AQR Arbitrage Portfolio holdings
AQR Arbitrage specializes in merger arbitrage, convertible arbitrage and other event-driven strategies, and is a joint venture between AQR Capital Management and CNH Capital Management. It began managing money in 2001 and traded as CNH Partners until 2021. CNH Capital Management is majority-owned by Mark Mitchell and Todd Pulvino, while Clifford Asness is the principal owner of AQR Capital Management. In merger arbitrage it buys shares of the company being acquired, and when the buyer pays in its own stock it typically hedges by shorting the buyer's shares. In convertible arbitrage it buys convertible securities trading below their fundamental value. AQR Arbitrage is also hired by AQR to run the AQR Diversified Arbitrage Fund, and its clients include pension plans, charities, insurance companies and sovereign wealth funds.
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 | Miscellaneous | 55.49% |
| 2 | Healthcare | 9.46% |
| 3 | Technology | 8.93% |
| 4 | Energy | 5.85% |
| 5 | Utilities | 5.17% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
|
TSNU
1
DELISTED
Tyson Foods, Inc.
TSNU
| $186M | 2.02% |
2,510,325
| – | – |
2015 Q1
5 quarters
|
|
2
KLA
KLAC
$205B
| $184M | 1.99% |
25,075,300
+4,111,640
| +20% | +$29.5M |
2015 Q4
2 quarters
|
|
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 |
2015 Q1
5 quarters
|
|
|
TYC
4
DELISTED
TYCO INTL PLC COM SHS (IRL)
TYC
| $169M | 1.83% |
3,791,456
+2,875,803
| +314% | +$121M |
2016 Q1
1 quarter
|
|
|
AGN.PRA
5
DELISTED
Allergan plc
AGN.PRA
| $167M | 1.81% |
+200,400
| New | +$167M |
2016 Q2
0 quarters
|
|
|
YHOO
6
DELISTED
Yahoo Inc
YHOO
| $163M | 1.77% |
4,348,079
+99,424
| +2% | +$3.67M |
2015 Q1
5 quarters
|
|
7
Humana
HUM
$53.3B
| $150M | 1.63% |
836,669
+80,646
| +11% | +$14.3M |
2015 Q2
4 quarters
|
|
|
RAD
8
DELISTED
Rite Aid Corporation
RAD
| $147M | 1.59% |
981,700
+108,718
| +12% | +$17.1M |
2015 Q4
2 quarters
|
|
|
DCUB
9
DELISTED
DOMINION RESOURCES INC CORP UNIT 2013 SER B (VA)
DCUB
| $146M | 1.58% |
2,394,200
| – | – |
2015 Q1
5 quarters
|
|
10
Cigna
CI
$78.1B
| $145M | 1.57% |
1,131,649
+27,510
| +2% | +$3.63M |
2015 Q2
4 quarters
|
|
|
HOT
11
DELISTED
STARWOOD HOTELS & RESORTS WORLDWIDE, INC.
HOT
| $141M | 1.53% |
1,908,006
+1,415,553
| +287% | +$109M |
2015 Q4
2 quarters
|
|
|
STJ
12
DELISTED
St Jude Medical
STJ
| $133M | 1.44% |
+1,710,778
| New | +$122M |
2016 Q2
0 quarters
|
|
|
ALR
13
DELISTED
Alere Inc
ALR
| $133M | 1.43% |
3,182,963
+298,954
| +10% | +$13M |
2016 Q1
1 quarter
|
|
|
FCAM
14
DELISTED
Fiat Chrysler Automobiles N.V.
FCAM
| $131M | 1.42% |
+2,186,825
| New | +$147M |
2016 Q2
0 quarters
|
|
|
FMER
15
DELISTED
FIRSTMERIT CORP
FMER
| $130M | 1.41% |
6,430,387
+1,835,090
| +40% | +$39.8M |
2016 Q1
1 quarter
|
|
|
ITC
16
DELISTED
ITC HOLDINGS CORP
ITC
| $130M | 1.41% |
2,779,760
+1,504,178
| +118% | +$66.7M |
2016 Q1
1 quarter
|
|
|
FNFG
17
DELISTED
FIRST NIAGARA FINANCIAL GROUP INC
FNFG
| $121M | 1.31% |
12,415,508
+655,235
| +6% | +$6.74M |
2015 Q4
2 quarters
|
|
18
DELISTED
Crown Castle International Corp.
CCI.PRA
| $119M | 1.29% |
985,825
| – | – |
2015 Q1
5 quarters
|
|
19
DELISTED
Anthem, Inc.
ANTX
| $111M | 1.2% |
2,478,950
| – | – |
2015 Q2
4 quarters
|
|
20
DELISTED
Valspar
VAL
| $110M | 1.19% |
1,017,839
+583,498
| +134% | +$62.6M |
2016 Q1
1 quarter
|
|
|
GAS
21
DELISTED
AGL Resources Inc
GAS
| $106M | 1.14% |
1,603,656
-225,592
| -12% | -$14.8M |
2015 Q3
3 quarters
|
|
22
DELISTED
Welltower Inc.
WELL.PRI
| $101M | 1.09% |
1,484,525
| – | – |
2015 Q1
5 quarters
|
|
23
DELISTED
Du Pont De Nemours E I
DD
| $94.1M | 1.02% |
1,452,546
-138,885
| -9% | -$9.12M |
2016 Q1
1 quarter
|
|
24
DELISTED
QUESTAR CORP
STR
| $92.9M | 1.01% |
3,663,285
+1,550,071
| +73% | +$38.9M |
2016 Q1
1 quarter
|
|
25
Hawaiian Electric Industries
HE
$1.49B
| $92.8M | 1% |
2,828,745
+179,857
| +7% | +$5.93M |
2015 Q1
5 quarters
|
|
Similar funds
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 Miscellaneous at 55% of assets, up from 53% a quarter earlier, followed by Healthcare and Technology.
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.