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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
+4.96%
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
$8.61B
AUM Growth
-$325M
Cap. Flow
-$3.06B
Cap. Flow %
-35.49%
Top 10 Hldgs %
23.36%
Holding
518
New
51
Increased
77
Reduced
114
Closed
99

Top Buys

Rank Stock Value
1
ALR
Alere Inc
ALR
+$138M
2
ATML
ATMEL CORP
ATML
+$108M
3
DD
Du Pont De Nemours E I
DD
+$95.3M
4
BIN
PROGRESSIVE WASTE SOLUTIONS LTD COM
BIN
+$90.9M
5
FMER
FIRSTMERIT CORP
FMER
+$88.8M

Top Sells

Rank Stock Value
1
AGN.PRA
Allergan plc
AGN.PRA
+$211M
2
PCP
PRECISION CASTPARTS CORP
PCP
+$196M
3
FCAM
Fiat Chrysler Automobiles N.V.
FCAM
+$187M
4
CB
CHUBB CORPORATION
CB
+$156M
5
POM
PEPCO HOLDINGS, INC.
POM
+$138M

Sector Composition

Rank Sector Weight
1 Industrials 8.48%
2 Energy 8.04%
3 Healthcare 5.86%
4 Communication Services 5.02%
5 Technology 4.51%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
ODP
26
DELISTED
ODP
ODP
$91.5M 1.06%
1,289,245
+7,408
+0.6% +$399K
CNL
27
DELISTED
CLECO CRP (HOLDING CO)
CNL
$91M 1.06%
1,648,392
+141,280
+9% +$7.18M
BXLT
28
DELISTED
BAXALTA INC COM STK (DE)
BXLT
$88.5M 1.03%
2,191,196
+1,521,691
+227% +$60.2M
PNY
29
DELISTED
PIEDMONT NATURAL GAS CO INC(NC
PNY
$85.8M 1%
1,434,847
+267,673
+23% +$15.8M
HE icon
30
Hawaiian Electric Industries
HE
$2.33B
$85.8M 1%
2,648,888
+33,462
+1% +$1M
CPGX
31
DELISTED
COLUMBIA PIPELINE GROUP IN COM STK (DE)
CPGX
$84.8M 0.98%
3,380,143
+2,827,507
+512% +$54.8M
DCUA
32
DELISTED
DOMINION RESOURCES INC. CORP UNIT 2013 SER A (VA)
DCUA
$83M 0.96%
1,407,075
-39,550
-3% -$2.18M
ADT
33
DELISTED
ADT Corp
ADT
$80.7M 0.94%
+1,956,240
New +$68.6M
CAM
34
DELISTED
CAMERON INTERNATIONAL CORPORATION
CAM
$78.6M 0.91%
1,172,130
+42,721
+4% +$2.74M
AF
35
DELISTED
Astoria Financial Corporation
AF
$72.5M 0.84%
4,580,080
+1,869,972
+69% +$28.3M
SRCLP
36
DELISTED
Stericycle, Inc
SRCLP
$72M 0.84%
769,250
+200,000
+35% +$17.7M
NPBC
37
DELISTED
NATL PENN BANCSHARES INC
NPBC
$71.3M 0.83%
6,700,549
+2,984,322
+80% +$33.9M
ITC
38
DELISTED
ITC HOLDINGS CORP
ITC
$55.6M 0.65%
+1,275,582
New +$51.8M
SWNC
39
DELISTED
Southwestern Energy Company
SWNC
$54.9M 0.64%
2,761,775
-488,875
-15% -$9.01M
STR
40
DELISTED
QUESTAR CORP
STR
$52.4M 0.61%
+2,113,214
New +$48.8M
MEG
41
DELISTED
Media General, Inc
MEG
$47.1M 0.55%
2,890,635
+404,501
+16% +$6.52M
EMC
42
DELISTED
EMC CORPORATION
EMC
$46.8M 0.54%
1,755,521
+1,007,718
+135% +$25.5M
VAL
43
DELISTED
Valspar
VAL
$46.5M 0.54%
+434,341
New +$35.8M
HOT
44
DELISTED
STARWOOD HOTELS & RESORTS WORLDWIDE, INC.
HOT
$41.1M 0.48%
492,453
+339,563
+222% +$23.2M
AFFX
45
DELISTED
Affymetrix Inc
AFFX
$40.5M 0.47%
+2,892,984
New +$39.6M
DCUC
46
DELISTED
Dominion Energy, Inc.
DCUC
$38M 0.44%
745,300
– –
TYC
47
DELISTED
TYCO INTL PLC COM SHS (IRL)
TYC
$35.2M 0.41%
+915,653
New +$32.7M
AGN
48
DELISTED
Allergan plc
AGN
$33.5M 0.39%
124,941
-198,801
-61% -$56.9M
FCS
49
DELISTED
FAIRCHILD SEMICONDUCTOR INTL INC COMMON
FCS
$33M 0.38%
1,650,514
+19,948
+1% +$404K
IM
50
DELISTED
Ingram Micro
IM
$32M 0.37%
+892,141
New +$28.5M
1
2
3 4 5

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AQR Arbitrage's Q1 2016 Portfolio in Review

As of Q1 2016, AQR Arbitrage held 518 positions worth $8.61B, down 3.6% from $8.94B the previous quarter. Its ten largest holdings account for 23% of the portfolio.

AQR Arbitrage withdrew a net $3.06B in Q1 2016, closing 99 positions and reducing 114 holdings. Its most notable exit was Allergan plc, an estimated $211M position sold in full.

By sector, the portfolio is most concentrated in Industrials at 8.5% of assets, up from 6.3% a quarter earlier, followed by Energy and Healthcare.

Against the trend, AQR Arbitrage opened a new position in Alere Inc worth $146M.

  • AQR Arbitrage's largest Q1 2016 buy was Alere Inc: 2,884,009 shares worth $146M.
  • AQR Arbitrage added most to ATMEL CORP in Q1 2016, an estimated $108M increase.
  • AQR Arbitrage's biggest Q1 2016 reduction was Allergan plc, cutting an estimated $56.9M.
  • AQR Arbitrage fully exited Allergan plc in Q1 2016, selling an estimated $211M.
  • AQR Arbitrage's ten largest holdings make up 23% of its $8.61B portfolio in Q1 2016.
  • AQR Arbitrage opened 51 new positions and closed 99 in Q1 2016.
  • AQR Arbitrage's portfolio value fell 3.6% quarter-over-quarter to $8.61B.

Based on AQR Arbitrage's 13F filing for Q1 2016, filed 16 May 2016.