Semi-Annual Report

380 Pages·2016·1.57 MB·English

Semi-Annual Report
June 30, 2022 (Unaudited)
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 CarbonAware Fund

Table of Contents
ScheduleofInvestments
AQRAlternativeRiskPremiaFund................................................................... 2
AQRDiversifiedArbitrageFund ..................................................................... 25
AQRDiversifyingStrategiesFund ................................................................... 53
AQREquityMarketNeutralFund .................................................................... 55
AQRLong-ShortEquityFund....................................................................... 76
AQRMacroOpportunitiesFund ..................................................................... 103
AQRManagedFuturesStrategyFund ................................................................ 118
AQRManagedFuturesStrategyHVFund ............................................................. 144
AQRMulti-AssetFund ............................................................................ 169
AQRRisk-BalancedCommoditiesStrategyFund ........................................................ 187
AQRStylePremiaAlternativeFund .................................................................. 197
AQRSustainableLong-ShortEquityCarbonAwareFund .................................................. 229
FinancialStatementsandNotes ........................................................................ 251
FundExpenseExamples ............................................................................. 333
BoardApprovalofInvestmentAdvisoryAgreements ......................................................... 336
LiquidityRiskManagementProgram..................................................................... 339
Consolidated Schedule of Investments
June30,2022(Unaudited)
AQRALTERNATIVERISKPREMIAFUND
INVESTMENTS SHARES VALUE($) INVESTMENTS SHARES VALUE($)
LONGPOSITIONS-167.5% Canada-3.8%(continued)
COMMONSTOCKS-87.6% ToromontIndustriesLtd.(a) 476 38,488
TourmalineOilCorp.(a) 14,446 751,143
Australia-1.4%
WestFraserTimberCo.Ltd.(a) 3,534 271,172
AmpolLtd.(2)(a) 1,919 45,293
AristocratLeisureLtd.(2)(a) 13,063 310,718 5,346,036
AurizonHoldingsLtd.(2)(a) 5,734 15,081 China-0.7% —
BlueScopeSteelLtd.(2)(a) 24,357 268,381
NXPSemiconductorsNV 587 86,894
FortescueMetalsGroupLtd.(2)(a) 15,871 190,845
WilmarInternationalLtd.(2) 136,600 397,586
HarveyNormanHoldingsLtd.(2)(a) 90,183 231,239
YangzijiangShipbuildingHoldings
JBHi-FiLtd.(2)(a) 5,079 135,083
Ltd.(2) 795,100 532,421
LotteryCorp.Ltd.(The)*(a) 29,182 91,046
QubeHoldingsLtd.(2)(a) 7,629 14,389 1,016,901
SantosLtd.(2)(a) 3,284 16,650 Colombia-0.1% —
SonicHealthcareLtd.(2)(a) 1,696 38,657 MillicomInternationalCellularSA,
TabcorpHoldingsLtd.(2)(a) 29,182 21,541 SDR(2)* 6,612 94,761
TreasuryWineEstatesLtd.(2)(a) 14,332 112,394
Denmark-1.3%
WoodsideEnergyGroupLtd.(2) 6,462 142,025
APMoller-MaerskA/S,ClassB
WorleyLtd.(2)(a) 30,900 304,674
(2)(a) 388 910,868
1,938,016 CarlsbergA/S,ClassB(2)(a) 1,926 246,148
Belgium-0.6% — DanskeBankA/S(2)(a) 19,293 274,592
GenmabA/S(2)*(a) 88 28,551
AgeasSA/NV(2)(a) 5,748 253,444
HLundbeckA/S(a) 6,860 33,316
KBCGroupNV(2)(a) 5,764 324,289
HLundbeckA/S,ClassA*(a) 1,715 8,230
ProximusSADP(2)(a) 3,960 58,449
ISSA/S(2)*(a) 5,814 92,693
SolvaySA(2)(a) 2,386 194,378
JyskeBankA/S(Registered)(2)*(a) 265 13,062
830,560 PandoraA/S(2)(a) 4,091 259,911
Brazil-0.2% — ROCKWOOLA/S,ClassB(2)(a) 128 29,060
YaraInternationalASA(2) 8,404 352,136 1,896,431
Canada-3.8% Finland-0.3% —
AtcoLtd.,ClassI(a) 2,069 70,885 KeskoOYJ,ClassB(2)(a) 8,792 208,070
BankofMontreal(a) 525 50,485 NokianRenkaatOYJ(2)(a) 7,355 81,122
CanadianTireCorp.Ltd.,ClassA ValmetOYJ(2)(a) 5,750 141,699
