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To consider associations between the latest/nadir CD4+ cell count, and time spent with CD4+ cell count less than 200 cells/μl (duration of immune depression), and myocardial infarction (MI), coronary heart disease (CHD), stroke, or cardiovascular disease (CVD) (CHD or stroke) in 33 301 HIV-positive individuals.Longitudinal cohort study.Analyses were undertaken using Poisson regression. To investigate whether analyses of stroke were robust to the type of endpoint, we additionally included stroke-like events and rejected strokes into the stroke endpoint.Participants experienced 716 MI, 1056 CHD, 303 stroke, and 1284 CVD events. Whereas there was no evidence of a higher MI/CHD risk in those with lower latest/nadir CD4+ cell counts after adjustment [current CD4+ <100 cells/μl: relative rate (95% confidence interval) 0.96 (0.62–1.50) for MI, 0.89 (0.30–2.36) for CHD; nadir CD4+ <100 cells/μl: 1.36 (0.57–3.23) for MI, 0.98 (0.45–2.16) for CHD], stroke and CVD rates were higher in those with a latest CD4+ cell count less than 100 cells/μl [2.26 (1.29–3.94) and 1.14 (0.84–1.56), respectively]. All events occurred less frequently in those who had not experienced immune depression, although evidence for a linear association with duration of immune depression was weak. The association between stroke risk and the latest CD4+ cell count strengthened as stroke-like and rejected strokes were included; conversely, associations with established stroke risk factors weakened.We do not find strong evidence that HIV-positive individuals with a low CD4+ cell count are more likely to experience MI/CHD. Although strokes appear to occur more commonly at low CD4+ cell counts, this may be partly explained by misclassification or other biases.