May 6, 2014 / 1:56 PM / 4 years ago

Fitch Rates SSgA Global Managed Volatility Equity Fund 'Strong' Fund Quality

(The following statement was released by the rating agency) PARIS, May 06 (Fitch) Fitch Ratings has assigned SSgA Global Managed Volatility Equity Fund a 'Strong' Fund Quality Rating. The fund is managed by State Street Global Advisors (SSgA). KEY RATING DRIVERS Fund Presentation SSgA Global Managed Volatility Equity Fund is a Luxembourg SICAV with USD154m of assets at end-March 2014. It is managed via a systematic, model-driven approach, with the aim to building a low volatility portfolio of global equities. The fund does not have a target volatility budget but aims to be less exposed than the MSCI World Index to market segments exhibiting high volatility. Investment Process A key input in the portfolio construction is the systematic analysis of stocks' volatility based on a fundamental multi-factor model. This allows a systematic assessment of factors driving a stock's volatility and correlations. Portfolio construction is highly disciplined and under the responsibility of the lead portfolio manager (PM), who provides limited judgment input. It draws on the multi-factor risk model and a portfolio optimisation process instead, which minimises the fund's expected absolute volatility under specific diversification and liquidity constraints. The fund is typically rebalanced every quarter and, more frequently, in cases of large investor inflows and outflows. Resources The experienced lead PM is supported by a well-resourced managed-volatility equity team of 13, part of a wider global equity beta solutions group. SSgA's investment resources are solid, including a global trading desk and an investment risk team of 16. The fund benefits from SSgA's operational and risk control framework. The IT environment is built around third-party systems, supporting well-controlled, efficient workflows. Track Record The fund has achieved a strong risk-adjusted return over three years relative to the MSCI World Index, outperforming it by 3.6% with a much lower volatility. The resulting information ratio, a relative risk-adjusted return metric, of 0.1 (3 years annualised) is in the best quintile among the Lipper global equity peer group. Given its investment strategy, the fund tends to underperform the index in a market environment where equity returns are rising rapidly but typically experiences smaller drawdowns than the index during market downturns. Asset Manager SSgA is the asset management arm of State Street Corporation (A+/Positive/F1+). It is a global asset manager with USD2.34trn in assets under management (AUM) at end-2013, including USD6bn in active emerging markets equities. RATINGS SENSITIVITIES The rating may be sensitive to material changes in the investment or operational processes, or in resources dedicated to the fund. A material adverse deviation from Fitch's guidelines for any key rating drivers could result in a downgrade of the rating. For example, this may be manifested in significant structural deterioration in the fund's performance or an excessive deviation from risk objectives. Key person risk is limited for this fund, but model risk exists. Fitch's Fund Quality Ratings combine Fitch's experience in qualitative fund analysis with rankings and performance data from Lipper, a Thomson Reuters company. Fitch's Fund Quality Ratings offer an independent, forward-looking assessment of a fund's key performance and risk attributes and consistency of longer-term returns, relative to peer group or benchmarks. The ratings focus on the fund manager's investment process, key fund performance drivers, risk management, and the quality of the fund's operational infrastructure. For more information, please see www.fundmanagement.fitchratings.com To receive forthcoming Fund Quality Rating research, opt in here Contacts: Primary Analyst Charlotte Quiniou, CFA Director +33 1 44 29 92 81 Fitch France S.A.S. 60 rue de Monceau Paris 75008 Secondary Analyst Francois Vattement, CFA Associate Director +33 1 44 29 92 75 Committee Chairman Ralph Aurora Senior Director +1 212 908 0528 Media Relations: Hannah Huntly, London, Tel: +44 20 3530 1153, Email: hannah.huntly@fitchratings.com. Additional information is available at www.fitchratings.com. Applicable criteria, 'Fund Quality Rating Criteria', dated 19 September 2011, are available at www.fitchratings.com. Applicable Criteria and Related Research: Fund Quality Ratings Criteria: Assessing Funds’ Investment Processes and Operational Attributes here SSgA Global Managed Volatility Equity Fund here Additional Disclosure Solicitation Status null/gws/en/disclosure/solicitation?pr_id=828775 ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

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