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.
Based on 57 post-2013 EU CLO deals that have been redeemed so far, CLO equity tranches from the 2020 and 2022 vintages stood out, as highlighted by their impressive final IRRs, bolstered by solid final equity NAV metrics.
On a positive note, the manager has made steady improvement over the past few months and as of the last reading...
This study includes a sample of 95 EU CLO deals (closed in 2021 and Jan 2022) managed by 46 managers, using the Morningstar European B Ratings Loan Index as the benchmark loan index. Of particular interest is the substantial representation of small European CLO managers in the top quartile. Notably, half of these high-performing managers are responsible for managing EU CLO assets in the range of EUR 1.0 billion to EUR 2.0 billion. However, it is equally important to recognize that small managers constitute a third of the managers in the lowest quartile. Despite this, small managers—those managing EUR 1.0 to 2.0 billion in EU AUM—have, on average, demonstrated commendable performance when compared with their larger counterparts in the EU CLO market.
The table in this article displays the relative ranking of each EU CLO manager, determined by their quarterly average total alpha metrics. For instance, a manager with a score of 81% (for 3Q 2023) implies that their total return alpha is in the 81st percentile. In other words, the manager's annualised total return alpha metric (since inception) exceeds that of 81% of its peers.
The table in this article illustrates the relative ranking of each EU CLO manager based on their quarterly average MV alpha metrics. For instance, a manager with a score of 82% (for 3Q2023) indicates that its MV return alpha is positioned at the 82nd percentile. In other words, the manager's MV return alpha metric surpasses that of 82% of its peers.
This study includes a sample of 93 more recent deals (closed in 2021 and Jan 2022) managed by 46 managers, using the Morningstar European B Ratings Loan Index as the benchmark loan index. The table below illustrates the relative standing of each EU CLO manager based on their latest average total alpha metrics (as of 26th June 2023) . A score of 98%, for instance, indicates that the manager’s total return alpha is at the 98th percentile, meaning their total return alpha metric exceeds that of 98% of their peers.
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
Man did better than its pre-pandemic performance as of the latest reading.
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
The table below shows the relative rankings of the largest EU CLO managers based on their latest average total alpha metrics (as of May 5th, 2023). For example, a score of 78% indicates that a manager's total return alpha is in the 78th percentile, meaning their metric is greater than that of 78% of their peers. Check out the rankings to see how these large managers compare in terms of performance!
The study includes a sample of 197 seasoned deals (2015–2019 vintage deals) managed by 39 managers, with the Morningstar European...
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.
