Is WAS a Good Indicator of Principal Risk? Evaluating MV Return Alpha Trends Among Seasoned US CLO Managers
November 24, 2023
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A sample of 348 seasoned deals (2015–2019 vintage deals) managed by 56 US CLO managers is included in this study. The benchmark loan index used is the Morningstar LSTA US B-BB Ratings Loan Index.
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