CLO Manager Total Returns*

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Manager	# Deals	Perf. Ending	β	1M Index TRR	1M Mgr TRR	1M Part from β	1M Part from α	3M Index TRR	3M Mgr TRR	3M Part from β	3M Part from α	6M Index TRR	6M Mgr TRR	6M Part from β	6M Part from α	12M Index TRR	12M Mgr TRR	12M Part from β	12M Part from α
Fortress Investment Group	5	4/9/2024	0.96	0.80	1.15	0.77	0.38	2.40	3.56	2.31	1.25	5.80	6.10	5.57	0.53	12.26	12.42	11.77	0.65
Anchorage Capital Group	17	4/18/2024	0.99	0.61	1.04	0.61	0.43	2.42	3.21	2.40	0.81	5.79	6.66	5.74	0.92	12.33	13.23	12.23	1.01
Black Diamond Capital Management	2	4/11/2024	0.83	0.72	0.76	0.60	0.16	2.32	2.71	1.93	0.77	5.60	5.58	4.67	0.92	12.33	12.41	10.28	2.13
Golub Capital	12	4/12/2024	0.92	0.68	1.09	0.63	0.47	2.38	2.86	2.19	0.67	5.76	6.03	5.29	0.74	12.29	12.24	11.28	0.96
Hayfin Capital Management	3	4/15/2024	0.95	0.63	0.88	0.60	0.27	2.41	2.95	2.29	0.65	5.83	6.00	5.56	0.44	12.32	13.26	11.74	1.52
MacKay Shields	1	4/11/2024	1.04	0.75	0.60	0.77	-0.18	2.31	3.03	2.40	0.63	5.65	5.71	5.86	-0.15	12.24	11.14	12.71	-1.57
HPS Investment Partners	11	4/15/2024	1.00	0.65	0.67	0.65	0.02	2.40	2.94	2.39	0.54	5.79	6.21	5.77	0.44	12.42	12.77	12.39	0.38
Canyon Capital Advisors	10	4/1/2024	0.98	0.91	1.06	0.89	0.17	2.59	2.94	2.54	0.40	5.60	5.85	5.50	0.35	12.52	13.13	12.28	0.86
Elmwood Asset Management	19	4/10/2024	0.87	0.70	0.82	0.61	0.20	2.36	2.45	2.06	0.39	5.80	5.89	5.05	0.84	12.47	12.09	10.86	1.22
Oak Hill Advisors	24	4/8/2024	0.97	0.78	1.03	0.76	0.27	2.40	2.69	2.33	0.37	5.91	6.19	5.72	0.47	12.29	12.61	11.89	0.71
Guggenheim Partners	4	4/4/2024	0.92	0.72	0.85	0.66	0.19	2.44	2.59	2.23	0.36	5.78	5.53	5.29	0.24	12.24	12.49	11.21	1.28
Partners Group	9	4/15/2024	1.01	0.63	0.78	0.63	0.15	2.35	2.71	2.37	0.34	5.68	6.27	5.72	0.55	12.21	13.17	12.31	0.86
DoubleLine Capital	3	4/10/2024	1.08	0.63	0.61	0.68	-0.07	2.34	2.87	2.53	0.34	5.73	6.14	6.19	-0.04	12.26	12.33	13.23	-0.91
Goldentree Asset Management	16	4/8/2024	1.01	0.83	0.91	0.84	0.07	2.40	2.73	2.42	0.31	5.86	6.31	5.90	0.41	12.31	12.75	12.39	0.35
Voya Alternative Asset Management	25	4/11/2024	1.02	0.79	0.97	0.80	0.16	2.37	2.73	2.42	0.31	5.82	6.17	5.94	0.23	12.28	12.57	12.53	0.04
KKR Financial Advisors	27	4/1/2024	1.05	0.92	1.03	0.96	0.07	2.60	3.04	2.73	0.31	5.60	6.14	5.88	0.26	12.51	13.34	13.14	0.20
