How Have EU CLO Managers Stacked Up Against the Loan Index Since Inception?
This study examines the long-term performance of 218 EU CLO deals from the 2015–2019 vintages, using the Morningstar European Euro-Denominated Loan Index as the benchmark.
As of 19 March 2025, EU CLO managers, on average, had outperformed the loan index on an inception-to-date basis—driven primarily by principal value return outperformance—while their interest return remained broadly in line with that of the index.
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