CLO assets exhibit similar performance to loan mutual funds with nearly identical risk exposures and fees. CLO debt and equity tranches generate after-fee returns that are attractive relative to public benchmarks but commensurate with their systematic risk exposures. Before fees, equity tranches significantly outperform public benchmarks, which shows how managers capture the economic surplus created by CLOs. Temporal variation in equity performance highlights the resilience of CLOs to market volatility due to their long-term funding structure and the erosion of returns as the market has grown.