Global credit funds & CLO's
September 2020 | Issue 227
Published in London & New York.
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September 2020 | Issue 227
Data funds
Fund performance
Almost a third of credit funds reach positive YTD returns
Leading fund
For the second month in a row, Frankfurt-based Lupus Alpha has taken the two top performing spots, returning 9.14% and 9.46% for Lupus Alpha CLO Opportunity Notes I and II. Similar to June, the Lupus Alpha team has benefited from appreciation of its CLO equity exposures courtesy of improving over-collateralisation (OC) ratios. These once again came to fruition. Michael Hombach, portfolio manager at Lupus Alpha says: “In July the main driver for us was equity distributions of over 2% for both funds, these were on a weighted basis with regards to the notional size invested - not market value. The OCs also improved with a noticeable increase in the market prices of loans, active trading by CLO managers and triple C buckets decreasing materially which all helped lead to higher, but still attractive valuations.”
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Top credit funds in July (%)
Lupus Alpha CLO Opportunity Notes II
Lupus Alpha CLO Opportunity Notes II vs CLOs index (%)
Creditflux index returns July (%)
Creditflux index returns July (%) graphic
Two BlackRock high yield funds made the cut, pushing their year-to-date figures into the positive. Mashreq’s Makaseb Income Fund joined the top funds as it pulled its 12-month figure up to 7.09%. As we pass the half-way mark for 2020, year-to-date figures are showing a slow rise, as 29% of funds listed have reached positive YTD figures, an increase on 19% from June. There are also double-figure YTD returns from three funds, including Orchard’s Liquid Credit Fund, Serenitas’ Credit Gamma Master Fund and Finanz Konzept’s Triple Opportunity Fixed Income Fund.
July has been a successful month for many credit funds, despite the recovery peaking in May and June. For the fourth month in a row the CLOs category index has led the way, as five of the top 10 funds invest primarily in CLOs. 87% of funds made positive returns, this marks a drop on June returns where 96% of funds posted net positive returns.
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