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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
+2.76%
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
$7.88B
AUM Growth
+$109M
Cap. Flow
-$2.35B
Cap. Flow %
-29.83%
Top 10 Hldgs %
24.07%
Holding
520
New
75
Increased
78
Reduced
100
Closed
104

Top Buys

Rank Stock Value
1
FSL
FREESCALE SEMICONDUCTOR LTD
FSL
+$116M
2
BRCM
BROADCOM CORP CL-A
BRCM
+$110M
3
CTRX
CATAMARAN CORP COM STK (CDA)
CTRX
+$108M
4
ADVS
Advent Software Inc
ADVS
+$86.6M
5
BAX icon
Baxter International
BAX
+$73.3M

Top Sells

Rank Stock Value
1
LO
LORILLARD INC COM STK
LO
+$172M
2
TRW
TRW AUTOMOTIVE HOLDINGS CORP
TRW
+$165M
3
TWC
TIME WARNER CABLE INC NEW COM STK
TWC
+$117M
4
SLXP
SALIX PHARMACEUTICALS LTD DEL
SLXP
+$111M
5
TEG
INTEGRYS ENERGY GROUP INC COM (USA)
TEG
+$103M

Sector Composition

Rank Sector Weight
1 Technology 4.25%
2 Utilities 3.65%
3 Healthcare 3.53%
4 Energy 3.29%
5 Consumer Discretionary 2.99%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
PCF
201
High Income Securities Fund
PCF
$99.6M
$655K 0.01%
84,090
+2,860
+4% +$23.2K
NZF icon
202
Nuveen Municipal Credit Income Fund
NZF
$2.4B
$641K 0.01%
48,001
-29,369
-38% -$405K
MMP
203
DELISTED
Magellan Midstream Partners, L.P.
MMP
$638K 0.01%
8,690
– –
MIY icon
204
BlackRock MuniYield Michigan Quality Fund
MIY
$354M
$632K 0.01%
47,532
-18,678
-28% -$258K
GDF
205
DELISTED
WESTERN ASSET GLB PARTNERS INCM FUND INC. COM
GDF
$631K 0.01%
68,770
+18,987
+38% +$182K
MFM
206
Aberdeen Municipal Income Fund
MFM
$222M
$627K 0.01%
97,560
+3,814
+4% +$25.1K
NPF
207
DELISTED
NUVEEN PREMIER MUNI INCOME FD
NPF
$620K 0.01%
48,097
+4,530
+10% +$60.4K
MYM
208
DELISTED
BLACKROCK MUNIYIELD MICHIGAN QUALITY FND II COM STK (USA)
MYM
$614K 0.01%
49,254
-7,012
-12% -$89.3K
TLP
209
DELISTED
Transmontaigne
TLP
$608K 0.01%
15,988
– –
JSD
210
DELISTED
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND
JSD
$606K 0.01%
36,763
+200
+0.5% +$3.43K
EFT
211
Eaton Vance Floating-Rate Income Trust
EFT
$283M
$604K 0.01%
43,851
-14,368
-25% -$209K
NTC
212
DELISTED
Nuveen Connecticut Quality Municipal Income Fund
NTC
$598K 0.01%
47,934
-15,511
-24% -$196K
MUJ icon
213
BlackRock MuniHoldings New Jersey Quality Fund
MUJ
$640M
$593K 0.01%
44,753
+8,259
+23% +$116K
HEP
214
DELISTED
Holly Energy Partners, L.P.
HEP
$590K 0.01%
16,782
– –
EAD
215
Allspring Income Opportunities Fund
EAD
$372M
$575K 0.01%
69,554
+1,800
+3% +$15.8K
LCM
216
DELISTED
Advent/Claymore Enhanced Gth & F
LCM
$568K 0.01%
62,655
-7,216
-10% -$68.5K
CXH
217
DELISTED
MFS Investment Grade Municipal Trust
CXH
$562K 0.01%
60,442
-2,461
-4% -$22.8K
GM icon
218
General Motors
GM
$74.7B
$547K 0.01%
16,411
– –
GRX
219
Gabelli Healthcare & Wellness Trust
GRX
$141M
$547K 0.01%
48,689
-3,729
-7% -$42K
TTP
220
DELISTED
TORTOISE PIPELINE & ENERGY FUND, INC.
TTP
$542K 0.01%
+5,300
New +$597K
MPLX icon
221
MPLX
MPLX
$59.5B
$541K 0.01%
7,579
– –
CQP icon
222
Cheniere Energy
CQP
$31.8B
$539K 0.01%
17,460
– –
NRO
223
Neuberger Real Estate Securities Income Fund Inc
NRO
$194M
$527K 0.01%
116,591
+17,001
+17% +$82.3K
QEPM
224
DELISTED
QEP MIDSTREAM PARTNERS LP UIT REPSTG LTD PARTSP INT (DE)
QEPM
$525K 0.01%
29,955
– –
NS
225
DELISTED
NuStar Energy L.P.
NS
$518K 0.01%
8,726
– –
7 8
9
10 11

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GA
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CIS
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EMPI
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HCM
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HPG
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DTC
Deep Track Capital Greenwich, Connecticut $6.12B AUM 144% 1-Year Est. Return
AWA
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AQR Arbitrage's Q2 2015 Portfolio in Review

As of Q2 2015, AQR Arbitrage held 520 positions worth $7.88B, up 1.4% from $7.77B the previous quarter. Its ten largest holdings account for 24% of the portfolio.

AQR Arbitrage withdrew a net $2.35B in Q2 2015, closing 104 positions and reducing 100 holdings. Its most notable exit was LORILLARD INC COM STK, an estimated $172M position sold in full.

By sector, the portfolio is most concentrated in Technology at 4.3% of assets, up from 3.7% a quarter earlier, followed by Utilities and Healthcare.

Against the trend, AQR Arbitrage opened a new position in BROADCOM CORP CL-A worth $117M.

  • AQR Arbitrage's largest Q2 2015 buy was BROADCOM CORP CL-A: 2,268,599 shares worth $117M.
  • AQR Arbitrage added most to FREESCALE SEMICONDUCTOR LTD in Q2 2015, an estimated $116M increase.
  • AQR Arbitrage's biggest Q2 2015 reduction was TIME WARNER CABLE INC NEW COM STK, cutting an estimated $117M.
  • AQR Arbitrage fully exited LORILLARD INC COM STK in Q2 2015, selling an estimated $172M.
  • AQR Arbitrage's ten largest holdings make up 24% of its $7.88B portfolio in Q2 2015.
  • AQR Arbitrage opened 75 new positions and closed 104 in Q2 2015.
  • AQR Arbitrage's portfolio value rose 1.4% quarter-over-quarter to $7.88B.

Based on AQR Arbitrage's 13F filing for Q2 2015, filed 14 Aug 2015.