

Class

R6

..........

16,506

39,752

–

23,246

16,506

Totals

$

22,249

$

50,790

$

–

$

28,541

$

22,249

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Class

I

...........

$

185,174

$

601,908

$

179,234

$

237,500

$

185,174

Class

N

...........

8,285

36,692

7,171

21,236

8,285

Class

R6

..........

129,771

281,562

56,224

95,567

129,771

Totals

$

323,230

$

920,162

$

242,629

$

354,303

$

323,230

AQR

MULTI-ASSET

FUND

Class

I

...........

$

118,583

$

537,312

$

208,551

$

210,178

$

118,583

Class

N

...........

11,360

34,093

8,933

13,800

11,360

Class

R6

..........

99,191

178,487

25,674

53,622

99,191

Totals

$

229,134

$

749,892

$

243,158

$

277,600

$

229,134

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Class

I

...........

$

153,133

$

401,691

$

111,810

$

136,748

$

153,133

Class

N

...........

18,273

65,345

30,329

16,743

18,273

Class

R6

..........

16,622

28,802

2,851

9,329

16,622

Totals

$

188,028

$

495,838

$

144,990

$

162,820

$

188,028

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Class

I

...........

$

53,669

$

363,313

$

167,507

$

142,137

$

53,669

Class

N

...........

5,301

31,859

12,424

14,134

5,301

Class

R6

..........

86,481

590,787

271,866

232,440

86,481

Totals

$

145,451

$

985,959

$

451,797

$

388,711

$

145,451

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Class

I

...........

$

75,004

$

165,425

$

3,140

$

87,281

$

75,004

Class

N

...........

51,497

103,539

3,140

48,902

51,497

Class

R6

..........

79,668

353,593

56,879

217,046

79,668

Totals

$

206,169

$

622,557

$

63,159

$

353,229

$

206,169

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Diversified

Arbitrage

Fund

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

$

22,860

$

1,913

$

9,026

AQR

Diversifying

Strategies

Fund

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

1,893

534

–

AQR

Equity

Market

Neutral

Fund

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

12,963

–

–

AQR

Long-Short

Equity

Fund

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

83,507

359

–

AQR

Managed

Futures

Strategy

Fund

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

–

1,415

–

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

50,180

–

–

371

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

11.

Principal

Risks

and

Concentrations

With

the

exception

of

AQR

Risk-Balanced

Commodities

Strategy

Fund,

the

Funds

are

diversified.

Because

a

non-diversified

Fund

may

invest

in

securities

of

a

smaller

number

of

issuers,

such

non-diversified

Fund

may

be

more

exposed

to

the

risks

associated

with

and

developments

affecting

an

individual

issuer

than

a

fund

that

invests

more

widely,

which

may,

therefore,

have

a

greater

impact

on

the

non-diversified

Fund's

performance. 

The

investment

techniques

and

strategies

utilized

by

the

Funds,

including

investments

made

on

a

shorter-term

basis

or

in

derivative

instruments

or

instruments

with

a

maturity

of

one

year

or

less

at

the

time

of

acquisition,

may

result

in

frequent

portfolio

trading

and

high

portfolio

turnover.

High

portfolio

turnover

will

cause

the

Funds

to

incur

higher

levels

of

brokerage

fees

and

commissions,

which

may

reduce

performance,

and

may

cause

higher

levels

of

current

tax

liability

to

shareholders

in

the

Funds.

In

the

normal

course

of

business,

the

Funds

trade

financial

instruments

and

enter

into

financial

transactions

where

risk

of

potential

loss

exists

due

to

changes

in

the

market

(market

risk).

A

Fund’s

investments

in

financial

derivatives

and

other

financial

instruments

may

expose

the

Fund

to

various

elements

of

market

risks

which

include

interest

rate,

foreign

currency,

equity,

and

commodity

risks.

Exposure

to

the

commodities

markets

may

subject

a

Fund

to

greater

volatility

than

investments

in

traditional

securities.

The

value

of

commodity-linked

derivative

investments

and

exchange-traded

notes

may

be

affected

by

changes

in

overall

market

movements,

commodity

index

volatility,

changes

in

interest

rates,

or

factors

affecting

a

particular

industry

or

commodity. 

Fixed

income

securities

are

subject

to

the

risk

that

the

securities

could

lose

value

because

of

interest

rate

changes.

