CLO Research

EU CLO Managers: Ranking Based on Actual 'Arbitrage' Investment Returns A sample of 250 EU CLO deals closed (between 2015...

EU CLO Manager League Tables (Investment Alpha and Attribution) This study shows the latest investment alpha and performance attribution metrics...

EU CLO Equity Scorecard: Arb Investment Returns (Benchmarking) A sample of 250 EU CLO deals managed by 55 EU CLO...

EU CLO Manager League Table: Average Alpha Across Seasoned Deals (2015 – 2018) This study shows the latest investment alpha...

US CLO Managers: Both Debt and Equity Friendly Investment Performance (Top 10) (Updated) A sample of 314 deals (closed between...

US CLO Equity: Loan Repricing Risk An overheated loan market with lots of loans quoted above par would usually lead...

US CLO Equity: Latest Arbitrage Scorecard 2016 – 1H 2020 Vintages (Benchmarking) A sample of 334 deals (closed between May...

US CLO Managers: Top-Tier Equity-Friendly Investment Performance A sample of 305 deals (closed between May 2016 and Dec 2019) managed...

US CLO Managers: Top-Tier Debt-Friendly Investment Performance A sample of 305 deals (closed between May 2016 and Dec 2019) managed...

League Table – Investment Performance of US CLO Managers With Average Spread Portfolios (Updated) A sample of 151 deals (closed...

League Table – Investment Performance of US CLO Managers Employing a Wider Spread Strategy (Updated) A sample of 62 deals...

US CLO Managers: Investment Performance and WARF US CLO ManagersLatest Total AlphaWARF (Average since inception)Count (WARF >3,000)Group One (10 Managers)0.7%3,0004Group...

US CLO Managers: Does a Very Liquid Strategy Lead to Better Investment Performance? US CLO ManagersLatest Total AlphaLiquidity* – Average...

League Table – Investment Performance of US CLO Managers Employing a Lower Spread Strategy A sample of 98 deals managed...

US CLO Managers: Does AUM Size Matter? A sample of 305 deals (closed between May 2016 and Dec 2019) managed...