The table below presents some median metrics for each quartile of managers’ performance, based on their annualised alpha metrics from issue dates to 27 November 2023.
This study encompasses a sample of 95 EU CLO deals, closed in 2021 and January 2022, managed by 46 managers. The benchmark used is the Morningstar European B Ratings Loan Index.
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.
Given the similarity in average annual sale volumes between these two sets of managers, it becomes apparent that the volume of trading has limited influence on the alpha performance of managers, as per the findings of this study. It is worth noting that both active and less active managers, in terms of trading activities, are well represented in both the upper and lower segments of manager performance.
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.
A sample of 197 deals (2015–2019 vintage deals) managed by 38 managers is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.
