EU CLO Managers: Investment Performance Summary
A sample of 148 deals* (2015–2018 vintage deals) is included in this study. The benchmark loan index used is the S&P European Euro Denominated Loan Index. On average, EU CLO managers registered around 0% total alpha from Jan 2020 to Nov 2021.
The table below shows the summary of 20 EU CLO managers’ investment performance from Jan 2020 to Nov 2021.
| Jan 2020 – Nov 2021 | Number of managers who outperformed the sample’s average (Jan 20 – Nov21) | Number of managers who underperformed the sample’s average (Jan 20 – Nov21) |
| All three fronts – Total/MV/Interest | 4* | 4 |
| Interest Alpha only | 5** | |
| MV Alpha only | 4*** | |
| Total and MV fronts | 2**** | |
| Total and Interest alpha fronts | 1***** |
* The sample’s average (Jan 20– Nov 21) total, MV and interest alpha metrics were 0.0%, -0.2% and 0.2%, respectively. Four managers did better than the sample’s average metrics on all three fronts – total, MV and interest alpha.
** These five managers experienced a steeper fall in their MV alpha in the time following the loan market crash of March 2020. Although some of them have recovered lost ground, their average MV alpha (Jan 2020-Nov 2021) was still below-average, leading to their overall alpha underperformance despite running a higher interest return strategy.
*** Four managers run a conservative strategy as shown by their below-average interest alpha. However, their MV alpha outperformance was not significant enough to offset their below-average interest alpha.
**** Two managers saw a better average MV alpha performance, which offset their below-average interest alpha.
***** One manager registered above-average total alpha despite their below-average MV alpha performance.
* Not all Nov trustee reports have been updated by Intex yet.
The latest individual investment performance reports through COVID-19 (relative to their peers and the market) of the seasoned managers below are available to premium users.
EU CLO Managers
KKR
HPS
Alcentra
Five Arrows
Brigade
Accunia
Bain
Man Group
Ares
Barings
Spire
Carlyle
Blackrock
PGIM
Blackstone
Cairn
Investcorp
GoldenTree
Chenavari
Disclaimers
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 of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any 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.