Napier Park Global Capital	13	4/17/2024	0.91	0.78	0.83	0.71	0.12	2.38	2.46	2.16	0.30	5.88	5.62	5.34	0.28	12.25	11.47	11.13	0.34
New Mountain Capital	3	4/5/2024	0.91	0.92	0.98	0.84	0.14	2.48	2.57	2.27	0.30	5.72	5.57	5.22	0.35	12.70	12.31	11.60	0.71
Vista Credit	1	4/3/2024	0.95	0.76	0.71	0.72	-0.01	2.47	2.63	2.34	0.30	5.63	5.38	5.34	0.04	12.17	14.60	11.54	3.06
Generate Advisors	4	4/10/2024	0.97	0.77	0.88	0.75	0.13	2.33	2.56	2.27	0.29	5.66	5.89	5.50	0.40	12.16	13.39	11.81	1.58
Irradiant Partners	12	4/18/2024	1.03	0.69	0.73	0.72	0.01	2.43	2.78	2.50	0.28	5.77	5.98	5.94	0.04	12.37	13.06	12.75	0.32
Whitebox Capital Management	3	4/12/2024	0.89	0.52	0.75	0.46	0.29	2.29	2.29	2.03	0.25	5.60	5.29	4.98	0.32	12.05	11.18	10.71	0.47
Barings	18	4/15/2024	1.02	0.73	0.83	0.75	0.08	2.41	2.70	2.46	0.24	5.78	6.12	5.89	0.23	12.32	12.62	12.55	0.07
ICG Debt Advisors	13	4/19/2024	0.97	0.48	0.59	0.47	0.12	2.32	2.48	2.25	0.23	5.65	5.73	5.48	0.25	12.26	11.87	11.89	-0.02
WhiteStar	15	4/16/2024	1.06	0.73	0.73	0.78	-0.04	2.36	2.73	2.51	0.23	5.75	6.20	6.11	0.09	12.24	12.35	13.00	-0.66
AEGON USA Investment Management	7	4/15/2024	0.96	0.69	0.72	0.66	0.05	2.40	2.52	2.31	0.21	5.76	5.77	5.55	0.22	12.35	11.54	11.91	-0.37
TCW Asset Management	5	4/16/2024	0.98	0.52	0.52	0.51	0.01	2.34	2.49	2.28	0.20	5.71	5.86	5.58	0.28	12.25	12.24	11.97	0.27
Blackstone	37	4/8/2024	1.04	0.81	0.93	0.84	0.09	2.44	2.73	2.54	0.19	5.79	6.41	6.03	0.38	12.40	12.87	12.90	-0.02
Apollo Global Management	18	4/8/2024	1.02	0.81	1.00	0.83	0.17	2.40	2.62	2.45	0.17	5.89	6.20	6.01	0.19	12.18	12.33	12.42	-0.09
Crescent Capital Group	11	4/16/2024	1.16	0.70	0.76	0.81	-0.05	2.43	2.98	2.82	0.17	5.80	7.15	6.72	0.42	12.45	14.90	14.43	0.47
Bardin Hill Investment Partners	6	4/11/2024	1.08	0.70	0.75	0.75	0.00	2.38	2.74	2.58	0.16	5.82	6.70	6.28	0.41	12.34	14.22	13.34	0.88
Allstate Investment Management	8	4/10/2024	0.94	0.67	0.79	0.64	0.15	2.36	2.39	2.23	0.16	5.75	5.61	5.43	0.18	12.23	11.58	11.54	0.04
Oaktree Capital Management	8	4/1/2024	1.03	0.92	1.02	0.94	0.08	2.59	2.80	2.66	0.14	5.61	6.27	5.75	0.52	12.47	13.61	12.79	0.82
Orchard First Source Asset Management	1	4/3/2024	1.02	0.74	0.84	0.76	0.08	2.46	2.65	2.51	0.14	5.67	5.80	5.79	0.01	12.21	12.55	12.48	0.07
ZAIS Group	11	4/17/2024	1.16	0.58	0.80	0.67	0.13	2.44	2.97	2.83	0.14	5.76	6.14	6.67	-0.53	12.35	12.64	14.30	-1.66
