Fact sheet: SSgA Gbl Mgd Vol Eq

Fund information
Fund name
SSgA Global Managed Volatility Equity I
Fund manager company
State Street Gbl Advisors LUX
Fund type
Offshore Fund
Fund managers
  • State Street Global Advisors France SAsince 30/05/2011
  • David Arrighinisince 24/03/2010
Fund objective
The objective of the Fund is to provide competitive returns relative to the MSCI World Index (Net) (the 'Index') over the long term while maintaining relatively low volatility.
Benchmark
  • MSCI World Index (Net)
Investment style
Passive/Tracking
Investment method
Physical – Sampled/Optimised, Shares
Quick stats
1 Year return
2.3%
1 Year rank in sector
207/471
Sector
FO Equity - International
Yield
-
Ongoing charge (OCF)
?A fund’s ongoing charges figure (OCF) is similar to the old-style total expense ratio. It reflects the annual charge to investors in the fund, in percentage terms, but does not include extra performance-related fees (where these are levied) or the fund’s trading expenses on its underlying investments.
0.45%
Fund size
£417m (£309m last year)
FE Risk score
?FE Risk Scores measure the riskiness of instruments relative to the FTSE 100 index of shares. Weekly volatility is measured over three years with recent behaviour counting more heavily than earlier behaviour. Cash-type investments will have scores close to zero. Funds will tend to have scores in the 0-150 range. The FTSE 100 is always scored at 100. There is no upper limit.
92
Top in this sector
Fund name1 Year
Heptagon Kprnk GblAlCpEq38.4%
Schroder ISF Gbl Rec34%
Dodge & Cox Gbl Stk32.2%
Dimensional Gbl Small Cos29.1%
GS Global SmCap Core Eq28.8%
...more in FO Equity - International

Performance snapshot

Holdings snapshot

  • USA56.5%
    Japan10%
    Canada6.7%
    Switzerland6%
    Hong Kong4.6%
  • Consumer Staples24.3%
    Utilities22.2%
    Health Care18.2%
    Telecommunications8.6%
    Financials6.8%
  • US Equities56.5%
    Japanese Equities10%
    Canadian Equities6.7%
    Swiss Equities6%
    Hong Kong Equities4.6%