For

example,

bonds

tend

to

decrease

in

value

if

interest

rates

rise.

Fixed

income

securities

with

longer

maturities

sometimes

offer

higher

yields,

but

are

subject

to

greater

price

shifts

as

a

result

of

interest

rate

changes

than

fixed

income

securities

with

shorter

maturities.

Fixed

income

securities

are

generally

subject

to

the

risk

that

the

issuer

may

be

unable

to

make

principal

and

interest

payments

when

they

are

due. 

Interest

rate

risk

is

the

risk

that

fixed

income

securities

will

decline

in

value

because

of

changes

in

interest

rates.

The

Funds

may

lose

money

if

short-

term

or

long-term

interest

rates

rise

sharply

or

otherwise

change

in

a

manner

not

anticipated.

Convertible

securities

and

non-convertible

income

producing

securities

are

subject

to

certain

risks,

including

(i)

if

interest

rates

go

up,

the

value

of

convertible

securities

and

non-convertible

income

producing

securities

in

the

Funds'

portfolios

generally

will

decline;

(ii)

during

periods

of

declining

interest

rates,

the

issuer

of

a

security

may

exercise

its

option

to

prepay

principal

earlier

than

scheduled,

forcing

the

Funds

to

reinvest

in

lower

yielding

securities

(call

or

prepayment

risk);

and

(iii)

during

periods

of

rising

interest

rates,

the

average

life

of

certain

types

of

securities

may

be

extended

because

of

slower

than

expected

principal

payments

(extension

risk).

Inflation-indexed

bonds

are

subject

to

certain

risks,

including

that

their

value

will

typically

fluctuate

in

response

to

changes

in

real

interest

rates,

which

are

in

turn

tied

to

the

relationship

between

nominal

interest

rates

and

the

rate

of

inflation.

Therefore,

if

nominal

interest

rates

increased

at

a

faster

rate

than

inflation,

real

interest

rates

might

rise,

leading

to

a

decrease

in

the

value

of

inflation-protected

securities.

Sovereign

debt

investments

are

subject

to

the

risk

that

a

governmental

entity

may

delay

or

refuse

to

pay

interest

or

repay

principal

on

its

sovereign

debt,

due,

for

example,

to

cash

flow

problems,

insufficient

foreign

currency

reserves,

political

considerations,

the

relative

size

of

the

governmental

entity’s

debt

position

in

relation

to

the

economy

or

the

failure

to

put

in

place

economic

reforms

required

by

the

International

Monetary

Fund

or

other

multilateral

agencies.

If

a

governmental

entity

defaults,

it

may

ask

for

more

time

in

which

to

pay

or

for

further

loans.

There

is

no

legal

process

for

collecting

sovereign

debt

that

a

government

does

not

pay

nor

are

there

bankruptcy

proceedings

through

which

all

or

part

of

the

sovereign

debt

that

a

governmental

entity

has

not

repaid

may

be

collected.

Investment

in

securities

of

foreign

issuers

may

involve

certain

risks

that

are

greater

than

those

associated

with

investments

in

securities

of

U.S.

issuers.

These

include

risks

of

adverse

changes

in

foreign

economic,

political,

regulatory

and

other

conditions;

changes

in

currency

exchange

rates

or

exchange

control

regulations

(including

limitations

on

currency

movements

and

exchanges);

the

imposition

of

economic

sanctions,

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. 

372

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

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.

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

Agreements,

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. 

373

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

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

reverse

repurchase

transactions

and

entering

into

other

forms

of

direct

and

indirect

borrowings.

There

is

no

guarantee

that

the

Funds’

borrowing

arrangement

or

other

arrangements

for

obtaining

leverage

will

continue

to

be

available,

or

if

available,

will

be

available

on

terms

and

conditions

acceptable

to

the

Funds.

Unfavorable

economic

conditions

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.

In

regard

to

the

AQR

Diversifying

Strategies

Fund,

due

to

the

Fund's

strategy

of

investing

in

affiliated

funds,

shareholders

bear

both

their

proportionate

share

of

expenses

in

the

Fund

and,

indirectly,

the

expenses

of

such

affiliated

funds.

An

investor

holding

the

affiliated

investment

funds

directly

and

in

the

same

proportions

as

the

Fund

would

incur

lower

overall

expenses

but

would

not

receive

the

benefits

of

the

active

allocation

of

investments

among

the

affiliated

investment

funds

associated

with

an

investment

in

the

Fund.

