# EDGAR Filing Document

**Accession Number:** 0001444822
**File Stem:** 0001752724-23-043543
**Filing Date:** 2023-2
**Character Count:** 56395
**Document Hash:** 7e0fa01a8976cf71a0304162684594eb
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-043543.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-043543

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AQR Funds
- **CENTRAL INDEX KEY:** 0001444822
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22235
- **FILM NUMBER:** 23675333

**BUSINESS ADDRESS:**
- **STREET 1:** ONE GREENWICH PLAZA
- **CITY:** GREENWICH
- **STATE:** CT
- **ZIP:** 06830
- **BUSINESS PHONE:** 203-742-3600

**MAIL ADDRESS:**
- **STREET 1:** ONE GREENWICH PLAZA
- **CITY:** GREENWICH
- **STATE:** CT
- **ZIP:** 06830

## Series and Classes Contracts Data

### AQR Equity Market Neutral Fund (Series ID: S000046740)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000145994 | Class I      | QMNIX           |
| C000145995 | Class N      | QMNNX           |
| C000145996 | Class R6     | QMNRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** AQR Funds

- **b. Investment Company Act file number:** 811-22235

- **c. CIK number of Registrant:** 0001444822

- **d. LEI of Registrant:** 549300V0TAB4ICSX2404

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** One Greenwich Plaza

  - **City:** Greenwich

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06830

  - **Telephone number:** 203-742-3600

**Item A.2. Information about the Series.**

- **a. Name of Series:** AQR Equity Market Neutral Fund

- **b. EDGAR series identifier (if any):** S000046740

- **c. LEI of Series:** 5493004VUEKIV6063V70

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $190649895.12

**Total Liabilities:** $10238856.28

**Net Assets:** $180411038.84

**Cash Not Reported:** $20105.34

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000145994 | 4.80%                | 3.20%                | 3.24%                |
| Class ID C000145996 | 4.90%                | 3.19%                | 3.30%                |
| Class ID C000145995 | 4.76%                | 3.14%                | 3.37%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $84612.89                | $289175.33                                 |
| Month 2  | $86797.98                | $238336.06                                 |
| Month 3  | $198664.61               | $169629.02                                 |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                             | Title                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1062.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   4316000 | PA      | $4267265.15   | 2.37%             | 2023-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1062.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |  20388144 | PA      | $35195.33     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.04        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1739.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $28.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-410.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-35.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.84         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   8653547 | PA      | $11226.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2.21         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1711.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   3645000 | PA      | $3605451.75   | 2.00%             | 2023-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Prysmian SpA                                                     | Prysmian SpA                                                     | CUSIP: N/A<br>LEI: 529900X0H1IO3RS1A464       | Long             | EC               | CORP              | IT        |     14347 | NS      | $533070.41    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796XS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   1601000 | PA      | $1598424.17   | 0.89%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1564.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Amplifon SpA                                                     | Amplifon SpA                                                     | CUSIP: N/A<br>LEI: ZYXJDNVM2JI3VBM8G556       | Short            | EC               | CORP              | IT        |     -1636 | NS      | $-48850.62    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2047.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |  31277207 | PA      | $164918.69    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796ZP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   3092000 | PA      | $3031572.02   | 1.68%             | 2023-06-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2601000 | PA      | $2576791.30   | 1.43%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.04        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DiaSorin SpA                                                     | DiaSorin SpA                                                     | CUSIP: N/A<br>LEI: 8156002878BDF0EE4348       | Short            | EC               | CORP              | IT        |     -2738 | NS      | $-383116.62   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Ferrari NV                                                       | Ferrari NV                                                       | CUSIP: N/A<br>LEI: 549300RIVY5EX8RCON76       | Short            | EC               | CORP              | NL        |     -5022 | NS      | $-1076910.90  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4829.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |  13024868 | PA      | $71923.46     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-660.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CNH Industrial NV                                                | CNH Industrial NV                                                | CUSIP: N/A<br>LEI: 549300WGC2HZ5J67V817       | Short            | EC               | CORP              | NL        |    -38698 | NS      | $-620793.36   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Nexi SpA                                                         | Nexi SpA                                                         | CUSIP: N/A<br>LEI: 5493000P70CQRQG8SN85       | Short            | EC               | CORP              | IT        |    -73462 | NS      | $-579904.63   | -0.32%            |  |  |  | Yes           |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7.86        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   9936000 | PA      | $9795993.02   | 5.43%             | 2023-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1490.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Enel SpA                                                         | Enel SpA                                                         | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | EC               | CORP              | IT        |     49844 | NS      | $268068.23    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1888.