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Global credit funds & CLO's
November 2023 | Issue 259
Published in London & New York.
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November 2023 | Issue 259
Data
funds
Fund performance
Fund performance
No autumnal fall for CLOs as category rises to 16.1% year to date
Once again, CLO funds maintained their strength in the Creditflux league tables, with the category index reaching 1.07% for September, 2.03% for Q3 and 16.11% in 2023 so far. But performance has continued to be strong overall, with 84% of credit funds reaching the black in September, compared to 86% in August.
Creditflux index returns September (%)
The top 10 list was populated mainly by CLO funds, with both Lupus Alpha and Sound Point claiming two spots. However, Acer Tree and Capital Four’s long-short funds also performed well, hitting 10.05% and 10.39% YTD, respectively.
The top performer this month usurped the previous leader, Axiom Credit Opportunity, to take the lead position for 2023. Lupus Alpha now has an impressive 29.84% YTD performance.
Nine funds have YTD figures exceeding 20%. Eight of these are CLO funds, further highlighting the dominance of the asset class this year.
Leading fund
Lupus Alpha CLO Opportunity Notes II
Lupus Alpha finished Q3 with a bang, as CLO Opportunity Notes II hit a 5.64% return in September. This helped boost the Frankfurt-based manager’s fund to a 29.84% YTD figure, leading the pack in 2023.
Michael Hombach, portfolio manager at Lupus Alpha, says: “We started de-risking our fund in early 2022 — before the Ukraine invasion.” As a result, Lupus Alpha has benefited from subsequent market volatility.
“Until the end of September, we saw improvement of sentiment in general: higher loan prices; reduction in distressed names; and increases in WAS due to A&E activity,” says Hombach. “All these factors had an impact on equity prices, given that the future path of expected cashflow increased the present value of our investments.”
Looking to the future, Hombach sees attractive distributions on current market valuations. He also predicts upside to come on the fund’s investments in junior mezzanine tranches and on “subs to the embedded par value subtracted by expected losses in the underlying”.
Top credit funds in September (%)
Lupus Alpha CLO Opportunity Notes II vs CLO funds cumulative returns (%)
*Data since fund inception (Aug-2013)
**Estimates
For hedge fund listing notes see Credit hedge funds
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