The

Adviser

receives

management

fees

from

each

of

the

affiliated

investment

funds,

but

not

from

the

Fund.

If

the

Adviser

were

to

invest

in

unaffiliated

funds,

however,

the

Adviser

would

not

receive

direct

or

indirect

management

fees

on

the

Fund

assets

invested

in

those

unaffiliated

funds.

There

is

a

risk

that

the

affiliated

investment

funds

in

which

the

Fund

invests

will

have

higher

expense

ratios

and/or

underperform

unaffiliated

funds

with

comparable

investment

strategies.

Additionally,

investments

in

the

AQR

Diversifying

Strategies

Fund

are

subject

to

risks

related

to

the

Adviser's

allocation

choices.

The

selection

of

the

affiliated

investment

funds

and

the

allocation

of

the

Fund's

assets

to

the

affiliated

investment

funds

could

cause

the

Fund

to

lose

value

or

its

results

to

lag

relevant

benchmarks

or

other

funds

with

similar

objectives.

The

Fund

could

miss

attractive

investment

opportunities

by

underweighting

strategies

that

subsequently

experience

significant

returns

and

could

lose

value

by

overweighting

strategies

that

subsequently

experience

significant

declines.

As

with

other

investments,

investments

in

other

investment

companies,

such

as

the

affiliated

investment

funds

and

money

market

mutual

funds,

are

subject

to

market

and

manager

risk.

Since

the

AQR

Diversifying

Strategies

Fund's

investments

consist

primarily

of

affiliated

funds,

the

Fund's

risks

are

directly

related

to

the

risks

of

the

affiliated

investment

funds.

For

this

reason,

it

is

important

to

understand

the

risks

associated

with

investing

in

the

affiliated

investment

funds.

In

regard

to

the

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund,

the

ability

of

the

Fund

to

achieve

its

net

zero

carbon

target

will

be

subject

to

the

Adviser's

ability

to

correctly

assess

the

carbon

emissions

of

the

companies

to

which

the

Fund

has

exposure

and

the

relative

performance

of

the

investments

in

the

portfolio.

Since

the

carbon

emissions

of

companies

will

likely

change

as

the

regulatory

environment,

public

sentiment

and

markets

change

or

time

passes,

the

success

of

the

Fund's

net

zero

carbon

strategy

will

also

be

subject

to

the

Adviser's

ability

to

continually

recalculate,

readjust,

and

execute

long

and/or

short

positions

in

an

efficient

and

timely

manner.

Additionally,

the

Adviser's

methodology

for

assessing

the

Fund's

carbon

emissions

exposure

may

differ

from

the

methodology

used

by

others

and

may

not

comport

with

an

investor's

assessment

due

to

a

variety

of

reasons

such

as,

the

use

of

different

carbon

emission

data

sources

and/or

differing

views

on

how

net

zero

carbon

exposure

is

achieved.

The

Adviser's

methodology

for

calculating

the

Fund's

carbon

emissions

exposure

could

prove

to

be

imperfect

or

may

not

achieve

its

intended

results.

Additionally,

the

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

follows

a

sustainable

investment

approach

that

considers

the

Environmental,

Social

and

Governance

(“ESG”)

characteristics

of

investments

when

constructing

the

Fund's

portfolio.

Accordingly,

the

Fund

will

have

reduced

exposure

to

industries

or

sectors

with

companies

that

are

excluded

by

the

Fund's

dynamic

ESG

filter

or

otherwise

underweighted

due

to

their

ESG

characteristics

and

potentially

increased

exposure

to

industries

or

sectors

that

do

not

contain

such

companies.

Additionally,

due

to

its

exclusionary

criteria,

the

Fund

may

not

be

invested

in

certain

industries

or

sectors.

As

a

result,

the

Fund's

performance

may

be

lower

than

other

funds

that

do

not

consider

ESG

characteristics

or

use

different

ESG

criteria

when

constructing

their

portfolios.

In

addition,

since

sustainable

and

ESG

investing

takes

into

consideration

factors

beyond

traditional

financial

analysis,

the

Fund

may

have

fewer

investment

opportunities

available

to

it.

Sustainability

and

ESG-related

information

provided

by

issuers

and

third

parties,

upon

which

the

portfolio

managers

may

rely,

may

be

incomplete,

inaccurate,

use

different

methodologies,

or

be

applied

differently

across

companies

and

industries.