(a) 2,752 347,207
CGI,Inc.*(a) 1,526 121,563 430,891
CIFinancialCorp.(a) 6,799 72,205 France-3.5% —
CogecoCommunications,Inc.(a) 1,072 72,513 AmundiSA(2)(a)(b) 420 23,124
EmpireCo.Ltd.,ClassA(a) 6,350 195,601 AXASA(2)(a) 39,447 901,030
FairfaxFinancialHoldingsLtd.(a) 131 69,418 BNPParibasSA(2)(a) 1,820 87,054
FinningInternational,Inc.(a) 648 13,638 BouyguesSA(2)(a) 897 27,685
HydroOneLtd.(a)(b) 4,360 117,231 CarrefourSA(2)(a) 23,338 414,280
iAFinancialCorp.,Inc.(a) 2,412 119,963 CiedeSaint-Gobain(2)(a) 8,901 384,606
IGMFinancial,Inc.(a) 1,918 51,407 CieGeneraledesEtablissements
ImperialOilLtd.(a) 5,930 279,547 MichelinSCA(2)(a) 1,048 28,622
IntactFinancialCorp.(a) 291 41,046 CreditAgricoleSA(2)(a) 7,874 72,590
KeyeraCorp.(a) 2,274 51,939 ElectricitedeFranceSA(2)(a) 64,721 531,608
KinrossGoldCorp.(a) 17,149 61,018 EutelsatCommunicationsSA(2)(a) 4,982 56,224
MagnaInternational,Inc.(a) 4,423 242,866 OrangeSA(2)(a) 38,855 457,851
ManulifeFinancialCorp.(a) 21,828 378,497 PublicisGroupeSA(2)*(a) 974 47,902
NationalBankofCanada(a) 1,664 109,197 RenaultSA(2)*(a) 9,991 252,232
NorthlandPower,Inc.(a) 3,357 99,938 RexelSA(2)(a) 9,730 150,348
Quebecor,Inc.,ClassB(a) 8,435 180,273 RubisSCA(2)(a) 3,694 86,882
RitchieBrosAuctioneers,Inc.(a) 897 58,362 Sanofi(2)(a) 186 18,757
SSRMining,Inc.(a) 1,605 26,808 SCORSE(2)(a) 4,795 103,280
Stantec,Inc.(a) 2,643 115,785 SocieteGeneraleSA(2)(a) 21,354 472,131
SuncorEnergy,Inc.(a) 9,012 316,176 SodexoSA(2)(a) 231 16,340
TeckResourcesLtd.,ClassB(a) 14,186 433,779 TotalEnergiesSE(2)(a) 17,150 902,723
TFIInternational,Inc.(a) 3,445 276,547
5,035,269
ThomsonReutersCorp.(a) 1,651 172,116
TMXGroupLtd.(a) 1,368 139,223 —
Theaccompanyingnotesareanintegralpartofthesefinancialstatements. (Continued)
2 AQRFunds | Semi-AnnualReport | June2022
Consolidated Schedule of Investments
June30,2022(Unaudited)
AQRALTERNATIVERISKPREMIAFUND
INVESTMENTS SHARES VALUE($) INVESTMENTS SHARES VALUE($)
Germany-3.2% Japan-15.3%(continued)
AurubisAG(2)(a) 1,441 98,327 HondaMotorCo.Ltd.(2)(a) 8,300 200,122
BASFSE(2)(a) 19,518 853,956 IdemitsuKosanCo.Ltd.(2)(a) 17,900 427,607
BayerischeMotorenWerkeAG(2) IidaGroupHoldingsCo.Ltd.(2)(a) 6,300 96,720
(a) 11,553 895,595 InpexCorp.(2)(a) 47,600 510,286
BrenntagSE(2)(a) 2,086 136,588 IsuzuMotorsLtd.(2)(a) 12,000 132,737
CovestroAG(2)(a)(b) 1,133 39,370 ITOCHUCorp.(2)(a) 16,600 447,834
DeutscheBankAG(Registered) JapanPostBankCo.Ltd.(2)(a) 1,700 13,235
(2)(a) 38,590 339,118 JapanPostHoldingsCo.Ltd.(2)(a) 129,400 925,848
DeutschePostAG(Registered)(2) JapanPostInsuranceCo.Ltd.(2)
(a) 9,813 370,501 (a) 26,800 428,926
FreenetAG(2)(a) 1,628 40,599 JFEHoldings,Inc.(2)(a) 81,500 857,397
HannoverRueckSE(2)(a) 203 29,609 JTEKTCorp.(2)(a) 13,000 97,732
HeidelbergCementAG(2)(a) 10,814 522,114 KajimaCorp.(2)(a) 25,700 294,692
K+SAG(Registered)(2)(a) 9,701 236,102 KansaiElectricPowerCo.,Inc.
METROAG(2)(a) 2,846 24,142 (The)(2)(a) 3,600 35,635
MuenchenerRueckversicherungs- KindenCorp.(2)(a) 1,100 12,696
GesellschaftAGinMuenchen KomatsuLtd.(2)(a) 1,300 28,947
(Registered)(2)(a) 1,982 468,837 KonamiGroupCorp.(2)(a) 500 27,701
ProSiebenSat.1MediaSE(2)(a) 14,805 137,703 KurarayCo.Ltd.(2)(a) 25,700 207,344
RheinmetallAG(2)(a) 1,186 273,687 MarubeniCorp.(2)(a) 64,400 577,770
thyssenkruppAG(2)*(a) 20,015 114,132 MazdaMotorCorp.(2)(a) 52,200 426,082
TUIAG(2)* 6,966 11,310 MitsubishiChemicalGroupCorp.
(2)(a) 52,600 285,811
4,591,690
MitsubishiCorp.(2)(a) 2,000 59,562
Italy-1.6% — MitsubishiElectricCorp.(2)(a) 12,900 138,664
AssicurazioniGeneraliSpA(2)(a) 7,067 112,880 MitsubishiGasChemicalCo.,Inc.
BancoBPMSpA(2)(a) 51,404 146,742 (2)(a) 23,200 335,610
EniSpA(2)(a) 70,705 838,608 MitsubishiHCCapital,Inc.(2)(a) 56,100 258,923
HeraSpA(2)(a) 35,283 102,241 MitsubishiHeavyIndustriesLtd.