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| A2A SpA                                                          | A2A SpA                                                          | CUSIP: N/A<br>LEI: 81560076E3944316DB24       | Long             | EC               | CORP              | IT        |    266597 | NS      | $355444.50    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1.33         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Italgas SpA                                                      | Italgas SpA                                                      | CUSIP: N/A<br>LEI: 815600F25FF44EF1FA76       | Long             | EC               | CORP              | IT        |      6709 | NS      | $37251.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Snam SpA                                                         | Snam SpA                                                         | CUSIP: N/A<br>LEI: 8156002278562044AF79       | Long             | EC               | CORP              | IT        |     40833 | NS      | $197992.68    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Hera SpA                                                         | Hera SpA                                                         | CUSIP: N/A<br>LEI: 8156009414FD99443B48       | Long             | EC               | CORP              | IT        |     34069 | NS      | $91891.38     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-704.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FinecoBank Banca Fineco SpA                                      | FinecoBank Banca Fineco SpA                                      | CUSIP: N/A<br>LEI: 549300L7YCATGO57ZE10       | Short            | EC               | CORP              | IT        |    -60803 | NS      | $-1009701.95  | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-11.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pirelli & C SpA                                                  | Pirelli & C SpA                                                  | CUSIP: N/A<br>LEI: 815600A0C9AFC1F2A709       | Long             | EC               | CORP              | IT        |     81794 | NS      | $350614.55    | 0.19%             |  |  |  | Yes           |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-11.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1690.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.27         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Leonardo SpA                                                     | Leonardo SpA                                                     | CUSIP: N/A<br>LEI: 529900X4EEX1U9LN3U39       | Long             | EC               | CORP              | IT        |    141439 | NS      | $1219878.50   | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.34         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Infrastrutture Wireless Italiane SpA                             | Infrastrutture Wireless Italiane SpA                             | CUSIP: N/A<br>LEI: 81560066183FE361C071       | Short            | EC               | CORP              | IT        |    -55128 | NS      | $-556142.98   | -0.31%            |  |  |  | Yes           |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1490.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |  17011823 | PA      | $46571.06     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Davide Campari-Milano NV                                         | Davide Campari-Milano NV                                         | CUSIP: N/A<br>LEI: 213800ED5AN2J56N6Z02       | Short            | EC               | CORP              | NL        |    -16799 | NS      | $-170548.58   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   3281014 | PA      | $24020.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Banca Generali SpA                                               | Banca Generali SpA                                               | CUSIP: N/A<br>LEI: 815600903231FA2E7698       | Short            | EC               | CORP              | IT        |    -10531 | NS      | $-361494.54   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   3782000 | PA      | $3753024.51   | 2.08%             | 2023-03-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Stellantis NV                                                    | Stellantis NV                                                    | CUSIP: N/A<br>LEI: 549300LKT9PW7ZIBDF31       | Long             | EC               | CORP              | NL        |    124080 | NS      | $1763221.98   | 0.98%             |  |  |  | No            |                  2 | On Loan: No      |
| Assicurazioni Generali SpA                                       | Assicurazioni Generali SpA                                       | CUSIP: N/A<br>LEI: 549300X5UKJVE386ZB61       | Long             | EC               | CORP              | IT        |     21330 | NS      | $379301.06    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-782.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1052.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.15         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.35        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   6197000 | PA      | $6145608.28   | 3.41%             | 2023-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   4007000 | PA      | $3965952.89   | 2.20%             | 2023-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1564.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Recordati Industria Chimica e Farmaceutica SpA                   | Recordati Industria Chimica e Farmaceutica SpA                   | CUSIP: N/A<br>LEI: 815600FBF92FD3531704       | Short            | EC               | CORP              | IT        |     -7012 | NS      | $-291473.44   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1889.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796ZR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   7569000 | PA      | $7401442.85   | 4.10%             | 2023-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1533.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Reply SpA                                                        | Reply SpA                                                        | CUSIP: N/A<br>LEI: 815600DAEFB0388F3521       | Short            | EC               | CORP              | IT        |      -455 | NS      | $-52196.69    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Limited Purpose Cash Investment Fund                             | Limited Purpose Cash Investment Fund                             | CUSIP: 90262Y729<br>LEI: 549300GUQBQJ6160QP80 | Long             | STIV             | RF                | US        |  82103451 | NS      | $82070609.81  | 45.49%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |  14980093 | PA      | $56272.41     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-782.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Telecom Italia SpA                                               | Telecom Italia SpA                                               | CUSIP: N/A<br>LEI: 549300W384M3RI3VXU42       | Short            | EC               | CORP              | IT        |   -558693 | NS      | $-129478.19   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1712.