Further,

the

regulatory

landscape

for

sustainable

and

ESG

investing

in

the

U.S.

is

still

developing

and

future

rules

and

regulations

may

require

the

Fund

to

modify

or

alter

its

investment

process.

Similarly,

government

policies

incentivizing

companies

to

engage

in

and/or

disclose

their

sustainable

and

ESG

practices

may

fall

out

of

favor,

which

would

challenge

the

Fund's

ability

to

assess

ESG

characteristics

of

an

issuer

or

industry

and

its

ability

to

implement

its

investment

strategies.

There

is

also

a

risk

that

the

companies

identified

through

the

investment

process

may

fail

to

adhere

to

sustainable

and/or

ESG-related

business

practices,

which

may

result

in

the

Fund

selling

a

security

when

it

might

otherwise

be

disadvantageous

to

do

so.

There

is

no

guarantee

that

sustainable

investments

will

outperform

the

broader

market

on

either

an

absolute

or

relative

basis.

There

is

also

no

guarantee

that

the

Adviser

will

successfully

implement

strategies

or

make

investments

in

companies

that

result

in

favorable

ESG

outcomes

while

enhancing

long-term

shareholder

value

and

achieving

financial

returns.

Periodically,

the

Funds

may

be

a

party

to

legal

actions

arising

in

the

ordinary

course

of

business.

The

Funds

are

currently

not

subject

to

any

actions

that

either

individually

or

in

the

aggregate

are

expected

to

have

a

material

impact

on

their

results

of

operations,

cash

flows

or

financial

condition.

374

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

12.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Funds,

including

other

AQR

Funds

not

presented

in

this

book,

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

each

Fund’s

investment

objective

and

investment

policies. 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

income

earned

as

a

result

of

lending

under

the

Interfund

Lending

Program

is reported

as

interfund

lending

income

on

the

Statements

of

Operations.

During

the

reporting

period,

average

loans

made

to

another

series

of

the

Trust

(not

presented

in

this

book) under

the

Interfund

Lending

Program

were

as

follows:

There

were

no

open

borrowings

as

of

December

31,

2023

by

any

of

the

Funds.

The

Funds

did

not

have

any

borrowings

for

the

year

ended

December

31,

2023.

13.

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

on

the

Statements

of

Operations.

There

were

no

open

borrowings

as

of

December

31,

2023

by

any

of

the

Funds.

The

Funds

did

not

have

any

borrowings

for

the

year

ended

December

31,

2023.

14.

Principal

Ownership

As

of

December

31,

2023,

the

Funds

had

individual

shareholders

and/or

omnibus

accounts

owning

more

than

5%

of

the

total

shares

outstanding

of

the

Fund

as

follows:

FUND

AVERAGE

LOANS

WEIGHTED

AVERAGE

INTEREST

RATE

INTEREST

RECEIVED

AQR

Managed

Futures

Strategy

Fund

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

$

6,564,683

5.65

%

$

63,971

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

PERCENTAGE

INTEREST

HELD

BY

ADVISER

AND/OR

AFFILIATES

AQR

Alternative

Risk

Premia

Fund

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

2

92.48

%

–

%

AQR

Diversified

Arbitrage

Fund

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

4

84.86

–

AQR

Diversifying

Strategies

Fund

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

2

88.85

–

AQR

Equity

Market

Neutral

Fund

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

4

82.85

33.67

AQR

Long-Short

Equity

Fund

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

5

85.76

–

AQR

Macro

Opportunities

Fund

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

3

80.88

54.24

375

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

2023

Significant

shareholder

transactions

by

these

shareholders,

if

any,

may

impact

the

Funds’

performance.

15.

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.

16.

Subsequent

Events

The

Funds

have

evaluated

subsequent

events

through

the

date

of

issuance

of

this

report

and

have

determined

that

there

are

no

material

events

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

Managed

Futures

Strategy

Fund

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

7

81.30

%

–

%

AQR

Managed

Futures

Strategy

HV

Fund

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

4

87.51

31.97

AQR

Multi-Asset

Fund

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

5

94.25

51.92

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

5

86.88

–

AQR

Style

Premia

Alternative

Fund

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

3

77.86

9.33

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

..........