ItalgasSpA(2)(a) 9,298 54,257 (2)(a) 5,300 185,244
LeonardoSpA(2)(a) 66,806 677,801 Mitsui&Co.Ltd.(2)(a) 9,900 217,548
PosteItalianeSpA(2)(a)(b) 19,741 184,706 MitsuiChemicals,Inc.(2)(a) 19,400 413,792
UniCreditSpA(2)(a) 1,234 11,793 MizuhoFinancialGroup,Inc.(2)(a) 81,580 928,783
UnipolGruppoSpA(2)(a) 40,783 185,766 MS&ADInsuranceGroupHoldings,
Inc.(2)(a) 19,400 594,870
2,314,794
NGKInsulatorsLtd.(2)(a) 1,100 14,820
Japan-15.3% — NIPPONEXPRESSHOLDINGS,
AGC,Inc.(2)(a) 13,100 460,304 Inc.(2)(a) 3,000 163,419
AirWater,Inc.(2)(a) 4,500 56,705 NipponSteelCorp.(2)(a) 61,000 853,702
AisinCorp.(2)(a) 3,800 117,614 NipponTelegraph&Telephone
AmadaCo.Ltd.(2)(a) 13,400 98,789 Corp.(2)(a) 23,200 666,610
AsahiKaseiCorp.(2)(a) 36,200 275,387 NipponYusenKK(2)(a) 4,000 274,260
AstellasPharma,Inc.(2)(a) 2,000 31,203 NittoDenkoCorp.(2)(a) 500 32,339
BridgestoneCorp.(2)(a) 3,200 116,670 NSKLtd.(2)(a) 2,400 12,912
BrotherIndustriesLtd.(2)(a) 10,800 190,020 ObayashiCorp.(2)(a) 13,300 96,734
ChibaBankLtd.(The)(2)(a) 19,800 108,379 OjiHoldingsCorp.(2)(a) 19,100 82,747
ChubuElectricPowerCo.,Inc.(2) ORIXCorp.(2)(a) 3,800 63,687
(a) 7,300 73,507 OsakaGasCo.Ltd.(2)(a) 15,700 300,894
ConcordiaFinancialGroupLtd.(2) ResonaHoldings,Inc.(2)(a) 171,000 639,628
(a) 7,000 24,305 RohtoPharmaceuticalCo.Ltd.(2)
Dai-ichiLifeHoldings,Inc.(2)(a) 3,600 66,583 (a) 600 17,396
DaitoTrustConstructionCo.Ltd. SegaSammyHoldings,Inc.(2)(a) 3,200 51,399
(2)(a) 3,000 259,518 SekisuiChemicalCo.Ltd.(2)(a) 4,400 60,324
DaiwaSecuritiesGroup,Inc.(2)(a) 35,800 160,299 ShimamuraCo.Ltd.(2)(a) 300 26,360
ENEOSHoldings,Inc.(2)(a) 228,800 860,928 ShinseiBankLtd.(2)(a) 9,700 146,169
FujitsuLtd.(2)(a) 1,300 162,666 ShizuokaBankLtd.(The)(2)(a) 11,700 70,444
FukuokaFinancialGroup,Inc.(2) SojitzCorp.(2)(a) 25,120 356,054
(a) 13,100 235,931 SompoHoldings,Inc.(2)(a) 12,500 552,099
HasekoCorp.(2)(a) 12,300 144,463 SubaruCorp.(2)(a) 10,900 192,804
HitachiLtd.(2)(a) 4,800 228,336 SumitomoChemicalCo.Ltd.(2)(a) 76,600 299,789
Theaccompanyingnotesareanintegralpartofthesefinancialstatements. (Continued)
AQRFunds | Semi-AnnualReport | June2022 3
Consolidated Schedule of Investments
June30,2022(Unaudited)
AQRALTERNATIVERISKPREMIAFUND
INVESTMENTS SHARES VALUE($) INVESTMENTS SHARES VALUE($)
Japan-15.3%(continued) Spain-1.6%(continued)
SumitomoCorp.(2)(a) 23,200 315,368 CaixaBankSA(2)(a) 28,760 100,719
SumitomoHeavyIndustriesLtd. EnagasSA(2)(a) 4,915 108,703
(2)(a) 4,800 106,256 EndesaSA(2)(a) 7,799 147,537
SumitomoMitsuiTrustHoldings, IberdrolaSA(2)(a) 13,023 135,588
Inc.(2)(a) 8,700 268,882 MapfreSA(2)(a) 45,464 80,397
SumitomoPharmaCo.Ltd.(2)(a) 16,600 133,320 RepsolSA(2)(a) 61,896 912,472
SumitomoRealty&Development TelefonicaSA(2)(a) 93,214 475,907
Co.Ltd.(2)(a) 5,200 137,273
2,258,920
SuntoryBeverage&FoodLtd.(2)
(a) 1,400 52,868 Sweden-1.2% —
T&DHoldings,Inc.(2)(a) 19,100 228,638 AxfoodAB(2)(a) 4,649 133,856
TaiseiCorp.(2)(a) 6,200 193,316 BolidenAB(2)(a) 1,895 60,603
TeijinLtd.(2)(a) 1,400 14,576 FastighetsABBalder,ClassB
TohoGasCo.Ltd.(2)(a) 2,800 67,636 (2)*(a) 36,479 174,759
TokioMarineHoldings,Inc.(2)(a) 1,700 99,130 GetingeAB,ClassB(2)(a) 10,830 251,000
TokyoElectricPowerCo.Holdings, H&MHennes&MauritzAB,Class
Inc.(2)*(a) 244,900 1,024,468 B(2)(a) 27,280 327,432
TOPPAN,Inc.(2)(a) 10,000 166,839 SecuritasAB,ClassB(2)(a) 1,434 12,398
TorayIndustries,Inc.(2)(a) 49,700 279,753 SkanskaAB,ClassB(2)(a) 14,601 224,644
TosohCorp.(2)(a) 27,400 340,821 SKFAB,ClassB(2)(a) 2,929 43,456
ToyotaBoshokuCorp.(2)(a) 9,700 144,090 SSABAB,ClassB(2)(a) 79,404 329,942
ToyotaTsushoCorp.(2)(a) 11,400 371,672 TrelleborgAB,ClassB(2)(a) 2,490 50,379
VolvoAB,ClassB(2)(a) 8,773 136,503
21,759,221
Luxembourg-0.8% — 1,744,972
APERAMSA(2) 3,108 86,322 Switzerland-1.3% —
ArcelorMittalSA(2) 35,539 796,975 AdeccoGroupAG(Registered)(2)
EurofinsScientificSE(2) 2,382 188,126 (a) 11,107 378,579
BaloiseHoldingAG(Registered)
1,071,423
(2)(a) 1,107 181,209
Netherlands-2.0% — BKWAG(2)(a) 157 16,426
