Unveiling the Top EU CLO Managers Based on Their Seasoned Deals: Who’s Scoring High on MV Return Alpha for 1Q 2023?
The study includes a sample of 197 seasoned deals (2015–2019 vintage deals) managed by 39 managers, with the Morningstar European...
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.
The study includes a sample of 197 seasoned deals (2015–2019 vintage deals) managed by 39 managers, with the Morningstar European...
This study expands its analysis to include a sample of 90 more recent deals (closed in 2021) managed by 46...
A sample of 197 deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.
A sample of 197 deals (2015–2019 vintage deals) managed by 38 managers is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.
A sample of 198 deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark loan...
A sample of 198 deals (2015–2019 vintage deals) is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.
The table below shows the quarterly average Interest alpha metrics (since 2020) of 38 EU CLO managers as of 28 Oct 2022.
A sample of 197 deals (2015–2019 vintage deals) managed by 38 managers is included in this study. The benchmark loan...
The table below shows the latest total/MV/interest alpha metrics of 39 EU CLO managers as of 20 Jun 2022...
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 BB and B Prints The tables below show the list of managers'...
EU CLO Managers' MV Alpha Metrics and their AAA Prints The tables below show the list of managers' latest MV...
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 CLO Managers Who Score Well from the Latest Arb Return Standpoint A sample of 278 EU CLO deals (2015–...
