Higher Interest Return Strategy: Performance Attribution of 27 US CLO Managers
A sample of 114 deals managed by 27 managers with more than 0% interest alpha over the last three months on average (closed between Mar 2016 and Dec 2019) is included in this study. The table below shows each manager’s latest average investment alpha and performance attribution based on the latest trustee data available on Intex as of 14 Feb 2022.
The benchmark loan index used is S&P/LSTA U.S. B/BB Ratings Loan Index. The average deal is doing better than the index from the total alpha perspective. This means that, on average, US CLO managers employing a higher interest return strategy have outperformed the loan index.
In general, such a strategy would rely on effective management of the MV performance in order to deliver a positive overall alpha.
| CLO Manager | Total Alpha** | MV Alpha** | Interest Alpha** |
| Anchorage Capital Group | * | * | * |
| Angelo, Gordon & Co | * | * | * |
| Ares Management | * | * | * |
| Brigade Capital Management | * | * | * |
| Canaras Capital Management | * | * | * |
| Canyon Capital Advisors | * | * | * |
| Carlyle Group | * | * | * |
| Credit Suisse First Boston | * | * | * |
| DFG Investment Advisers | * | * | * |
| Elmwood Asset Management | * | * | * |
| Five Arrows Managers | * | * | * |
| Generate Advisors | * | * | * |
| Halcyon Asset Management | * | * | * |
| ICG Debt Advisors | * | * | * |
| Jefferies Finance | * | * | * |
| Marathon Asset Management | * | * | * |
| Marble Point | * | * | * |
| Medalist Partners | * | * | * |
| MJX Asset Management | * | * | * |
| Morgan Stanley Investment Management | * | * | * |
| Octagon Credit Investors | * | * | * |
| Orchard First Source Asset Management | * | * | * |
| Sound Point Capital Management | * | * | * |
| Steele Creek Investment Management | * | * | * |
| Wellfleet Credit Partners | * | * | * |
| WhiteStar | * | * | * |
| ZAIS Group | * | * | * |
| Average | 0.2% | 0.0% | 0.2% |
Source: CLO Research, LCD, LPC, Intex
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** Average over the last three months
To arrive at the total/MV/interest alpha, the total/MV/interest investment return for the whole period (from a deal’s closing date to the last trustee report date) is first calculated. The total/MV/interest portfolio return is then annualised, and the excess return over the index’s return is the total/MV/interest alpha depicted here.
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 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.
