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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
+2.76%
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
$7.88B
AUM Growth
+$109M
Cap. Flow
-$2.35B
Cap. Flow %
-29.83%
Top 10 Hldgs %
24.07%
Holding
520
New
75
Increased
78
Reduced
100
Closed
104

Top Buys

Rank Stock Value
1
FSL
FREESCALE SEMICONDUCTOR LTD
FSL
+$116M
2
BRCM
BROADCOM CORP CL-A
BRCM
+$110M
3
CTRX
CATAMARAN CORP COM STK (CDA)
CTRX
+$108M
4
ADVS
Advent Software Inc
ADVS
+$86.6M
5
BAX icon
Baxter International
BAX
+$73.3M

Top Sells

Rank Stock Value
1
LO
LORILLARD INC COM STK
LO
+$172M
2
TRW
TRW AUTOMOTIVE HOLDINGS CORP
TRW
+$165M
3
TWC
TIME WARNER CABLE INC NEW COM STK
TWC
+$117M
4
SLXP
SALIX PHARMACEUTICALS LTD DEL
SLXP
+$111M
5
TEG
INTEGRYS ENERGY GROUP INC COM (USA)
TEG
+$103M

Sector Composition

Rank Sector Weight
1 Technology 4.25%
2 Utilities 3.65%
3 Healthcare 3.53%
4 Energy 3.29%
5 Consumer Discretionary 2.99%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
UE icon
351
Urban Edge Properties
UE
$2.94B
– –
-12,050
Closed -$286K
VGM icon
352
Invesco Trust Investment Grade Municipals
VGM
$549M
– –
-52,522
Closed -$706K
VMO icon
353
Invesco Municipal Opportunity Trust
VMO
$647M
– –
-76,549
Closed -$992K
OMCC
354
DELISTED
Old Market Capital Corp
OMCC
– –
-24,095
Closed -$338K
AFT
355
DELISTED
Apollo Senior Floating Rate Fund Inc.
AFT
– –
-24,681
Closed -$440K
NKG
356
DELISTED
Nuveen Georgia Quality Municipal Income Fund
NKG
– –
-22,567
Closed -$291K
ZEN
357
DELISTED
ZENDESK INC
ZEN
– –
-118,000
Closed -$2.68M
MFL
358
DELISTED
BLACKROCK MUNIHOLDINGS INVESTMENT QUALITY FUND
MFL
– –
-16,191
Closed -$233K
CHSP
359
DELISTED
Chesapeake Lodging Trust
CHSP
– –
-90,000
Closed -$3.04M
SHLD
360
DELISTED
Sears Holding Corporation
SHLD
– –
-265,364
Closed -$11M
NSM
361
DELISTED
Nationstar Mortgage Holdings
NSM
– –
-35,000
Closed -$867K
TWX
362
DELISTED
Time Warner Inc
TWX
– –
-114,182
Closed -$9.64M
LQ
363
DELISTED
La Quinta Holdings Inc.
LQ
– –
-135,000
Closed -$3.2M
CALD
364
DELISTED
Callidus Software, Inc.
CALD
– –
-16,962
Closed -$215K
SCMP
365
DELISTED
Sucampo Pharmaceuticals, Inc.
SCMP
– –
-126,000
Closed -$1.96M
SCAI
366
DELISTED
Surgical Care Affiliates, Inc.
SCAI
– –
-35,000
Closed -$1.2M
NZH
367
DELISTED
Nuveen Calif Div
NZH
– –
-12,768
Closed -$175K
NVX
368
DELISTED
Nuveen Calif Div Muni
NVX
– –
-15,292
Closed -$221K
SSE
369
DELISTED
SEVENTY SEVEN ENERGY INC COM
SSE
– –
-82,312
Closed -$342K
FDI
370
DELISTED
FORT DEARBORN INCOME SECS
FDI
– –
-11,290
Closed -$162K
JTP
371
DELISTED
NUVEEN QUALITY PFD INCOME FD
JTP
– –
-61,844
Closed -$528K
NIO
372
DELISTED
NUVEEN MUNICIPAL OPPORTUNITY FUND INC
NIO
– –
-31,859
Closed -$468K
NPT
373
DELISTED
NUVEEN PREM INSD MUNI FD-4 INC
NPT
– –
-18,771
Closed -$251K
ZSPH
374
DELISTED
ZS PHARMA INC COMS TK (DE)
ZSPH
– –
-75,000
Closed -$3.16M
TEG
375
DELISTED
INTEGRYS ENERGY GROUP INC COM (USA)
TEG
– –
-1,435,010
Closed -$103M
13 14
15
16 17

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GA
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CIS
Capital International Sarl Los Angeles, California $6.11B AUM 32.29% 1-Year Est. Return
EMPI
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HCM
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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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AQR Arbitrage's Q2 2015 Portfolio in Review

As of Q2 2015, AQR Arbitrage held 520 positions worth $7.88B, up 1.4% from $7.77B the previous quarter. Its ten largest holdings account for 24% of the portfolio.

AQR Arbitrage withdrew a net $2.35B in Q2 2015, closing 104 positions and reducing 100 holdings. Its most notable exit was LORILLARD INC COM STK, an estimated $172M position sold in full.

By sector, the portfolio is most concentrated in Technology at 4.3% of assets, up from 3.7% a quarter earlier, followed by Utilities and Healthcare.

Against the trend, AQR Arbitrage opened a new position in BROADCOM CORP CL-A worth $117M.

  • AQR Arbitrage's largest Q2 2015 buy was BROADCOM CORP CL-A: 2,268,599 shares worth $117M.
  • AQR Arbitrage added most to FREESCALE SEMICONDUCTOR LTD in Q2 2015, an estimated $116M increase.
  • AQR Arbitrage's biggest Q2 2015 reduction was TIME WARNER CABLE INC NEW COM STK, cutting an estimated $117M.
  • AQR Arbitrage fully exited LORILLARD INC COM STK in Q2 2015, selling an estimated $172M.
  • AQR Arbitrage's ten largest holdings make up 24% of its $7.88B portfolio in Q2 2015.
  • AQR Arbitrage opened 75 new positions and closed 104 in Q2 2015.
  • AQR Arbitrage's portfolio value rose 1.4% quarter-over-quarter to $7.88B.

Based on AQR Arbitrage's 13F filing for Q2 2015, filed 14 Aug 2015.