Sixth Street	6	4/10/2024	0.99	0.64	0.79	0.64	0.15	2.37	2.49	2.36	0.13	5.73	6.00	5.70	0.31	12.18	11.80	12.11	-0.31
CVC Credit Partners	14	4/15/2024	1.00	0.74	0.76	0.74	0.02	2.38	2.51	2.38	0.13	5.74	5.81	5.75	0.06	12.24	11.79	12.27	-0.47
Blackrock Financial Management	9	4/15/2024	0.98	0.78	0.86	0.76	0.10	2.38	2.44	2.32	0.12	5.80	6.04	5.67	0.37	12.27	11.85	11.99	-0.13
Invesco	13	4/17/2024	0.96	0.81	0.72	0.78	-0.06	2.49	2.51	2.40	0.11	5.99	6.10	5.78	0.32	12.26	12.01	11.83	0.17
Clover	6	4/15/2024	0.99	0.64	0.65	0.63	0.02	2.38	2.46	2.36	0.10	5.78	6.26	5.73	0.53	12.29	11.63	12.20	-0.57
Nuveen	20	4/15/2024	1.00	0.63	0.63	0.63	0.00	2.35	2.44	2.34	0.10	5.78	6.04	5.76	0.28	12.33	11.73	12.27	-0.54
CFI Partners	1	4/1/2024	1.04	0.91	1.13	0.94	0.19	2.59	2.77	2.68	0.10	5.61	5.63	5.81	-0.18	12.51	13.05	12.96	0.09
Telos Asset Management	2	4/3/2024	0.85	0.86	0.64	0.74	-0.09	2.43	2.15	2.08	0.07	5.86	4.73	5.00	-0.27	12.24	9.63	10.46	-0.82
MidOcean Credit Fund Management	9	4/17/2024	1.07	0.77	0.75	0.82	-0.07	2.42	2.65	2.58	0.07	5.83	5.79	6.22	-0.43	12.36	12.66	13.19	-0.53
Pretium Credit Management	4	4/10/2024	1.02	0.75	0.76	0.76	0.00	2.32	2.43	2.36	0.07	5.70	5.67	5.80	-0.13	12.17	12.21	12.38	-0.17
Bain Capital Credit	27	4/12/2024	1.04	0.65	0.76	0.67	0.09	2.42	2.54	2.51	0.03	5.85	5.96	6.07	-0.11	12.46	12.62	12.93	-0.31
Ballyrock Investment Advisors	6	4/18/2024	0.98	0.69	0.60	0.67	-0.07	2.39	2.36	2.33	0.03	5.79	5.71	5.66	0.05	12.29	12.04	12.02	0.02
AllianceBernstein	4	4/10/2024	1.11	0.79	0.86	0.88	-0.01	2.38	2.67	2.64	0.03	5.72	6.30	6.35	-0.05	12.20	12.87	13.54	-0.67
Post Advisory Group	3	4/10/2024	1.01	0.57	0.59	0.58	0.01	2.34	2.39	2.36	0.02	5.71	5.67	5.76	-0.09	12.16	10.96	12.27	-1.30
Ares Management	30	4/15/2024	1.04	0.73	0.75	0.76	-0.01	2.41	2.52	2.51	0.02	5.77	6.22	6.02	0.20	12.36	12.64	12.89	-0.25
King Street Capital Management	12	4/10/2024	1.08	0.67	0.72	0.73	0.00	2.34	2.53	2.53	0.00	5.65	5.51	6.10	-0.60	12.23	12.92	13.22	-0.30
Western Asset Management	4	4/11/2024	1.05	0.71	0.75	0.75	0.00	2.31	2.42	2.42	0.00	5.62	5.97	5.89	0.08	12.11	12.10	12.69	-0.59
PGIM	38	4/1/2024	1.01	0.91	0.98	0.92	0.06	2.60	2.62	2.62	0.00	5.59	5.68	5.63	0.05	12.50	11.90	12.59	-0.69
ArrowMark Colorado Holdings	12	4/15/2024	0.99	0.74	0.81	0.73	0.08	2.40	2.35	2.37	-0.02	5.75	5.33	5.69	-0.36	12.29	11.86	12.16	-0.29
Benefit Street Partners	30	4/15/2024	1.08	0.73	0.83	0.79	0.04	2.40	2.57	2.59	-0.02	5.79	6.23	6.23	0.00	12.29	12.90	13.23	-0.32