5

94.42

59.84

376

Report

of

Independent

Registered

Public

Accounting

Firm

AQR

Funds

|

Annual

Report

|

December

2023

To

the

Board

of

Trustees

of

AQR

Funds

and

Shareholders

of

each

of

the

twelve

funds

listed

in

the

table

below

Opinions

on

the

Financial

Statements

We

have

audited

the

accompanying

statements

of

assets

and

liabilities,

including

the

schedules

of

investments,

of

each

of

the

funds

listed

in

the

table

below

(twelve

of

the

funds

constituting

AQR

Funds,

hereafter

collectively

referred

to

as

the

"Funds")

as

of

December

31,

2023,

the

related

statements

of

operations,

the

statements

of

changes

in

net

assets,

and

for

AQR

Alternative

Risk

Premia

Fund

and

AQR

Muti-Asset

Fund,

the

statements

of

cash

flows,

for

each

of

the

periods

indicated

in

the

table

below,

including

the

related

notes,

and

the

financial

highlights

for

each

of

the

periods

indicated

in

the

table

below

(collectively

referred

to

as

the

"financial

statements").

In

our

opinion,

the

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

each

of

the

Funds

as

of

December

31,

2023,

the

results

of

each

of

their

operations,

the

changes

in

each

of

their

net

assets,

for

AQR

Alternative

Risk

Premia

Fund

and

AQR

Multi-Asset

Fund,

each

of

their

cash

flows,

and

each

of

the

financial

highlights

for

each

of

the

periods

indicated

in

the

table

below,

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinions

These

financial

statements

are

the

responsibility

of

the

Funds'

management.

Our

responsibility

is

to

express

an

opinion

on

the

Funds'

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Funds

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

December

31,

2023

by

correspondence

with

the

custodians,

transfer

agents

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinions.

/s/

PricewaterhouseCoopers

LLP

New

York,

New

York

February

21,

2024

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

AQR

Funds

since

2008.

AQR

Alternative

Risk

Premia

Fund

(1)

AQR

Managed

Futures

Strategy

Fund

(2)

AQR

Diversified

Arbitrage

Fund

(3)

AQR

Managed

Futures

Strategy

HV

Fund

(2)

AQR

Diversifying

Strategies

Fund

(4)

AQR

Multi-Asset

Fund

(1)

AQR

Equity

Market

Neutral

Fund

(3)

AQR

Risk-Balanced

Commodities

Strategy

Fund

(2)

AQR

Long-Short

Equity

Fund

(3)

AQR

Style

Premia

Alternative

Fund

(2)

AQR

Macro

Opportunities

Fund

(2)

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

(5)

(1)

Consolidated

statement

of

assets

and

liabilities,

including

the

consolidated

schedule

of

investments,

as

of

December

31,

2023,

and

the

related

consolidated

statements

of

operations

and

of

cash

flows

for

the

year

ended

December

31,

2023,

consolidated

statement

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2023,

and

consolidated

financial

highlights

for

each

of

the

five

years

in

the

period

ended

December

31,

2023

(2)

Consolidated

statement

of

asset

and

liabilities,

including

the

consolidated

schedule

of

investments,

as

of

December

31,

2023,

and

the

related

consolidated

statement

of

operations

for

the

year

ended

December

31,

2023,

consolidated

statement

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2023,

and

consolidated

financial

highlights

for

each

of

the

five

years

in

the

period

ended

December

31,

2023

(3)

Statement

of

assets

and

liabilities,

including

the

schedule

of

investments,

as

of

December

31,

2023,

and

the

related

statement

of

operations

for

the

year

ended

December

31,

2023,

statement

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2023,

and

financial

highlights

for

each

of

the

five

years

in

the

period

ended

December

31,

2023

(4)

Statement

of

assets

and

liabilities,

including

the

schedule

of

investments,

as

of

December

31,

2023,

and

the

related

statement

of

operations

for

the

year

ended

December

31,

2023,

statement

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2023,

and

financial

highlights

for

each

of

the

three

years

in

the

period

ended

December

31,

2023

and

for

the

period

June

8,

2020

(commencement

of

operations)

through

December

31,

2020

(5)

Statement

of

assets

and

liabilities,

including

the

schedule

of

investments,

as

of

December

31,

2023,

and

the

related

statement

of

operations

for

the

year

ended

December

31,

2023,

statement

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2023,

and

financial

highlights

for

each

of

the

two

years

in

the

period

ended

December

31,

2023

and

for

the

period

December

16,

2021

(commencement

of

operations)

through

December

31,

2021

377

Other

Federal

Tax

Information

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2023

For

the

fiscal

year

ended

December

31,

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

December

31,

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 December

31,

2023:

