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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
+20.18%
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
$2.76B
AUM Growth
+$507M
Cap. Flow
-$552M
Cap. Flow %
-20.05%
Top 10 Hldgs %
17.68%
Holding
691
New
172
Increased
78
Reduced
97
Closed
126

Top Buys

Rank Stock Value
1
MXIM
Maxim Integrated Products
MXIM
+$50.8M
2
VAR
Varian Medical Systems, Inc.
VAR
+$40.4M
3
LVGO
Livongo Health, Inc. Common Stock
LVGO
+$37.9M
4
VSLR
VIVINT SOLAR, INC.
VSLR
+$36.4M
5
NBL
Noble Energy, Inc.
NBL
+$35.3M

Top Sells

Rank Stock Value
1
IBKC
IBERIABANK Corp
IBKC
+$48.9M
2
QGEN icon
Qiagen
QGEN
+$47.7M
3
CZR
Caesars Entertainment Corporation
CZR
+$42.7M
4
LM
Legg Mason, Inc.
LM
+$41M
5
EE
El Paso Electric Company
EE
+$39.5M

Sector Composition

Rank Sector Weight
1 Financials 7.18%
2 Industrials 6.69%
3 Healthcare 4.4%
4 Consumer Discretionary 4.11%
5 Communication Services 3.68%
Name Market Value Portfolio Weight Shares or Principal Change
in Stake 		Capital Flow
VSLR
1
DELISTED
VIVINT SOLAR, INC.
VSLR
$59.9M 2.17%
+1,413,226
New +$36.4M
MXIM
2
DELISTED
Maxim Integrated Products
MXIM
$50.8M 1.84%
+751,131
New +$50.8M
ETFC
3
DELISTED
E*Trade Financial Corporation
ETFC
$50.4M 1.83%
1,007,477
-273,821
-21% -$14.3M
WMGI
4
DELISTED
Wright Medical Group Inc
WMGI
$50.3M 1.83%
1,647,847
-129,336
-7% -$3.9M
GRUB
5
DELISTED
Just Eat Takeaway.com N.V. American Depositary Shares
GRUB
$46.1M 1.67%
318,368
+152,501
+92% +$22M
WTW icon
6
Willis Towers Watson
WTW
$27.9B
$45.8M 1.66%
219,471
-20,585
-9% -$4.2M
VAR
7
DELISTED
Varian Medical Systems, Inc.
VAR
$44.3M 1.61%
+257,272
New +$40.4M
LVGO
8
DELISTED
Livongo Health, Inc. Common Stock
LVGO
$43.6M 1.58%
+311,174
New +$37.9M
ADSW
9
DELISTED
Advanced Disposal Services Inc
ADSW
$43.2M 1.57%
1,428,481
-291,539
-17% -$8.79M
ACIA
10
DELISTED
Acacia Communications Inc
ACIA
$42.9M 1.56%
636,037
-44,886
-7% -$3.05M
MNTA
11
DELISTED
Momenta Pharmaceuticals, Inc.
MNTA
$40.6M 1.47%
+773,269
New +$32M
TIF
12
DELISTED
Tiffany & Co.
TIF
$39.8M 1.44%
343,697
-23,932
-7% -$2.91M
DLPH
13
DELISTED
Delphi Technologies PLC Ordinary Shares
DLPH
$36.1M 1.31%
2,161,268
-516,817
-19% -$8.52M
NGHC
14
DELISTED
National General Holdings Corp
NGHC
$35.6M 1.29%
+1,054,201
New +$34.9M
BMCH
15
DELISTED
BMC Stock Holdings, Inc
BMCH
$32.5M 1.18%
+759,354
New +$25M
IMMU
16
DELISTED
Immunomedics Inc
IMMU
$32.5M 1.18%
+382,284
New +$19.3M
FIT
17
DELISTED
Fitbit, Inc. Class A common stock
FIT
$32M 1.16%
4,604,681
-621,074
-12% -$4.03M
NBL
18
DELISTED
Noble Energy, Inc.
NBL
$30.9M 1.12%
+3,613,142
New +$35.3M
AIMT
19
DELISTED
Aimmune Therapeutics
AIMT
$30.8M 1.12%
+894,257
New +$19M
CBB
20
DELISTED
Cincinnati Bell Inc.
CBB
$26.5M 0.96%
1,768,394
-188,501
-10% -$2.83M
CHNGU
21
DELISTED
Change Healthcare Inc. Tangible Equity Units
CHNGU
$24.3M 0.88%
450,177
– –
TCO
22
DELISTED
Taubman Centers Inc.
TCO
$22.7M 0.82%
681,925
-35,434
-5% -$1.32M
RST
23
DELISTED
ROSETTA STONE INC
RST
$20.1M 0.73%
+671,430
New +$17.4M
GNW icon
24
Genworth Financial
GNW
$3.8B
$20.1M 0.73%
5,987,764
+160,824
+3% +$429K
GLIBA
25
DELISTED
GCI Liberty, Inc. Class A Common Stock (DE)
GLIBA
$19M 0.69%
+232,162
New +$18.3M
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 Q3 2020 Portfolio in Review

As of Q3 2020, AQR Arbitrage held 691 positions worth $2.76B, up 23% from $2.25B the previous quarter. Its ten largest holdings account for 18% of the portfolio.

AQR Arbitrage withdrew a net $552M in Q3 2020, closing 126 positions and reducing 97 holdings. Its most notable exit was IBERIABANK Corp, an estimated $48.9M position sold in full.

By sector, the portfolio is most concentrated in Financials at 7.2% of assets, down from 11% a quarter earlier, followed by Industrials and Healthcare.

Against the trend, AQR Arbitrage opened a new position in Maxim Integrated Products worth $50.8M.

  • AQR Arbitrage's largest Q3 2020 buy was Maxim Integrated Products: 751,131 shares worth $50.8M.
  • AQR Arbitrage added most to Just Eat Takeaway.com N.V. American Depositary Shares in Q3 2020, an estimated $22M increase.
  • AQR Arbitrage's biggest Q3 2020 reduction was E*Trade Financial Corporation, cutting an estimated $14.3M.
  • AQR Arbitrage fully exited IBERIABANK Corp in Q3 2020, selling an estimated $48.9M.
  • AQR Arbitrage's ten largest holdings make up 18% of its $2.76B portfolio in Q3 2020.
  • AQR Arbitrage opened 172 new positions and closed 126 in Q3 2020.
  • AQR Arbitrage's portfolio value rose 23% quarter-over-quarter to $2.76B.

Based on AQR Arbitrage's 13F filing for Q3 2020, filed 16 Nov 2020.