US CLO Manager Performance: Quarterly Scoring Based on Total (MV + Interest) Return Alpha

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.

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US CLO Manager Performance: Quarterly Scoring Based on Total (MV + Interest) Return Alpha

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US CLO Manager Performance: Quarterly Scoring Based on Total (MV + Interest) Return Alpha

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