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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
+34.13%
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
$2.25B
AUM Growth
-$741M
Cap. Flow
-$1.55B
Cap. Flow %
-68.73%
Top 10 Hldgs %
22.14%
Holding
639
New
87
Increased
105
Reduced
87
Closed
122

Top Buys

Rank Stock Value
1
PTLA
Portola Pharmaceuticals, Inc.
PTLA
+$20.8M
2
GRUB
Just Eat Takeaway.com N.V. American Depositary Shares
GRUB
+$17.6M
3
WUBA
58.com Inc
WUBA
+$16.4M
4
IBKC
IBERIABANK Corp
IBKC
+$14.6M
5
EOSE icon
Eos Energy Enterprises
EOSE
+$12.6M

Top Sells

Rank Stock Value
1
TSG
The Stars Group Inc.
TSG
+$78.6M
2
AGN
Allergan plc
AGN
+$64.8M
3
MLNX
Mellanox Technologies, Ltd.
MLNX
+$60.3M
4
RARX
Ra Pharmaceuticals, Inc. Common Stock
RARX
+$57.2M
5
WBC
WABCO HOLDINGS INC.
WBC
+$53.5M

Sector Composition

Rank Sector Weight
1 Financials 10.6%
2 Industrials 5.81%
3 Healthcare 5.73%
4 Technology 5.68%
5 Consumer Discretionary 5.61%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
CCH.WS
276
DELISTED
Collier Creek Holdings Warrants, each whole warrant exercisable for one Class A ordinary share at an
CCH.WS
$379K 0.02%
116,666
– –
SBI
277
Western Asset Intermediate Muni Fund
SBI
$109M
$371K 0.02%
43,312
+5,298
+14% +$44.5K
GAM
278
General American Investors Company
GAM
$1.54B
$367K 0.02%
+11,548
New +$350K
ETG
279
Eaton Vance Tax-Advantaged Global Dividend Income Fund
ETG
$1.74B
$360K 0.02%
25,199
+9,027
+56% +$121K
LATNW
280
DELISTED
Union Acquisition Corp. II Warrant
LATNW
$350K 0.02%
1,000,000
– –
FDEU
281
DELISTED
First Trust Dynamic Europe Equity Income Fund
FDEU
$348K 0.02%
+33,685
New +$333K
SOR
282
Source Capital
SOR
$369M
$341K 0.02%
10,306
+2,753
+36% +$88.8K
AVPTW
283
DELISTED
AvePoint Inc Warrant
AVPTW
$340K 0.02%
200,000
– –
VPV icon
284
Invesco Pennsylvania Value Municipal Income Trust
VPV
$194M
$338K 0.02%
28,460
+11,167
+65% +$130K
VLDR
285
DELISTED
Velodyne Lidar, Inc. Common Stock
VLDR
$338K 0.02%
24,328
-125,672
-84% -$1.36M
CCX.WS
286
DELISTED
Churchill Capital Corp II Warrants, each exercisable for one share of Class A common stock at an exe
CCX.WS
$337K 0.02%
116,666
– –
SRTAW
287
DELISTED
Strata Critical Medical Inc Warrants
SRTAW
$333K 0.01%
333,332
– –
CII icon
288
BlackRock Enhanced Captial and Income Fund
CII
$1B
$333K 0.01%
23,046
+9,800
+74% +$138K
EOT
289
Eaton Vance National Municipal Opportunities Trust
EOT
$267M
$328K 0.01%
+16,701
New +$314K
NFH.WS
290
DELISTED
New Frontier Health Corporation Warrants, each whole warrant exercisable for one Ordinary Share at a
NFH.WS
$328K 0.01%
240,847
– –
GMHIW
291
DELISTED
Gores Metropoulos, Inc. Warrant
GMHIW
$328K 0.01%
166,666
– –
SCPE.WS
292
DELISTED
SC Health Corporation Warrants, each whole warrant exercisable for one Class A ordinary share at an
SCPE.WS
$324K 0.01%
300,000
– –
NAZ icon
293
Nuveen Arizona Quality Municipal Income Fund
NAZ
$158M
$321K 0.01%
23,621
+3,302
+16% +$42.2K
AZEK
294
DELISTED
The AZEK Co
AZEK
$319K 0.01%
+10,000
New +$304K
FCT
295
First Trust Senior Floating Rate Income Fund II
FCT
$251M
$319K 0.01%
29,260
+9,996
+52% +$106K
DSU icon
296
BlackRock Debt Strategies Fund
DSU
$591M
$315K 0.01%
33,762
-201
-0.6% -$1.86K
INSG icon
297
Inseego
INSG
$108M
$306K 0.01%
+2,636
New +$279K
NUW icon
298
Nuveen AMT-Free Municipal Value Fund
NUW
$251M
$304K 0.01%
19,396
+4,474
+30% +$67.3K
DIAX
299
DELISTED
Nuveen Dow 30SM Dynamic Overwrite Fund
DIAX
$302K 0.01%
22,199
+9,829
+79% +$131K
IGA
300
Voya Global Advantage and Premium Opportunity Fund
IGA
$154M
$295K 0.01%
36,050
+24,452
+211% +$197K
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 2020 Portfolio in Review

As of Q2 2020, AQR Arbitrage held 639 positions worth $2.25B, down 25% from $2.99B the previous quarter. Its ten largest holdings account for 22% of the portfolio.

AQR Arbitrage withdrew a net $1.55B in Q2 2020, closing 122 positions and reducing 87 holdings. Its most notable exit was The Stars Group Inc., an estimated $78.6M position sold in full.

By sector, the portfolio is most concentrated in Financials at 11% of assets, up from 9.6% a quarter earlier, followed by Industrials and Healthcare.

Against the trend, AQR Arbitrage opened a new position in Portola Pharmaceuticals, Inc. worth $26.8M.

  • AQR Arbitrage's largest Q2 2020 buy was Portola Pharmaceuticals, Inc.: 1,492,287 shares worth $26.8M.
  • AQR Arbitrage added most to IBERIABANK Corp in Q2 2020, an estimated $14.6M increase.
  • AQR Arbitrage's biggest Q2 2020 reduction was Caesars Entertainment Corporation, cutting an estimated $29.3M.
  • AQR Arbitrage fully exited The Stars Group Inc. in Q2 2020, selling an estimated $78.6M.
  • AQR Arbitrage's ten largest holdings make up 22% of its $2.25B portfolio in Q2 2020.
  • AQR Arbitrage opened 87 new positions and closed 122 in Q2 2020.
  • AQR Arbitrage's portfolio value fell 25% quarter-over-quarter to $2.25B.

Based on AQR Arbitrage's 13F filing for Q2 2020, filed 17 Aug 2020.