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |  27957077 | PA      | $343897.76    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1690.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.34         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mediobanca Banca di Credito Finanziario SpA                      | Mediobanca Banca di Credito Finanziario SpA                      | CUSIP: N/A<br>LEI: PSNL19R2RXX5U3QWHI44       | Short            | EC               | CORP              | IT        |    -30073 | NS      | $-288973.44   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1.78         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |  52417315 | PA      | $79256.24     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Terna - Rete Elettrica Nazionale                                 | Terna - Rete Elettrica Nazionale                                 | CUSIP: N/A<br>LEI: 8156009E94ED54DE7C31       | Short            | EC               | CORP              | IT        |    -57459 | NS      | $-424346.26   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Buzzi Unicem SpA                                                 | Buzzi Unicem SpA                                                 | CUSIP: N/A<br>LEI: 5299003DX5YLKSVJ6K59       | Long             | EC               | CORP              | IT        |     25234 | NS      | $486262.48    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-35.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                    | UniCredit SpA                                                    | CUSIP: N/A<br>LEI: 549300TRUWO2CD2G5692       | Long             | EC               | CORP              | IT        |    100735 | NS      | $1429385.66   | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| Tenaris SA                                                       | Tenaris SA                                                       | CUSIP: N/A<br>LEI: 549300Y7C05BKC4HZB40       | Long             | EC               | CORP              | LU        |     12184 | NS      | $213679.50    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1005.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1005.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Azimut Holding SpA                                               | Azimut Holding SpA                                               | CUSIP: N/A<br>LEI: 81560025690EF8540635       | Long             | EC               | CORP              | IT        |      8965 | NS      | $200599.09    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4830.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Poste Italiane SpA                                               | Poste Italiane SpA                                               | CUSIP: N/A<br>LEI: 815600354DEDBD0BA991       | Long             | EC               | CORP              | IT        |     21727 | NS      | $211978.89    | 0.12%             |  |  |  | Yes           |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Funds - Treasury Instruments Fund | Goldman Sachs Financial Square Funds - Treasury Instruments Fund | CUSIP: 38142B500<br>LEI: 549300DAH6N80PM31E83 | Long             | STIV             | RF                | US        |   4780683 | NS      | $4780682.83   | 2.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Banco BPM SpA                                                    | Banco BPM SpA                                                    | CUSIP: N/A<br>LEI: 815600E4E6DCD2D25E30       | Long             | EC               | CORP              | IT        |     52709 | NS      | $187906.16    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    566743 | PA      | $4120.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Interpump Group SpA                                              | Interpump Group SpA                                              | CUSIP: N/A<br>LEI: 815600C79D0F31F4D395       | Short            | EC               | CORP              | IT        |     -3461 | NS      | $-156254.13   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Unipol Gruppo SpA                                                | Unipol Gruppo SpA                                                | CUSIP: N/A<br>LEI: 8156005CE5E7340CCA86       | Long             | EC               | CORP              | IT        |    104733 | NS      | $509924.14    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                              | Intesa Sanpaolo SpA                                              | CUSIP: N/A<br>LEI: 2W8N8UU78PMDQKZENC08       | Short            | EC               | CORP              | IT        |   -257678 | NS      | $-570862.79   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1052.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.82         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-660.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   4487098 | PA      | $9249.36      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Moncler SpA                                                      | Moncler SpA                                                      | CUSIP: N/A<br>LEI: 815600EBD7FB00525B20       | Short            | EC               | CORP              | IT        |     -5430 | NS      | $-288533.34   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796XR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    338000 | PA      | $337706.57    | 0.19%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1.37         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        | 363018320 | PA      | $1004053.44   | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796V48<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   6952000 | PA      | $6861362.26   | 3.80%             | 2023-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2047.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796W47<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  22116000 | PA      | $21741600.23  | 12.05%            | 2023-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.27         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $28.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-411.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1739.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-704.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7.87        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5336000 | PA      | $5303886.99   | 2.94%             | 2023-02-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        | 158029289 | PA      | $1257579.04   | 0.70%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.35        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1533.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |  37324019 | PA      | $130906.79    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-0.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** AQR Funds

**Signature:** Matt Plastina

**Name of Signer:** Matt Plastina

**Title:** Principal Financial Officer