EU CLO Manager Report: CSAM
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 and third graphs.
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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 and third graphs.
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.
Although Redding Ridge’s interest return alpha metrics have been below average, it has outperformed its peers since August 2023 by a good margin thanks to its impressive MV return alpha outperformance. As illustrated in the graphs below, this demonstrates the success of its proactive portfolio management style.
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...
The manager displayed resilient MV alpha performance in the time following the loan market crash of late March 2020.
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.
It appears that there is a clear shift in style. Spire recorded above-average interest alpha until September 2020 and below-average interest alpha since then.
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
Nonetheless, it is worth noting that the manager's performance has rebounded remarkably following a trough experienced in late 2022. As of the last reading, the manager was performing better than its peers.
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.
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...
