EU CLOs: Latest Performance Attribution of 41 Seasoned Managers

EU CLOs: Latest Performance Attribution of 41 Seasoned Managers A sample of 196 deals (2015–2019 vintage deals) is included in this study. The benchmark loan index used is the S&P European Euro Denominated Loan Index. The table below shows the average total/MV/interest alpha metrics of 41 seasoned EU CLO managers over the period Nov 2021–Jan…