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Seasoned EU CLO Managers: Trends in Total, MV, and Interest Return Alpha (Updated)

This study examines a sample of 218 deals from the 2015 to 2019 vintages, utilising the Morningstar European Euro-Denominated Loan Index as the benchmark loan index. Prior to the pandemic, managers delivered strong performance, averaging close to 20 basis points (bps) of alpha. However, in April 2020, the average alpha sharply declined to -50 bps…

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