RT Journal Article
SR Electronic
T1 Better Measurements for CLO Equity Performance
JF The Journal of Structured Finance
FD Institutional Investor Journals
SP 24
OP 30
DO 10.3905/jsf.2016.22.2.024
VO 22
IS 2
A1 Joseph M. Pimbley
YR 2016
UL https://pm-research.com/content/22/2/24.abstract
AB This article discusses the structural and investment aspects of collateralized loan obligation (CLO) equity. The author reviews current and proposed measures of investment performance with example data of a large CLO transaction database. He finds that alternative measures provide better and extended information for CLO equity returns relative to the industry standard.TOPICS: CLOs, CDOs, and other structured credit, performance measurement