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.
The top five US CLO managers for each WARF category are typically larger managers with a CLO AUM of $8 billion or more.
Some EU CLO managers run a lower WARF strategy, while others employ a higher WARF strategy. Which EU CLO managers make it to the top five based on their latest total return alpha performance for each WARF category?
The table above shows the relationship between managers’ median WARF and their average Q3 2022 total annualized return alpha.
US CLO Managers: WARF Does Not Appear to be a Good Risk Measure Av. WARF (Closing date to 28 Feb...
