TY - JOUR T1 - CDO Performance Unplugged JF - The Journal of Alternative Investments SP - 70 LP - 74 DO - 10.3905/jai.2004.419605 VL - 7 IS - 1 AU - Sivan Mahadevan AU - Peter Polanskyj AU - Anisha Ambardar Y1 - 2004/06/30 UR - https://pm-research.com/content/7/1/70.abstract N2 - The CDO market has historically been plagued by a lack of pricing transparency. The birth of a new secondary market offers an opportunity to take a first look at real price performance. In this article, the authors estimate performance focusing on a universe of over 100 senior notes. They find that senior notes have lost 1.3% (above Libor) since inception. Leveraged-loan-backed deals were the best performers, down only 0.1%, while high yield senior notes were down 2.4%. They note that bullish investors may find value in many AA-rated notes in the secondary market, while bearish investors should take comfort in shorting AAAs (through total return swaps) at levels near par. They also note that a more balanced position is to get long AAs and short AAAs. ER -