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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
EIV
326
DELISTED
Eaton Vance Municipal Bond Fund II
EIV
$148K ﹤0.01%
12,498
-293
-2% -$3.45K
AWF
327
AllianceBernstein Global High Income Fund
AWF
$867M
$142K ﹤0.01%
+12,292
New +$144K
NKG
328
DELISTED
Nuveen Georgia Quality Municipal Income Fund
NKG
$134K ﹤0.01%
+11,844
New +$135K
NIQ
329
DELISTED
NUVEEN INTERMEDIATE DURATION QUALITY MUNICIPAL TERM FUND
NIQ
$133K ﹤0.01%
+10,586
New +$132K
NCA icon
330
Nuveen California Municipal Value Fund
NCA
$299M
$132K ﹤0.01%
+13,963
New +$131K
KSM
331
DELISTED
DWS Strategic Municipal Income Trust
KSM
$132K ﹤0.01%
+12,150
New +$132K
CYHHZ
332
DELISTED
Community Health Systems, Inc. Series A Contingent Value Rights
CYHHZ
$102K ﹤0.01%
9,282,097
– –
IAMXW
333
DELISTED
I-AM Capital Acquisition Company Warrant
IAMXW
$95K ﹤0.01%
225,000
– –
BHACR
334
DELISTED
Barington/Hilco Acquisition Corp. Rights
BHACR
$93K ﹤0.01%
487,260
– –
SABA
335
Saba Capital Income & Opportunities Fund II
SABA
$220M
$92K ﹤0.01%
+7,483
New +$94.5K
BRPAR
336
DELISTED
Big Rock Partners Acquisition Corp. Right
BRPAR
$90K ﹤0.01%
200,000
– –
BRACW
337
DELISTED
Black Ridge Acquisition Corp. Warrant
BRACW
$90K ﹤0.01%
210,000
– –
DMF
338
DELISTED
BNY Mellon Municipal Income
DMF
$89K ﹤0.01%
+10,923
New +$88.1K
BFIIW
339
DELISTED
BurgerFi International, Inc. Warrant
BFIIW
$89K ﹤0.01%
250,000
– –
DOTAR
340
DELISTED
Draper Oakwood Technology Acquisition, Inc. Rights
DOTAR
$88K ﹤0.01%
150,000
– –
IAMXR
341
DELISTED
I-AM Capital Acquisition Company Right
IAMXR
$86K ﹤0.01%
225,000
– –
MTECW
342
DELISTED
MTech Acquisition Corp. Warrant
MTECW
$81K ﹤0.01%
+125,000
New +$86.1K
MHF
343
Western Asset Municipal High Income Fund
MHF
$151M
$78K ﹤0.01%
10,786
-1,789
-14% -$12.9K
BHACW
344
DELISTED
Barington/Hilco Acquisition Corp. Warrants
BHACW
$78K ﹤0.01%
487,260
– –
BRACR
345
DELISTED
Black Ridge Acquisition Corp. Right
BRACR
$74K ﹤0.01%
210,000
– –
BRQS
346
DELISTED
Borqs Technologies, Inc. Ordinary Shares
BRQS
$55K ﹤0.01%
55
-10
-15% -$14.1K
DOTAW
347
DELISTED
Draper Oakwood Technology Acquisition, Inc. Warrant
DOTAW
$55K ﹤0.01%
75,000
– –
SCACW
348
DELISTED
Saban Capital Acquisition Corp. Warrants
SCACW
$53K ﹤0.01%
42,000
– –
BCACR
349
DELISTED
Bison Capital Acquistion Corp Rights
BCACR
$50K ﹤0.01%
150,000
– –
NRXPW
350
DELISTED
NRX Pharmaceuticals Warrant
NRXPW
$38K ﹤0.01%
100,000
– –
12 13
14
15 16

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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.