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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
HCCHR
551
DELISTED
HL Acquisitions Corp. Right
HCCHR
– –
-270,000
Closed -$254K
HCCH
552
DELISTED
HL Acquisitions Corp. Ordinary Shares
HCCH
– –
-31,622
Closed -$385K
KCAC.U
553
DELISTED
Kensington Capital Acquisition Corp.Units, each consisting of one share of Class A common stock and
KCAC.U
– –
-500,000
Closed -$5.01M
FVAC.U
554
DELISTED
Fortress Value Acquisition Corp. Units, each consisting of one share of Class A common stock and one
FVAC.U
– –
-1,000,000
Closed -$10.3M
ARYBU
555
DELISTED
ARYA Sciences Acquisition Corp II Unit
ARYBU
– –
-40,000
Closed -$464K
GRAF.WS
556
DELISTED
Graf Industrial Corp. Warrants (each exercisable for three-quarters of one share of common stock, ea
GRAF.WS
– –
-1,782,000
Closed -$4.06M
WUBA
557
DELISTED
58.com Inc
WUBA
– –
-318,882
Closed -$17.2M
PACK.WS
558
DELISTED
One Madison Corporation Warrants, each whole warrant is exercisable for one Class A Common Stock at
PACK.WS
– –
-405,000
Closed -$628K
LOGM
559
DELISTED
LogMein, Inc.
LOGM
– –
-399,870
Closed -$33.9M
CCH.WS
560
DELISTED
Collier Creek Holdings Warrants, each whole warrant exercisable for one Class A ordinary share at an
CCH.WS
– –
-116,666
Closed -$379K
FPAC.WS
561
DELISTED
Far Point Acquisition Corporation Warrants, exercisable for one share of Class A Common Stock for $1
FPAC.WS
– –
-299,999
Closed -$150K
BIOX.WS
562
DELISTED
Bioceres Crop Solutions Corp Warrants, exercisable for ordinary shares
BIOX.WS
– –
-1,249,900
Closed -$262K
FSCT
563
DELISTED
ForeScout Technologies, Inc. Common Stock
FSCT
– –
-1,004,025
Closed -$21.3M
FSB
564
DELISTED
Franklin Financial Network, Inc.
FSB
– –
-65,979
Closed -$1.7M
ROSEW
565
DELISTED
Rosehill Resources Inc.
ROSEW
– –
-244,800
Closed -$15K
LM
566
DELISTED
Legg Mason, Inc.
LM
– –
-823,599
Closed -$41M
ACEL.WS
567
DELISTED
Accel Entertainment Inc Warrant
ACEL.WS
– –
-66,666
Closed -$156K
LHC.WS
568
DELISTED
Leo Holdings Corp. Warrants, each whole warrant exercisable for one Class A Ordinary Share at an exe
LHC.WS
– –
-1,115,000
Closed -$1.39M
PTLA
569
DELISTED
Portola Pharmaceuticals, Inc.
PTLA
– –
-1,492,287
Closed -$26.8M
MINI
570
DELISTED
Mobile Mini Inc
MINI
– –
-172,655
Closed -$5.09M
GPAQW
571
DELISTED
Gordon Pointe Acquisition Corp. Warrant
GPAQW
– –
-1,106,820
Closed -$2.38M
IBKC
572
DELISTED
IBERIABANK Corp
IBKC
– –
-1,072,911
Closed -$48.9M
ARYAW
573
DELISTED
ARYA Sciences Acquisiton Corp. Warrant
ARYAW
– –
-50,000
Closed -$268K
TERP
574
DELISTED
TerraForm Power, Inc
TERP
– –
-748,402
Closed -$13.8M
MNP
575
DELISTED
Western Asset Municipal Partners Fund, Inc.
MNP
– –
-15,547
Closed -$220K
20 21 22
23
24

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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.