ABNAMROBankNV,CVA(2)(a)(b) 1,133 12,731 BucherIndustriesAG(Registered)
AegonNV(2)(a) 139,790 602,024 (2)(a) 82 28,622
ASRNederlandNV(2)(a) 6,731 271,374 DKSHHoldingAG(2)(a) 887 73,394
KoninklijkeAholdDelhaizeNV(2) GeberitAG(Registered)(2)(a) 57 27,423
(a) 19,645 511,340 HelvetiaHoldingAG(Registered)
KoninklijkeVopakNV(2)(a) 3,744 94,353 (2)(a) 557 65,416
NNGroupNV(2)(a) 5,319 240,913 NovartisAG(Registered)(2)(a) 3,557 301,565
RandstadNV(2)(a) 4,158 200,958 SulzerAG(Registered)(2)(a) 900 56,098
SBMOffshoreNV(2)(a) 972 13,164 SwissLifeHoldingAG(Registered)
Shellplc(2)(a) 35,595 926,993 (2)(a) 433 211,377
SwisscomAG(Registered)(2)(a) 745 412,074
2,873,850
UBSGroupAG(Registered)(2)(a) 9,133 147,651
Norway-0.1% —
1,899,834
LeroySeafoodGroupASA(2)(a) 7,310 52,340
SalmarASA(2)(a) 1,667 118,017 UnitedKingdom-2.8% —
abrdnplc(2) 27,879 54,419
170,357
Avivaplc(2)(a) 78,547 384,744
Singapore-0.2% — Barclaysplc(2) 494,514 924,721
GentingSingaporeLtd.(2) 93,800 48,649 BPplc(2)(a) 133,816 628,333
Oversea-ChineseBankingCorp. Britvicplc(2)(a) 5,019 49,750
Ltd.(2) 1,500 12,305 BTGroupplc(2)(a) 162,438 369,182
SATSLtd.(2)* 10,200 28,618 Centricaplc(2)* 55,314 54,016
VentureCorp.Ltd.(2) 13,400 160,511 DSSmithplc(2)(a) 31,521 106,756
HowdenJoineryGroupplc(2)(a) 13,817 101,851
250,083
Investecplc(2)(a) 17,694 96,350
Spain-1.6% — Kingfisherplc(2)(a) 16,608 49,633
AccionaSA(2)(a) 777 143,169 M&Gplc(2)(a) 101,689 241,076
BancodeSabadellSA(2)(a) 22,297 17,878 ManGroupplc(2)(a) 16,121 49,213
BancoSantanderSA(2)(a) 48,261 136,550 Marks&SpencerGroupplc(2)* 181,211 300,635
Theaccompanyingnotesareanintegralpartofthesefinancialstatements. (Continued)
4 AQRFunds | Semi-AnnualReport | June2022
Consolidated Schedule of Investments
June30,2022(Unaudited)
AQRALTERNATIVERISKPREMIAFUND
INVESTMENTS SHARES VALUE($) INVESTMENTS SHARES VALUE($)
UnitedKingdom-2.8%(continued) UnitedStates-45.6%(continued)
NationalGridplc(2)(a) 12,232 157,193 Bristol-MyersSquibbCo.(a) 3,690 284,130
RoyalMailplc(2)(a) 99,625 329,107 Broadcom,Inc.(a) 147 71,414
Spectrisplc(2)(a) 709 23,489 BRP,Inc.(a) 2,970 182,787
Subsea7SA(2)(a) 10,238 81,771 BrunswickCorp.(a)(c) 4,073 266,293
BuildersFirstSource,Inc.*(a)(c) 18,402 988,187
4,002,239
CACIInternational,Inc.,ClassA
UnitedStates-45.6% — *(a) 1,125 317,003
AOSmithCorp.(a) 244 13,342 CadenceDesignSystems,Inc.*(a) 1,605 240,798
AbbVie,Inc.(a) 2,861 438,191 CallawayGolfCo.*(a)(c) 7,050 143,820
ABIOMED,Inc.*(a) 77 19,058 CarlisleCos.,Inc.(a) 467 111,431
Accentureplc,ClassA(a) 74 20,546 Carter's,Inc.(a) 178 12,545
AcuityBrands,Inc.(a)(c) 1,094 168,520 Casey'sGeneralStores,Inc.(a) 802 148,354
AGCOCorp.(a) 589 58,134 CathayGeneralBancorp(a) 1,339 52,422
AgilentTechnologies,Inc.(a) 775 92,047 CDWCorp.(a) 1,379 217,275
AirLeaseCorp.(a) 1,110 37,107 ChampionXCorp.(a) 7,376 146,414
AkamaiTechnologies,Inc.*(a)(c) 1,368 124,939 CharlesRiverLaboratories
AlaskaAirGroup,Inc.*(a) 1,806 72,330 International,Inc.*(a) 1,640 350,911
AlbertsonsCos.,Inc.,ClassA(a) 1,048 28,003 ChemedCorp.(a) 243 114,062
AllisonTransmissionHoldings,Inc. ChemoursCo.(The)(a)(c) 4,914 157,346
(a)(c) 18,456 709,633 ChipotleMexicanGrill,Inc.*(a) 34 44,447
AllstateCorp.(The)(a)(c) 2,295 290,845 CienaCorp.*(a) 2,162 98,803
Alphabet,Inc.,ClassA*(a) 438 954,516 CignaCorp.(a) 322 84,853
AmdocsLtd.(a) 3,899 324,826 CirrusLogic,Inc.*(a) 3,272 237,351
AMERCO(a) 40 19,129 CiscoSystems,Inc.(a) 21,399 912,453
AmericanInternationalGroup,Inc. CitizensFinancialGroup,Inc.(a) 925 33,013
(a) 243 12,425 CitrixSystems,Inc.(a) 532 51,694
AmeripriseFinancial,Inc.(a) 646 153,541 CognizantTechnologySolutions
Amgen,Inc.(a)(c) 1,421 345,729 Corp.,ClassA(a) 627 42,316
AmkorTechnology,Inc.(a) 10,495 177,890 Colgate-PalmoliveCo.(a) 170 13,624
ANSYS,Inc.*(a) 553 132,327 CommercialMetalsCo.(a)(c) 11,408 377,605
APACorp.(a)(c) 10,661 372,069 ConcentrixCorp.(a) 234 31,740
AppliedMaterials,Inc.(a)(c) 1,028 93,527 ConocoPhillips(a)(c) 3,173 284,967
Aramark(a)(c) 2,191 67,110 CooperCos.,Inc.(The)(a) 236 73,896
