2017年-FCA英国金融行为监管局_ms15_2_3_annex_1_20页_357kb

Summary of MS15/2.3: Annex 1 - Asset Management Market Study

Core Content

This annex provides additional details and responses to feedback received on the main body of the final report of the FCA's market study on the asset management sector. It includes technical insights, consumer research findings, and responses to concerns about definitions and performance analysis.

Main Points and Key Information

1. Consumer Research on Retail Investors

• Fee Awareness Variability: There is variation in fee awareness among retail investors based on their investment channel. Investors using online platforms tend to be more aware of fees than those using traditional channels such as banks or building societies.
• Confusion Between Fund and Product Charges: Some respondents suggested that the findings on fee awareness may be influenced by confusion between "fund" and "product" or misunderstanding of different cost types (e.g., platform charges).
• Recommendation for Segmentation: To better apply the findings, the report recommends segmenting retail investors based on their experience and investment channels.

2. Consumer Segmentation

• Diverse Investor Base: The study acknowledges the diversity of un-advised retail investors in terms of demographics and experience.
• Segmentation in Interim Report: In Annex 3 of the interim report, some quantitative findings were presented by consumer segments.
• Future Consideration: The report suggests that further segmentation could enhance the applicability of findings to specific client groups.

3. Product Type and Fee Awareness

• Variation by Product Type: Fee awareness differs by the type of investment product. Investors in direct fund products are more likely to be aware of fund charges compared to those in tax-efficient wrappers.
• Awareness Levels: Despite this, around 40% of investors either do not think they pay fund charges or are unsure.

4. Definitions of Institutional Investors

• Feedback on Terminology: Respondents pointed out that the report did not use the regulatory definition of "retail investor" and that "institutional" investors did not align well with existing categories.
• Clarification Requested: There was a call for clearer definitions or the use of regulatory terminology.
• Response: The report used specific definitions for analytical purposes, not to reflect regulatory treatment. Future policy will align with regulatory definitions.

5. Performance Analysis

• Initial Finding: The report initially found that active funds underperformed their benchmarks after charges.
• Industry Feedback: Some asset managers and trade bodies challenged this, suggesting that active funds can outperform on average, and that the interim report may have been misleading by not addressing passive fund underperformance.
• Academic Literature: Several studies support the finding that active fund managers do not consistently outperform benchmarks after fees, and that any outperformance is more likely due to luck than skill.

6. Sensitivity Analysis on Performance

• Methodologies Used: The study re-evaluated performance using alternative samples and methodologies, including:
  • Risk-adjusted performance using a four-factor alpha model.
  • Performance against benchmarks for different sub-samples by asset class.
  • Net returns with distribution costs removed for funds available on investment platforms.
• Key Findings:
  • On average, both active and passive funds did not outperform benchmarks.
  • There is significant variation within and across asset classes, indicating that average performance may not be representative of all subcategories.
  • Removing distribution costs slightly improves net performance, but not enough to suggest outperformance on average.

7. Analyst Ratings and Recommendations

• Performance of Rated Funds: The study found that gold-, silver-, or bronze-rated funds outperformed not-rated or neutral-rated funds, particularly over a five-year holding period.
• Consistency with Previous Findings: These results are consistent with the interim report but do not show that rated funds outperform Morningstar category benchmarks after fees.
• Rating Systems: The Morningstar Analyst Rating is a qualitative forward-looking measure that reflects expectations of fund performance relative to peers.

8. Platform 'Best Buy' Lists

• Initial Assessment: The interim report showed that recommended funds outperformed non-recommended ones.
• Updated Analysis: The final report includes updated analysis to reflect industry feedback and corrected data, aligning the assessment with the broader Morningstar Direct universe.
• Conclusion: While these tools have helped investors identify better-performing funds, they do not guarantee outperformance after fees.

Tables and Figures

• Figure 1 & 2: Show variations in fee awareness by investment channel and product type.
• Table 1: Four-factor alpha results for active UK equity funds (2003–2012 and 2013–2015) indicate no significant excess returns.
• Table 2 & 3: Performance against benchmarks for broad category and equity sub-samples, respectively, shows mixed results with many not statistically different from zero.
• Table 4 & 5: Net returns excluding distribution costs for all asset classes and broad category sub-samples.
• Table 6: Performance of equity sub-samples with and without distribution costs.
• Table 7: Performance of Morningstar-rated funds under two holding periods, showing statistically significant excess returns compared to not-rated funds.

Conclusion

The study concludes that, on average, both active and passive funds do not outperform benchmarks after fees. However, there is significant variation across and within asset classes. Analyst ratings and platform best buy lists have historically aided investors in selecting better-performing funds, but they do not consistently result in outperformance after fees. The report emphasizes that its findings are not intended to promote one investment strategy over another.