Is Active Fund Over Index Fund?

Fund performance evaluation is an important branch of modern financial theory.The long-term debate between index funds and active funds over the advantages and disadvantages of investors has a long history.After taking Sunshine Private Equity Fund into consideration,the performance analysis and evaluation of these two types of funds will help China's securities market choose passive investment strategy or active investment strategy when choosing investment strategy,as well as the further development of effective market theory in China's stock market.Comparing the performance of active and index funds in China's Stock Open-end funds has a strong reference value for the fund industry,regulatory authorities and investors.This paper mainly adopts the methods of literature research and empirical research to study whether the performance of two types of active funds in China is significantly better than that of index fund.Based on the results of performance comparison between the former two and the latter,this paper demonstrates the effectiveness of China's stock market.By choosing the latest fund performance data,this paper deeply analyses the performance differences between active fund and index fund in China and their reasons,and then illustrates the effectiveness of China's stock market.Finally,according to the empirical results and the actual situation of the development of China's fund industry,we put forward some pertinent suggestions.Specifically,on the basis of studying the literature on fund performance evaluation at home and abroad,according to Fama's efficient market hypothesis,stock prices have accurately and fully reflected all information affecting stock prices,and there is no mispricing in stock price changes.Based on this in-depth study,three hypotheses are put forward in turn,they are as follows: Hypothesis 1: there is no significant difference between the aggregate average performance of active funds and the aggregate average return of index funds in China;Hypothesis 2: there is no significant difference between the investment performance of cemetery funds and private equity funds in China;Hypothesis 3: even if there are funds that beat the market benchmark portfolio(or index),performance persistence is almost non-existent.Empirical research uses FF3 model,TM-FF3 model and autoregressive test model to study and analyze the comprehensive performance,timing stock selection ability and performance persistence of 40 active and index funds in China over 10 years.The results show that: firstly,there is no significant difference between the overall average performance of China's active funds and the overall average return of index funds,that is,in the long run,China's active funds have failed to significantly defeat index funds;secondly,there is no significant difference in investment performance between public and private funds in China;thirdly,even if there is a benchmark portfolio(or index)to defeat the market,the existence of funds,performance persistence is almost non-existent;finally,it also shows that China's stock market is basically effective in the long run.Generally speaking,the three hypotheses put forward in this paper not only show that China's stock market is basically effective,but also affirm that the vigorous development of institutional investors in the past decade has important practical significance for the stable and healthy development of China's stock market.Therefore,this paper suggests that institutional investors further improve their investment research ability and comprehensive management level,and fund investors should pay more and more attention to index funds.The main contribution of this paper is that the research object joined the Sunshine Private Equity Fund for the first time,which made the sample more representative to the performance of the fund industry;China Securities Full Index is as the representative of market benchmark portfolio for the data selection for the first time,compared with the Shanghai-Shenzhen 300 index,the China Securities 500 Index and the SSE 50 Index,it has a higher representative of the stock market;the research content for the first time will be different types of stock market.The performance comparison of funds is closely related to the effectiveness of the stock market,which not only answers many questions,but also increases the depth of the article.