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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
+20.18%
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
$2.76B
AUM Growth
+$507M
Cap. Flow
-$552M
Cap. Flow %
-20.05%
Top 10 Hldgs %
17.68%
Holding
691
New
172
Increased
78
Reduced
97
Closed
126

Top Buys

Rank Stock Value
1
MXIM
Maxim Integrated Products
MXIM
+$50.8M
2
VAR
Varian Medical Systems, Inc.
VAR
+$40.4M
3
LVGO
Livongo Health, Inc. Common Stock
LVGO
+$37.9M
4
VSLR
VIVINT SOLAR, INC.
VSLR
+$36.4M
5
NBL
Noble Energy, Inc.
NBL
+$35.3M

Top Sells

Rank Stock Value
1
IBKC
IBERIABANK Corp
IBKC
+$48.9M
2
QGEN icon
Qiagen
QGEN
+$47.7M
3
CZR
Caesars Entertainment Corporation
CZR
+$42.7M
4
LM
Legg Mason, Inc.
LM
+$41M
5
EE
El Paso Electric Company
EE
+$39.5M

Sector Composition

Rank Sector Weight
1 Financials 7.18%
2 Industrials 6.69%
3 Healthcare 4.4%
4 Consumer Discretionary 4.11%
5 Communication Services 3.68%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
WPF.WS
251
DELISTED
Foley Trasimene Acquisition Corp. Warrants, each whole warrant exercisable for one share of Class A
WPF.WS
$753K 0.03%
+333,333
New +$706K
FEN
252
DELISTED
First Trust Energy Income and Growth Fund
FEN
$750K 0.03%
82,781
+44,775
+118% +$446K
LATNW
253
DELISTED
Union Acquisition Corp. II Warrant
LATNW
$750K 0.03%
1,000,000
– –
RPAY icon
254
Repay Holdings
RPAY
$338M
$749K 0.03%
+31,871
New +$773K
SAMAW
255
DELISTED
Schultze Special Purpose Acquisition Corp. Warrant
SAMAW
$747K 0.03%
1,440,000
– –
ALTG.WS
256
DELISTED
Alta Equipment Group Warrants
ALTG.WS
$744K 0.03%
425,000
– –
NFJ
257
Virtus Dividend, Interest & Premium Strategy Fund
NFJ
$1.41B
$734K 0.03%
62,184
-6,837
-10% -$82K
PAEWW
258
DELISTED
PAE Incorporated Warrants
PAEWW
$733K 0.03%
333,332
– –
BGX
259
Blackstone Long-Short Credit Income Fund
BGX
$136M
$728K 0.03%
56,606
+19,770
+54% +$247K
CHY
260
Calamos Convertible and High Income Fund
CHY
$1.01B
$726K 0.03%
+62,224
New +$739K
CHI
261
Calamos Convertible Opportunities and Income Fund
CHI
$996M
$711K 0.03%
+64,599
New +$724K
GPM
262
DELISTED
Guggenheim Enhanced Equity Income Fund
GPM
$711K 0.03%
+130,375
New +$720K
MFAC.WS
263
DELISTED
Megalith Financial Acquisition Corp. Warrants, each warrant exercisable for one share of Class A Com
MFAC.WS
$698K 0.03%
1,051,121
-102,679
-9% -$69K
GIX.WS
264
DELISTED
GigCapital2, Inc. Warrants exercisable for one share of Common Stock at an exercise price of $11.50
GIX.WS
$696K 0.03%
765,000
– –
MGU
265
DELISTED
Macquarie Global Infrastructure Total Return Fund, Inc.
MGU
$686K 0.02%
39,077
+22,977
+143% +$416K
THBRW
266
DELISTED
Thunder Bridge Acquisition II, Ltd. Warrants
THBRW
$685K 0.02%
500,000
– –
BGH
267
Barings Global Short Duration High Yield Fund
BGH
$282M
$681K 0.02%
51,106
+9,504
+23% +$125K
KIO
268
KKR Income Opportunities Fund
KIO
$452M
$678K 0.02%
50,127
-159
-0.3% -$2.11K
NFINW
269
DELISTED
Netfin Acquisition Corp. Warrants
NFINW
$675K 0.02%
500,000
– –
HYACW
270
DELISTED
Haymaker Acquisition Corp. II Warrant
HYACW
$673K 0.02%
666,666
– –
OPENW
271
DELISTED
Opendoor Technologies Inc Warrants expiring 12/18/2025
OPENW
$669K 0.02%
+120,525
New +$433K
LGC.WS
272
DELISTED
Legacy Acquisition Corp. Warrants, exercisable for one-half of one share of Class A Common Stock for
LGC.WS
$669K 0.02%
1,250,000
– –
MFM
273
Aberdeen Municipal Income Fund
MFM
$222M
$653K 0.02%
101,504
-12,546
-11% -$81.7K
CHPMW
274
DELISTED
CHP Merger Corp. Warrant
CHPMW
$650K 0.02%
500,000
– –
NZF icon
275
Nuveen Municipal Credit Income Fund
NZF
$2.42B
$648K 0.02%
44,081
-164,334
-79% -$2.47M
9 10
11
12 13

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GA
Greenhaven Associates Purchase, New York $6.07B AUM 11.2% 1-Year Est. Return
CIS
Capital International Sarl Los Angeles, California $6.11B AUM 32.29% 1-Year Est. Return
EMPI
Elo Mutual Pension Insurance Espoo, Finland $6.06B AUM 24.33% 1-Year Est. Return
HCM
Howard Capital Management Roswell, Georgia $6.11B AUM 33.56% 1-Year Est. Return
HPG
Harvest Portfolios Group Oakville, Ontario, Canada $6.06B AUM 16.63% 1-Year Est. Return
DTC
Deep Track Capital Greenwich, Connecticut $6.12B AUM 144% 1-Year Est. Return
AWA
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AQR Arbitrage's Q3 2020 Portfolio in Review

As of Q3 2020, AQR Arbitrage held 691 positions worth $2.76B, up 23% from $2.25B the previous quarter. Its ten largest holdings account for 18% of the portfolio.

AQR Arbitrage withdrew a net $552M in Q3 2020, closing 126 positions and reducing 97 holdings. Its most notable exit was IBERIABANK Corp, an estimated $48.9M position sold in full.

By sector, the portfolio is most concentrated in Financials at 7.2% of assets, down from 11% a quarter earlier, followed by Industrials and Healthcare.

Against the trend, AQR Arbitrage opened a new position in Maxim Integrated Products worth $50.8M.

  • AQR Arbitrage's largest Q3 2020 buy was Maxim Integrated Products: 751,131 shares worth $50.8M.
  • AQR Arbitrage added most to Just Eat Takeaway.com N.V. American Depositary Shares in Q3 2020, an estimated $22M increase.
  • AQR Arbitrage's biggest Q3 2020 reduction was E*Trade Financial Corporation, cutting an estimated $14.3M.
  • AQR Arbitrage fully exited IBERIABANK Corp in Q3 2020, selling an estimated $48.9M.
  • AQR Arbitrage's ten largest holdings make up 18% of its $2.76B portfolio in Q3 2020.
  • AQR Arbitrage opened 172 new positions and closed 126 in Q3 2020.
  • AQR Arbitrage's portfolio value rose 23% quarter-over-quarter to $2.76B.

Based on AQR Arbitrage's 13F filing for Q3 2020, filed 16 Nov 2020.