Performance and Risk Profile of US BSL CLO Managers
Performance and Risk Profile of US BSL CLO Managers
Performance and Risk Profile of US BSL CLO Managers
This analysis examines a sample of 665 US BSL CLO deals from the 2019–2021 vintages, selected due to sufficient seasoning.
The table below presents the percentile breakdown of annualised par gain for each quartile...
The table below presents the pre-reset adjusted triple-C exposure, AAA factor, par loss, and equity NAV for reset deals from the 2014 to 2020 vintages, priced this year.
In the table below, the relative standing of each US CLO manager is illustrated based on their latest average total alpha metrics. A score of 91% means that the manager's total return alpha is at the 91st percentile, indicating that their total return alpha metric is higher than 91% of their peers.
This study underscores the significant divergence in investment performance between the top and bottom 10 US CLO managers based on their alpha. The findings emphasize the critical role of effective manager selection in achieving favorable results. While metrics like par build and weighted average price offer insights, they don't tell the whole story. Conversely, the average WAS, WARF, and liquidity depth metrics for both groups show minimal variance, indicating a limited correlation of these metrics with investment performance based on this sample.
