Alegra Capital took the top two performing spots in May with Alegra ABS 1 and Alegra ABS 2. The funds returned 22.78% and 20.90% respectively, taking annualised returns since inception to 7.17% and 10.55%.

“ABS 1 and ABS 2 benefited from the strong rebound in lower mezzanine CLOs during the month,” says Tarun Buxani, portfolio manager at Alegra. The manager was able to realise some gains from positions taken in March while reducing down some of its CLO equity exposure in the process.

The top two Alegra funds invest mainly in CLO double B and equity notes. This allowed Alegra to invest in the classes that suffered the heaviest price dislocation during the covid-19 pandemic, but that have also experienced the largest rebound during the secondary market rally.

May highlighted the impressive gains made by CLO funds as they attempt to pull their YTD figures up from the slump in March. However, June has ended with a slight retreat in spreads and there is nervousness about a second covid-19 outbreak.

III Credit Opportunities Fund stood out not only as the sole fund from our structured finance category to make the top 10, but also for rebounding from April. The fund returned 17.05% in May, an improvement on the -6.48% in April. Despite this the fund has yet to recover completely from March’s slump, leaving YTD figures at -23.06%.