AQR Diversified Arbitrage Fund
AQR Funds · 3 share classes
Fund classification
Classified from what the fund holds · as of 2026 Q2
AQR Diversified Arbitrage Fund is an actively managed U.S. bond fund.
- Asset class
- Bonds
- Region
- United States
- Management
- Actively managed
- Fund type
- Open-end fund
Fund profile
As filed in the prospectus · 2026 Q2
The AQR Diversified Arbitrage Fund (the Fund) seeks long-term absolute (positive) returns. As further described under Details About the AQR Diversified Arbitrage Fund in the Funds prospectus, an absolute (positive) return seeks to earn a positive total return over a reasonable period of time regardless of market conditions or general market direction.
The fund pursues arbitrage and corporate event strategies—including merger arbitrage, convertible arbitrage, distressed investments, and SPAC opportunities—seeking to outperform three-month Treasury bills. A sub-adviser tactically allocates assets across these strategies based on market conditions, employing hedging, short sales, and derivatives including leveraged instruments to construct positions with low market correlation. The fund's use of financial leverage magnifies both gains and losses, and a decline in assets due to leveraged losses may force liquidation of positions at unfavorable times. Volatility will exceed that of Treasury bills, and in periods when attractive arbitrage opportunities are scarce, the fund may hold substantial cash and fail to achieve its objective.
| Share class | Expense ratio |
|---|---|
| ADANX | 2.05% |
| ADAIX | 1.77% |
| QDARX | 1.66% |
Portfolio turnover 410.00% · as of 2026 Q2
Allocation
Asset groups · long / short shown separately, never netted · 2026 Q2
| Cash & short-term | 73.71% |
| Bonds | 31.20% |
| Other | 0.69% |
| Derivatives | 0.14% |
| Stocks | -6.83% |
Look-through blends 2 underlying funds; 0.0% of NAV was not looked through and stays direct-classified.
The outer band is exposure held short — written against the portfolio rather than part of it, which is why it sits outside the ring and why the two are never netted into one figure.
Sector allocation
The same holdings as Allocation above, grouped by market sector instead of asset type · as of 2026 Q2
| Cash | 62.8% |
| International | 10.3% |
| Information Technology | 4.5% |
| Communication Services | 4.0% |
| 9 smaller | 18.3% |
Government, Securitized and Cash are non-corporate buckets; International is foreign holdings we don’t sector-classify, and Other is the residual (held funds, unresolved names).
Latest quarter
What changed since the fund's previous filing
Largest new: United States of America ×7, DoorDash, Inc.
Largest exited: United States of America ×2, DoorDash, Inc., Onestream, Inc., Clearwater Analytics Holdings, Inc., Exact Sciences Corp., ON Semiconductor Corp., Dexcom, Inc.
Return profile
Total return as filed — price change plus distributions reinvested · trailing figures to Apr 2026
| Share class | 1-year | 3-year | 5-year | Vol | Worst fall |
|---|---|---|---|---|---|
| +6.58% | +17.30% | +13.53% | 1.34% | -1.33% | |
| +6.94% | +18.22% | +15.00% | 1.33% | -1.25% | |
| +6.95% | +18.46% | +15.52% | 1.28% | -1.33% |
These classes hold the same portfolio, so the 1.99pp spread over 5 years is the cost difference between them — roughly 0.40pp a year — not a difference in what they own.
May 2026 and Jun 2026 have been filed since the trailing figures were struck, so they are not in the table above or the curve — every figure here shares one cut-off, which is what makes them comparable with other funds.
Debt profile
What this fund holds — value-weighted across its bond and securitized long positions · as of 2026-06-30
Share of the fund's debt by how its coupon behaves — the fact that decides whether a rate move reaches this portfolio at all.
| Fixed rate | 55.2% |
| Zero-coupon or unclassified | 44.5% |
| Floating rate | 0.2% |
Share of the fund's debt value in each maturity band, shortest first.
| <1y | 1.9% |
| 1-3y | 12.4% |
| 3-5y | 55.7% |
| 5-10y | 30.1% |
These three overlap — one holding can be in arrears and paying in kind at once — so they are shown separately and never summed.
Risk profile
Interest-rate and credit-spread sensitivity, both in years · as of 2026Q2
More of this fund’s sensitivity sits in credit spreads than in interest rates — a rate rally that comes with a credit selloff works against it.
Where the loss would come from. The two shocks are the same size, so this is the balance of the fund's two sensitivities rather than a bet on one moving more.
| Credit spreads | 59% |
| Interest rates | 41% |
Filers report the impact of a 0.01% move only, so the total is our own scaling of that one number and overstates the loss on most bonds — read it as approximate, never as precise. The two sensitivities overlap rather than add up: they measure the same positions against different shocks, which is why the durations above are shown side by side and never summed.
Share of the fund's spread duration carried by each credit tier.
| High yield | +0.47 yr |
| Investment grade | +0.05 yr |
Share of duration at each point, shortest first. This filer signs its rate and credit disclosures differently; the direction shown follows its interest-rate filing, and a negative reading is the least-supported figure here.
| 3 mo | 0.07 yr | 20% |
| 1 yr | 0.02 yr | 6% |
| 5 yr | 0.21 yr | 58% |
| 10 yr | 0.06 yr | 15% |
| 1 yr | 0.08 yr | 15% |
| 5 yr | 0.39 yr | 75% |
| 10 yr | 0.05 yr | 10% |
The two bands measure the same positions against different shocks and do not add — a Treasury carries rate duration and no spread duration, a floating-rate credit the reverse. Rate tenors are also summed across every currency the fund discloses.
Show the numbers
| Tenor | Rate yrs | IG yrs | HY yrs | IG $/bp | HY $/bp |
|---|---|---|---|---|---|
| 3 mo | +0.07 | +0.00 | +0.00 | $0 | $0 |
| 1 yr | +0.02 | +0.01 | +0.07 | $2.4k | $19.0k |
| 5 yr | +0.21 | +0.04 | +0.35 | $11.2k | $92.9k |
| 10 yr | +0.06 | +0.00 | +0.05 | $93 | $13.7k |
| 30 yr | +0.00 | +0.00 | +0.00 | $0 | $0 |
Dollar change per 1bp of spread movement, as filed and sign-anchored. A blank cell was not filed; a zero was.
Duration contribution in years, summing to the fund's 0.36 yr.
This is where the fund's rate exposure sits, not its currency risk — most international bond funds hedge the currency back to dollars, and the size of those hedges is not in the filing. Tenors are also summed across curves, so a 5-year JPY point and a 5-year USD point are added together.
Holdings
By % of NAV · equity positions carry filed share counts · every resolvable issuer links to its company page
| Ticker | Issuer | %NAV | Value | Shares |
|---|---|---|---|---|
| — | Limited Purpose Cash Investment Fund | 33.94% | $900.25M | — |
| — | United States of America | 4.51% | $119.74M | — |
| — | United States of America | 3.71% | $98.37M | — |
| — | United States of America | 3.39% | $89.93M | — |
| — | United States of America | 3.37% | $89.44M | — |
| — | United States of America | 3.12% | $82.67M | — |
| — | United States of America | 2.64% | $70.02M | — |
| — | United States of America | 2.63% | $69.90M | — |
| — | United States of America | 2.27% | $60.08M | — |
| — | United States of America | 2.23% | $59.06M | — |
Top 10 positions are 61.81% of net assets, top 25 83.74%, across 227 issuers.
See more of this fund's book
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