EU CLO Manager Report: Investcorp
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
EU Module premium users will gain access to all basic premium content, as well as to EU manager performance reports, including the latest reports on individual investment alpha performance from large and seasoned EU CLO managers. To calculate the total/MV/interest return alpha, we begin by determining the total/MV/interest investment return for each complete period, such as from a deal’s closing date to the most recent reporting date. This is achieved by compounding the portfolio’s monthly (or periodic) total/MV/interest return since the closing date. We then annualise the total/MV/interest portfolio return and compare it with the annualised return of the index. The difference represents the total/MV/interest return alpha, as illustrated here.
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as the benchmark loan index.
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
The manager displayed resilient MV alpha performance in the time following the loan market crash of late March 2020.
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
Despite this setback, CSAM made a strong recovery and, since August 2021, has outperformed its peers thanks to above-average metrics for MV and interest return alpha as shown in the second graph.
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
Throughout 2020 and 2021, Blackrock demonstrated resilience in its total performance. It consistently outperformed the loan index from January 2020 to July 2022, with the exception of April/May 2020. However, the firm’s performance began to decline from mid-2022, as its MV alpha decreased more significantly than that of its peers.
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
As of the latest update, it has slightly outperformed its peers. The manager maintains an average interest alpha profile, but its substantial improvement in Market Value (MV) alpha is particularly noteworthy.
Nonetheless, it is worth noting that the manager's performance has rebounded remarkably following a trough experienced in late 2022.
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
