US CLO Managers: Investment Performance and AUM
A sample of 358 deals (2016–2019 vintage deals) managed by 83 US CLO managers is included in this study. The benchmark loan index used is the S&P/LSTA U.S. B/BB Ratings Loan Index.
| AUM (Q1 2022) | Over $15bn | Between $10bn and $15bn | Between $5bn and $10bn | Less than $5bn |
| Manager Count | 16 | 13 | 25 | 30 |
| Percentile | Total Alpha | Total Alpha | Total Alpha | Total Alpha |
| 99% | 0.74% | 0.40% | 0.74% | 0.37% |
| 75% | 0.38% | 0.18% | 0.28% | 0.08% |
| 50% | 0.21% | 0.12% | 0.02% | -0.07% |
| 25% | 0.11% | -0.03% | -0.05% | -0.30% |
| 1% | -0.33% | -0.43% | -0.64% | -0.67% |
Source: CLO Research, LCD, LPC, Intex
The table above shows the latest total alpha metric distribution (as of 7 Jun 2022) for each category of the CLO AUM range.
- In general, it is perhaps logical to assume that big managers are buying the market and hence it is unlikely that they will do well.
- However, looking at the alpha range in each category, bigger US CLO managers seem to do better than their smaller counterparts.
- To put things into context, managers are typically paid an annual management fee of 0.40% for managing the CLO portfolio.
Disclaimers
The information, research, data, research related opinions, observations and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
