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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
+14.44%
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
$5.92B
AUM Growth
-$911M
Cap. Flow
-$3.32B
Cap. Flow %
-56.08%
Top 10 Hldgs %
25.76%
Holding
540
New
84
Increased
20
Reduced
96
Closed
81

Top Buys

Rank Stock Value
1
WMGI
Wright Medical Group Inc
WMGI
+$112M
2
TSG
The Stars Group Inc.
TSG
+$109M
3
TIF
Tiffany & Co.
TIF
+$106M
4
MDCO
Medicines Co
MDCO
+$102M
5
RARX
Ra Pharmaceuticals, Inc. Common Stock
RARX
+$84.3M

Top Sells

Rank Stock Value
1
STI
SunTrust Banks, Inc.
STI
+$216M
2
MDSO
Medidata Solutions, Inc.
MDSO
+$192M
3
VSM
Versum Materials, Inc.
VSM
+$133M
4
CELG
Celgene Corp
CELG
+$125M
5
GWR
Genesee & Wyoming Inc.
GWR
+$93.4M

Sector Composition

Rank Sector Weight
1 Healthcare 10.56%
2 Technology 9.2%
3 Consumer Discretionary 8.59%
4 Industrials 5.33%
5 Communication Services 3.64%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
NNC
401
DELISTED
Nuveen North Carolina Quality Municipal Income Fund
NNC
– –
-10,940
Closed -$148K
NTC
402
DELISTED
Nuveen Connecticut Quality Municipal Income Fund
NTC
– –
-11,140
Closed -$149K
TMCXW
403
DELISTED
Trinity Merger Corp. Warrant
TMCXW
– –
-1,750,000
Closed -$2.22M
GHDX
404
DELISTED
Genomic Health, Inc.
GHDX
– –
-212,182
Closed -$14.4M
DFBHW
405
DELISTED
DFB Healthcare Acquisitions Corp. Warrant
DFBHW
– –
-599,999
Closed -$864K
BPL
406
DELISTED
Buckeye Partners, L.P.
BPL
– –
-19,000
Closed -$781K
NRCG.WS
407
DELISTED
NRC Group Holdings Corp.
NRCG.WS
– –
-87,500
Closed -$207K
LTXB
408
DELISTED
LegacyTexas Financial Group Inc
LTXB
– –
-761,146
Closed -$33.1M
UBNK
409
DELISTED
United Financial Bancorp, Inc.
UBNK
– –
-470,878
Closed -$6.42M
CJ
410
DELISTED
C&J Energy Services, Inc.
CJ
– –
-1,138,910
Closed -$12.2M
MDSO
411
DELISTED
Medidata Solutions, Inc.
MDSO
– –
-2,097,920
Closed -$192M
IPOA.WS
412
DELISTED
Social Capital Hedosophia Holdings Corp. Warrants, each whole warrant exercisable for one Class A Or
IPOA.WS
– –
-83,334
Closed -$208K
ALDR
413
DELISTED
Alder Biopharmaceuticals
ALDR
– –
-422,832
Closed -$7.97M
ISCA
414
DELISTED
International Speedway Corp
ISCA
– –
-92,399
Closed -$4.16M
DMTKW
415
DELISTED
DermTech, Inc. Warrant
DMTKW
– –
-700,000
Closed -$84K
NCI
416
DELISTED
Navigant Consulting, Inc.
NCI
– –
-227,858
Closed -$6.37M
TYPE
417
DELISTED
Monotype Imaging Holdings Inc.
TYPE
– –
-439,922
Closed -$8.71M
CTWS
418
DELISTED
Connecticut Water Service Inc
CTWS
– –
-312,956
Closed -$21.9M
CBLK
419
DELISTED
Carbon Black, Inc. Common Stock
CBLK
– –
-1,131,128
Closed -$29.4M
VSM
420
DELISTED
Versum Materials, Inc.
VSM
– –
-2,521,740
Closed -$133M
AABA
421
DELISTED
Altaba Inc
AABA
– –
-2,488,238
Closed -$48.5M
BID
422
DELISTED
Sotheby's
BID
– –
-687,697
Closed -$39.2M
STNLW
423
DELISTED
Sentinel Energy Services Inc. Warrant
STNLW
– –
-133,333
Closed -$53K
NLSN
424
DELISTED
Nielsen Holdings plc
NLSN
– –
-402,187
Closed -$8.5M
CELG
425
DELISTED
Celgene Corp
CELG
– –
-1,255,337
Closed -$125M
14 15 16
17
18

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AQR Arbitrage's Q4 2019 Portfolio in Review

As of Q4 2019, AQR Arbitrage held 540 positions worth $5.92B, down 13% from $6.83B the previous quarter. Its ten largest holdings account for 26% of the portfolio.

AQR Arbitrage withdrew a net $3.32B in Q4 2019, closing 81 positions and reducing 96 holdings. Its most notable exit was SunTrust Banks, Inc., an estimated $216M position sold in full.

By sector, the portfolio is most concentrated in Healthcare at 11% of assets, up from 6.4% a quarter earlier, followed by Technology and Consumer Discretionary.

Against the trend, AQR Arbitrage opened a new position in Wright Medical Group Inc worth $131M.

  • AQR Arbitrage's largest Q4 2019 buy was Wright Medical Group Inc: 4,295,686 shares worth $131M.
  • AQR Arbitrage added most to Tallgrass Energy, LP Class A Shares in Q4 2019, an estimated $58.4M increase.
  • AQR Arbitrage's biggest Q4 2019 reduction was Zayo Group Holdings, Inc., cutting an estimated $48.7M.
  • AQR Arbitrage fully exited SunTrust Banks, Inc. in Q4 2019, selling an estimated $216M.
  • AQR Arbitrage's ten largest holdings make up 26% of its $5.92B portfolio in Q4 2019.
  • AQR Arbitrage opened 84 new positions and closed 81 in Q4 2019.
  • AQR Arbitrage's portfolio value fell 13% quarter-over-quarter to $5.92B.

Based on AQR Arbitrage's 13F filing for Q4 2019, filed 14 Feb 2020.