Tag Archives: MV Return Alpha

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.

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.

For example, a manager with a score of 89% (2Q 2023) means that its MV return alpha is said to be at the 89th percentile for that quarter. In other words, the manager's MV return alpha metric exceeds that of 89% of its peers.

A sample of 198 deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark loan...

A sample of 198 deals (2015–2019 vintage deals) is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.