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This paper studies the fluctuations of the signal-to-noise ratio (SNR) of minimum variance distorsionless response (MVDR) filters implementing diagonal loading in the estimation of the covariance matrix. Previous results in the signal processing literature are generalized and extended by considering both spatially as well as temporarily correlated samples. Specifically, a central limit theorem (CLT) is established for the fluctuations of the SNR of the diagonally loaded MVDR filter, under both supervised and unsupervised training settings in adaptive filtering applications. Our second-order analysis is based on the Nash-Poincare inequality and the integration by parts formula for Gaussian functionals, as well as classical tools from statistical asymptotic theory. Numerical evaluations validating the accuracy of the CLT confirm the asymptotic Gaussianity of the fluctuations of the SNR of the MVDR filter.