Octagon Credit Investors	37	4/17/2024	1.00	0.61	0.54	0.61	-0.07	2.37	2.35	2.37	-0.02	5.76	5.91	5.74	0.17	12.45	12.30	12.41	-0.10
Morgan Stanley Eaton Vance	18	4/19/2024	1.01	0.65	0.69	0.66	0.03	2.46	2.46	2.49	-0.03	5.91	5.86	5.99	-0.13	12.45	11.98	12.61	-0.63
Vibrant Capital Partners	9	4/10/2024	1.05	0.66	0.56	0.69	-0.13	2.36	2.45	2.47	-0.03	5.71	5.85	5.99	-0.14	12.19	12.41	12.79	-0.39
Carlyle Group	41	4/17/2024	1.06	0.75	0.73	0.79	-0.06	2.42	2.53	2.56	-0.04	5.81	6.15	6.15	0.00	12.49	12.72	13.22	-0.50
CIFC Asset Management	31	4/19/2024	1.00	0.75	0.78	0.75	0.04	2.53	2.47	2.53	-0.06	5.98	6.02	5.97	0.05	12.46	12.32	12.45	-0.13
AXA Investment Managers	8	4/11/2024	1.00	0.62	0.61	0.62	-0.01	2.39	2.32	2.39	-0.06	5.78	5.74	5.78	-0.04	12.45	12.27	12.45	-0.18
Five Arrows Managers	5	4/15/2024	1.07	0.70	0.77	0.74	0.03	2.39	2.48	2.55	-0.07	5.86	6.51	6.27	0.24	12.33	12.86	13.18	-0.32
American Money Management	6	4/22/2024	0.96	0.72	0.65	0.70	-0.05	2.43	2.27	2.34	-0.07	5.85	6.08	5.64	0.44	12.40	12.52	11.95	0.57
Palmer Square Capital Management	17	4/17/2024	0.98	0.68	0.66	0.66	0.00	2.41	2.28	2.36	-0.08	5.83	5.76	5.71	0.05	12.28	12.11	12.03	0.07
Blue Owl	16	4/10/2024	1.03	0.66	0.65	0.68	-0.03	2.39	2.39	2.47	-0.08	5.80	5.80	6.00	-0.20	12.33	13.00	12.75	0.25
MJX Asset Management	28	4/18/2024	1.09	0.70	0.61	0.77	-0.15	2.44	2.58	2.66	-0.08	5.84	6.07	6.38	-0.30	12.44	12.92	13.58	-0.66
Sound Point Capital Management	35	4/12/2024	1.06	0.83	0.88	0.88	0.01	2.51	2.56	2.65	-0.09	5.88	6.02	6.23	-0.20	12.43	12.53	13.16	-0.62
New York Life Investment Management	7	4/11/2024	0.98	0.68	0.52	0.66	-0.15	2.39	2.25	2.34	-0.09	5.87	5.67	5.74	-0.07	12.34	11.57	12.07	-0.50
Credit Suisse First Boston	20	4/16/2024	1.02	0.72	0.70	0.74	-0.04	2.49	2.43	2.53	-0.10	5.82	5.50	5.92	-0.42	12.43	11.66	12.64	-0.98
ORIX Advisers	4	4/18/2024	1.03	0.54	0.61	0.56	0.05	2.28	2.24	2.36	-0.11	5.56	5.37	5.75	-0.38	12.14	11.24	12.55	-1.32
CarVal	1	4/4/2024	1.07	0.64	0.77	0.68	0.08	2.39	2.43	2.56	-0.12	5.64	5.55	6.02	-0.47	12.19	11.57	13.02	-1.45
AGL Credit	12	4/11/2024	1.11	0.73	0.84	0.81	0.02	2.44	2.58	2.70	-0.12	5.88	6.56	6.52	0.04	12.36	13.77	13.70	0.06
Onex Credit Partners	11	4/16/2024	0.99	0.73	0.68	0.72	-0.04	2.43	2.28	2.41	-0.12	5.88	6.05	5.83	0.23	12.41	12.33	12.31	0.02
