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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
WRLSW
251
DELISTED
Pensare Acquisition Corp. Warrant
WRLSW
$320K ﹤0.01%
500,000
– –
IQI icon
252
Invesco Quality Municipal Securities
IQI
$526M
$317K ﹤0.01%
26,609
– –
EVN
253
Eaton Vance Municipal Income Trust
EVN
$427M
$315K ﹤0.01%
26,601
– –
CPLG
254
DELISTED
CorePoint Lodging Inc. Common Stock
CPLG
$314K ﹤0.01%
+12,125
New +$319K
NTC
255
DELISTED
Nuveen Connecticut Quality Municipal Income Fund
NTC
$313K ﹤0.01%
26,387
– –
INDUW
256
DELISTED
Industrea Acquisition Corp. Warrant
INDUW
$300K ﹤0.01%
500,000
– –
KAACW
257
DELISTED
Kayne Anderson Acquisition Corp.
KAACW
$300K ﹤0.01%
250,000
– –
CNACR
258
DELISTED
Constellation Alpha Capital Corp. Right
CNACR
$294K ﹤0.01%
700,000
– –
AFB
259
AllianceBernstein National Municipal Income Fund
AFB
$312M
$293K ﹤0.01%
23,217
– –
VOYA icon
260
Voya Financial
VOYA
$8.94B
$288K ﹤0.01%
+6,119
New +$317K
NQP
261
DELISTED
Nuveen Pennsylvania Quality Municipal Income Fund
NQP
$286K ﹤0.01%
22,620
+1,002
+5% +$12.5K
DNI
262
DELISTED
Dividend and Income Fund
DNI
$271K ﹤0.01%
22,006
+897
+4% +$11.2K
BBN icon
263
BlackRock Taxable Municipal Bond Trust
BBN
$969M
$270K ﹤0.01%
12,223
+3,210
+36% +$70.4K
MUJ icon
264
BlackRock MuniHoldings New Jersey Quality Fund
MUJ
$640M
$269K ﹤0.01%
20,404
+877
+4% +$11.6K
MCA
265
DELISTED
BLACKROCK MUNIYIELD CALIFORNIA QUALITY FUND, INC
MCA
$269K ﹤0.01%
20,134
+678
+3% +$9.04K
MYI icon
266
BlackRock MuniYield Quality Fund III
MYI
$709M
$268K ﹤0.01%
21,284
+4,847
+29% +$60.7K
MHN
267
DELISTED
BlackRock MuniHoldings New Yrok Quality Fund
MHN
$267K ﹤0.01%
21,488
+1,474
+7% +$18.4K
GHY
268
PGIM Global High Yield Fund
GHY
$480M
$266K ﹤0.01%
+19,469
New +$269K
KTF
269
DWS Municipal Income Trust
KTF
$346M
$266K ﹤0.01%
24,105
+5,380
+29% +$59.6K
MUC icon
270
BlackRock MuniHoldings California Quality Fund
MUC
$1B
$266K ﹤0.01%
20,152
+2,754
+16% +$36.3K
NID
271
DELISTED
NUVEEN INTERMEDIATE DURATION MUNICIPAL TERM FUND
NID
$266K ﹤0.01%
21,403
+6,121
+40% +$76.1K
EVV
272
Eaton Vance Limited Duration Income Fund
EVV
$1.06B
$262K ﹤0.01%
+20,865
New +$268K
ISD
273
PGIM High Yield Bond Fund
ISD
$414M
$257K ﹤0.01%
+18,376
New +$259K
BYM
274
DELISTED
BlackRock Municipal Income Quality Trust
BYM
$256K ﹤0.01%
19,700
+3,011
+18% +$39.4K
NAN icon
275
Nuveen New York Quality Municipal Income Fund
NAN
$371M
$256K ﹤0.01%
20,347
+6,279
+45% +$78.9K
9 10
11
12 13

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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 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.