US CLO Managers: Total Alpha Trends (Jan 2020 to 28 Apr 2022)
US CLO managers have managed to maintain their outperformance against the loan index on average.
US CLO managers have managed to maintain their outperformance against the loan index on average.
It appears that size is an advantage in the US CLO market based on managers’ latest alpha metrics (as of 28 Apr 2022).
The implied annual default rates for US CLO managers range from 0.5% to 4.6%!
A sample of 273 US CLO deals (2016– 2019 vintage) is included in this study. Total annualised collateralised return refers...
The arbitrage (arb) metric is defined as the underlying CLO annualized collateral return net of the WACC.
US CLO managers have managed to maintain their outperformance against the loan index on average. As of the last reading on 11 Mar 2022, the average total alpha stood at...
On average, US CLO equity IRR varies a lot by vintage. The best vintage is undoubtedly 2020 based on the post-2012 deals redeemed so far. The best vintage in terms of annual equity distribution is the 2012 vintage deals.
CLO Research: Recent Findings 1) Based on CLO Research's latest findings, size does not seem to have much impact on...
US CLO Managers: WARF Does Not Appear to be a Good Risk Measure Av. WARF (Closing date to 28 Feb...
EU CLOs: Is WARF a Good Risk Measure? EU CLO ManagerHigher WARFMid-WARFLowerWARFAv. WARF (closing date to 28 Feb 20)x>28502785<=x<2850x<2785EU CLO...
In general, it is perhaps logical to assume that big managers are buying the market and hence it is unlikely that they will do well. However, looking at the alpha range in each category, managers seem to do well or poorly regardless of their AUM.
In general, it is easy to assume that managers who build par normally perform better. However, it also depends on the quality of the par build. Besides, the distribution...
'No problem can be solved from the same level of consciousness that created it.' – Albert Einstein EU CLO Managers:...
EU CLO Managers: Investment Performance and Fixed-Rate Strategy A sample of 218 EU deals (vintage 2015–2019) is included in this...
EU CLO Managers' MV Alpha Metrics and their AAA Prints The tables below show the list of managers' latest MV...