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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
GM icon
251
General Motors
GM
$74.7B
$493K 0.01%
16,411
– –
VLT icon
252
Invesco High Income Trust II
VLT
$66.2M
$484K 0.01%
37,588
+6,491
+21% +$89.2K
CQP icon
253
Cheniere Energy
CQP
$31.8B
$476K 0.01%
18,085
+625
+4% +$18.3K
EFT
254
Eaton Vance Floating-Rate Income Trust
EFT
$283M
$471K 0.01%
35,563
-8,288
-19% -$114K
TCP
255
DELISTED
TC Pipelines LP
TCP
$470K 0.01%
9,875
+3,500
+55% +$190K
JDD
256
DELISTED
Nuveen Diversified Dividend and Income Fund
JDD
$457K 0.01%
44,118
+2,594
+6% +$28.8K
APU
257
DELISTED
AmeriGas Partners, L.P.
APU
$455K 0.01%
10,964
+2,011
+22% +$89.8K
AIF
258
DELISTED
Apollo Tactical Income Fund Inc.
AIF
$451K 0.01%
31,232
+20,313
+186% +$310K
TLP
259
DELISTED
Transmontaigne
TLP
$451K 0.01%
16,573
+585
+4% +$18.8K
VLP
260
DELISTED
Valero Energy Partners LP
VLP
$451K 0.01%
10,221
+997
+11% +$47.2K
SCD
261
LMP Capital and Income Fund
SCD
$353M
$443K 0.01%
36,435
+19,609
+117% +$273K
TEP
262
DELISTED
Tallgrass Energy Partners, LP
TEP
$442K 0.01%
11,260
+1,012
+10% +$45.5K
NRO
263
Neuberger Real Estate Securities Income Fund Inc
NRO
$194M
$440K 0.01%
100,013
-16,578
-14% -$75K
ZTR
264
Virtus Total Return Fund
ZTR
$340M
$440K 0.01%
38,486
+10,500
+38% +$129K
BWP
265
DELISTED
Boardwalk Pipeline Partners
BWP
$438K 0.01%
37,202
+13,319
+56% +$182K
NS
266
DELISTED
NuStar Energy L.P.
NS
$429K 0.01%
9,566
+840
+10% +$44.4K
SEP
267
DELISTED
Spectra Engy Parters Lp
SEP
$419K 0.01%
10,414
+1,917
+23% +$89.7K
SWZ
268
Swiss Helvetia Fund
SWZ
$76.3M
$418K 0.01%
38,522
+4,129
+12% +$47K
IVH
269
DELISTED
Delaware Ivy High Income Opportunities Fund
IVH
$416K 0.01%
+32,071
New +$452K
ANDX
270
DELISTED
Andeavor Logistics LP
ANDX
$416K 0.01%
+9,250
New +$479K
OKS
271
DELISTED
Oneok Partners LP
OKS
$413K 0.01%
14,107
+1,472
+12% +$47.6K
GEL icon
272
Genesis Energy
GEL
$1.84B
$411K 0.01%
10,726
+1,066
+11% +$46K
PSXP
273
DELISTED
PHILLIPS 66 PARTNERS LP
PSXP
$406K ﹤0.01%
8,245
+1,508
+22% +$87.6K
WES
274
DELISTED
Western Gas Partners Lp
WES
$402K ﹤0.01%
8,578
+797
+10% +$45K
HIX
275
Western Asset High Income Fund II
HIX
$352M
$400K ﹤0.01%
+61,817
New +$433K
9 10
11
12 13

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GA
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CIS
Capital International Sarl Los Angeles, California $6.11B AUM 32.29% 1-Year Est. Return
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.