The

Funds

hereby

designated

the

following

amounts,

or

maximum

amounts

allowable

by

law,

as

interest-related

dividends

eligible

for

exemption

from

U.S.

withholding

tax

for

nonresident

aliens

and

foreign

corporations

for

the

fiscal

year

ended

December

31,

2023: 

The

Funds

hereby

designated

the

following

amounts,

or

maximum

amounts

allowable

by

law,

as

interest-related

dividends

eligible

for

exemption

from

U.S.

withholding

tax

for

nonresident

aliens

and

foreign

corporations

for

the

fiscal

year

ended

December

31,

2023: 

FUND

PERCENTAGE

AQR

Alternative

Risk

Premia

Fund

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

100.00%

AQR

Diversified

Arbitrage

Fund

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

2.50%

AQR

Diversifying

Strategies

Fund

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

5.30%

AQR

Equity

Market

Neutral

Fund

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

1.49%

AQR

Macro

Opportunities

Fund

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

4.45%

AQR

Multi-Asset

Fund

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

47.89%

AQR

Style

Premia

Alternative

Fund

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

1.68%

FUND

PERCENTAGE

AQR

Alternative

Risk

Premia

Fund

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

38.32%

AQR

Diversified

Arbitrage

Fund

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

1.27%

AQR

Diversifying

Strategies

Fund

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

0.01%

AQR

Macro

Opportunities

Fund

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

1.48%

AQR

Multi-Asset

Fund

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

19.02%

FUND

TOTAL

AQR

Diversifying

Strategies

Fund

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

$

509,034

AQR

Equity

Market

Neutral

Fund

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

505,107

AQR

Long-Short

Equity

Fund

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

4,482,450

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

18,247

FUND

PERCENTAGE

AQR

Diversified

Arbitrage

Fund

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

60.01%

AQR

Diversifying

Strategies

Fund

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

14.09%

AQR

Equity

Market

Neutral

Fund

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

10.63%

AQR

Long-Short

Equity

Fund

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

12.16%

AQR

Macro

Opportunities

Fund

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

10.10%

AQR

Managed

Futures

Strategy

Fund

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

30.56%

AQR

Managed

Futures

Strategy

HV

Fund

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

27.15%

AQR

Multi-Asset

Fund

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

34.23%

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

22.21%

AQR

Style

Premia

Alternative

Fund

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

9.52%

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

7.46%

FUND

PERCENTAGE

AQR

Alternative

Risk

Premia

Fund

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

3.52%

AQR

Diversified

Arbitrage

Fund

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

60.88%

AQR

Diversifying

Strategies

Fund

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

14.38%

AQR

Equity

Market

Neutral

Fund

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

10.63%

AQR

Long-Short

Equity

Fund

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

13.14%

AQR

Macro

Opportunities

Fund

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

11.59%

AQR

Managed

Futures

Strategy

Fund

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

30.56%

AQR

Managed

Futures

Strategy

HV

Fund

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

27.15%

AQR

Multi-Asset

Fund

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

30.87%

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

22.21%

AQR

Style

Premia

Alternative

Fund

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

10.26%

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

7.46%

378

Other

Federal

Tax

Information

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2023

Other

Tax

Matters

On

December

19,

2023,

the

AQR

Managed

Futures

Strategy

Fund

paid

a

distribution

to

shareholders

in

the

aggregate

amount

of

$110,449,927.

It

has

been

subsequently

determined

that

$1,383,957

(1.2%)

is

estimated

to

be

a

return

of

capital

and,

accordingly,

this

updated

information

is

being

provided

pursuant

to

Rule

19a-1(e)

under

the

1940

Act.

Such

source

designation

and

amount

are

for

financial

accounting

purposes

and

do

not

reflect

the

tax

character

of

the

distribution;

they

are

estimates

only

and

are

not

being

provided

for

tax

reporting

purposes.

379

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

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

12/31/2023”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period.

