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In the table below, the relative standing of each US CLO manager is illustrated based on their latest average total alpha metrics. A score of 91% means that the manager's total return alpha is at the 91st percentile, indicating that their total return alpha metric is higher than 91% of their peers.
A sample of 313 seasoned deals (2016–2019 vintage deals) managed by 57 US CLO managers is included in this study. The benchmark loan index used is the Morningstar LSTA US B-BB Ratings Loan Index. The table in tihis premium displays the relative ranking of each US CLO manager based on their quarterly average total (MV+interest) return alpha metrics*. For instance, a manager with a score of 82% (for 2Q 2023) indicates that their total return alpha is at the 82nd percentile for that quarter. In simpler terms, the manager's total return alpha metric exceeds that of 82% of their peers for that quarter.
For example, a manager with a score of 89% (2Q 2023) means that its MV return alpha is said to be at the 89th percentile for that quarter. In other words, the manager's MV return alpha metric exceeds that of 89% of its peers.
Looking at the average metrics for 1-3 Q 2022, 2021 and 2020, Wellfleet outperformed its peers on...
A sample of 366 seasoned deals (2016–2019* vintage deals) is included in this study. The benchmark loan index used is...
A sample of 366 deals (2016–2019* vintage deals) is included in this study. The benchmark loan index used is the...
A sample of 366 deals (2016–2019* vintage deals) is included in this study. The benchmark loan index used is the...
To expand the total alpha performance analysis, this study has included a sample of 177 more recent deals closed in...
A sample of 313 seasoned deals (2016–2019 vintage deals) managed by 56 US CLO managers is included in this study....
A sample of 366 deals (2016–2019* vintage deals) is included in this study. The benchmark loan index used is the...
Please see the table below for the list of managers' Q3 2022 MV return alpha and par build (annualized) metrics:
CLO debt investors would probably focus more on this metric.
A sample of 302 deals (2016–2019 vintage deals) managed by 54 US CLO managers is included in this study. The...
A sample of 302 deals (2016–2019 vintage deals) managed by 54 US CLO managers is included in this study. The...
US CLO Managers: Performance Attribution Please see the table below for the performance attribution of 66 US CLO managers based...
