***Summary of Alpha Trends and Performance Attribution for Each of the 25 Seasoned Managers***
The table below summarises the total, MV, and interest alpha trends for each seasoned manager since 2020.
The table below summarises the total, MV, and interest alpha trends for each seasoned manager since 2020.
How Have EU CLO Managers Stacked Up Against the Loan Index Since Inception? This study examines the long-term performance of 218 EU CLO deals from the 2015–2019 vintages, using the Morningstar European Euro-Denominated Loan Index as the benchmark. As of 19 March 2025, EU CLO managers, on average, had outperformed the loan index on an inception-to-date basis—driven primarily by principal value return outperformance—while their interest return remained broadly in line with that of the index.
CLO managers, on average, have closely tracked the loan index in 2024, following a period of relative outperformance of 10–20 bps from 2021 to 2023.
This study examines a sample of 218 deals from the 2015 to 2019 vintages, utilising the Morningstar European Euro-Denominated Loan...
A sample of 218 deals (2015–2019 vintages) managed by 40 managers is included in this study. The benchmark loan index...
How did deals with vertical strip risk retention perform vs. deals with horizontal slice risk retention? This study examines a...
