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AA

AQR Arbitrage Portfolio holdings

AUM $6.09B
1-Year Est. Return 27.01%
This Fund
S&P 500
This Quarter Est. Return
+1.54%
1 Year Est. Return
+27.01%
3 Year Est. Return
+77.25%
5 Year Est. Return
+160.09%
10 Year Est. Return
+1,244.43%
AUM
$8.26B
AUM Growth
+$377M
Cap. Flow
-$2.17B
Cap. Flow %
-26.23%
Top 10 Hldgs %
23.62%
Holding
533
New
113
Increased
104
Reduced
92
Closed
74

Top Buys

Rank Stock Value
1
AGN.PRA
Allergan plc
AGN.PRA
+$196M
2
CB
CHUBB CORPORATION
CB
+$135M
3
FCAM
Fiat Chrysler Automobiles N.V.
FCAM
+$115M
4
PCP
PRECISION CASTPARTS CORP
PCP
+$96.9M
5
CI icon
Cigna
CI
+$86.8M

Top Sells

Rank Stock Value
1
DRC
DRESSER-RAND GROUP INC
DRC
+$202M
2
FDO
FAMILY DOLLAR STORES
FDO
+$184M
3
DTV
DIRECTV COM STK (DE)
DTV
+$156M
4
CTRX
CATAMARAN CORP COM STK (CDA)
CTRX
+$139M
5
HSP
HOSPIRA INC
HSP
+$138M

Sector Composition

Rank Sector Weight
1 Financials 6.55%
2 Industrials 4.77%
3 Energy 3.83%
4 Utilities 3.83%
5 Technology 2.95%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
WCIC
226
DELISTED
WCI Communities, Inc.
WCIC
$668K 0.01%
29,516
– –
MUJ icon
227
BlackRock MuniHoldings New Jersey Quality Fund
MUJ
$640M
$662K 0.01%
48,928
+4,175
+9% +$56.1K
GDV icon
228
Gabelli Dividend & Income Trust
GDV
$2.6B
$645K 0.01%
36,741
+2,500
+7% +$48.5K
PCF
229
High Income Securities Fund
PCF
$99.6M
$625K 0.01%
88,654
+4,564
+5% +$34.2K
MM
230
DELISTED
MILLENNIAL MEDIA INC COM STK (DE)
MM
$615K 0.01%
+351,500
New +$566K
GDF
231
DELISTED
WESTERN ASSET GLB PARTNERS INCM FUND INC. COM
GDF
$610K 0.01%
76,460
+7,690
+11% +$66K
WPZ
232
DELISTED
Williams Partners L.P.
WPZ
$604K 0.01%
18,936
– –
ICB
233
DELISTED
Morgan Stanley Income Sec. Inc
ICB
$599K 0.01%
34,449
-15,931
-32% -$277K
INF
234
DELISTED
BROOKFIELD GLOBAL LISTED INFRASTRUCTURE INCOME FUND INC.
INF
$596K 0.01%
47,603
+29,425
+162% +$429K
MFM
235
Aberdeen Municipal Income Fund
MFM
$222M
$594K 0.01%
92,967
-4,593
-5% -$29.2K
UNIT
236
Uniti Group
UNIT
$2.63B
$586K 0.01%
32,759
-202,628
-86% -$4.35M
JASNW
237
DELISTED
Jason Industries, Inc.
JASNW
$583K 0.01%
2,331,300
– –
BPFHW
238
DELISTED
Boston Private Financial Holdings, Inc. WTS
BPFHW
$577K 0.01%
117,799
– –
RVT icon
239
Royce Value Trust
RVT
$2.21B
$568K 0.01%
+49,413
New +$627K
TLN
240
DELISTED
Talen Energy Corporation
TLN
$568K 0.01%
56,225
-243,841
-81% -$3.57M
NPF
241
DELISTED
NUVEEN PREMIER MUNI INCOME FD
NPF
$561K 0.01%
42,993
-5,104
-11% -$66.5K
ACP
242
abrdn Income Credit Strategies Fund
ACP
$640M
$551K 0.01%
44,333
+10,432
+31% +$138K
MMP
243
DELISTED
Magellan Midstream Partners, L.P.
MMP
$538K 0.01%
8,957
+267
+3% +$18.2K
MGU
244
DELISTED
Macquarie Global Infrastructure Total Return Fund, Inc.
MGU
$537K 0.01%
27,864
+11,334
+69% +$249K
HYI
245
Western Asset High Yield Opportunity Fund Inc
HYI
$134M
$525K 0.01%
+37,532
New +$551K
ETP
246
DELISTED
Energy Transfer Partners, L.P.
ETP
$515K 0.01%
17,976
+504
+3% +$17.1K
NTC
247
DELISTED
Nuveen Connecticut Quality Municipal Income Fund
NTC
$509K 0.01%
41,309
-6,625
-14% -$81.9K
HEP
248
DELISTED
Holly Energy Partners, L.P.
HEP
$505K 0.01%
17,387
+605
+4% +$18.9K
NZF icon
249
Nuveen Municipal Credit Income Fund
NZF
$2.4B
$502K 0.01%
37,000
-11,001
-23% -$149K
DEX
250
DELISTED
DELAWARE ENHANCED GLOBAL DIVIDEND & INCOME FUND
DEX
$496K 0.01%
53,596
+24,357
+83% +$248K
8 9
10
11 12

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GA
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CIS
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EMPI
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HCM
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HPG
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DTC
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AWA
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AQR Arbitrage's Q3 2015 Portfolio in Review

As of Q3 2015, AQR Arbitrage held 533 positions worth $8.26B, up 4.8% from $7.88B the previous quarter. Its ten largest holdings account for 24% of the portfolio.

AQR Arbitrage withdrew a net $2.17B in Q3 2015, closing 74 positions and reducing 92 holdings. Its most notable exit was DRESSER-RAND GROUP INC, an estimated $202M position sold in full.

By sector, the portfolio is most concentrated in Financials at 6.6% of assets, up from 2.6% a quarter earlier, followed by Industrials and Energy.

Against the trend, AQR Arbitrage opened a new position in Allergan plc worth $178M.

  • AQR Arbitrage's largest Q3 2015 buy was Allergan plc: 188,350 shares worth $178M.
  • AQR Arbitrage added most to Fiat Chrysler Automobiles N.V. in Q3 2015, an estimated $115M increase.
  • AQR Arbitrage's biggest Q3 2015 reduction was Baxter International, cutting an estimated $70.3M.
  • AQR Arbitrage fully exited DRESSER-RAND GROUP INC in Q3 2015, selling an estimated $202M.
  • AQR Arbitrage's ten largest holdings make up 24% of its $8.26B portfolio in Q3 2015.
  • AQR Arbitrage opened 113 new positions and closed 74 in Q3 2015.
  • AQR Arbitrage's portfolio value rose 4.8% quarter-over-quarter to $8.26B.

Based on AQR Arbitrage's 13F filing for Q3 2015, filed 16 Nov 2015.