AQR Diversified Arbitrage Fund
Actively managed U.S. bond fund
As of its 2026 Q2 report, AQR Diversified Arbitrage Fund held 426 positions with $2.65B in net assets. Its ten largest holdings made up 61.8% of the fund. The ADANX share class costs 2.05% a year. Over the 12 months to May 2026, ADANX returned 6.6%, with dividends reinvested. In 2026 Q2 it added 106 new positions and exited 98.
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.
What you own
| Company | Weight | 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 | — |
The 200 largest of 426 holdings, with the share counts as filed, open with a free account.
What the fund is made of
Percentages are of fund net assets. Rounding, liabilities and short positions can make totals differ from 100%.
| 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.
By sector
- Cash
- 62.8%
- International
- 10.3%
- Information Technology
- 4.5%
- Communication Services
- 4.0%
- 9 other sectors
- 18.3%
- Cash
- 62.8%
- International
- 10.3%
- Information Technology
- 4.5%
- Communication Services
- 4.0%
- Other
- 3.6%
- Financials
- 3.5%
- Industrials
- 3.2%
- Health Care
- 3.0%
- Consumer Discretionary
- 2.8%
- Energy
- 0.8%
- Materials
- 0.7%
- Real Estate
- 0.7%
- Consumer Staples
- 0.0%
How it has done
ADANX share class · total returns with dividends reinvested
Volatility over the last 12 months: 1.34%. Past returns are a record, not a forecast.
Jun 2026 has been filed since the trailing figures were struck, so it is not in the table above or the curve — every figure here shares one cut-off, which is what makes them comparable with other funds.
The 3 share classes hold the same portfolio
| Share class | Expense ratio | 1 year | 3 years | 5 years | Worst fall |
|---|---|---|---|---|---|
| 2.05% | +6.63% | +19.32% | +14.69% | -1.33% | |
| 1.77% | +6.90% | +20.25% | +16.17% | -1.25% | |
| 1.66% | +7.00% | +20.60% | +16.79% | -1.33% |
These classes hold the same portfolio, so the 2.10pp spread over 5 years is the cost difference between them — roughly 0.42pp a year — not a difference in what they own.
Fees & fund details
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
- Expense ratio, by class
- 1.66% – 2.05%· ADANX 2.05%
- Portfolio turnover
- 410.00% a year · as of 2026 Q2
Turnover is how much of the portfolio was replaced in a year.
Classified from what the fund holds, not from its name · 2026 Q2. The summary is a paraphrase of the prospectus; the objective is verbatim.
What changed this quarter
Positions that entered or left the fund since its previous filing. Positions that were only resized are not listed.
106 new· the largest 2
98 exited· the largest 7
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.
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