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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
MYC
526
DELISTED
Blackrock Muni Yield California Fund, Inc.
MYC
– –
-15,384
Closed -$214K
MFL
527
DELISTED
BLACKROCK MUNIHOLDINGS INVESTMENT QUALITY FUND
MFL
– –
-17,735
Closed -$229K
TLMD
528
DELISTED
SOC Telemed, Inc. Class A Common Stock
TLMD
– –
-170,000
Closed -$1.7M
TRIT
529
DELISTED
Triterras, Inc. Class A Ordinary Shares
TRIT
– –
-200,000
Closed -$2.15M
TREB.U
530
DELISTED
Trebia Acquisition Corp. Units, each consisting of one Class A Ordinary Share, and one-third of one
TREB.U
– –
-100,000
Closed -$1.04M
GSAH.U
531
DELISTED
GS Acquisition Holdings Corp II Units, each consisting of one share of Class A Common Stock and one-
GSAH.U
– –
-100,000
Closed -$1.05M
FUSE.U
532
DELISTED
Fusion Acquisition Corp. Units, each consisting of one share of Class A common stock, $0.0001 par va
FUSE.U
– –
-500,000
Closed -$5.08M
SOAC.U
533
DELISTED
Sustainable Opportunities Acquisition Corp. Units, each consisting of one Class A ordinary share and
SOAC.U
– –
-875,000
Closed -$8.84M
CNP.PRB
534
DELISTED
CenterPoint Energy, Inc. Depositary Shares Each Representing a 1/20th Interest in a Share of 7.00% S
CNP.PRB
– –
-108,750
Closed -$3.89M
GRNVR
535
DELISTED
GreenVision Acquisition Corp Rights
GRNVR
– –
-170,000
Closed -$48K
WPF.U
536
DELISTED
Foley Trasimene Acquisition Corp.
WPF.U
– –
-1,000,000
Closed -$10.7M
HECCU
537
DELISTED
Hudson Executive Investment Corp. Units
HECCU
– –
-550,000
Closed -$5.61M
GNRSU
538
DELISTED
Greenrose Acquisition Corp. Unit
GNRSU
– –
-300,000
Closed -$3M
JWS.U
539
DELISTED
Jaws Acquisition Corp. Units, each consisting of one Class A ordinary share and one-third of one red
JWS.U
– –
-600,000
Closed -$6.26M
BRPAR
540
DELISTED
Big Rock Partners Acquisition Corp. Right
BRPAR
– –
-200,000
Closed -$56K
GIK.U
541
DELISTED
GigCapital3, Inc. Units, each consisting of one share of Common Stock and three-fourths of one Redee
GIK.U
– –
-1,200,000
Closed -$12M
MEN
542
DELISTED
Blackrock Muni Enhanced Fund, Inc.
MEN
– –
-13,884
Closed -$152K
CGROU
543
DELISTED
Collective Growth Corporation Unit
CGROU
– –
-1,000,000
Closed -$9.51M
LOACR
544
DELISTED
Longevity Acquisition Corporation Right
LOACR
– –
-125,000
Closed -$25K
IPV.U
545
DELISTED
InterPrivate Acquisition Corp. Units, each consisting of one share of common stock, $.0001 par value
IPV.U
– –
-550,000
Closed -$5.59M
LGVW.U
546
DELISTED
Longview Acquisition Corp. Units, each consisting of one share of Class A common stock, and one-thir
LGVW.U
– –
-1,250,000
Closed -$12.6M
NUM
547
DELISTED
Nuveen Michigan Quality Municipal Income Fund
NUM
– –
-17,955
Closed -$246K
IPOC.U
548
DELISTED
Social Capital Hedosophia Holdings Corp. III Units, each consisting of one Class A ordinary share an
IPOC.U
– –
-700,000
Closed -$8.31M
LOAK.U
549
DELISTED
Live Oak Acquisition Corp. Units, each consisting of one share of Class A Common Stock and one-half
LOAK.U
– –
-1,265,000
Closed -$12.7M
IPOB.U
550
DELISTED
Social Capital Hedosophia Holdings Corp. II Units, each consisting of one Class A ordinary share and
IPOB.U
– –
-600,000
Closed -$7.54M
20 21
22
23 24

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HCM
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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.