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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
+4.7%
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
$8.13B
AUM Growth
-$502M
Cap. Flow
-$3.25B
Cap. Flow %
-39.92%
Top 10 Hldgs %
28.62%
Holding
493
New
107
Increased
73
Reduced
39
Closed
49

Top Buys

Rank Stock Value
1
ANDV
Andeavor
ANDV
+$161M
2
VVC
Vectren Corporation
VVC
+$81.9M
3
ESRX
Express Scripts Holding Company
ESRX
+$79.2M
4
PAY
Verifone Systems Inc
PAY
+$75.4M
5
ILG
ILG, Inc Common Stock
ILG
+$72.2M

Top Sells

Rank Stock Value
1
TWX
Time Warner Inc
TWX
+$211M
2
MON
Monsanto Co
MON
+$195M
3
OA
Orbital ATK, Inc.
OA
+$179M
4
CSRA
CSRA Inc.
CSRA
+$145M
5
WR
Westar Energy Inc
WR
+$132M

Sector Composition

Rank Sector Weight
1 Technology 12.96%
2 Energy 6.43%
3 Financials 5.68%
4 Healthcare 5.5%
5 Utilities 4.31%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
TCP
226
DELISTED
TC Pipelines LP
TCP
$407K 0.01%
15,700
+4,025
+34% +$113K
DSKEW
227
DELISTED
Daseke, Inc. Warrant
DSKEW
$404K 0.01%
378,003
– –
IIM icon
228
Invesco Value Municipal Income Trust
IIM
$583M
$401K ﹤0.01%
28,379
-1,963
-6% -$27.9K
NAD icon
229
Nuveen Quality Municipal Income Fund
NAD
$2.71B
$401K ﹤0.01%
30,150
– –
VMO icon
230
Invesco Municipal Opportunity Trust
VMO
$647M
$400K ﹤0.01%
34,071
– –
LTN.RT
231
DELISTED
Union Acquisition Corp.
LTN.RT
$400K ﹤0.01%
1,250,000
– –
ATLC icon
232
Atlanticus Holdings
ATLC
$1.5B
$396K ﹤0.01%
191,430
– –
NS
233
DELISTED
NuStar Energy L.P.
NS
$395K ﹤0.01%
17,439
– –
AMRS
234
DELISTED
Amyris Inc.
AMRS
$392K ﹤0.01%
61,375
-3,370
-5% -$20.2K
NAC icon
235
Nuveen California Quality Municipal Income Fund
NAC
$1.83B
$389K ﹤0.01%
29,080
– –
MUI
236
DELISTED
BlackRock Municipal Income Fund, Inc.
MUI
$388K ﹤0.01%
29,380
– –
MACQW
237
DELISTED
M I Acquisitions, Inc. Warrant
MACQW
$378K ﹤0.01%
250,000
– –
EAGLW
238
DELISTED
Platinum Eagle Acquisition Corp. Warrant
EAGLW
$373K ﹤0.01%
266,666
– –
BPMP
239
DELISTED
BP Midstream Partners LP Common Units representing Limited Partner Interests
BPMP
$367K ﹤0.01%
17,500
– –
KBLMR
240
DELISTED
KBL Merger Corp. IV Rights expiring 11/9/2020
KBLMR
$359K ﹤0.01%
1,000,000
– –
BFZ
241
DELISTED
BlackRock CA Municipal Income Trust
BFZ
$348K ﹤0.01%
26,742
– –
BTT icon
242
BlackRock Municipal 2030 Target Term Trust
BTT
$1.43B
$343K ﹤0.01%
15,930
– –
MYN icon
243
BlackRock MuniYield New York Quality Fund
MYN
$374M
$342K ﹤0.01%
28,547
– –
GPAQW
244
DELISTED
Gordon Pointe Acquisition Corp. Warrant
GPAQW
$338K ﹤0.01%
+614,900
New +$320K
AKP
245
DELISTED
Alliance Californa Muni Fd
AKP
$338K ﹤0.01%
25,727
– –
NPV icon
246
Nuveen Virginia Quality Municipal Income Fund
NPV
$214M
$331K ﹤0.01%
26,595
– –
VPV icon
247
Invesco Pennsylvania Value Municipal Income Trust
VPV
$194M
$327K ﹤0.01%
27,335
– –
NEA icon
248
Nuveen AMT-Free Quality Municipal Income Fund
NEA
$3.36B
$326K ﹤0.01%
25,085
– –
NXJ
249
DELISTED
Nuveen New Jersey Quality Municipal Income Fund
NXJ
$326K ﹤0.01%
25,011
– –
NRK icon
250
Nuveen New York AMT-Free Quality Municipal Income Fund
NRK
$900M
$321K ﹤0.01%
26,229
– –
8 9
10
11 12

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HCM
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DTC
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AWA
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AQR Arbitrage's Q2 2018 Portfolio in Review

As of Q2 2018, AQR Arbitrage held 493 positions worth $8.13B, down 5.8% from $8.63B the previous quarter. Its ten largest holdings account for 29% of the portfolio.

AQR Arbitrage withdrew a net $3.25B in Q2 2018, closing 49 positions and reducing 39 holdings. Its most notable exit was Time Warner Inc, an estimated $211M position sold in full.

By sector, the portfolio is most concentrated in Technology at 13% of assets, down from 14% a quarter earlier, followed by Energy and Financials.

Against the trend, AQR Arbitrage opened a new position in Andeavor worth $160M.

  • AQR Arbitrage's largest Q2 2018 buy was Andeavor: 1,222,201 shares worth $160M.
  • AQR Arbitrage added most to Express Scripts Holding Company in Q2 2018, an estimated $79.2M increase.
  • AQR Arbitrage's biggest Q2 2018 reduction was Wgl Holdings, cutting an estimated $20.1M.
  • AQR Arbitrage fully exited Time Warner Inc in Q2 2018, selling an estimated $211M.
  • AQR Arbitrage's ten largest holdings make up 29% of its $8.13B portfolio in Q2 2018.
  • AQR Arbitrage opened 107 new positions and closed 49 in Q2 2018.
  • AQR Arbitrage's portfolio value fell 5.8% quarter-over-quarter to $8.13B.

Based on AQR Arbitrage's 13F filing for Q2 2018, filed 14 Aug 2018.