OREANDA-NEWS. March 30, 2015. Fitch Ratings has affirmed SSGA Emerging Markets Select Equity Fund's (SSGA EM Select) and SSGA Emerging Asia Alpha Equity Fund's (SSGA EM Asia) 'Strong' Fund Quality Ratings. The funds are managed by State Street Global Advisors (SSGA).

KEY RATING DRIVERS

Funds Presentation
SSGA EM Select is a Luxembourg SICAV with EUR294m of assets at end-February 2015. It invests in global emerging markets equities with a bias towards smaller, less liquid markets relative to market cap-weighted indices.

SSGA EM Asia is a French SICAV with EUR160m of assets at end-February 2015. It invests in equity stocks from the eight countries making up the MSCI Emerging Markets Asia Index.

Both funds follow an active long-only approach, combining quantitative and fundamental inputs. Country allocation and bottom-up stock selection drive their investment strategies.

Investment Process
SSGA's quantitative models allow a consistent, systematic assessment of countries and of a vast universe of companies, identifying those that are attractively valued and with growth prospects. SSGA's strong quantitative governance practices and resources support model developments and enhancements.

Portfolio managers' fundamental analysis both on markets and on stocks that rank high on the company's quantitative models provides additional inputs that may not be captured by the model and effectively limit model risks.

Portfolio construction is disciplined and builds diversified portfolios of small active stock positions, under risk-limiting constraints. Portfolio managers also draw, to a large extent, on the quantitative models and inputs from the rest of the team. Bi-weekly investment committees covering active emerging market equity strategies also aid the process.

Resources
The experienced lead PMs of the two funds are supported by a well-resourced active emerging market equity team, comprising 11 portfolio managers, three portfolio implementation specialists and three 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 supports well-controlled, efficient workflows.

Track Record
SSGA EM Select has returned 25% and 13% over 1 and 3 years to end-February 2015, underperforming the benchmark by 4.5% and 5% (1.6% annualised) over the two periods respectively. The fund's performance in 2014 was in line with benchmark. The fund's investment strategy, by nature, leads to large deviations in terms of country allocation relative to the index as smaller, less liquid countries are overweighted and larger countries underweighted. Fitch recognises this may, at times, lead to performance deviation relative to the index despite the fund maintaining a beta close to one. More recently, political events and central bank interventions had proved challenging for the fund's model.

SSGA EM Asia has returned 37% and 34% over one and three years respectively (net of fees) to end-February 2015, underperforming its benchmark by about 1% over the two periods on an annualised basis. Performance is 2% above the index since the fund's inception (annualised).

Asset Manager
SSGA is the asset management arm of State Street Corporation (AA-/Stable/F1+). It is a global asset manager with USD2.45trn in assets under management at end-2014, including the assets of the SPDR Gold ETF (approximately USD27.3bn at end-2014), for which State
Street Global Markets, LLC, an affiliate of SSGA, serves as the distribution agent. Assets in active emerging markets equities were USD5bn.

RATINGS SENSITIVITIES

The ratings 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 ratings. For example, this may be manifested in significant structural deterioration in the funds' performance, an excessive risk deviation 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 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.

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