Fort Washington Investment Advisors	2	4/10/2024	1.01	0.75	0.72	0.76	-0.04	2.33	2.20	2.35	-0.16	5.69	5.39	5.76	-0.37	12.16	11.22	12.31	-1.08
Aristotle	5	4/11/2024	1.05	0.67	0.74	0.71	0.03	2.39	2.34	2.50	-0.16	5.81	5.46	6.09	-0.63	12.48	12.28	13.07	-0.79
Neuberger Berman	32	4/18/2024	1.03	0.62	0.52	0.63	-0.12	2.40	2.30	2.46	-0.17	5.80	5.87	5.95	-0.08	12.39	12.03	12.72	-0.69
Columbia Management	5	4/17/2024	1.03	0.59	0.52	0.61	-0.09	2.33	2.23	2.40	-0.18	5.67	5.69	5.85	-0.16	12.25	12.20	12.63	-0.43
PPM America	4	4/8/2024	1.07	0.84	0.85	0.90	-0.05	2.40	2.39	2.57	-0.18	5.82	6.23	6.25	-0.02	12.27	12.93	13.17	-0.25
Nassau Corporate Credit	9	4/3/2024	1.14	0.78	0.81	0.90	-0.09	2.45	2.62	2.80	-0.18	5.64	6.38	6.45	-0.08	12.16	13.28	13.90	-0.62
40/86 Advisors	2	4/5/2024	0.90	0.85	0.67	0.76	-0.09	2.46	2.03	2.22	-0.19	5.71	5.03	5.14	-0.11	12.36	11.23	11.14	0.09
Trimaran Advisors	8	4/15/2024	1.01	0.65	0.55	0.65	-0.10	2.37	2.19	2.39	-0.20	5.76	5.43	5.81	-0.38	12.28	10.91	12.38	-1.47
Greywolf Capital Management	2	4/8/2024	1.12	0.80	0.84	0.90	-0.06	2.39	2.48	2.69	-0.21	5.86	6.20	6.59	-0.39	12.27	12.74	13.80	-1.05
Canaras Capital Management	4	4/17/2024	1.13	0.57	0.22	0.64	-0.41	2.38	2.45	2.67	-0.23	5.73	5.08	6.45	-1.37	12.29	12.94	13.84	-0.90
Jefferies Finance	8	4/15/2024	1.11	0.63	0.69	0.70	0.00	2.37	2.36	2.62	-0.26	5.77	6.02	6.38	-0.36	12.22	12.55	13.52	-0.97
Sculptor Loan Management	12	4/22/2024	1.00	0.63	0.36	0.63	-0.27	2.41	2.14	2.40	-0.26	5.82	5.66	5.80	-0.13	12.38	12.09	12.34	-0.25
FS Investments	2	4/10/2024	1.01	0.75	0.62	0.76	-0.14	2.33	2.10	2.36	-0.26	5.70	5.64	5.78	-0.14	12.17	12.22	12.34	-0.12
Investcorp Credit Management	22	4/11/2024	1.05	0.64	0.67	0.67	0.01	2.37	2.21	2.49	-0.28	5.79	5.59	6.08	-0.49	12.32	11.98	12.93	-0.95
Angelo, Gordon & Co	9	4/17/2024	1.11	0.74	0.73	0.82	-0.09	2.39	2.36	2.65	-0.29	5.76	6.01	6.40	-0.38	12.35	13.82	13.71	0.12
Shenkman Capital Management	4	4/12/2024	1.05	0.76	0.68	0.79	-0.11	2.44	2.21	2.56	-0.35	5.71	5.24	5.98	-0.74	12.40	11.94	12.98	-1.04
Marathon Asset Management	8	4/11/2024	1.15	0.64	0.53	0.73	-0.20	2.35	2.31	2.70	-0.38	5.75	6.04	6.59	-0.54	12.36	12.66	14.16	-1.50
LCM Asset Management	20	4/15/2024	1.07	0.70	0.57	0.75	-0.17	2.33	2.07	2.49	-0.42	5.71	5.47	6.11	-0.64	12.43	12.30	13.28	-0.98
PineBridge Investments	5	4/12/2024	1.04	0.71	0.58	0.74	-0.16	2.36	2.00	2.45	-0.45	5.70	5.49	5.92	-0.43	12.32	11.75	12.79	-1.03
