US CLO Managers: WARF and Volatility of Alpha A sample of 270 US CLO deals (closed between 2016 and 2018) is included in this study. In this context, the ‘volatility’ of alpha is defined as the average alpha metric for the second quarter of 2020. WARF is based on the average calculated WARF of deals managed…
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US CLO Managers: WARF and “Volatility” of Alpha
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