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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
LLTC
1
DELISTED
Linear Technology Corp
LLTC
$229M 2.38%
3,678,931
+600,230
+19% +$36.6M
DD icon
2
DuPont de Nemours
DD
$18.6B
$180M 1.86%
1,240,191
-59,426
-5% -$8.27M
SE
3
DELISTED
Spectra Energy Corp Wi
SE
$171M 1.78%
4,169,834
+696,009
+20% +$28.8M
TSNU
4
DELISTED
Tyson Foods, Inc.
TSNU
$171M 1.77%
2,510,325
– –
VAL
5
DELISTED
Valspar
VAL
$169M 1.75%
1,631,468
+36,305
+2% +$3.74M
WWAV
6
DELISTED
The WhiteWave Foods Company
WWAV
$169M 1.75%
3,034,281
-173,062
-5% -$9.47M
HUM icon
7
Humana
HUM
$46.7B
$166M 1.72%
814,202
-37,491
-4% -$7.15M
CI icon
8
Cigna
CI
$76.6B
$165M 1.71%
1,234,951
+50,310
+4% +$6.58M
WR
9
DELISTED
Westar Energy Inc
WR
$164M 1.71%
2,917,887
+449,454
+18% +$25.5M
STJ
10
DELISTED
St Jude Medical
STJ
$162M 1.68%
2,017,276
-65,070
-3% -$5.16M
PVTB
11
DELISTED
PrivateBancorp Inc
PVTB
$161M 1.68%
2,978,803
+1,336,793
+81% +$64.4M
BEAV
12
DELISTED
B/E Aerospace Inc
BEAV
$154M 1.59%
+2,550,814
New +$147M
CST
13
DELISTED
CST Brands, Inc.
CST
$153M 1.59%
3,187,483
+193,619
+6% +$9.31M
ENH
14
DELISTED
Endurance Specialty Holdings Ltd
ENH
$153M 1.59%
+1,659,571
New +$152M
NXPI icon
15
NXP Semiconductors
NXPI
$68B
$152M 1.57%
+1,547,577
New +$154M
RAD
16
DELISTED
Rite Aid Corporation
RAD
$145M 1.51%
882,253
-123,388
-12% -$18.6M
YHOO
17
DELISTED
Yahoo Inc
YHOO
$138M 1.44%
3,576,882
-990,355
-22% -$40.6M
MON
18
DELISTED
Monsanto Co
MON
$138M 1.43%
1,311,281
-1,999
-0.2% -$205K
BRCD
19
DELISTED
Brocade Communications Systems, Inc. NEW
BRCD
$129M 1.34%
+10,356,244
New +$117M
HAR
20
DELISTED
Harman International Industries
HAR
$126M 1.31%
+1,133,558
New +$109M
CAB
21
DELISTED
Cabela's Inc
CAB
$115M 1.2%
+1,969,639
New +$122M
MENT
22
DELISTED
Mentor Graphics Corp
MENT
$107M 1.11%
+2,911,531
New +$95.1M
TWX
23
DELISTED
Time Warner Inc
TWX
$105M 1.09%
+1,090,251
New +$97.1M
TMH
24
DELISTED
Team Health Holdings Inc
TMH
$102M 1.05%
+2,336,033
New +$96.5M
ISIL
25
DELISTED
Intersil Corp
ISIL
$101M 1.05%
4,551,363
+528,761
+13% +$11.7M
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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DTC
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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.