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5/7 US CLO Managers: Trading and Alpha Creation

US CLO Managers: Trading and Alpha Creation A sample of 295 deals (closed between May 2016 and Sep 2019) managed by 79 managers is included in this study. The benchmark loan index used is S&P/LSTA U.S. B/BB Ratings Loan Index. The graph below shows the relationship between investment alpha and annualised asset sales (discretionary trading…

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