协调ICI及其批评者的401K费用估计

费用学习

单击图像以查看研究。

In April, the Investment Company Institute (ICI) released a 401(k) fee survey entitled “Inside the Structure of Defined Contribution/401(k) Plan Fees: A Study Assessing the Mechanics of What Drives the ‘All-In’ Fee.” ICI chairman John Murphy* has begun using the median fee from this survey – 0.72% – as evidence that fees in the entire 401k marketplace are “quite a bargain compared to the 3% some critics cite.” To view how Mr. Murphy is using the data from this survey please see “401K收费批评者夸大了问题《投资新闻》(Investment News)的萨拉•汉萨德(Sara Hansard)上周发表了这篇文章。我们的问题很简单:ICI计算的“All-In Fees”(0.72%)和它的批评者计算的“All-In Fees”(3.00%)之间的差距怎么会是2.28% ?我们认为,存在这种差异的原因是ICI研究中的取样方法较差,以及ICI及其批评者在如何计算费用方面存在重大差异。

ICI/德勤调查中的抽样问题

在进行任何调查时,确保调查样本能代表整个人口是至关重要的。否则,调查结果就毫无用处(或者充其量只能代表样本,而不能代表整个人口)。Â ICI/德勤辩称,他们认为样本的人口统计数据“似乎”与固定缴款计划人口“相似”,因此结果具有“代表性”。我们打算使用ICI/德勤自己关于费用驱动因素的逻辑,以表明样本在资产规模和参与者规模这两个最重要的指标上错报了固定缴款计划人口。Â我们将ICI/德勤的样本与整个固定缴款市场进行了比较,这些数据来自于2006计划年度的5500表格文件:

1.资产规模:ICI / Deloitte样品包含比DC计划整体的大量资产计划的比例更大:

plans-by-asset-size-chart1

逐个资产 - 大小数据

尽管整个DC市场大约96%的计划是微/小计划(由ICI/Deloitte定义),但这种规模的计划只占the ICI/Deloitte样本的20%。由于计划资产规模被ICI/Deloitte认定为“费用的主要驱动因素”,拥有这样一个极具误导性的样本将导致ICI/Deloitte的研究系统性地低估DC市场中位数计划的费用。

2.参与者大小:ICI / Deloitte样本包含比DC市场中的1,000个或更多参与者的较大比例的计划,比DC市场存在于:

plans-by-participant-size-chart1

plans-by-participant-size-data

虽然在DC市场中只有不到1%的计划拥有1000名以上的参与者,但这些计划占ICI/德勤样本的整整三分之二。正如研究中描述的那样,随着“参与者人数的增加,费用占资产的比例往往会下降。”“Â如果情况确实如此,我们可以预计,ICI/德勤的样本系统性地低估了401k计划的费用中值。

由于在ICI/德勤认为最重要的两个领域(资产规模和参与者规模)的样本不足,可以有把握地说,该调查系统性地低估了DC市场的费用中值。然而,由于ICI/德勤没有披露其抽样方法,因此不可能知道是什么导致了如此具有显著误导性的抽样。我们希望,糟糕的样本是自我选择偏差的结果,而不是更险恶的东西。毕竟,这样的样本完全有可能是由自愿的简单随机样本产生的。由于收集了超过1000个数据元素,完成这项调查可能是困难和耗时的。这种复杂性可能会阻碍小型计划发起者完成调查。因此,调查设计可能会不由自主地导致严重的自我选择偏差和覆盖面不足的小计划赞助商最有可能有更高的费用计划。虽然我们认为,我们刚才描述的情况- -自我选择偏差和明显缺乏抽样严密性- -是抽样问题最有可能的原因,但有几个事实指向更深层次的问题。Â我们感到不安的是,这两种偏见的来源(资产规模和参与者)都导致了对费用的低估,尽管有明显的相反证据,ICI/德勤仍将其结果描述为“具有代表性”,而且,也许最糟糕的是,调查的抽样方法仍完全未公开。面对这三个事实,好奇的人想知道,调查的设计者是有点虚伪,还是更糟糕,缺乏知识的完整性。

和解# 1: Fortunately we can use some of ICI/Deloitte’s own data to help them overcome their poor sampling. In the study the authors include a chart of the median fee broken out by asset size. The median fee for micro plans is listed as 1.89%. Since micro plans make up two thirds of the entire DC marketplace it is safe to assume that the median all-in fee for all DC plans is very close to this 1.89%. If the ICI intends to share a single fee number that is representative of the 401k marketplace according to its own calculations we recommend it use 1.89% . However, this 1.89% still leaves another 1.11% (3.00% – 1.89%) gap between ICI and its critics.

什么包含在“All-In”费用中?

