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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
+1.54%
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
$8.26B
AUM Growth
+$377M
Cap. Flow
-$2.17B
Cap. Flow %
-26.23%
Top 10 Hldgs %
23.62%
Holding
533
New
113
Increased
104
Reduced
92
Closed
74

Top Buys

Rank Stock Value
1
AGN.PRA
Allergan plc
AGN.PRA
+$196M
2
CB
CHUBB CORPORATION
CB
+$135M
3
FCAM
Fiat Chrysler Automobiles N.V.
FCAM
+$115M
4
PCP
PRECISION CASTPARTS CORP
PCP
+$96.9M
5
CI icon
Cigna
CI
+$86.8M

Top Sells

Rank Stock Value
1
DRC
DRESSER-RAND GROUP INC
DRC
+$202M
2
FDO
FAMILY DOLLAR STORES
FDO
+$184M
3
DTV
DIRECTV COM STK (DE)
DTV
+$156M
4
CTRX
CATAMARAN CORP COM STK (CDA)
CTRX
+$139M
5
HSP
HOSPIRA INC
HSP
+$138M

Sector Composition

Rank Sector Weight
1 Financials 6.55%
2 Industrials 4.77%
3 Energy 3.83%
4 Utilities 3.83%
5 Technology 2.95%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
FCAM
1
DELISTED
Fiat Chrysler Automobiles N.V.
FCAM
$237M 2.87%
1,995,875
+896,600
+82% +$115M
AGN.PRA
2
DELISTED
Allergan plc
AGN.PRA
$178M 2.15%
+188,350
New +$196M
HCBK
3
DELISTED
HUDSON CITY BANCORP INC
HCBK
$174M 2.11%
17,150,822
+2,952,796
+21% +$29.2M
TMUSP
4
DELISTED
T-Mobile US, Inc.5.50% Mandatory Convertible Preferred Stock, Series A
TMUSP
$166M 2.01%
2,391,550
+597,750
+33% +$41.8M
SIAL
5
DELISTED
SIGMA - ALDRICH CORP
SIAL
$159M 1.93%
1,146,635
-12,494
-1% -$1.74M
FSL
6
DELISTED
FREESCALE SEMICONDUCTOR LTD
FSL
$146M 1.77%
4,001,325
+603,249
+18% +$22.6M
TSNU
7
DELISTED
Tyson Foods, Inc.
TSNU
$143M 1.73%
2,754,625
– –
BRCM
8
DELISTED
BROADCOM CORP CL-A
BRCM
$141M 1.7%
2,733,178
+464,579
+20% +$23.9M
CB
9
DELISTED
CHUBB CORPORATION
CB
$135M 1.64%
+1,102,291
New +$135M
POM
10
DELISTED
PEPCO HOLDINGS, INC.
POM
$120M 1.45%
4,957,883
+198,754
+4% +$5.06M
ALTR
11
DELISTED
Altera Corp
ALTR
$105M 1.28%
2,106,211
+936,206
+80% +$46.5M
PCP
12
DELISTED
PRECISION CASTPARTS CORP
PCP
$104M 1.26%
+451,605
New +$96.9M
DCUB
13
DELISTED
DOMINION RESOURCES INC CORP UNIT 2013 SER B (VA)
DCUB
$103M 1.24%
1,833,225
– –
BHI
14
DELISTED
Baker Hughes
BHI
$99.8M 1.21%
1,917,547
+67,992
+4% +$3.8M
WELL.PRI
15
DELISTED
Welltower Inc.
WELL.PRI
$94.3M 1.14%
1,553,050
-6,850
-0.4% -$418K
TWC
16
DELISTED
TIME WARNER CABLE INC NEW COM STK
TWC
$92.3M 1.12%
514,774
+51,592
+11% +$9.64M
SWNC
17
DELISTED
Southwestern Energy Company
SWNC
$89M 1.08%
2,840,650
– –
HCC
18
DELISTED
HCC INSURANCES HOLDINGS INC
HCC
$88.3M 1.07%
1,140,001
+640,943
+128% +$49.6M
CYN
19
DELISTED
CITY NATIONAL CORPORATION
CYN
$88.1M 1.07%
1,000,772
+154,099
+18% +$13.7M
CI icon
20
Cigna
CI
$76.6B
$87.4M 1.06%
647,300
+598,200
+1,218% +$86.8M
CYT
21
DELISTED
CYTEC INDS INC
CYT
$84.3M 1.02%
+1,140,948
New +$79.6M
YHOO
22
DELISTED
Yahoo Inc
YHOO
$83.1M 1.01%
2,873,660
-37,975
-1% -$1.32M
DCUA
23
DELISTED
DOMINION RESOURCES INC. CORP UNIT 2013 SER A (VA)
DCUA
$80.2M 0.97%
1,446,625
– –
CNL
24
DELISTED
CLECO CRP (HOLDING CO)
CNL
$77.4M 0.94%
1,453,161
+69,360
+5% +$3.74M
ODP
25
DELISTED
ODP
ODP
$75M 0.91%
1,167,547
+469,541
+67% +$36.6M
1
2 3 4 5

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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
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AWA
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AQR Arbitrage's Q3 2015 Portfolio in Review

As of Q3 2015, AQR Arbitrage held 533 positions worth $8.26B, up 4.8% from $7.88B the previous quarter. Its ten largest holdings account for 24% of the portfolio.

AQR Arbitrage withdrew a net $2.17B in Q3 2015, closing 74 positions and reducing 92 holdings. Its most notable exit was DRESSER-RAND GROUP INC, an estimated $202M position sold in full.

By sector, the portfolio is most concentrated in Financials at 6.6% of assets, up from 2.6% a quarter earlier, followed by Industrials and Energy.

Against the trend, AQR Arbitrage opened a new position in Allergan plc worth $178M.

  • AQR Arbitrage's largest Q3 2015 buy was Allergan plc: 188,350 shares worth $178M.
  • AQR Arbitrage added most to Fiat Chrysler Automobiles N.V. in Q3 2015, an estimated $115M increase.
  • AQR Arbitrage's biggest Q3 2015 reduction was Baxter International, cutting an estimated $70.3M.
  • AQR Arbitrage fully exited DRESSER-RAND GROUP INC in Q3 2015, selling an estimated $202M.
  • AQR Arbitrage's ten largest holdings make up 24% of its $8.26B portfolio in Q3 2015.
  • AQR Arbitrage opened 113 new positions and closed 74 in Q3 2015.
  • AQR Arbitrage's portfolio value rose 4.8% quarter-over-quarter to $8.26B.

Based on AQR Arbitrage's 13F filing for Q3 2015, filed 16 Nov 2015.