Global credit funds & CLO's
September 2020
| Issue 227
Published in London & New York.
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September 2020 | Issue 227
Fund performance
Almost a third of credit funds reach positive YTD returns
Creditflux index returns July (%)
Creditflux index returns July (%) graphic
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.
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.
Leading fund
Lupus Alpha CLO Opportunity Notes II
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.”
Top credit funds in July (%)
Lupus Alpha CLO Opportunity Notes II vs CLOs index (%)
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