CLOs look to continue their recovery with the end of the year in sight

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January 2021 | Issue 230

Data

funds

Fund performance

CLOs look to continue their recovery with the end of the year in sight

CLO funds claim the majority of positions in our top 10. Only three funds belong to different categories: Wasserstein Debt Opportunities from US high yield, Hildene Opportunities Fund II from credit multi-strategy, and Altum Credit Master Fund from structured finance.

Creditflux index returns October (%)

CLO funds took longer to recover from the lows of March, so YTD figures are not as high as other credit funds. Wasserstein is the leading fund from the top 10 in terms of YTD returns as it hit 5.47%, while Lupus Alpha and Flat Rock managed to pull themselves into the black as they have reached 2.47% and 0.11% YTD respectively.

The number of funds in Creditflux’s database with year-to-date returns in positive territory has climbed to 42%. This is a sharp reversal from March when 91% of funds had their YTD numbers pushed into the negative.

Leading fund

Alegra ABS 2

For the second time this year Alegra Capital takes the top two performing spots. This time Alegra ABS 2 and Alegra ABS 1 have swapped positions, returning 5.18% and 3.92% respectively. This takes their annualised returns since inception to 12.23% and 8.42%.

According to Philippe Jodin, co-founder at Alegra: “performance was mostly driven by the CLO equity notes held by the fund. These paid significant coupons and increased in price at the same time, thanks in part to defaults dropping lower than expected. Performance was also helped by the fund holding some CLO mezzanine notes.”

Since May, the last time the Alegra funds made the top two, they have managed to bring their YTD figure up to -18.02% and -19.13%, significant increases from the -35.68% and -35.03% they posted at the time.

Top credit funds in October (%)