US CLO Managers (Performance)

US CLO Managers: Relationship Between Par Build and MV Alpha

US CLO Managers: Relationship Between Par Build and MV Alpha A sample of 309 deals (closed between 2016 and 2019) managed by 53 managers is included in this study. The benchmark loan index used is the S&P/LSTA U.S. B/BB Ratings Loan Index. Some observations: Generally speaking, managers with a higher annualized par build metric tend…

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