2016年-FCA英国金融行为监管局_ms15_2_2_annex_7_17页_331kb

Summary of MS15/2.2: Annex 7 - Fund Charges Analysis

Core Content

This document provides an interim report on the analysis of fund charges in the UK asset management market, focusing on the magnitude, trends, and distribution of charges across different fund types, client categories, and investment strategies from 2010 to 2015.

Main Objectives

• To understand the types of charges levied on consumers, their magnitudes, and who benefits from this revenue.
• To identify trends in charges over time and between different market segments.

Approach and Sample

• Data Source: Financial information from sixteen asset managers covering the annual flow of charges from funds over 2010-2015.
• Scope: The dataset includes only GBP-denominated, open-ended funds available to UK investors, excluding close-ended funds (CEFs) and segregated mandates due to data comparability issues.
• Sample Size: As of December 2015, the dataset covered 722 funds across 15 fund managers, representing £563 billion of assets under management (AUM).
• Challenges:
  • Inconsistent naming and charging structures across firms.
  • Legacy IT systems and data retrieval issues.
  • Some firms could not provide accurate brokerage costs, leading to exclusion from certain analyses.
  • Data not denominated in GBP was excluded to avoid conversion errors.

Methodology

• Charge Calculation: Charges were calculated as a percentage and in basis points (bps) of AUM.
• Formula:
  $$
  \text{Percentage:}% \text{Charge} X_{T} = 100^{*}(\Sigma X_{T}) / (\Sigma AUM_{T})
  $$
  $$
  \text {B a s i s P o i n t : B P C h a r g e X} _ {\mathrm {T}} = 10, 000 * \left(\Sigma \mathrm {X} _ {\mathrm {T}}\right) / \left(\Sigma \mathrm {A U M} _ {\mathrm {T}}\right)
  $$
• OCF vs. AMC: The Ongoing Charge Figure (OCF) is a broader measure of charges that includes the Annual Management Charge (AMC) and other ongoing services. The AMC, however, does not include all third-party charges.
• Limitations:
  • The dataset does not capture implicit costs such as price changes from large transactions.
  • It excludes management fees and rebates that occur outside the fund.
  • The OCF does not include performance fees or transaction costs, which are non-OCF charges.

Trends in Fund Charges (2010-2015)

• Overall Decline: The average annual charge across all open-ended funds decreased from 1.07% in 2010 to 0.91% in 2015.
• Key Drivers:
  • RDR Impact: Retail investors shifted to clean share classes, reducing AMC by up to 0.45% due to the elimination of intermediary commission.
  • Passive Funds Growth: The proportion of assets in passive funds increased from 10.4% in 2011 to 16.4% in 2015, contributing to lower overall charges.

Core Charges Breakdown

• Charge Recipient:
  • Asset Manager: Typically accounted for 70-80% of total charges, with some exceptions.
  • Third Party: Represented 20-30% of total charges, with notable exceptions in property and multimanager funds.
• Detailed Charges:
  • AMC: Averaged 85 bp across 11 firms, ranging from 12 bp to 143 bp.
  • Admin, Custody, Brokerage: These were the most significant sub-charges, with average values of 3 bp, 1 bp, and 9 bp respectively.
  • Performance Fees, Entry Fees, Other: These were generally lower and affected only a small proportion of funds.

Client Type Analysis

• Client Groups:
  • Retail-only: Funds with all shareclasses targeted at retail investors.
  • Institutional-only: Funds with all shareclasses targeted at institutional investors.
  • Mixed: Funds with shareclasses available to both types.
• Categorisation Ambiguity:
  • Institutional shareclasses are defined by the absence of sales commission and high minimum investment.
  • Post-RDR, institutional charging structures are increasingly available to retail investors.
  • Morningstar and fund managers had different categorisation methods, with only 28% of funds classified as institutional by managers also being identified as such by Morningstar.

Charge Differences by Client Type

• Active Funds:
  • Retail: 1.38% of AUM.
  • Institutional: 0.69% of AUM.
  • Mixed: 0.92% of AUM.
• Passive Funds:
  • Retail: 0.15% of AUM.
  • Institutional: 0.18% of AUM.
  • Mixed: 0.13% of AUM.
• Observations:
  • A significant difference in charges between retail and institutional funds was observed, particularly in active funds.
  • The difference may not be fully explained by historical commission, as many funds had already moved to clean share classes.

Investment Strategy Analysis (Passive vs. Active)

• Classification:
  • Funds were classified as passive if they tracked an established index.
  • Active funds included all others, including those with quantitative strategies.
• Charge Differences:
  • Passive funds generally had lower charges compared to active funds.
  • Figure 10 shows the difference in charges between actively and passively managed funds, though specific figures are not included in this summary.

Key Findings

• AMC Trends: The AMC for active retail funds increased slightly in 2015, partly due to the calculation method used.
• Impact of RDR: The Retail Distribution Review (RDR) led to a shift towards clean share classes, reducing charges for retail investors.
• Data Limitations: The analysis is based on fund-level data, which may not fully capture the nuances of charges between different client groups within mixed-client funds.

Conclusion

This analysis provides a comprehensive overview of fund charges in the UK market, highlighting the decline in overall charges, the impact of RDR, and the growth of passive funds. It also underscores the challenges in accurately isolating and comparing charges across different client types and investment strategies due to inconsistent data reporting and the nature of fund-level data.