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund-3.3%-6%-3.4%2.3%23.9%66.9%
Sector0.6%0.5%4.8%3.3%14%53.6%
Rank within sector461 / 499478 / 496458 / 486207 / 471121 / 383110 / 287
Quartile4th4th4th2nd2nd2nd
Calendar performance
 YTD - 20162015201420132012
Fund2.9%4.5%14.9%17.9%12.2%
Sector5.4%0.7%6%21.3%12.7%
Rank within sector283 / 475137 / 42766 / 387264 / 338182 / 289
Quartile3rd2nd1st4th3rd
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
5.96
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
0.56
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
0.63
Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
8.21
Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
7.52
Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
0.5
R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
0.43
Price movement
52 week high20.49
52 week low17.04
Current bid price-
Current offer price-
Current mid price18.69
Region
1USA56.5%
2Japan9.95%
3Canada6.65%
4Switzerland5.95%
5Hong Kong4.6%
6UK3.89%
7Singapore3.39%
8International2.82%
9New Zealand2.67%
Industry sector
1Consumer Staples24.28%
2Utilities22.22%
3Health Care18.15%
4Telecommunications8.55%
5Financials6.79%
6Real Estate6.41%
7Consumer Discretionary5.82%
8Industrials4.61%
9Information Technology2.75%
Asset type
1US Equities56.5%
2Japanese Equities9.95%
3Canadian Equities6.65%
4Swiss Equities5.95%
5Hong Kong Equities4.6%
6UK Equities3.89%
7Singapore Equities3.39%
8International Equities2.82%
9New Zealand Equities2.67%
Individual holdings
1CHURCH & DWIGHT1.22%
2SCANA CORP(NEW)1.17%
3CLP HLDGS1.15%
4ALLIANT ENERGY CORP1.14%
5LABORATORY CORP OF AMERICA HOLDINGS1.14%
6REYNOLDS AMERICAN INC1.12%
7MCCORMICK & CO INC1.08%
8METRO AG1.08%
9ALTRIA GROUP INC1.06%
Management
Fund manager group
State Street
Fund manager company
State Street Gbl Advisors LUX
Fund type
Offshore Fund
Fund objective
The objective of the Fund is to provide competitive returns relative to the MSCI World Index (Net) (the 'Index') over the long term while maintaining relatively low volatility.
Benchmark
  • MSCI World Index (Net)
Investment style
Passive/Tracking
Investment method
Physical – Sampled/Optimised, Shares
Fund managers
NameSinceBiography
State Street Global Advisors France SA30/05/2011
David Arrighini24/03/2010David Arrighini is a Managing Director of State Street Global Advisors and a senior portfolio manager on the Global Equity Beta Solutions team. He is Head of the Tax-Efficient Market Capture team and works on Smart Beta solutions. In this role, he manages SSGA's tax-efficient quantitative equity strategies and Smart Beta portfolios for institutional clients and high net worth individuals. Prior to joining SSGA in 1997, David worked as a Portfolio Manager at PanAgora Asset Management, helping develop and implement active and passive U.S. equity strategies. His responsibilities also included running optimizations and trading. Prior to taking on these duties, David was responsible for the daily operation and implementation of PanAgora's U.S. Tactical Asset Allocation Strategy. He has been working in the investment management field since 1990. David graduated Magna Cum Laude with a BA in Quantitative Economics from Tufts University and has earned a master's degree in Finance from the Carroll School of Management at Boston College. In addition, David has earned the Chartered Financial Analyst (CFA) designation and is a member of the Boston Security Analysts Society and the CFA Institute.
Compliance
Transparent for Austrian Tax, Transparent for Swiss Tax, Reporting Fund Status, UCITS IV Compliant, UCITS V Compliant
Domicile
No data available.
Fund for sale in
Austria, Belgium, Switzerland, Germany, Denmark, Spain, Finland, France, United Kingdom, Ireland, Italy, Luxembourg, Netherlands, Norway, Offshore, Sweden
SSgA Global Managed Volatility Equity A
Initial charge3%
Annual charge0.45%
Min single investment£250,000
Min regular saving£50
Available in ISANo
Ongoing charge (OCF)0.55%
Total expense ratio (TER)0.55%
Bid price-
Offer price-
Mid price10.4694
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeM7XY
SSgA Global Managed Volatility Equity B
Initial charge-
Annual charge-
Min single investment£50,000
Min regular saving£5,000
Available in ISANo
Ongoing charge (OCF)0.1%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price15.5172
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeG7EW
SSgA Global Managed Volatility Equity I
Initial charge3%
Annual charge0.35%
Min single investment£3,000,000
Min regular saving£1,000
Available in ISANo
Ongoing charge (OCF)0.45%
Total expense ratio (TER)0.45%
Bid price-
Offer price-
Mid price18.6948
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeIVS9
SSgA Global Managed Volatility Equity I Dis EUR
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.45%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price10.3643
CurrencyEUR
Price updated30/11/2016
TypeIncome
Institutional or retail classRetail
Domicile-
Citi codeN3LW
SSgA Global Managed Volatility Equity I EUR
Initial charge3%
Annual charge0.35%
Min single investment£3,000,000
Min regular saving£1,000
Available in ISANo
Ongoing charge (OCF)0.45%
Total expense ratio (TER)0.45%
Bid price-
Offer price-
Mid price12.7246
CurrencyEUR
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeM0BZ
Data provided by

The Content is only for your general information and use and is not intended to address your particular requirements. The Content does not constitute any form of advice, recommendation or arrangement by Moneywise and is not intended to be relied upon by you in making (or refraining from making) any specific investment or other decisions. Appropriate independent advice should be obtained before making any such decision.

This information is sourced from our partner Financial Express. We believe the data to be correct however you should take care in using any information.

You should be aware that prices may fall as well as rise and that the income derived can go down as well as up. When buying or selling any investment that fluctuates in price or value you may get back less than you invested. Past performance is not necessarily a guide to future performance.