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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
+20.18%
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
$2.76B
AUM Growth
+$507M
Cap. Flow
-$552M
Cap. Flow %
-20.05%
Top 10 Hldgs %
17.68%
Holding
691
New
172
Increased
78
Reduced
97
Closed
126

Top Buys

Rank Stock Value
1
MXIM
Maxim Integrated Products
MXIM
+$50.8M
2
VAR
Varian Medical Systems, Inc.
VAR
+$40.4M
3
LVGO
Livongo Health, Inc. Common Stock
LVGO
+$37.9M
4
VSLR
VIVINT SOLAR, INC.
VSLR
+$36.4M
5
NBL
Noble Energy, Inc.
NBL
+$35.3M

Top Sells

Rank Stock Value
1
IBKC
IBERIABANK Corp
IBKC
+$48.9M
2
QGEN icon
Qiagen
QGEN
+$47.7M
3
CZR
Caesars Entertainment Corporation
CZR
+$42.7M
4
LM
Legg Mason, Inc.
LM
+$41M
5
EE
El Paso Electric Company
EE
+$39.5M

Sector Composition

Rank Sector Weight
1 Financials 7.18%
2 Industrials 6.69%
3 Healthcare 4.4%
4 Consumer Discretionary 4.11%
5 Communication Services 3.68%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
SPXX icon
376
Nuveen S&P 500 Dynamic Overwrite Fund
SPXX
$332M
$244K 0.01%
+18,329
New +$247K
ATLC icon
377
Atlanticus Holdings
ATLC
$1.58B
$243K 0.01%
20,416
-20,886
-51% -$211K
HTD
378
John Hancock Tax-Advantaged Dividend Income Fund
HTD
$920M
$242K 0.01%
+12,700
New +$246K
MVT
379
DELISTED
BlackRock MuniVest Fund II
MVT
$237K 0.01%
16,996
-1,738
-9% -$24.6K
HGLB
380
Highland Global Allocation Fund
HGLB
$171M
$236K 0.01%
38,028
+6,500
+21% +$41.8K
FMN
381
Federated Hermes Premier Municipal Income Fund
FMN
$86.9M
$235K 0.01%
16,487
-14,242
-46% -$201K
JSPRW icon
382
Japer Therapeutics Warrants
JSPRW
$182K
$233K 0.01%
187,500
– –
MPA icon
383
BlackRock MuniYield Pennsylvania Quality Fund
MPA
$142M
$231K 0.01%
16,599
-13,597
-45% -$191K
PNBK icon
384
Patriot National Bancorp
PNBK
$129M
$224K 0.01%
34,442
– –
IPV.WS
385
DELISTED
InterPrivate Acquisition Corp. Redeemable Warrants, each whole warrant exercisable for shares of com
IPV.WS
$224K 0.01%
+275,000
New +$173K
NPV icon
386
Nuveen Virginia Quality Municipal Income Fund
NPV
$214M
$223K 0.01%
14,811
-5,173
-26% -$78.1K
ROCHW
387
DELISTED
Roth CH Acquisition I Co. Warrant
ROCHW
$216K 0.01%
+210,000
New +$213K
CIICW
388
DELISTED
CIIG Merger Corp. Warrants
CIICW
$215K 0.01%
250,000
– –
SWZ
389
Swiss Helvetia Fund
SWZ
$76.7M
$214K 0.01%
25,840
+5,965
+30% +$48.8K
THCAW
390
DELISTED
Tuscan Holdings Corp. II Warrant
THCAW
$214K 0.01%
475,000
– –
FIV
391
DELISTED
First Trust Senior Floating Rate 2022 Target Term Fund Common Shares of Beneficial Interest
FIV
$214K 0.01%
25,352
-9,962
-28% -$84.7K
ALUS.WS
392
DELISTED
Alussa Energy Acquisition Corp Warrants
ALUS.WS
$211K 0.01%
325,000
– –
CMAX
393
DELISTED
CareMax, Inc. Class A Common Stock
CMAX
$210K 0.01%
+667
New +$204K
AEF
394
abrdn Emerging Markets Equity Income Fund
AEF
$342M
$209K 0.01%
32,322
+7,635
+31% +$50.1K
LFLYW
395
DELISTED
Leafly Holdings, Inc. Warrant
LFLYW
$206K 0.01%
375,000
– –
ABLLW
396
DELISTED
Abacus Life Warrant
ABLLW
$204K 0.01%
+300,000
New +$215K
FFAIW
397
DELISTED
Faraday Future Intelligent Electric Warrant
FFAIW
$204K 0.01%
+550,000
New +$203K
GLEO.WS
398
DELISTED
Galileo Acquisition Corp. Redeemable Warrants, each whole warrant exercisable for one Ordinary Share
GLEO.WS
$201K 0.01%
325,000
– –
PSTH.WS
399
DELISTED
Pershing Square Tontine Holdings, Ltd. Warrants, exercisable for one share of Class A Common Stock f
PSTH.WS
$199K 0.01%
+27,777
New +$201K
MCOM
400
DELISTED
micromobility.com Inc. Class A Common stock
MCOM
$196K 0.01%
3
– –
14 15
16
17 18

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CIS
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EMPI
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HPG
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DTC
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AWA
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EAM
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ACM
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AQR Arbitrage's Q3 2020 Portfolio in Review

As of Q3 2020, AQR Arbitrage held 691 positions worth $2.76B, up 23% from $2.25B the previous quarter. Its ten largest holdings account for 18% of the portfolio.

AQR Arbitrage withdrew a net $552M in Q3 2020, closing 126 positions and reducing 97 holdings. Its most notable exit was IBERIABANK Corp, an estimated $48.9M position sold in full.

By sector, the portfolio is most concentrated in Financials at 7.2% of assets, down from 11% a quarter earlier, followed by Industrials and Healthcare.

Against the trend, AQR Arbitrage opened a new position in Maxim Integrated Products worth $50.8M.

  • AQR Arbitrage's largest Q3 2020 buy was Maxim Integrated Products: 751,131 shares worth $50.8M.
  • AQR Arbitrage added most to Just Eat Takeaway.com N.V. American Depositary Shares in Q3 2020, an estimated $22M increase.
  • AQR Arbitrage's biggest Q3 2020 reduction was E*Trade Financial Corporation, cutting an estimated $14.3M.
  • AQR Arbitrage fully exited IBERIABANK Corp in Q3 2020, selling an estimated $48.9M.
  • AQR Arbitrage's ten largest holdings make up 18% of its $2.76B portfolio in Q3 2020.
  • AQR Arbitrage opened 172 new positions and closed 126 in Q3 2020.
  • AQR Arbitrage's portfolio value rose 23% quarter-over-quarter to $2.76B.

Based on AQR Arbitrage's 13F filing for Q3 2020, filed 16 Nov 2020.