Archer-Daniels-MidlandCo.(a) 835 64,796 CoterraEnergy,Inc.(a) 680 17,537
ArrowElectronics,Inc.*(a) 4,734 530,634 CrackerBarrelOldCountryStore,
AssociatedBanc-Corp.(a)(c) 7,113 129,883 Inc.(a)(c) 455 37,988
AssuredGuarantyLtd.(a) 722 40,280 Cummins,Inc.(a) 1,776 343,709
AutoNation,Inc.*(a)(c) 8,866 990,864 Curtiss-WrightCorp.(a) 1,120 147,907
AutoZone,Inc.*(a) 81 174,079 CVSHealthCorp.(a)(c) 10,339 958,012
AvientCorp.(a) 3,212 128,737 Dana,Inc.(a) 5,821 81,901
Avnet,Inc.(a) 1,008 43,223 DarlingIngredients,Inc.*(a) 178 10,644
BankofNewYorkMellonCorp. DeckersOutdoorCorp.*(a) 1,549 395,537
(The)(a)(c) 1,432 59,729 DellTechnologies,Inc.,ClassC(a) 19,046 880,116
Bath&BodyWorks,Inc.(a)(c) 5,569 149,917 Dick'sSportingGoods,Inc.(a)(c) 4,985 375,719
BaxterInternational,Inc.(a) 258 16,571 DISHNetworkCorp.,ClassA*(a) 725 12,999
Belden,Inc.(a) 822 43,788 DXCTechnologyCo.*(a)(c) 5,168 156,642
BerryGlobalGroup,Inc.*(a)(c) 3,537 193,262 EagleMaterials,Inc.(a) 283 31,113
BestBuyCo.,Inc.(a) 2,687 175,166 EastWestBancorp,Inc.(a) 358 23,198
Biogen,Inc.*(a)(c) 2,858 582,861 EastmanChemicalCo.(a) 1,465 131,513
Bio-RadLaboratories,Inc.,Class EatonCorp.plc(a) 1,489 187,599
A*(a) 509 251,955 eBay,Inc.(a) 4,376 182,348
Bio-TechneCorp.(a) 442 153,215 ElectronicArts,Inc.(a)(c) 2,545 309,599
BJ'sWholesaleClubHoldings,Inc. ElevanceHealth,Inc.(a) 694 334,911
*(a) 3,093 192,756 EMCORGroup,Inc.(a) 1,373 141,364
Blackbaud,Inc.*(a)(c) 2,243 130,251 EmersonElectricCo.(a) 794 63,155
BookingHoldings,Inc.*(a) 9 15,741 EnerSys(a) 242 14,268
BoozAllenHamiltonHoldingCorp. EOGResources,Inc.(a) 5,646 623,544
(a)(c) 2,614 236,201 EPAMSystems,Inc.*(a) 705 207,820
BorgWarner,Inc.(a)(c) 3,172 105,850 EsteeLauderCos.,Inc.(The),
BreadFinancialHoldings,Inc.(a) 5,686 210,723 ClassA(a) 745 189,729
Theaccompanyingnotesareanintegralpartofthesefinancialstatements. (Continued)
AQRFunds | Semi-AnnualReport | June2022 5
Consolidated Schedule of Investments
June30,2022(Unaudited)
AQRALTERNATIVERISKPREMIAFUND
INVESTMENTS SHARES VALUE($) INVESTMENTS SHARES VALUE($)
UnitedStates-45.6%(continued) UnitedStates-45.6%(continued)
EverestReGroupLtd.(a) 636 178,258 JMSmuckerCo.(The)(a)(c) 1,367 174,990
ExpediaGroup,Inc.*(a) 2,593 245,894 Jabil,Inc.(a) 6,559 335,886
ExpeditorsInternationalof JefferiesFinancialGroup,Inc.(a) 1,865 51,511
Washington,Inc.(a)(c) 3,076 299,787 JetBlueAirwaysCorp.*(a)(c) 8,712 72,919
F5,Inc.*(a) 602 92,130 JohnsonControlsInternationalplc
FairIsaacCorp.*(a) 541 216,887 (a) 682 32,654
FederatedHermes,Inc.(a) 5,966 189,659 JuniperNetworks,Inc.(a)(c) 3,281 93,509
FirstAmericanFinancialCorp.(a) 325 17,199 KBHome(a)(c) 6,214 176,850
FirstHawaiian,Inc.(a) 922 20,939 KeysightTechnologies,Inc.*(a) 870 119,930
FlowersFoods,Inc.(a)(c) 1,638 43,112 KLACorp.(a) 481 153,477
FlowserveCorp.(a) 1,828 52,336 Knight-SwiftTransportation
FNBCorp.(a) 10,949 118,906 Holdings,Inc.(a)(c) 1,529 70,777
FootLocker,Inc.(a) 8,019 202,480 KrogerCo.(The)(a) 10,691 506,005
Fortinet,Inc.*(a) 4,095 231,695 L3HarrisTechnologies,Inc.(a) 100 24,170
FortuneBrandsHome&Security, LaboratoryCorp.ofAmerica
Inc.(a) 208 12,455 Holdings(a) 652 152,803
FultonFinancialCorp.(a) 2,749 39,723 LearCorp.(a) 605 76,163
Gartner,Inc.*(a)(c) 1,372 331,791 LennarCorp.,ClassA(a) 4,929 347,840
GeneralDynamicsCorp.(a) 595 131,644 LincolnNationalCorp.(a)(c) 3,800 177,726
GeneralMills,Inc.(a)(c) 1,302 98,236 LithiaMotors,Inc.(a) 208 57,160
GeneralMotorsCo.*(a) 3,227 102,490 Louisiana-PacificCorp.(a) 1,698 88,992
GileadSciences,Inc.(a) 16,077 993,718 Lowe'sCos.,Inc.(a) 71 12,402
GlobalPayments,Inc.(a) 864 95,593 LyondellBasellIndustriesNV,Class
GlobusMedical,Inc.,ClassA*(a) A(a) 2,966 259,406
(c) 2,412 135,410 M&TBankCorp.(a) 424 67,581
GoHealth,Inc.,ClassA* 9,098 5,440 ManhattanAssociates,Inc.*(a)(c) 1,480 169,608
GoodyearTire&RubberCo.(The) ManpowerGroup,Inc.(a) 2,756 210,586
*(a) 31,445 336,776 MarathonOilCorp.(a) 4,694 105,521
GrahamHoldingsCo.,ClassB(a) 262 148,512 MarriottVacationsWorldwideCorp.
