@article {Mahadevan70, author = {Sivan Mahadevan and Peter Polanskyj and Anisha Ambardar}, title = {CDO Performance Unplugged}, volume = {7}, number = {1}, pages = {70--74}, year = {2004}, doi = {10.3905/jai.2004.419605}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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.}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/7/1/70}, eprint = {https://jai.pm-research.com/content/7/1/70.full.pdf}, journal = {The Journal of Alternative Investments} }