CLO Research

“There are three things extremely hard: steel, a diamond, and to know one's self.” ― Benjamin Franklin US CLO Managers:...

Seasoned US CLO Managers Who Score Well from the Latest Arbitrage Returns Standpoint A sample of 273 US CLO deals...

It's not that I'm so smart, it's just that I stay with problems longer. – Albert Einstein (16 March 2022)...

League Table: US CLO Managers' MV Alpha A sample of 358 deals (closed between 2016 and 2019) managed by 85...

Everything should be made as simple as possible, but not simpler. – Albert Einstein US CLO Managers: Total/MV/Interest Alpha Trends...

US CLOs: Implied Annual Default and Recovery Rates Incorporating Distressed and Trading Losses What default rates and recovery rates should...

EU CLOs: Implied Annual Default and Recovery Rates Incorporating Distressed and Trading Losses What default rates and recovery rates should...

US CLO Managers: WARF and Volatility of Alpha A sample of 270 US CLO deals (closed between 2016 and 2018) is...

"Common sense is the collection of prejudices acquired by age eighteen." – Albert Einstein US CLO Managers: WARF and Volatility of...

EU CLO Managers: WARF and Volatility of Alpha A sample of 145 EU CLO deals (closed between 2015 and 2018) is...

EU CLOs: Latest Performance Attribution of 41 Seasoned Managers A sample of 196 deals (2015–2019 vintage deals) is included in...

EU CLOs: Latest Performance Attribution of 41 Seasoned Managers A sample of 196 deals (2015–2019 vintage deals) is included in...

US CLO Managers: Total/MV/Interest Alpha Trends since Jan 2020 A sample of 363 deals (2016–2019* vintage deals) managed by 86...

Lower Interest Return Strategy: Performance Attribution of 59 US CLO Managers A sample of 244 deals managed by 58 managers...

Lower Interest Return Strategy: Performance Attribution of 58 US CLO Managers A sample of 244 deals managed by 58 managers...