GrandCanyonEducation,Inc.*(a) (a) 1,209 140,486
(c) 1,943 183,011 MasimoCorp.*(a) 293 38,286
Greif,Inc.,ClassA(a) 2,109 131,559 MasTec,Inc.*(a) 2,112 151,346
H&RBlock,Inc.(a) 5,130 181,192 MatchGroup,Inc.*(a)(c) 1,011 70,457
HalliburtonCo.(a)(c) 5,763 180,728 Mattel,Inc.*(a) 40,231 898,358
Harley-Davidson,Inc.(a) 400 12,664 Maximus,Inc.(a) 1,980 123,770
HartfordFinancialServicesGroup, McDonald'sCorp.(a) 339 83,692
Inc.(The)(a) 1,737 113,652 MDUResourcesGroup,Inc.(a) 8,283 223,558
Hasbro,Inc.(a) 154 12,610 MedpaceHoldings,Inc.*(a) 133 19,906
HCAHealthcare,Inc.(a) 513 86,215 Medtronicplc(a) 882 79,160
HelenofTroyLtd.*(a) 438 71,136 Merck&Co.,Inc.(a) 4,753 433,331
HenrySchein,Inc.*(a) 207 15,885 MetaPlatforms,Inc.,ClassA*(a) 5,763 929,284
HewlettPackardEnterpriseCo.(a) 31,186 413,526 MGMResortsInternational(a) 443 12,825
HexcelCorp.(a)(c) 2,416 126,381 MicrochipTechnology,Inc.(a) 213 12,371
HFSinclairCorp.(a)(c) 7,059 318,784 MicronTechnology,Inc.(a)(c) 16,834 930,584
Hologic,Inc.*(a) 580 40,194 MicrosoftCorp.(a) 337 86,552
HorizonTherapeuticsplc*(a) 1,545 123,229 MillerKnoll,Inc.(a)(c) 5,319 139,730
HowmetAerospace,Inc.(a) 7,692 241,913 MineralsTechnologies,Inc.(a) 1,346 82,564
HP,Inc.(a)(c) 26,321 862,802 MKSInstruments,Inc.(a)(c) 4,462 457,935
Hubbell,Inc.(a)(c) 576 102,862 Moderna,Inc.*(a) 101 14,428
Humana,Inc.(a) 224 104,848 MohawkIndustries,Inc.*(a)(c) 2,006 248,925
HuntsmanCorp.(a)(c) 2,896 82,102 MolinaHealthcare,Inc.*(a) 761 212,783
IAC/InterActiveCorp*(a) 649 49,305 MolsonCoorsBeverageCo.,Class
Ingredion,Inc.(a) 1,330 117,253 B(a) 3,510 191,330
IntelCorp.(a) 24,837 929,152 MSASafety,Inc.(a) 202 24,456
InterpublicGroupofCos.,Inc. MSCIndustrialDirectCo.,Inc.,
(The)(a) 2,347 64,613 ClassA(a)(c) 588 44,165
Intuit,Inc.(a) 63 24,283 MurphyOilCorp.(a) 2,481 74,901
InvescoLtd.(a) 4,207 67,859 MurphyUSA,Inc.(a) 2,685 625,256
IQVIAHoldings,Inc.*(a)(c) 1,121 243,246 NavientCorp.(a) 4,433 62,018
ITT,Inc.(a)(c) 2,012 135,287 NCRCorp.*(a) 4,694 146,030
Theaccompanyingnotesareanintegralpartofthesefinancialstatements. (Continued)
6 AQRFunds | Semi-AnnualReport | June2022
Consolidated Schedule of Investments
June30,2022(Unaudited)
AQRALTERNATIVERISKPREMIAFUND
INVESTMENTS SHARES VALUE($) INVESTMENTS SHARES VALUE($)
UnitedStates-45.6%(continued) UnitedStates-45.6%(continued)
NielsenHoldingsplc(a) 1,136 26,378 STERISplc(a) 1,192 245,731
NortonLifeLock,Inc.(a) 3,279 72,007 StifelFinancialCorp.(a) 2,087 116,914
NuSkinEnterprises,Inc.,Class StrykerCorp.(a) 159 31,630
A(a) 5,129 222,086 SwissReAG(2)(a) 8,154 632,897
OldRepublicInternationalCorp.(a) 3,133 70,054 Synaptics,Inc.*(a) 1,595 188,290
OlinCorp.(a) 4,090 189,285 SynchronyFinancial(a) 711 19,638
OmnicomGroup,Inc.(a) 834 53,051 SyneosHealth,Inc.*(a) 974 69,816
ONSemiconductorCorp.*(a) 735 36,978 Synopsys,Inc.*(a) 1,051 319,189
OracleCorp.(a) 1,653 115,495 SynovusFinancialCorp.(a)(c) 2,718 97,984
O'ReillyAutomotive,Inc.*(a) 79 49,909 Tapestry,Inc.(a) 2,307 70,410
Organon&Co.(a)(c) 1,948 65,745 TargetCorp.(a) 2,332 329,348
OshkoshCorp.(a)(c) 1,130 92,818 TaylorMorrisonHomeCorp.*(a)(c) 13,974 326,433
OwensCorning(a) 160 11,890 TDSYNNEXCorp.(a)(c) 3,730 339,803
PACCAR,Inc.(a) 534 43,970 TenetHealthcareCorp.*(a) 2,564 134,764
PackagingCorp.ofAmerica(a) 1,964 270,050 TeradataCorp.*(a) 350 12,954
PapaJohn'sInternational,Inc.(a) Teradyne,Inc.(a)(c) 1,698 152,056
