About

Leveraged Loan Factors is maintained by Thomas Mählmann, Professor at the Department of Finance and Banking of the Catholic University of Eichstätt-Ingolstadt.

The database continues a research program on systematic investing in leveraged loans. Earlier work, based on commercial dealer quotes, showed that value, momentum and related factor themes are priced in the loan market. This database makes the core factor returns available to everyone, using public data only.

Related research

Mählmann, T., and Sukonnik, G. (2022). Investing with Style in Liquid Private Debt. Financial Analysts Journal, 1–21. doi:10.1080/0015198X.2022.2085017
Mählmann, T., and Reck, I. (2024). The Factor Edge: Optimized Private Debt Investing. The Journal of Portfolio Management, 50(7), 36–70. doi:10.3905/jpm.2024.1.609

Contact

Questions, corrections and suggestions are welcome by e-mail to thomas.maehlmann@ku.de or as an issue on GitHub.

Executive education

For practitioners who want to apply these ideas, I teach the seminar Private Debt Investing: From Research to Portfolio (privatedebtseminar.de).

Leveraged Loan Factors is a private project of Thomas Mählmann. It is not an offering of the Catholic University of Eichstätt-Ingolstadt; the university is named to indicate the author's affiliation.