Each

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Hypothetical

Example

for

Comparison

Purposes

The

table

below

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on

each

Fund’s

actual

expense

ratio

and

an

assumed

annual

rate

of

return

of

5%

before

expenses,

which

is

not

the

Fund’s

actual

return.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

You

may

use

this

information

to

compare

the

ongoing

costs

of

investing

in

a

Fund

and

other

funds

by

comparing

this

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

other

funds. 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

  12/31/23

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDED

        12/31/23

AQR

Alternative

Risk

Premia

Fund

Class

I

Actual

Return

$1,000.00

$1,030.60

4.28%

$21.91

Hypothetical

Return

$1,000.00

$1,003.63

4.28%

$21.62

Class

N

Actual

Return

$1,000.00

$1,028.70

4.55%

$23.27

Hypothetical

Return

$1,000.00

$1,002.27

4.55%

$22.96

Class

R6

Actual

Return

$1,000.00

$1,030.50

4.19%

$21.44

Hypothetical

Return

$1,000.00

$1,004.08

4.19%

$21.17

AQR

Diversified

Arbitrage

Fund

Class

I

Actual

Return

$1,000.00

$1,032.70

1.32%

$6.76

Hypothetical

Return

$1,000.00

$1,018.55

1.32%

$6.72

Class

N

Actual

Return

$1,000.00

$1,031.70

1.57%

$8.04

Hypothetical

Return

$1,000.00

$1,017.29

1.57%

$7.98

Class

R6

Actual

Return

$1,000.00

$1,033.70

1.22%

$6.25

Hypothetical

Return

$1,000.00

$1,019.06

1.22%

$6.21

AQR

Diversifying

Strategies

Fund

Class

I

Actual

Return

$1,000.00

$1,054.80

0.20%

$1.04

Hypothetical

Return

$1,000.00

$1,024.20

0.20%

$1.02

Class

N

Actual

Return

$1,000.00

$1,054.00

0.45%

$2.33

Hypothetical

Return

$1,000.00

$1,022.94

0.45%

$2.29

Class

R6

Actual

Return

$1,000.00

$1,056.30

0.10%

$0.52

Hypothetical

Return

$1,000.00

$1,024.70

0.10%

$0.51

380

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2023

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/23

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDED

        12/31/23

AQR

Equity

Market

Neutral

Fund

Class

I

Actual

Return

$1,000.00

$1,124.00

1.41%

$7.55

Hypothetical

Return

$1,000.00

$1,018.10

1.41%

$7.17

Class

N

Actual

Return

$1,000.00

$1,121.70

1.66%

$8.88

Hypothetical

Return

$1,000.00

$1,016.84

1.66%

$8.44

Class

R6

Actual

Return

$1,000.00

$1,124.20

1.32%

$7.07

Hypothetical

Return

$1,000.00

$1,018.55

1.32%

$6.72

AQR

Long-Short

Equity

Fund

Class

I

Actual

Return

$1,000.00

$1,141.30

1.35%

$7.29

Hypothetical

Return

$1,000.00

$1,018.40

1.35%

$6.87

Class

N

Actual

Return

$1,000.00

$1,139.50

1.60%

$8.63

Hypothetical

Return

$1,000.00

$1,017.14

1.60%

$8.13

Class

R6

Actual

Return

$1,000.00

$1,170.50

1.25%

$6.84

Hypothetical

Return

$1,000.00

$1,018.90

1.25%

$6.36

AQR

Macro

Opportunities

Fund

Class

I

Actual

Return

$1,000.00

$1,019.40

1.22%

$6.21

Hypothetical

Return

$1,000.00

$1,019.06

1.22%

$6.21

Class

N

Actual

Return

$1,000.00

$1,017.60

1.47%

$7.48

Hypothetical

Return

$1,000.00

$1,017.80

1.47%

$7.48

Class

R6

Actual

Return

$1,000.00

$1,019.10

1.12%

$5.70

Hypothetical

Return

$1,000.00

$1,019.56

1.12%

$5.70

AQR

Managed

Futures

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$1,000.80

1.26%

$6.35

Hypothetical

Return

$1,000.00

$1,018.85

1.26%

$6.41

Class

N

Actual

Return

$1,000.00

$1,000.20

1.52%

$7.66

Hypothetical

Return

$1,000.00

$1,017.54

1.52%

$7.73

Class

R6

Actual

Return

$1,000.00

$1,001.80

1.17%

$5.90

Hypothetical

Return

$1,000.00

$1,019.31

1.17%

$5.96

AQR

Managed

Futures

Strategy

HV

Fund

Class

I

Actual

Return

$1,000.00

$984.80

1.68%

$8.40

Hypothetical

Return

$1,000.00

$1,016.74

1.68%

$8.54

Class

N

Actual

Return

$1,000.00

$983.70

1.93%

$9.65

Hypothetical

Return

$1,000.00

$1,015.48

1.93%

$9.80

Class

R6

Actual

Return

$1,000.00

$986.00

1.58%

$7.91

Hypothetical

Return

$1,000.00

$1,017.24

1.58%

$8.03

381

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2023

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/23