Park Avenue Institutional Advisers	8	4/11/2024	1.03	0.61	0.45	0.62	-0.18	2.37	1.98	2.45	-0.46	5.72	5.37	5.90	-0.53	12.28	10.89	12.65	-1.76
Seix Advisors	6	4/9/2024	1.03	0.77	0.36	0.79	-0.43	2.36	1.97	2.44	-0.47	5.89	5.36	6.08	-0.72	12.29	11.88	12.69	-0.81
First Eagle Private Credit	17	4/19/2024	1.02	0.74	0.64	0.75	-0.11	2.43	2.01	2.48	-0.48	5.85	5.59	5.98	-0.39	12.46	12.22	12.72	-0.50
HalseyPoint Asset Management	3	4/10/2024	1.10	0.79	0.65	0.87	-0.23	2.33	2.08	2.56	-0.49	5.69	5.88	6.28	-0.40	12.02	12.59	13.24	-0.65
Steele Creek Investment Management	8	4/10/2024	1.06	0.83	0.78	0.88	-0.10	2.44	2.08	2.60	-0.52	5.84	5.35	6.21	-0.85	12.38	12.02	13.16	-1.13
Man Group	1	4/10/2024	1.01	0.63	0.67	0.64	0.03	2.34	1.85	2.37	-0.52	5.72	5.08	5.79	-0.72	12.24	12.01	12.40	-0.39
Brigade Capital Management	8	4/12/2024	1.05	0.65	0.35	0.68	-0.33	2.39	1.71	2.50	-0.79	5.71	5.44	5.98	-0.54	12.28	12.48	12.86	-0.38
Aquarian Credit Partners	1	4/9/2024	1.14	0.80	-0.18	0.91	-1.09	2.41	0.22	2.76	-2.53	5.67	3.74	6.49	-2.75	12.14	7.59	13.88	-6.29
Barrow Hanley	1	4/11/2024		0.56	0.79			2.31	2.45
Birch Grove Capital	4	4/10/2024		0.74	1.04			2.36	2.81			5.77	6.59			12.20	13.18
BlueBay Asset Management	1	4/3/2024		0.74	0.85			2.45	2.57			5.66	5.63			12.17	12.15
CQS Management	2	4/11/2024		0.63	0.44			2.31	2.01			5.62	5.04			12.20	11.84
Capital Four Management	3	4/8/2024		0.84	0.72			2.44	2.00			5.82	5.44			12.31	11.35
Empower Capital Management	2	4/11/2024		0.63	0.70			2.37	2.01			5.78	5.34
Muzinich & Co	2	4/1/2024		0.97	0.89			2.59	2.42			5.60	5.35
Northwestern Mutual	1	4/10/2024		0.63	0.52			2.33	2.05
Pimco	4	4/9/2024		0.80	0.70			2.35	2.17			5.91	6.12			11.56	11.52
Putnam Investments	3	4/8/2024		0.74	0.61			2.41	2.19			5.85	5.74			12.17	12.22
SPBDAL	1	4/22/2024		0.49	0.49			2.21	2.21			5.57	5.57			11.88	11.88
SPBDLL	1	4/22/2024		0.49	0.34			2.21	1.98			5.57	5.37			11.88	11.31
Sancus	1	4/10/2024		0.64	0.83			2.33	2.55			5.70	5.79			12.17	12.30
Silver Point	2	4/8/2024		0.81	1.10			2.40	3.03
Silver Rock Management	1	4/9/2024		0.67	1.12			2.35	3.25			5.86	7.06			11.70	13.57
Sycamore Tree	2	4/11/2024		0.62	0.76			2.28	2.45			5.58	5.90

* Please see the Users’ Notes tab for an explanation of methods and results. Source: Intex, Markit, S&P, Santander US Capital Markets

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