(c) 1,671 139,562 TerexCorp.(a) 9,776 267,569
PDCEnergy,Inc.(a)(c) 1,933 119,092 TexasRoadhouse,Inc.(a) 2,299 168,287
PenskeAutomotiveGroup,Inc.(a) 5,107 534,652 Textron,Inc.(a)(c) 10,352 632,197
PerkinElmer,Inc.(a) 315 44,799 ThorIndustries,Inc.(a) 170 12,704
Pfizer,Inc.(a)(c) 4,091 214,491 TimkenCo.(The)(a)(c) 2,191 116,233
PlaytikaHoldingCorp.*(a) 14,221 188,286 TollBrothers,Inc.(a) 11,400 508,440
Polaris,Inc.(a)(c) 7,725 766,938 TractorSupplyCo.(a) 79 15,314
Popular,Inc. 5,592 430,193 TriPointeHomes,Inc.*(a) 12,617 212,849
Procter&GambleCo.(The)(a) 204 29,333 TysonFoods,Inc.,ClassA(a)(c) 2,353 202,499
PulteGroup,Inc.(a)(c) 17,911 709,813 UnitedRentals,Inc.*(a) 361 87,691
PVHCorp.(a)(c) 3,995 227,316 UnitedStatesSteelCorp.(a)(c) 619 11,086
Qorvo,Inc.*(a)(c) 4,562 430,288 UnitedTherapeuticsCorp.*(a) 3,280 772,899
QUALCOMM,Inc.(a) 6,681 853,431 UniversalDisplayCorp.(a)(c) 2,029 205,213
QuantaServices,Inc.(a)(c) 3,380 423,649 UniversalHealthServices,Inc.,
QuestDiagnostics,Inc.(a) 368 48,937 ClassB(a)(c) 4,649 468,201
QuidelOrthoCorp.*(a) 5,401 524,869 UnumGroup(a) 16,840 572,897
QurateRetail,Inc.,SeriesA 104,413 299,665 UrbanOutfitters,Inc.*(a) 4,357 81,302
RalphLaurenCorp.(a) 895 80,237 USFoodsHoldingCorp.*(a) 1,219 37,399
RegalRexnordCorp.(a)(c) 2,970 337,154 ValeroEnergyCorp.(a) 209 22,213
RegeneronPharmaceuticals,Inc. VeevaSystems,Inc.,ClassA*(a) 5,043 998,715
*(a) 390 230,541 VeriSign,Inc.*(a) 605 101,235
RegionsFinancialCorp.(a) 931 17,456 VertexPharmaceuticals,Inc.*(a) 173 48,750
RelianceSteel&AluminumCo.(a) 1,225 208,079 Viatris,Inc.(a) 18,256 191,140
RocheHoldingAG(2)(a) 597 199,577 VirtuFinancial,Inc.,ClassA(a) 713 16,691
Salesforce,Inc.*(a) 880 145,235 VishayIntertechnology,Inc.(a)(c) 18,580 331,096
SchneiderNational,Inc.,ClassB VontierCorp.(a) 12,979 298,387
(a) 4,903 109,729 WernerEnterprises,Inc.(a) 2,812 108,374
ScienceApplicationsInternational WesternDigitalCorp.*(a) 260 11,656
Corp.(a) 673 62,656 WestlakeCorp.(a) 511 50,088
SeagateTechnologyHoldingsplc WestrockCo.(a) 4,326 172,348
(a) 197 14,074 WhirlpoolCorp.(a)(c) 373 57,767
SemtechCorp.*(a)(c) 1,921 105,597 Williams-Sonoma,Inc.(a)(c) 4,027 446,796
SignifyNV(2)(a)(b) 8,951 295,296 WintrustFinancialCorp.(a) 880 70,532
SilganHoldings,Inc.(a)(c) 5,212 215,516 WorldWrestlingEntertainment,
SkechersUSA,Inc.,ClassA*(a)(c) 4,402 156,623 Inc.,ClassA(a) 959 59,928
SkyworksSolutions,Inc.(a) 5,985 554,450 XeroxHoldingsCorp.(a) 10,774 159,994
Snap-on,Inc.(a)(c) 1,153 227,176 XPOLogistics,Inc.*(a) 7,237 348,534
SonocoProductsCo.(a) 566 32,285 Yelp,Inc.*(a)(c) 8,085 224,520
SproutsFarmersMarket,Inc.*(a) YETIHoldings,Inc.*(a)(c) 11,918 515,692
(c) 11,095 280,925 ZebraTechnologiesCorp.,Class
SS&CTechnologiesHoldings,Inc. A*(a) 176 51,735
(a) 603 35,016 ZiffDavis,Inc.*(a)(c) 2,502 186,474
SteelDynamics,Inc.(a)(c) 9,015 596,342 ZimmerBiometHoldings,Inc.(a) 125 13,133
StellantisNV(2)(a) 47,371 588,099
Theaccompanyingnotesareanintegralpartofthesefinancialstatements. (Continued)
AQRFunds | Semi-AnnualReport | June2022 7
Consolidated Schedule of Investments
June30,2022(Unaudited)
AQRALTERNATIVERISKPREMIAFUND
INVESTMENTS SHARES VALUE($) INVESTMENTS SHARES VALUE($)
UnitedStates-45.6%(continued) SHORTPOSITIONS-(88.0)%
Zoetis,Inc.(a) 759 130,465 COMMONSTOCKS-(88.0)%
64,645,399 Australia-(1.3)%
TOTALCOMMONSTOCKS — AluminaLtd.(2) (11,404) (11,560)
APAGroup(2) (23,329) (181,681)
