CLO Equity Index

Index Description

The Flat Rock CLO Equity Returns Index seeks to measure the unlevered, gross of fee performance of US CLO equity tranches as represented by the market-weighted performance of the underlying assets of funds that publicly disclose their holdings and fair market values to the U.S. Securities and Exchange commission. The reporting funds satisfy certain eligibility criteria. The index inception date is September 30, 2014. The index is calculated quarterly on a 75-day lag.

Last Quarter Index Characteristics


Index Characteristics
3Q2024
CLO AUM at Fair Value$2,594,609,243
Number of CLOs490
Number of firms providing marks5


One Year Return
Three Year Return AnnualizedFive Year Return AnnualizedAnnualized Return since inception on 9/30/2014 Maximum Quarterly Drawdown Maximum Quarterly Drawdown PeriodStandard Deviation of Returns
17.4%6.9%11.7%7.6%-30.4%1Q2020 19.5%

DateIndex LevelQuarterly ReturnYearly Return
30-Sep-14100.00
31-Dec-14100.210.21%
31-Mar-15101.020.80%
30-Jun-15102.371.34%
30-Sep-1594.71-7.48%
31-Dec-1583.92-11.39%-16.26%
31-Mar-1683.57-0.42%
30-Jun-1697.5916.78%
30-Sep-16111.9714.74%
31-Dec-16124.8811.53%48.81%
31-Mar-17125.640.61%
30-Jun-17130.363.75%
30-Sep-17128.54-1.39%
31-Dec-17134.114.33%7.39%
31-Mar-18138.533.29%
30-Jun-18139.590.77%
30-Sep-18142.522.10%
31-Dec-18121.72-14.59%-9.24%
31-Mar-19133.559.72%
30-Jun-19133.13-0.31%
30-Sep-19119.74-10.06%
31-Dec-19121.001.05%-0.59%
31-Mar-2084.21-30.41%
30-Jun-2090.617.60%
30-Sep-20102.8313.49%
31-Dec-20133.5729.89%10.39%
31-Mar-21145.659.04%
30-Jun-21158.138.57%
30-Sep-21170.457.79%
31-Dec-21173.521.80%29.91%
31-Mar-22169.92-2.08%
30-Jun-22148.71-12.48%
30-Sep-22153.213.03%
31-Dec-22153.340.09%-11.63%
31-Mar-23157.092.44%
30-Jun-23160.292.04%
30-Sep-23177.1210.49%
31-Dec-23187.305.75%22.15%
31-Mar-24197.105.23%
30-Jun-24204.303.66%
30-Sep-24207.981.80%