EU CLO Manager Rankings: Investment Performance with Attribution (Lower Interest Return Strategy)
The investment strategy of a CLO manager is an important consideration for many investors. How does one define the style or strategy of a manager? Some focus on CLO deal metrics such as WARF, collateral spreads, diversity-score and other deal metrics.
At CLO Research, CLO manager’s underlying collateral interest alpha (actual collateral interest return relative to the S&P Euro Leveraged Loan index’s interest return) is used instead. In other words, par distribution, cash drag and other factors that would affect interest return are captured by this interest return number.
- Managers that have an average interest alpha of less than 0.25% p.a. are included in the table below.
- Only managers with at least five deals (2014 – 2019 vintage) in the study are shown here.
- Please feel free to sign up as a registered user to view the top 5 managers (not in order).
| CLO Manager ( at least 5 deals) | Total Alpha (MV + Interest) | MV Alpha | Interest Alpha |
| Manager 1 | 0.3% | 0.1% | 0.2% |
| Manager 2 | 0.2% | 0.0% | 0.1% |
| Manager 3 | 0.1% | 0.2% | -0.1% |
| Manager 4 | 0.1% | 0.1% | 0.0% |
| Manager 5 | 0.0% | 0.1% | -0.1% |
| Manager 6 | -0.2% | -0.2% | 0.1% |
| Manager 7 | -0.2% | -0.4% | 0.1% |
| Manager 8 | -0.2% | -0.3% | 0.1% |
| Manager 9 | -0.3% | -0.4% | 0.1% |
| Manager 10 | -0.3% | -0.5% | 0.2% |
| Manager 11 | -0.6% | -0.7% | 0.2% |
| Manager 12 | -0.6% | -0.8% | 0.2% |
Source: CLO Research, Intex, LPC, LCD
*Average across 2014-2019 deals
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The information, research, data, research related opinions, observations and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research related opinions, observations, and estimates in this document are in draft form as at the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any of their third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
