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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
MIY icon
301
BlackRock MuniYield Michigan Quality Fund
MIY
$354M
$206K ﹤0.01%
15,742
+4,819
+44% +$63.2K
BFK
302
DELISTED
BlackRock Municipal Income Trust
BFK
$205K ﹤0.01%
+15,880
New +$204K
MFL
303
DELISTED
BLACKROCK MUNIHOLDINGS INVESTMENT QUALITY FUND
MFL
$203K ﹤0.01%
+15,672
New +$201K
MNP
304
DELISTED
Western Asset Municipal Partners Fund, Inc.
MNP
$203K ﹤0.01%
14,354
+1,914
+15% +$27.1K
BBK
305
DELISTED
Blackrock Municipal Bond Trust
BBK
$202K ﹤0.01%
14,076
+1,665
+13% +$23.7K
EVM
306
DELISTED
Eaton Vance California Municipal Bond Fund
EVM
$192K ﹤0.01%
+18,618
New +$192K
FMN
307
Federated Hermes Premier Municipal Income Fund
FMN
$86.9M
$192K ﹤0.01%
14,515
+1,683
+13% +$22.5K
MFM
308
Aberdeen Municipal Income Fund
MFM
$222M
$191K ﹤0.01%
29,026
+2,372
+9% +$15.6K
NHS
309
Neuberger High Yield Strategies Fund Inc
NHS
$252M
$191K ﹤0.01%
+17,628
New +$194K
NZF icon
310
Nuveen Municipal Credit Income Fund
NZF
$2.4B
$187K ﹤0.01%
13,022
– –
MUE
311
DELISTED
BlackRock MuniHoldings Quality Fund II
MUE
$186K ﹤0.01%
+15,238
New +$186K
VGM icon
312
Invesco Trust Investment Grade Municipals
VGM
$549M
$185K ﹤0.01%
14,922
+359
+2% +$4.42K
MQY icon
313
BlackRock MuniYield Quality Fund
MQY
$807M
$183K ﹤0.01%
+13,114
New +$182K
MVF
314
DELISTED
BlackRock MuniVest Fund
MVF
$181K ﹤0.01%
+20,681
New +$180K
NEV
315
DELISTED
NUVEEN ENHANCED MUNICIPAL VALUE FUND
NEV
$180K ﹤0.01%
+13,163
New +$177K
DSM
316
BNY Mellon Strategic Municipal Bond Fund
DSM
$292M
$179K ﹤0.01%
+23,617
New +$178K
MPA icon
317
BlackRock MuniYield Pennsylvania Quality Fund
MPA
$142M
$179K ﹤0.01%
13,316
+1,672
+14% +$22.8K
NVG icon
318
Nuveen AMT-Free Municipal Credit Income Fund
NVG
$2.65B
$178K ﹤0.01%
12,174
-937
-7% -$13.8K
ENX
319
DELISTED
Eaton Vance New York Municipal Bond Fund
ENX
$177K ﹤0.01%
15,611
+1,613
+12% +$18.1K
GPRO icon
320
GoPro
GPRO
$116M
$176K ﹤0.01%
27,391
-25,851
-49% -$144K
MMU
321
Western Asset Managed Municipals Fund
MMU
$549M
$173K ﹤0.01%
+13,644
New +$174K
BTZ icon
322
BlackRock Credit Allocation Income Trust
BTZ
$927M
$171K ﹤0.01%
+14,189
New +$176K
MEN
323
DELISTED
Blackrock Muni Enhanced Fund, Inc.
MEN
$167K ﹤0.01%
+15,901
New +$167K
VMM
324
DELISTED
Delaware Investments Minnesota Municipal Income Fund II
VMM
$151K ﹤0.01%
12,175
+1,320
+12% +$16.6K
IPOA.WS
325
DELISTED
Social Capital Hedosophia Holdings Corp. Warrants, each whole warrant exercisable for one Class A Or
IPOA.WS
$150K ﹤0.01%
83,334
– –
11 12
13
14 15

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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.