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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
ENLC
351
DELISTED
ENLINK MIDSTREAM, LLC
ENLC
$176K 0.01%
159,607
+104,607
+190% +$412K
CIICW
352
DELISTED
CIIG Merger Corp. Warrants
CIICW
$175K 0.01%
+250,000
New +$217K
BIOX.WS
353
DELISTED
Bioceres Crop Solutions Corp Warrants, exercisable for ordinary shares
BIOX.WS
$175K 0.01%
1,249,900
– –
DTF
354
DTF Tax-Free Income 2028 Term Fund
DTF
$79.9M
$174K 0.01%
12,452
-1,824
-13% -$26.8K
CII icon
355
BlackRock Enhanced Captial and Income Fund
CII
$968M
$172K 0.01%
+13,246
New +$210K
RTLR
356
DELISTED
Rattler Midstream LP Common Units
RTLR
$167K 0.01%
47,882
+19,723
+70% +$242K
NFINW
357
DELISTED
Netfin Acquisition Corp. Warrants
NFINW
$167K 0.01%
500,000
– –
JRI icon
358
Nuveen Real Asset Income & Growth Fund
JRI
$354M
$163K 0.01%
+16,525
New +$269K
MNTSW icon
359
Momentus Inc Warrant
MNTSW
$123
$163K 0.01%
+250,000
New +$219K
MNP
360
DELISTED
Western Asset Municipal Partners Fund, Inc.
MNP
$163K 0.01%
+11,932
New +$177K
OIA icon
361
Invesco Municipal Income Opportunities Trust
OIA
$292M
$162K 0.01%
+23,600
New +$181K
FPAC.WS
362
DELISTED
Far Point Acquisition Corporation Warrants, exercisable for one share of Class A Common Stock for $1
FPAC.WS
$162K 0.01%
299,999
– –
GEL icon
363
Genesis Energy
GEL
$1.84B
$161K 0.01%
41,175
+14,175
+53% +$196K
CCH.WS
364
DELISTED
Collier Creek Holdings Warrants, each whole warrant exercisable for one Class A ordinary share at an
CCH.WS
$157K 0.01%
116,666
– –
BCX icon
365
BlackRock Resources & Commodities Strategy Trust
BCX
$890M
$156K 0.01%
+30,895
New +$210K
INO icon
366
Inovio Pharmaceuticals
INO
$85.6M
$156K 0.01%
+1,752
New +$108K
MAPSW
367
DELISTED
WM TECHNOLOGY INC WTS
MAPSW
$156K 0.01%
400,000
– –
KSM
368
DELISTED
DWS Strategic Municipal Income Trust
KSM
$156K 0.01%
+15,089
New +$175K
DIAX
369
DELISTED
Nuveen Dow 30SM Dynamic Overwrite Fund
DIAX
$155K 0.01%
+12,370
New +$199K
FTF
370
Franklin Limited Duration Income Trust
FTF
$232M
$155K 0.01%
+19,762
New +$177K
MYC
371
DELISTED
Blackrock Muni Yield California Fund, Inc.
MYC
$152K 0.01%
+11,491
New +$162K
DCP
372
DELISTED
DCP Midstream, LP
DCP
$149K 0.01%
36,693
+12,693
+53% +$211K
GSMGW
373
DELISTED
Cheer Holding, Inc. Warrant expiring 2/13/2025
GSMGW
$148K ﹤0.01%
+1,850,000
New +$76.6K
DNI
374
DELISTED
Dividend and Income Fund
DNI
$148K ﹤0.01%
16,785
-16,726
-50% -$198K
WES icon
375
Western Midstream Partners
WES
$19.4B
$147K ﹤0.01%
45,454
+22,454
+98% +$309K
13 14
15
16 17

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JWBC
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CIS
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EMPI
Elo Mutual Pension Insurance Espoo, Finland $6.06B AUM 24.33% 1-Year Est. Return
HPG
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DTC
Deep Track Capital Greenwich, Connecticut $6.12B AUM 144% 1-Year Est. Return
AWA
Arkadios Wealth Advisors Atlanta, Georgia $6.13B AUM 23.41% 1-Year Est. Return
EAM
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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.