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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
-2.84%
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
$2.99B
AUM Growth
-$2.93B
Cap. Flow
-$3.15B
Cap. Flow %
-105.49%
Top 10 Hldgs %
20.02%
Holding
648
New
182
Increased
47
Reduced
118
Closed
85

Top Buys

Rank Stock Value
1
ETFC
E*Trade Financial Corporation
ETFC
+$56.1M
2
FG
FGL Holdings Ordinary Shares
FG
+$41M
3
WTW icon
Willis Towers Watson
WTW
+$40.9M
4
LM
Legg Mason, Inc.
LM
+$39.5M
5
QGEN icon
Qiagen
QGEN
+$37.5M

Top Sells

Rank Stock Value
1
WCG
Wellcare Health Plans, Inc.
WCG
+$135M
2
MDCO
Medicines Co
MDCO
+$130M
3
ZAYO
Zayo Group Holdings, Inc.
ZAYO
+$119M
4
S
Sprint Corporation
S
+$114M
5
WBC
WABCO HOLDINGS INC.
WBC
+$97.4M

Sector Composition

Rank Sector Weight
1 Technology 11.26%
2 Healthcare 11.07%
3 Financials 9.57%
4 Consumer Discretionary 8.23%
5 Industrials 6%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
NAZ icon
301
Nuveen Arizona Quality Municipal Income Fund
NAZ
$155M
$252K 0.01%
20,319
+7,491
+58% +$101K
LATNW
302
DELISTED
Union Acquisition Corp. II Warrant
LATNW
$250K 0.01%
1,000,000
– –
DFPHU
303
DELISTED
DFP Healthcare Acquisitions Corp. Unit
DFPHU
$248K 0.01%
+25,000
New +$246K
DMS
304
DELISTED
Digital Media Solutions, Inc.
DMS
$247K 0.01%
1,599
-441
-22% -$68.5K
ALUS.WS
305
DELISTED
Alussa Energy Acquisition Corp Warrants
ALUS.WS
$244K 0.01%
+325,000
New +$252K
SRTAW
306
DELISTED
Strata Critical Medical Inc Warrants
SRTAW
$243K 0.01%
+333,332
New +$311K
PAA icon
307
Plains All American Pipeline
PAA
$17.2B
$236K 0.01%
44,625
+8,625
+24% +$118K
GIX.WS
308
DELISTED
GigCapital2, Inc. Warrants exercisable for one share of Common Stock at an exercise price of $11.50
GIX.WS
$236K 0.01%
765,000
– –
ERC
309
Allspring Multi-Sector Income Fund
ERC
$253M
$235K 0.01%
+24,413
New +$290K
NUW icon
310
Nuveen AMT-Free Municipal Value Fund
NUW
$251M
$234K 0.01%
+14,922
New +$240K
LCAHW
311
DELISTED
Landcadia Holdings II, Inc. Warrant
LCAHW
$233K 0.01%
583,332
– –
PIC.WS
312
DELISTED
Pivotal Investment Corporation II Redeemable Warrants, each whole warrant exercisable for shares of
PIC.WS
$233K 0.01%
333,332
– –
SOR
313
Source Capital
SOR
$372M
$232K 0.01%
7,553
-292
-4% -$10.7K
NUM
314
DELISTED
Nuveen Michigan Quality Municipal Income Fund
NUM
$231K 0.01%
17,247
+1,837
+12% +$25.6K
NS
315
DELISTED
NuStar Energy L.P.
NS
$228K 0.01%
26,485
+9,046
+52% +$197K
NFH.WS
316
DELISTED
New Frontier Health Corporation Warrants, each whole warrant exercisable for one Ordinary Share at a
NFH.WS
$228K 0.01%
240,847
-209,153
-46% -$258K
PTACW
317
DELISTED
PropTech Acquisition Corporation Warrant
PTACW
$228K 0.01%
+325,000
New +$350K
BIT icon
318
BlackRock Multi-Sector Income Trust
BIT
$694M
$223K 0.01%
+18,446
New +$279K
ARDC
319
Are Dynamic Credit Allocation Fund
ARDC
$296M
$222K 0.01%
20,588
+9,765
+90% +$139K
MEN
320
DELISTED
Blackrock Muni Enhanced Fund, Inc.
MEN
$222K 0.01%
+20,835
New +$233K
NIE
321
Virtus Equity & Convertible Income Fund
NIE
$714M
$221K 0.01%
+11,861
New +$259K
ENBL
322
DELISTED
ENABLE MIDSTREAM PARTNERS, LP
ENBL
$220K 0.01%
85,661
+35,661
+71% +$258K
GMHIW
323
DELISTED
Gores Metropoulos, Inc. Warrant
GMHIW
$217K 0.01%
166,666
– –
SPAQ.WS
324
DELISTED
Spartan Energy Acquisition Corp. Warrants, each whole warrant exercisable for one Class A common sto
SPAQ.WS
$217K 0.01%
434,999
– –
MQT
325
DELISTED
BlackRock MuniYield Quality Fund II
MQT
$215K 0.01%
+17,398
New +$225K
11 12
13
14 15

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CIS
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EMPI
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HPG
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DTC
Deep Track Capital Greenwich, Connecticut $6.12B AUM 144% 1-Year Est. Return
AWA
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EAM
Eventide Asset Management Boston, Massachusetts $6.05B AUM 76.64% 1-Year Est. Return
ACM
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AQR Arbitrage's Q1 2020 Portfolio in Review

As of Q1 2020, AQR Arbitrage held 648 positions worth $2.99B, down 50% from $5.92B the previous quarter. Its ten largest holdings account for 20% of the portfolio.

AQR Arbitrage withdrew a net $3.15B in Q1 2020, closing 85 positions and reducing 118 holdings. Its most notable exit was Wellcare Health Plans, Inc., an estimated $135M position sold in full.

By sector, the portfolio is most concentrated in Technology at 11% of assets, up from 9.2% a quarter earlier, followed by Healthcare and Financials.

Against the trend, AQR Arbitrage opened a new position in E*Trade Financial Corporation worth $45.5M.

  • AQR Arbitrage's largest Q1 2020 buy was E*Trade Financial Corporation: 1,327,217 shares worth $45.5M.
  • AQR Arbitrage added most to IBERIABANK Corp in Q1 2020, an estimated $25.8M increase.
  • AQR Arbitrage's biggest Q1 2020 reduction was Sprint Corporation, cutting an estimated $114M.
  • AQR Arbitrage fully exited Wellcare Health Plans, Inc. in Q1 2020, selling an estimated $135M.
  • AQR Arbitrage's ten largest holdings make up 20% of its $2.99B portfolio in Q1 2020.
  • AQR Arbitrage opened 182 new positions and closed 85 in Q1 2020.
  • AQR Arbitrage's portfolio value fell 50% quarter-over-quarter to $2.99B.

Based on AQR Arbitrage's 13F filing for Q1 2020, filed 15 May 2020.