(Cost$105,253,520) 124,523,783
AtlasArteriaLtd.(2) (20,949) (116,722)
Domino'sPizzaEnterprisesLtd.(2) (380) (17,862)
PREFERREDSTOCKS-0.0%(d)
EvolutionMiningLtd.(2) (17,486) (28,571)
UnitedStates-0.0%(d) IDPEducationLtd.(2) (7,538) (123,436)
QurateRetail,Inc.,8.00%, InsuranceAustraliaGroupLtd.(2) (78,147) (235,656)
3/15/2031 LynasRareEarthsLtd.(2)* (10,826) (65,436)
(Cost$51,189) 896 52,371 MineralResourcesLtd.(2) (3,422) (114,851)
NorthernStarResourcesLtd.(2) (49,341) (231,444)
PilbaraMineralsLtd.(2)* (126,069) (200,533)
SHORT-TERMINVESTMENTS-79.9%
QBEInsuranceGroupLtd.(2) (37,612) (316,050)
INVESTMENTCOMPANIES-54.6%
SevenGroupHoldingsLtd.(2) (4,733) (54,414)
GoldmanSachsFinancialSquare
SuncorpGroupLtd.(2) (1,807) (13,780)
Funds-TreasuryInstrumentsFund,
TransurbanGroup(2) (7,294) (72,570)
InstitutionalShares,1.11%(e)(f) 1,935,678 1,935,678
WoolworthsGroupLtd.(2) (4,808) (118,096)
J.P.MorganU.S.TreasuryPlus
MoneyMarketFund-IMShares, (1,902,662)
1.20%(e) 30,026 30,026 Austria–(0.0)%(d) —
LimitedPurposeCashInvestment
ams-OSRAMAG(2)* (2,258) (20,428)
Fund,1.15%(e) 75,587,722 75,527,251
TOTALINVESTMENTCOMPANIES Belgium-(0.3)%
(Cost$77,508,806) 77,492,955 Anheuser-BuschInBevSA/NV(2) (6,012) (323,758)
PRINCIPAL — GalapagosNV(2)* (1,757) (97,420)
AMOUNT (421,178)
U.S.TREASURYOBLIGATIONS-25.3% Brazil-(0.3)% —
U.S.TreasuryBills
MercadoLibre,Inc.* (362) (230,547)
0.22%,7/7/2022(2)(g) $ 9,166,000 9,164,854
WheatonPreciousMetalsCorp. (5,009) (180,483)
0.28%,7/14/2022(2)(g) 992,000 991,618
0.38%,7/28/2022(2)(g) 428,000 427,654 (411,030)
0.49%,8/4/2022(2)(g) 313,000 312,650 Canada-(3.3)% —
0.71%,8/25/2022(2)(g) 978,000 975,856
AgnicoEagleMinesLtd. (6,769) (309,843)
0.67%,9/1/2022(2)(g) 885,000 882,679
AirCanada* (17,522) (218,344)
0.70%,9/8/2022(2)(g) 326,000 325,037
AlamosGold,Inc.,ClassA (4,596) (32,242)
0.82%,9/15/2022(2)(g) 999,000 995,668
AltaGasLtd. (2,517) (53,109)
0.87%,9/22/2022(2)(g) 1,284,000 1,279,187
BallardPowerSystems,Inc.* (43,824) (276,794)
1.06%,9/29/2022(2)(g) 884,000 880,376
BarrickGoldCorp. (11,823) (209,052)
1.12%,10/6/2022(2)(g)(h) 4,726,000 4,703,843
BlackBerryLtd.* (25,823) (139,226)
1.38%,10/27/2022(2)(g) 627,000 623,048
Boralex,Inc.,ClassA (4,832) (160,967)
1.39%,11/10/2022(2)(g) 695,000 689,858
CAE,Inc.* (4,470) (110,153)
1.54%,11/25/2022(2)(g) 1,432,000 1,420,130
CamecoCorp. (5,364) (112,764)
1.59%,12/1/2022(2)(g) 208,000 206,052
CanadaGooseHoldings,Inc.* (3,293) (59,403)
2.18%,12/15/2022(2)(g) 291,000 287,953
CanadianPacificRailwayLtd. (4,602) (321,446)
2.53%,12/29/2022(2)(g) 11,925,000 11,779,907
CanopyGrowthCorp.* (30,919) (87,915)
TOTALU.S.TREASURYOBLIGATIONS
ConstellationSoftware,Inc. (233) (345,892)
(Cost$35,965,526) 35,946,370
Dollarama,Inc. (2,761) (158,985)
TOTALSHORT-TERMINVESTMENTS ElementFleetManagementCorp. (2,401) (25,032)
(Cost$113,474,332) 113,439,325 Franco-NevadaCorp. (2,787) (366,605)
TOTALLONGPOSITIONS GFLEnvironmental,Inc. (2,127) (54,794)
(Cost$218,779,041) 238,015,479 InnergexRenewableEnergy,Inc. (8,775) (117,936)
Kinaxis,Inc.* (240) (25,909)
LightspeedCommerce,Inc.* (6,459) (144,013)
LoblawCos.Ltd. (142) (12,807)
NuveiCorp.*(b) (1,126) (40,694)
PanAmericanSilverCorp. (2,320) (45,582)
RestaurantBrandsInternational,
Inc. (2,702) (135,541)
Theaccompanyingnotesareanintegralpartofthesefinancialstatements. (Continued)
8 AQRFunds | Semi-AnnualReport | June2022