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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
ARYD
551
DELISTED
ARYA Sciences Acquisition Corp IV Class A Odinary Shares
ARYD
$364K 0.01%
36,000
– –
BGY icon
552
BlackRock Enhanced International Dividend Trust
BGY
$515M
$356K 0.01%
70,912
+26,824
+61% +$131K
NXJ
553
DELISTED
Nuveen New Jersey Quality Municipal Income Fund
NXJ
$356K 0.01%
+31,484
New +$352K
PEO
554
Adams Natural Resources Fund
PEO
$733M
$355K 0.01%
+16,912
New +$363K
AFT
555
DELISTED
Apollo Senior Floating Rate Fund Inc.
AFT
$353K 0.01%
+28,614
New +$357K
MIY icon
556
BlackRock MuniYield Michigan Quality Fund
MIY
$354M
$352K 0.01%
+31,708
New +$362K
FTAA
557
DELISTED
FTAC Athena Acquisition Corp. Class A Ordinary Share
FTAA
$348K 0.01%
34,387
– –
PPHP
558
DELISTED
PHP Ventures Acquisition Corp. Class A Common Stock
PPHP
$344K 0.01%
33,000
– –
BCV
559
Bancroft Fund
BCV
$135M
$341K 0.01%
20,847
+4,567
+28% +$78.6K
NUW icon
560
Nuveen AMT-Free Municipal Value Fund
NUW
$250M
$332K 0.01%
24,397
+3,700
+18% +$49.7K
VTN icon
561
Invesco Trust for Investment Grade New York Municipals
VTN
$162M
$331K 0.01%
32,773
+16,499
+101% +$163K
KRNL
562
DELISTED
Kernel Group Holdings, Inc. Class A Ordinary Shares
KRNL
$330K 0.01%
32,712
– –
FRA icon
563
BlackRock Floating Rate Income Strategies Fund
FRA
$383M
$317K 0.01%
+28,147
New +$323K
GHIXW
564
DELISTED
Gores Holdings IX, Inc. Warrant
GHIXW
$301K 0.01%
1,583,329
– –
MHF
565
Western Asset Municipal High Income Fund
MHF
$152M
$297K 0.01%
46,556
+13,489
+41% +$86.2K
MQT
566
DELISTED
BlackRock MuniYield Quality Fund II
MQT
$296K 0.01%
+28,972
New +$291K
HFRO
567
Highland Opportunities and Income Fund
HFRO
$403M
$290K 0.01%
28,178
+16,113
+134% +$176K
MPA icon
568
BlackRock MuniYield Pennsylvania Quality Fund
MPA
$141M
$290K 0.01%
+26,358
New +$289K
SBI
569
Western Asset Intermediate Muni Fund
SBI
$108M
$282K 0.01%
37,185
+20,905
+128% +$156K
ZTR
570
Virtus Total Return Fund
ZTR
$340M
$280K 0.01%
42,701
+16,968
+66% +$111K
NCA icon
571
Nuveen California Municipal Value Fund
NCA
$297M
$279K 0.01%
33,072
-554
-2% -$4.66K
BGT icon
572
BlackRock Floating Rate Income Trust
BGT
$324M
$279K 0.01%
+25,541
New +$283K
JRI icon
573
Nuveen Real Asset Income & Growth Fund
JRI
$354M
$277K 0.01%
+23,707
New +$275K
JRO
574
DELISTED
Nuveen Floating Rate Income Opportunty Fund
JRO
$276K 0.01%
+35,345
New +$285K
FNVT
575
DELISTED
Finnovate Acquisition Corp. Class A Ordinary Shares
FNVT
$275K 0.01%
26,804
– –
21 22
23
24 25

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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.