ICI之间的其余部分及其批评者可以通过检查“一举费的费用”中所包含的内容来关闭。事实证明,许多批评者独立的信徒,顾问和RIAS - 包括在计算中的交易成本ICI没有。The critics argue that the Department of Labor makes it very clear that fiduciaries have a duty to calculate and understand all fees of an investment alternative that lower returns, including the option’s transaction*** costs – brokerage commissions, spread costs, market impact costs and opportunity costs. Recent academic research and data from the SEC estimates that transaction costs are in many cases as big or bigger than a fund’s expense ratio.****

这些交易成本是ICI承认的实际成本。ICI并不认为交易成本不是真实的,也没有争辩说他们很小。事实上,ICI同意,这些费用是真实的,并表明营业额率是估计这些费用的良好代理。作为证据,ICI最近发布了一份“关于401K的神话。“â}”–解决交易成本:

ICI神话#7:投资于共同资金的401(k)S的成本基本低调,因为资金不会透露交易费用 - 隐藏和过度费用。

ICI事实# 7:资金遵循SEC关于披露交易成本的规则 - 基金经理拥有强大的法律和市场激励,以尽量减少这些费用。

ICI对神话中最有趣的部分是对神话#7的回应是他们实际上并没有反驳“神话”的两个最突出的作品:交易成本是隐藏和过度的。Their response – that funds follow SEC rules, and that fund managers have incentives to keep these costs low – does not refute the existence of these costs or the academic research that suggests that these costs can be as big (or bigger) than a fund’s expense ratio. In fact, the ICI’s only complaint is that these costs are hard to measure. Unfortunately for an ERISA fiduciary, difficulty in measurement does not relieve them of their fiduciary obligations to ensure reasonableness of fees.*****

和解# 2:If a fiduciary follows the ICI’s advice and uses the turnover ratio to estimate these transaction costs, and then adds this fee in to a plan’s “All-In” fee the result is a number very similar to what the ICI’s critics allege. ICI’s survey says that roughly 74% of plan fees in its survey are investment management fees. We can use this math to determine that 1.4% (0.74 * 1.89%) of the 1.89% median all-in cost for micro plans in ICI’s survey are investment costs. Assuming transaction costs are roughly equal to investment costs, we can add another 1.4% for transaction costs and the result is 3.29% (1.89% + 1.4%). This new number including transaction costs is actually higher than the 3% number ICI ascribes to its critics. While this is a very crude calculation, it shows that the ICI and its critics are not in fact all that far apart if everyone can agree on what to include.

在费用辩论中增加细微差别

The ICI would like to claim that its critics are out in left field on fees as I’m sure the ICI’s critics would like everyone to believe that the ICI is out in right field. The reality is that the two aren’t that far apart. All that is needed to close the gap is a dose of reality about what the real DC plan population looks like and a little bit of nuance in understanding differences in how 401k “All-In Fees” are calculated. From our perspective, there are three major take-aways from this analysis:

  1. 交易成本是真正的费用:A strict reading of ERISA law and the DOL’s interpretive guidance makes it very clear that transaction costs must be measured and included in a fiduciaries analysis of 401k plan fees. Until the DOL says anything to the contrary we believe prudent fiduciaries should include these fees in their calculations.
  2. 始终披露您的抽样方法:ICI应该更好地披露其调查和抽样方法。毕竟,读者决定了调查结果是否具有调查的赞助商(特别是当赞助商如此明显时)在这种情况下,我们相信ICI在媒体中使用的当前中位数 - 0.72% - 对自己的信誉有害,特别是因为他们直接在调查报告中索赔,结果“无法预测到entire population of U.S. 401k plans.”
  3. 费的辩论:ICI及其批评者都应该对401辆费用的辩论更加差别。我们希望了解有关交易成本和更严格的采样技术的更多讨论,以获得费用研究。对于我们的部分,我们相信我们正在组建一个惊人的实际计划费用数据库(不调查数据),这将有助于行业中的每个人更好地标记401K计划。

行动呼吁

我们呼吁ICI立即释放有关其调查方法的更多信息,并解释为什么他们认为此目前的调查是整个401K市场的代表。

披露

*我相信指出,墨菲先生也是该国最大的共同基金家庭之一的Oppenheimer资金主席。

**尽管墨菲没有提到任何人的名字,但独立受托人(以及BrightScope咨询委员会成员)马修·哈奇森在他发表在《老年法律杂志》上题为《在合格退休计划中揭开和了解隐藏的费用“我一直发现,低成本计划每年的成本占计划资产的3%。”

***交易成本也称为交易成本或隐性费用。

****完全分析了这个主题和与学术研究的联系请看证券概念在交易成本上发布

***** Kasten,Gregory W.,“来自投资组合的高度交易成本对401(k)参与者产生负面影响,并增加计划赞助商信托责任“: “这
事实上,营业额的成本是“发现”没有给出“计划”保真金,休闲决定不监督它们。“