EU CLOs (2016): Higher Reported WAS – Better Investment Performance And Lower Risk? EU CLO 2016 vintageAlpha (Total annualised)Alpha (NAV)Alpha (Interest)Average Alpha (LTM)Worse Alpha (LTM)Reported WAS (%) – AverageGroup One (7 deals)0.4%0.0%0.4%0.3%-0.2%3.99Group Two (8 deals)0.2%0.1%0.1%0.1%-0.1%3.92Group Three (8 deals)-0.1%-0.1%0.1%-0.2%-0.5%3.74Group Four (7 deals)-0.4%-0.4%0.0%-0.5%-0.9%3.70Average0.0%-0.1%0.1%-0.1%-0.4%3.84 Source: CLO Research, Intex, LPC, LCD, an offering of S&P Global Market Intelligence A…
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