Observed arrival · 2026-11-11
A reproducible loan-market dataset built from SEC filings
Leveraged Loan Factors publishes open monthly factor returns for US leveraged loans, derived from public SEC Form N-PORT filings.
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- Researchers studying US leveraged-loan factors
- Worth noticing
- The site reports a 0.995 monthly return correlation with the Morningstar LSTA index for October 2019–April 2026.
Field notes
The dataset is derived from SEC Form N-PORT fund holdings, which the site says report loan notional and fair value. Its outputs cover nine named factors plus a market index, with multiple weighting schemes, holding periods, and implementation-lag options; the linked pipeline is available on GitHub. The page cautions that its latest-year factor rankings cover only twelve monthly returns and should be treated as an indication rather than evidence.
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