Lower Interest Return Strategy: Performance Attribution of 58 US CLO Managers
A sample of 244 deals managed by 58 managers with less than 0% interest alpha over the last three months on average (closed between Mar 2016 and Dec 2019) is included in this study. The table below shows each manager’s latest average investment alpha and performance attribution based on the latest trustee data available on Intex as of 14 Feb 2022.
The benchmark loan index used is S&P/LSTA U.S. B/BB Ratings Loan Index. The average deal is doing slightly better than the index from the total alpha perspective. This means that, on average, US CLO managers (employing a low-interest strategy) have outperformed the loan index.
Such a strategy would generally rely on MV return outperformance, offsetting any underperformance in interest return alpha.
| US CLO Manager | Total Alpha** | MV Alpha** | Interest Alpha** |
| AEGON USA Investment Management | * | * | * |
| AGL Credit | * | * | * |
| Alcentra | * | * | * |
| Allstate Investment Management | * | * | * |
| American Money Management | * | * | * |
| ArrowMark Colorado Holdings | * | * | * |
| Assured Investment Management | * | * | * |
| AXA Investment Managers | * | * | * |
| Bain Capital Credit | * | * | * |
| Barings | * | * | * |
| Benefit Street Partners | * | * | * |
| Blackrock Financial Management | * | * | * |
| Blackstone | * | * | * |
| CBAM | * | * | * |
| CFI Partners | * | * | * |
| CIFC Asset Management | * | * | * |
| Crescent Capital Group | * | * | * |
| CVC Credit Partners | * | * | * |
| Denali Capital | * | * | * |
| DoubleLine Capital | * | * | * |
| Eaton Vance Management | * | * | * |
| First Eagle Private Credit | * | * | * |
| Goldentree Asset Management | * | * | * |
| Goldman Sachs Asset Management | * | * | * |
| Golub Capital | * | * | * |
| Guggenheim Partners | * | * | * |
| HPS Investment Partners | * | * | * |
| Invesco | * | * | * |
| Investcorp Credit Management | * | * | * |
| Irradiant | * | * | * |
| King Street Capital Management | * | * | * |
| KKR Financial Advisors | * | * | * |
| LCM Asset Management | * | * | * |
| MacKay Shields | * | * | * |
| MidOcean Credit Fund Management | * | * | * |
| Napier Park Global Capital | * | * | * |
| Neuberger Berman | * | * | * |
| New York Life Investment Management | * | * | * |
| Oak Hill Advisors | * | * | * |
| Oaktree Capital Management | * | * | * |
| Onex Credit Partners | * | * | * |
| ORIX Advisers | * | * | * |
| Palmer Square Capital Management | * | * | * |
| Park Avenue Institutional Advisers | * | * | * |
| Partners Group | * | * | * |
| PineBridge Investments | * | * | * |
| PPM America | * | * | * |
| Pretium Credit Management | * | * | * |
| Prudential Financial (Pramerica) | * | * | * |
| Redding Ridge Asset Management | * | * | * |
| Sculptor Loan Management | * | * | * |
| Seix Advisors | * | * | * |
| Sixth Street | * | * | * |
| Symphony Asset Management | * | * | * |
| TCW Asset Management | * | * | * |
| TIAA Advisory Services | * | * | * |
| Trimaran Advisors | * | * | * |
| Voya Alternative Asset Management | * | * | * |
| Average | 0.1% | 0.2% | -0.1% |
Source: CLO Research, LCD, LPC, Intex
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** Average over the last three months
To arrive at the total/MV/interest alpha, the total/MV/interest investment return for the whole period (from a deal’s closing date to the last trustee report date) is first calculated. The total/MV/interest portfolio return is then annualised, and the excess return over the index’s annualised return is the total/MV/interest alpha depicted here.
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Disclaimers
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.
