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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
PMM
276
Franklin Managed Municipal Income Trust
PMM
$275M
$256K ﹤0.01%
36,153
+7,796
+27% +$55K
NMY
277
DELISTED
Nuveen Maryland Quality Municipal Income Fund
NMY
$256K ﹤0.01%
21,074
+889
+4% +$10.7K
NUM
278
DELISTED
Nuveen Michigan Quality Municipal Income Fund
NUM
$256K ﹤0.01%
20,184
+548
+3% +$6.92K
EIM
279
Eaton Vance Municipal Bond Fund
EIM
$492M
$255K ﹤0.01%
21,601
+1,881
+10% +$22.2K
NKX icon
280
Nuveen California AMT-Free Quality Municipal Income Fund
NKX
$651M
$255K ﹤0.01%
+18,797
New +$254K
DMB
281
BNY Mellon Municipal Bond Infrastructure Fund
DMB
$197M
$251K ﹤0.01%
20,120
– –
NUO
282
DELISTED
Nuveen Ohio Quality Municipal Income Fund
NUO
$251K ﹤0.01%
18,059
+2,010
+13% +$27.6K
STWD icon
283
Starwood Property Trust
STWD
$6.12B
$247K ﹤0.01%
+11,367
New +$245K
GSHTW
284
DELISTED
Gores Holdings II, Inc. Warrants
GSHTW
$247K ﹤0.01%
133,333
– –
BKN
285
DELISTED
BlackRock Investment Quality Municipal Trust
BKN
$243K ﹤0.01%
17,259
– –
PMO
286
Franklin Municipal Opportunities Trust
PMO
$287M
$242K ﹤0.01%
20,745
+7,306
+54% +$85K
CMSSR
287
DELISTED
CM Seven Star Acquisition Corporation Right
CMSSR
$240K ﹤0.01%
750,000
– –
MYD
288
DELISTED
BlackRock MuniYield Fund
MYD
$239K ﹤0.01%
+17,911
New +$237K
KBLMW
289
DELISTED
KBL Merger Corp. IV Warrant
KBLMW
$238K ﹤0.01%
1,000,000
– –
BJ icon
290
BJs Wholesale Club
BJ
$11.9B
$237K ﹤0.01%
+10,000
New +$228K
NNC
291
DELISTED
Nuveen North Carolina Quality Municipal Income Fund
NNC
$236K ﹤0.01%
19,152
+737
+4% +$9.02K
VCV icon
292
Invesco California Value Municipal Income Trust
VCV
$515M
$235K ﹤0.01%
19,956
+7,839
+65% +$92K
MHI
293
DELISTED
Pioneer Municipal High Income Fund
MHI
$232K ﹤0.01%
20,346
– –
DTF
294
DTF Tax-Free Income 2028 Term Fund
DTF
$80.7M
$229K ﹤0.01%
17,149
– –
VKI icon
295
Invesco Advantage Municipal Income Trust II
VKI
$394M
$228K ﹤0.01%
21,358
+4,917
+30% +$52.1K
VKQ icon
296
Invesco Municipal Trust
VKQ
$536M
$226K ﹤0.01%
19,159
+1,484
+8% +$17.4K
LEO
297
BNY Mellon Strategic Municipals
LEO
$387M
$222K ﹤0.01%
28,887
+16,694
+137% +$128K
MYC
298
DELISTED
Blackrock Muni Yield California Fund, Inc.
MYC
$214K ﹤0.01%
+16,071
New +$214K
SBI
299
Western Asset Intermediate Muni Fund
SBI
$109M
$209K ﹤0.01%
24,079
+3,564
+17% +$30.9K
MQT
300
DELISTED
BlackRock MuniYield Quality Fund II
MQT
$208K ﹤0.01%
17,142
+1,787
+12% +$21.5K
10 11
12
13 14

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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.