EU CLOs: Is WARF a Good Risk Measure? EU CLO ManagerHigher WARFMid-WARFLowerWARFAv. WARF (closing date to 28 Feb 20)x>28502785<=x<2850x<2785EU CLO Manager Count151413Number of Managers who registered a decent MV Alpha (Apr–Jun 2020) of over -0.3%4511Average MV Alpha (Apr–Jun 2020) Percentile 90%-0.2%0.0%0.5%75%-0.3%-0.1%0.3%50%-0.7%-0.4%0.0%25%-1.2%-1.1%-0.2%1%-2.3%-1.6%-1.3% Latest MV Alpha (as of 29 Mar 2022) Percentile 90%0.1%0.1%0.1%75%0.1%0.0%0.1%50%0.0%-0.1%0.1%25%-0.1%-0.2%-0.1%1%-0.3%-0.4%-0.3% Source: CLO Research, LCD, LPC, Intex The table above…
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Tags:WARF
