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Seasoned EU CLO Managers: Investment Performance Dispersion

A sample of 218 deals (2015–2019 vintages) managed by 40 managers is included in this study. The benchmark loan index is the Morningstar European Euro Denominated Loan Index. The graph below shows the total (MV + interest) return alpha range (95th percentile minus 5th percentile) for 40 seasoned EU CLO managers over the past four…

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