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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
+6.9%
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
$9.64B
AUM Growth
-$556M
Cap. Flow
-$2.79B
Cap. Flow %
-29%
Top 10 Hldgs %
21.95%
Holding
431
New
81
Increased
27
Reduced
61
Closed
87

Top Buys

Rank Stock Value
1
NXPI icon
NXP Semiconductors
NXPI
+$154M
2
ENH
Endurance Specialty Holdings Ltd
ENH
+$152M
3
BEAV
B/E Aerospace Inc
BEAV
+$147M
4
CAB
Cabela's Inc
CAB
+$122M
5
BRCD
Brocade Communications Systems, Inc. NEW
BRCD
+$117M

Top Sells

Rank Stock Value
1
KLAC icon
KLA
KLAC
+$194M
2
AGN.PRA
Allergan plc
AGN.PRA
+$175M
3
FCAM
Fiat Chrysler Automobiles N.V.
FCAM
+$141M
4
CPHD
Cepheid Inc
CPHD
+$134M
5
TMUSP
T-Mobile US, Inc.5.50% Mandatory Convertible Preferred Stock, Series A
TMUSP
+$130M

Sector Composition

Rank Sector Weight
1 Technology 11.04%
2 Materials 8.18%
3 Healthcare 7.95%
4 Financials 6.25%
5 Consumer Discretionary 4.75%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
BKHU
51
DELISTED
Black Hills Corporation
BKHU
$30.9M 0.32%
448,500
– –
DYNC
52
DELISTED
Vistra Energy Corp.
DYNC
$30.6M 0.32%
489,750
+115,000
+31% +$8.09M
LW icon
53
Lamb Weston
LW
$6.85B
$30.5M 0.32%
+806,408
New +$27.5M
CLC
54
DELISTED
Clarcor
CLC
$29.2M 0.3%
+353,600
New +$24.9M
HPE icon
55
Hewlett Packard
HPE
$63.2B
$28.4M 0.29%
2,109,049
-35,756
-2% -$478K
AA icon
56
Alcoa
AA
$11.7B
$28.1M 0.29%
+1,000,779
New +$27.2M
VSM
57
DELISTED
Versum Materials, Inc.
VSM
$26.7M 0.28%
+952,778
New +$23.7M
RACE icon
58
Ferrari
RACE
$63.3B
$26.5M 0.27%
455,374
-9,585
-2% -$523K
ACAS
59
DELISTED
American Capital Ltd
ACAS
$25.8M 0.27%
1,439,225
– –
CABO icon
60
Cable One
CABO
$213M
$25.5M 0.26%
40,974
– –
WCIC
61
DELISTED
WCI Communities, Inc.
WCIC
$25.5M 0.26%
1,086,323
+960,904
+766% +$22.4M
RAI
62
DELISTED
Reynolds American Inc
RAI
$25.3M 0.26%
+451,572
New +$24M
MSGN
63
DELISTED
MSG Networks Inc.
MSGN
$24.4M 0.25%
1,133,206
-15,034
-1% -$299K
CC icon
64
Chemours
CC
$2.59B
$24.3M 0.25%
1,098,274
-893,468
-45% -$18.3M
EBAY icon
65
eBay
EBAY
$48.6B
$24M 0.25%
808,691
– –
YUMC icon
66
Yum China
YUMC
$14.9B
$23.9M 0.25%
+914,417
New +$24.9M
AMCC
67
DELISTED
Applied Micro Circuits Corporation New
AMCC
$23.1M 0.24%
+2,799,559
New +$21.2M
INVN
68
DELISTED
Invensense Inc
INVN
$22.8M 0.24%
+1,779,900
New +$15.2M
NGVT icon
69
Ingevity
NGVT
$2.55B
$22.6M 0.23%
411,531
-6,482
-2% -$311K
FTV icon
70
Fortive
FTV
$19B
$22.5M 0.23%
663,993
-19,757
-3% -$654K
BLD
71
DELISTED
TopBuild
BLD
$22.4M 0.23%
630,211
– –
NSR
72
DELISTED
Neustar Inc
NSR
$22.2M 0.23%
+665,476
New +$17.6M
KLXI
73
DELISTED
KLX Inc.
KLXI
$21.8M 0.23%
574,172
-200,795
-26% -$6.59M
LSCC icon
74
Lattice Semiconductor
LSCC
$17.6B
$21.1M 0.22%
+2,863,785
New +$19.9M
ENR icon
75
Energizer
ENR
$1.44B
$20.5M 0.21%
459,264
– –
1 2
3
4 5

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GA
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CIS
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HCM
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HPG
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DTC
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AWA
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AQR Arbitrage's Q4 2016 Portfolio in Review

As of Q4 2016, AQR Arbitrage held 431 positions worth $9.64B, down 5.5% from $10.2B the previous quarter. Its ten largest holdings account for 22% of the portfolio.

AQR Arbitrage withdrew a net $2.79B in Q4 2016, closing 87 positions and reducing 61 holdings. Its most notable exit was KLA, an estimated $194M position sold in full.

By sector, the portfolio is most concentrated in Technology at 11% of assets, up from 9.8% a quarter earlier, followed by Materials and Healthcare.

Against the trend, AQR Arbitrage opened a new position in NXP Semiconductors worth $152M.

  • AQR Arbitrage's largest Q4 2016 buy was NXP Semiconductors: 1,547,577 shares worth $152M.
  • AQR Arbitrage added most to Agrium in Q4 2016, an estimated $72.4M increase.
  • AQR Arbitrage's biggest Q4 2016 reduction was T-Mobile US, Inc.5.50% Mandatory Convertible Preferred Stock, Series A, cutting an estimated $130M.
  • AQR Arbitrage fully exited KLA in Q4 2016, selling an estimated $194M.
  • AQR Arbitrage's ten largest holdings make up 22% of its $9.64B portfolio in Q4 2016.
  • AQR Arbitrage opened 81 new positions and closed 87 in Q4 2016.
  • AQR Arbitrage's portfolio value fell 5.5% quarter-over-quarter to $9.64B.

Based on AQR Arbitrage's 13F filing for Q4 2016, filed 14 Feb 2017.