US CLO Managers (Performance)

CSAM has consistently maintained an impressive lead over its peers, solidifying its position as a top-performing manager.

Despite adopting a lower-interest-return strategy, OHA has consistently outperformed its peers in both declining and rising loan market conditions. In recent times, the firm has further extended its lead over competitors, showcasing its effective CLO management approach.

Elmwood has generated impressive above-average total return alpha metrics, as illustrated in the graph above. As of the most recent data point in October 2023, Elmwood stands out as one of the best performing managers, boasting over...

Golub has managed to sustain its impressive total and MV alpha outperformance against both its peers and the loan index. The manager stands out as one of the best performing managers...

Maintaining strong interest return alpha without compromising Market Value (MV) return alpha is challenging. Anchorage has excelled in both MV and interest return alpha, an accomplishment that is no small feat.

Since the middle of last year, CIFC has further widened its lead over its peers, which highlights the effectiveness of its conservative portfolio approach and solid performance.

While the firm's interest alpha may have been below average, its strong Market Value (MV) return alpha ensured that its total return alpha stayed above average. Notably, since mid-2022, GoldenTree has further widened its lead over its peers, demonstrating the effectiveness of its conservative portfolio approach and delivering solid performance. As of the latest update, the manager has recorded an impressive total return alpha of approximately 50 basis points.

From early 2020 to late 2022, Blackstone outperformed both the loan index and its peers, with its most significant advantage being in Market Value (MV) alpha. However, the manager’s performance has trended lower since late 2021.

Looking at the average metrics for 2023, 2022, and 2020, Blackrock outperformed its peers on the total and MV return alpha fronts.

As of the last reading, despite employing a lower-interest strategy, the manager was outperforming its peers in total alpha return.

Since late 2021, its alpha performance has trended lower due to the decline in its MV alpha performance. More recently, its MV alpha performance was in line with its peers. Nevertheless, due to its underperformance in interest alpha, as of the latest update...

Since late 2022, the manager has regained its lead over peers, driven by continued strong performance in MV return alpha.

Sixth Street demonstrated remarkable resilience in terms of its total performance, consistently outperforming the loan index in both declining and rising loan markets. Notably, Sixth Street’s total alpha did not decline following the loan market crash in late March 2020, which highlights the effectiveness of its conservative strategy.

A sample of 409 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the Morningstar LSTA U.S. B/BB Ratings Loan Index.

Examining the average metrics for 2023, KKR outperformed its peers on all three fronts – total, MV, and interest return alpha.