US CLO Managers: Investment Performance and WARF
| US CLO Managers | Latest Total Alpha | WARF (Average since inception) | Count (WARF >3,000) |
| Group One (10 Managers) | 0.7% | 3,000 | 4 |
| Group Two (10 Managers) | 0.4% | 2,929 | 2 |
| Group Three (10 Managers) | 0.3% | 2,914 | 2 |
| Group Four (10 Managers) | 0.2% | 2,916 | 0 |
| Group Five (10 Managers) | 0.1% | 2,873 | 1 |
| Group Six (10 Managers) | 0.0% | 2,916 | 3 |
| Group Seven (10 Managers) | -0.2% | 2,936 | 3 |
| Group Eight (10 Managers) | -0.4% | 2,949 | 2 |
| Average | 0.1% | 2,929 |
Source: Intex, LPC, CLO Research, LCD, an offering of S&P Global Market Intelligence
- A sample of 305 deals (closed between May 2016 and Dec 2019) managed by 80 managers is included in this study.
- The table above shows the average investment alpha of 80 US CLO managers and their WARF (average).
- WARF (average) refers to the average WARF reported since inception. WARF (average) does not seem to be driving investment performance.
- Interestingly, group one managers with top-tier investment performance have the highest average WARF.
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The information, research, data, research related opinions, observations and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any of their third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
