US CLO Managers: WARF Does Not Appear to be a Good Risk Measure Av. WARF (Closing date to 28 Feb 2020) –x2830<=x<31502785<=x<28302740<=x<27852600<=x<2740US CLO Manager Count17161616PercentileMV Alpha (Q2 2020)MV Alpha (Q2 2020)MV Alpha (Q2 2020)MV Alpha (Q2 2020)90%0.1%0.3%0.3%0.2%75%0.0%-0.1%0.1%-0.1%50%-0.3%-0.3%-0.1%-0.3%25%-0.7%-0.6%-0.5%-0.7%10%-1.2%-1.4%-1.0%-1.2% Source: CLO Research, LCD, LPC, Intex The table above shows the average Q2 2020 MV alpha of US…
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Tags:WARF
