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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
+6.63%
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
$9.25B
AUM Growth
+$631M
Cap. Flow
-$2.33B
Cap. Flow %
-25.19%
Top 10 Hldgs %
24.24%
Holding
497
New
75
Increased
42
Reduced
69
Closed
110

Top Buys

Rank Stock Value
1
AGN.PRA
Allergan plc
AGN.PRA
+$167M
2
FCAM
Fiat Chrysler Automobiles N.V.
FCAM
+$147M
3
STJ
St Jude Medical
STJ
+$122M
4
TYC
TYCO INTL PLC COM SHS (IRL)
TYC
+$121M
5
HOT
STARWOOD HOTELS & RESORTS WORLDWIDE, INC.
HOT
+$109M

Top Sells

Rank Stock Value
1
TWC
TIME WARNER CABLE INC NEW COM STK
TWC
+$146M
2
JAH
JARDEN CORPORATION
JAH
+$131M
3
ATML
ATMEL CORP
ATML
+$118M
4
ARG
Airgas Inc
ARG
+$116M
5
HPY
HEARTLAND PAYMENT SYSTEMS, INC. COM STK
HPY
+$102M

Sector Composition

Rank Sector Weight
1 Technology 8.41%
2 Healthcare 7.87%
3 Energy 5.82%
4 Utilities 3.76%
5 Communication Services 3.61%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
TSNU
1
DELISTED
Tyson Foods, Inc.
TSNU
$186M 2.02%
2,510,325
– –
KLAC icon
2
KLA
KLAC
$275B
$184M 1.99%
25,075,300
+4,111,640
+20% +$29.5M
TMUSP
3
DELISTED
T-Mobile US, Inc.5.50% Mandatory Convertible Preferred Stock, Series A
TMUSP
$180M 1.94%
2,443,375
+145,800
+6% +$10.2M
TYC
4
DELISTED
TYCO INTL PLC COM SHS (IRL)
TYC
$169M 1.83%
3,791,456
+2,875,803
+314% +$121M
AGN.PRA
5
DELISTED
Allergan plc
AGN.PRA
$167M 1.81%
+200,400
New +$167M
YHOO
6
DELISTED
Yahoo Inc
YHOO
$163M 1.77%
4,348,079
+99,424
+2% +$3.67M
HUM icon
7
Humana
HUM
$46.7B
$151M 1.63%
836,669
+80,646
+11% +$14.3M
RAD
8
DELISTED
Rite Aid Corporation
RAD
$147M 1.59%
981,700
+108,718
+12% +$17.1M
DCUB
9
DELISTED
DOMINION RESOURCES INC CORP UNIT 2013 SER B (VA)
DCUB
$146M 1.58%
2,394,200
– –
CI icon
10
Cigna
CI
$76.6B
$145M 1.57%
1,131,649
+27,510
+2% +$3.63M
HOT
11
DELISTED
STARWOOD HOTELS & RESORTS WORLDWIDE, INC.
HOT
$141M 1.53%
1,908,006
+1,415,553
+287% +$109M
STJ
12
DELISTED
St Jude Medical
STJ
$133M 1.44%
+1,710,778
New +$122M
ALR
13
DELISTED
Alere Inc
ALR
$133M 1.43%
3,182,963
+298,954
+10% +$13M
FCAM
14
DELISTED
Fiat Chrysler Automobiles N.V.
FCAM
$131M 1.42%
+2,186,825
New +$147M
FMER
15
DELISTED
FIRSTMERIT CORP
FMER
$130M 1.41%
6,430,387
+1,835,090
+40% +$39.8M
ITC
16
DELISTED
ITC HOLDINGS CORP
ITC
$130M 1.41%
2,779,760
+1,504,178
+118% +$66.7M
FNFG
17
DELISTED
FIRST NIAGARA FINANCIAL GROUP INC
FNFG
$121M 1.31%
12,415,508
+655,235
+6% +$6.74M
CCI.PRA
18
DELISTED
Crown Castle International Corp.
CCI.PRA
$119M 1.29%
985,825
– –
ANTX
19
DELISTED
Anthem, Inc.
ANTX
$111M 1.2%
2,478,950
– –
VAL
20
DELISTED
Valspar
VAL
$110M 1.19%
1,017,839
+583,498
+134% +$62.6M
GAS
21
DELISTED
AGL Resources Inc
GAS
$106M 1.14%
1,603,656
-225,592
-12% -$14.8M
WELL.PRI
22
DELISTED
Welltower Inc.
WELL.PRI
$101M 1.09%
1,484,525
– –
DD
23
DELISTED
Du Pont De Nemours E I
DD
$94.1M 1.02%
1,452,546
-138,885
-9% -$9.12M
STR
24
DELISTED
QUESTAR CORP
STR
$92.9M 1.01%
3,663,285
+1,550,071
+73% +$38.9M
HE icon
25
Hawaiian Electric Industries
HE
$2.33B
$92.8M 1%
2,828,745
+179,857
+7% +$5.93M
1
2 3 4 5

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GA
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CIS
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AQR Arbitrage's Q2 2016 Portfolio in Review

As of Q2 2016, AQR Arbitrage held 497 positions worth $9.25B, up 7.3% from $8.61B the previous quarter. Its ten largest holdings account for 24% of the portfolio.

AQR Arbitrage withdrew a net $2.33B in Q2 2016, closing 110 positions and reducing 69 holdings. Its most notable exit was TIME WARNER CABLE INC NEW COM STK, an estimated $146M position sold in full.

By sector, the portfolio is most concentrated in Technology at 8.4% of assets, up from 4.5% a quarter earlier, followed by Healthcare and Energy.

Against the trend, AQR Arbitrage opened a new position in Allergan plc worth $167M.

  • AQR Arbitrage's largest Q2 2016 buy was Allergan plc: 200,400 shares worth $167M.
  • AQR Arbitrage added most to TYCO INTL PLC COM SHS (IRL) in Q2 2016, an estimated $121M increase.
  • AQR Arbitrage's biggest Q2 2016 reduction was TECO ENERGY INC, cutting an estimated $64.5M.
  • AQR Arbitrage fully exited TIME WARNER CABLE INC NEW COM STK in Q2 2016, selling an estimated $146M.
  • AQR Arbitrage's ten largest holdings make up 24% of its $9.25B portfolio in Q2 2016.
  • AQR Arbitrage opened 75 new positions and closed 110 in Q2 2016.
  • AQR Arbitrage's portfolio value rose 7.3% quarter-over-quarter to $9.25B.

Based on AQR Arbitrage's 13F filing for Q2 2016, filed 15 Aug 2016.