(The following statement was released by the rating agency)
PARIS, April 14 (Fitch) Fitch Ratings has assigned SSgA EMU
Alpha Equity Fund
and SSgA Europe Small Cap Alpha Equity Fund 'Strong' Fund
Quality Ratings. The
funds are managed by State Street Global Advisors (SSgA).
KEY RATING DRIVERS
SSgA EMU Alpha Equity Fund is a French SICAV with EUR197m of
assets at end-March
2014. It invests in eurozone equities and is aimed at
outperforming the MSCI EMU
Index by 3 to 5% with a tracking-error target of 2% to 4%.
SSgA Europe Small Cap Europe Alpha Equity Fund is a French law
(FCP) with EUR44m of assets at end-March 2014. It invests in
capitalisation equities, and seeks to outperform the MSCI Europe
Small Cap Index
by 3%, while limiting its tracking-error target to 5%.
Both funds follow an active, systematic investment approach
quantitative model inputs. They are managed with tight deviation
to their benchmarks, avoid capitalisation bias, and seek a beta
close to one.
Bottom-up stock selection drives the funds' performance.
SSgA's quantitative models, based on specific attributes of
companies, allow a consistent, systematic assessment of a vast
companies, identifying those that are attractively valued and
prospects. This is complemented by a dynamic top-down approach
the portfolio's positioning.
SSgA's strong quantitative governance practices and resources
developments and enhancements.
Portfolio construction is disciplined and builds diversified
portfolios of small
active stock positions, drawing on an optimisation model that
model's stock ranking with risk constraints and transaction
Proposed trades are then reviewed by the lead portfolio manager
recent news flows that may not have been captured by the model.
The experienced lead PM of the two funds is supported by a
European equity team, comprising seven PMs and six quantitative
analysts. Investment resources are solid, including a global
trading desk and an
investment risk team of 16. The funds benefit from SSgA's
operational and risk
control framework. The IT environment is built around
supporting well-controlled, efficient workflows.
The funds have achieved sound track records, relative to their
benchmarks and peers over the long-term. SSgA EMU Alpha has
index by 15.8% over 10 years to March 2014 and achieved a Lipper
for Consistent Return of '5'. The macro-driven market
environment in 2011 was
detrimental to the quantitative model, which has subsequently
with a top-down component.
SSgA Europe Small Cap Alpha delivered a return of 210.8% over
five years to
March 2014, outperforming the Lipper Equity Europe Small&Mid Cap
48.7%, and its reference index by 11.9%. The fund's reference
index was the S&P
Small Cap Europe Index until October 2013, when it switched to
the MSCI Small
Cap Europe Index (the latter index has returned 215.2% over five
years to end
March 2014). The fund has achieved the highest Lipper Leader of
'5' over three,
five and 10 years to February 2014, and is among the best
performing quintile in
its Lipper peer group over the same periods, as well as since
its inception in
SSgA is the asset management arm of State Street Corporation
It is a global asset manager with USD2.34trn in assets under
end-2013, including USD3.8bn in active quantitative European
The ratings may be sensitive to material changes in the
operational processes, or in resources dedicated to the fund. A
deviation from Fitch's guidelines for any key rating drivers
could result in a
downgrade of the ratings. For example, this may be manifested in
structural deterioration in the funds' performance, excessive
from objectives, or substantial turnover in the investment team.
Key person risk
is limited for these funds, but model risk exists.
Fitch's Fund Quality Ratings combine Fitch's experience in
analysis with rankings and performance data from Lipper, a
company. Fitch's Fund Quality Ratings offer an independent,
assessment of a fund's key performance and risk attributes and
longer-term returns, relative to peer group or benchmarks. The
ratings focus on
the fund manager's investment process, key fund performance
management, and the quality of the fund's operational
For more information, please see
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Applicable criteria, 'Fund Quality Rating Criteria', dated 19
are available at www.fitchratings.com.
Applicable Criteria and Related Research:
Fund Quality Ratings Criteria: Assessing Fundsâ€™ Investment
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