***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.
This study includes a sample of 95 EU CLO deals (closed in 2021 and Jan 2022) managed by 46 managers, using the Morningstar European B Ratings Loan Index as the benchmark loan index. Of particular interest is the substantial representation of small European CLO managers in the top quartile. Notably, half of these high-performing managers are responsible for managing EU CLO assets in the range of EUR 1.0 billion to EUR 2.0 billion. However, it is equally important to recognize that small managers constitute a third of the managers in the lowest quartile. Despite this, small managers—those managing EUR 1.0 to 2.0 billion in EU AUM—have, on average, demonstrated commendable performance when compared with their larger counterparts in the EU CLO market.
The table below shows the quarterly average Interest alpha metrics (since 2020) of 38 EU CLO managers as of 28 Oct 2022.
A sample of 197 deals (2015–2019 vintage deals) managed by 38 managers is included in this study. The benchmark loan...
A sample of 302 deals (2016–2019 vintage deals) managed by 54 US CLO managers is included in this study. The...
A sample of 302 deals (2016–2019 vintage deals) managed by 54 US CLO managers is included in this study. The...
