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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
+7.38%
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
$3.9B
AUM Growth
-$643M
Cap. Flow
-$1.54B
Cap. Flow %
-39.51%
Top 10 Hldgs %
12.94%
Holding
1,574
New
96
Increased
173
Reduced
80
Closed
342

Top Buys

Rank Stock Value
1
IAA
IAA, Inc. Common Stock
IAA
+$46.1M
2
HZNP
Horizon Therapeutics Public Limited Company Ordinary Shares
HZNP
+$43.7M
3
MYOV
Myovant Sciences Ltd.
MYOV
+$36.5M
4
AIMC
Altra Industrial Motion Corp
AIMC
+$26.4M
5
FORG
ForgeRock, Inc.
FORG
+$20.3M

Top Sells

Rank Stock Value
1
CHNG
Change Healthcare Inc. Common Stock
CHNG
+$132M
2
SWCH
Switch, Inc. Class A Common Stock
SWCH
+$59.2M
3
Y
Alleghany Corp
Y
+$56.8M
4
DRE
Duke Realty Corp.
DRE
+$43.4M
5
GBT
Global Blood Therapeutics, Inc.
GBT
+$41.3M

Sector Composition

Rank Sector Weight
1 Financials 37%
2 Technology 10.43%
3 Healthcare 8.18%
4 Industrials 6.13%
5 Consumer Discretionary 3.94%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
ARYE
526
DELISTED
ARYA Sciences Acquisition Corp V Class A Ordinary Shares
ARYE
$493K 0.01%
49,250
– –
FSD
527
DELISTED
FIRST TRUST HIGH INCOME LONG/SHORT FUND
FSD
$491K 0.01%
+42,874
New +$478K
NKX icon
528
Nuveen California AMT-Free Quality Municipal Income Fund
NKX
$652M
$485K 0.01%
+39,438
New +$459K
NGC
529
DELISTED
Northern Genesis Acquisition Corp. III
NGC
$484K 0.01%
48,228
– –
FZT
530
DELISTED
FAST Acquisition Corp. II
FZT
$480K 0.01%
48,000
– –
SCRMW
531
DELISTED
Screaming Eagle Acquisition Corp. Warrant
SCRMW
$471K 0.01%
1,999,999
– –
DMYY
532
DELISTED
dMY Squared
DMYY
$456K 0.01%
+45,899
New +$460K
MUJ icon
533
BlackRock MuniHoldings New Jersey Quality Fund
MUJ
$638M
$456K 0.01%
+41,156
New +$467K
FCAX
534
DELISTED
Fortress Capital Acquisition Corp.
FCAX
$455K 0.01%
45,068
-59,057
-57% -$593K
BYM
535
DELISTED
BlackRock Municipal Income Quality Trust
BYM
$444K 0.01%
+39,092
New +$430K
CPTK
536
DELISTED
Crown PropTech Acquisitions
CPTK
$442K 0.01%
43,698
– –
BSL
537
Blackstone Senior Floating Rate 2027 Term Fund
BSL
$169M
$431K 0.01%
+34,657
New +$437K
OCEA
538
DELISTED
Ocean Biomedical, Inc. Common Stock
OCEA
$430K 0.01%
41,347
– –
BGH
539
Barings Global Short Duration High Yield Fund
BGH
$283M
$428K 0.01%
33,736
+13,725
+69% +$175K
SWSS
540
DELISTED
Clean Energy Special Situations Corp. Common stock
SWSS
$423K 0.01%
83,504
– –
FTEV
541
DELISTED
FinTech Evolution Acquisition Group
FTEV
$414K 0.01%
41,020
– –
ZLS
542
DELISTED
Zalatoris II Acquisition Corp Class A Ordinary Shares
ZLS
$405K 0.01%
40,500
– –
WPCB
543
DELISTED
Warburg Pincus Capital Corporation I-B
WPCB
$404K 0.01%
40,000
– –
EHI
544
Western Asset Global High Income Fund
EHI
$175M
$399K 0.01%
58,654
+2,598
+5% +$18.1K
BRW
545
Saba Capital Income & Opportunities Fund
BRW
$336M
$397K 0.01%
52,165
+33,676
+182% +$264K
KTF
546
DWS Municipal Income Trust
KTF
$347M
$397K 0.01%
+46,090
New +$390K
FCT
547
First Trust Senior Floating Rate Income Fund II
FCT
$251M
$385K 0.01%
+40,371
New +$396K
MUE
548
DELISTED
BlackRock MuniHoldings Quality Fund II
MUE
$371K 0.01%
+37,277
New +$370K
WEA
549
Western Asset Premier Bond Fund
WEA
$123M
$367K 0.01%
34,471
+5,546
+19% +$57K
ARDC
550
Are Dynamic Credit Allocation Fund
ARDC
$296M
$365K 0.01%
+31,497
New +$372K
20 21
22
23 24

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AQR Arbitrage's Q4 2022 Portfolio in Review

As of Q4 2022, AQR Arbitrage held 1,574 positions worth $3.9B, down 14% from $4.54B the previous quarter. Its ten largest holdings account for 13% of the portfolio.

AQR Arbitrage withdrew a net $1.54B in Q4 2022, closing 342 positions and reducing 80 holdings. Its most notable exit was Change Healthcare Inc. Common Stock, an estimated $132M position sold in full.

By sector, the portfolio is most concentrated in Financials at 37% of assets, down from 41% a quarter earlier, followed by Technology and Healthcare.

Against the trend, AQR Arbitrage opened a new position in IAA, Inc. Common Stock worth $48.8M.

  • AQR Arbitrage's largest Q4 2022 buy was IAA, Inc. Common Stock: 1,223,348 shares worth $48.8M.
  • AQR Arbitrage added most to KnowBe4, Inc. Class A Common Stock in Q4 2022, an estimated $17.9M increase.
  • AQR Arbitrage's biggest Q4 2022 reduction was Electriq Power Holdings, Inc., cutting an estimated $9.38M.
  • AQR Arbitrage fully exited Change Healthcare Inc. Common Stock in Q4 2022, selling an estimated $132M.
  • AQR Arbitrage's ten largest holdings make up 13% of its $3.9B portfolio in Q4 2022.
  • AQR Arbitrage opened 96 new positions and closed 342 in Q4 2022.
  • AQR Arbitrage's portfolio value fell 14% quarter-over-quarter to $3.9B.

Based on AQR Arbitrage's 13F filing for Q4 2022, filed 14 Feb 2023.