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDED

        12/31/23

AQR

Multi-Asset

Fund

Class

I

Actual

Return

$1,000.00

$1,051.80

0.97%

$5.02

Hypothetical

Return

$1,000.00

$1,020.32

0.97%

$4.94

Class

N

Actual

Return

$1,000.00

$1,050.60

1.22%

$6.31

Hypothetical

Return

$1,000.00

$1,019.06

1.22%

$6.21

Class

R6

Actual

Return

$1,000.00

$1,051.70

0.88%

$4.55

Hypothetical

Return

$1,000.00

$1,020.77

0.88%

$4.48

AQR

Risk-Balanced

Commodities

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$1,015.90

1.01%

$5.13

Hypothetical

Return

$1,000.00

$1,020.11

1.01%

$5.14

Class

N

Actual

Return

$1,000.00

$1,013.40

1.25%

$6.34

Hypothetical

Return

$1,000.00

$1,018.90

1.25%

$6.36

Class

R6

Actual

Return

$1,000.00

$1,015.40

0.90%

$4.57

Hypothetical

Return

$1,000.00

$1,020.67

0.90%

$4.58

AQR

Style

Premia

Alternative

Fund

Class

I

Actual

Return

$1,000.00

$1,066.80

1.70%

$8.86

Hypothetical

Return

$1,000.00

$1,016.64

1.70%

$8.64

Class

N

Actual

Return

$1,000.00

$1,066.00

1.93%

$10.05

Hypothetical

Return

$1,000.00

$1,015.48

1.93%

$9.80

Class

R6

Actual

Return

$1,000.00

$1,067.40

1.60%

$8.34

Hypothetical

Return

$1,000.00

$1,017.14

1.60%

$8.13

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

Class

I

Actual

Return

$1,000.00

$1,145.10

1.32%

$7.14

Hypothetical

Return

$1,000.00

$1,018.55

1.32%

$6.72

Class

N

Actual

Return

$1,000.00

$1,143.30

1.57%

$8.48

Hypothetical

Return

$1,000.00

$1,017.29

1.57%

$7.98

Class

R6

Actual

Return

$1,000.00

$1,145.90

1.22%

$6.60

Hypothetical

Return

$1,000.00

$1,019.06

1.22%

$6.21

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

184/365

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

382

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

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

(18

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

383

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2023

December

31,

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

Investment

Adviser

AQR

Capital

Management,

LLC

One

Greenwich

Plaza,

Suite

130

Greenwich,

CT

06830

Sub-Adviser

AQR

Arbitrage,

LLC

One

Greenwich

Plaza

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1000

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

State

Street

Bank

and

Trust

Company

One

Congress

Street

Boston,

MA

02114

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

219512,

Kansas

City,

MO

64121-9512

|

p:

(866)

290-2688

|

w:

https://funds.aqr.com

Item 2. Code of Ethics.

a).

As of the end of the period, December 31

, 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 December 31, 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 December 31, 2022 and December 31, 2023 were:

	2022	2023
Audit Fees (a)	$1,045,930	$1,074,247
Audit Related Fees (b)	$2,500	$0
Tax Fees (c)	$302,660	$326,720
All Other Fees (d)	$2,061	$2,155
Total:	$1,353,151	$1,403,122

(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 December 31, 2023 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2022 relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of amendments to the Registrant’s Registration Statement, and for the year-ended December 31, 2023 there were no audit related services provided by PricewaterhouseCoopers LLP.

(c)           Tax Fees: The December 31, 2022 and December 31, 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 December 31, 2022 and December 31, 2023: $273,950 and $287,789, 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 consolidatedinthefinancialstatementsoftheRegistrant.

(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.

codeofethics

(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.

section302

(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.

section906

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

February 26, 2024

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

February 26, 2024

By: /s/ Matthew Plastina

---------------------------------

Matthew Plastina,

Principal Financial Officer

February 26, 2024