US CLO Managers (Performance)

US CLO Managers: Performance Attribution

US CLO Managers: Performance Attribution Please see the table below for the performance attribution of 66 US CLO managers based on a sample of 330 seasoned deals (2016–2019) managed by 66 managers. The benchmark loan index used is the S&P/LSTA U.S. B/BB Ratings Loan Index. To arrive at the total/MV/interest alpha, the total/MV/interest investment return…

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