收益率全口径解析专题：主动股基能否跑赢股票市场？

Core Insights - The report investigates the performance of active equity funds, specifically whether they can outperform the broader A-share market, represented by a market capitalization-weighted portfolio of most A-share stocks [11][12] - The analysis reveals that while most active fund portfolios can outperform the market, the excess returns are not statistically significant, with annualized excess returns ranging from 0.216% to 3.05% across various fund sizes [1][2] Fund Performance Analysis - Active funds show a preference for large-cap stocks and high-valuation stocks, with significant positive exposure to high-valuation stocks impacting performance negatively when considering size and value factors [2][3] - Under a three-factor model, all fund portfolios exhibit positive excess returns, ranging from 1.54% to 6.37%, with small and mid-cap funds showing significant excess returns [2][3] - The growth factor demonstrates a high annualized return of 9.91%, with excess returns reaching 10.5% to 12.5%, indicating a strong correlation between short-term earnings growth and future stock returns [3][4] Factor Contributions - The report highlights that aside from the market factor, the value factor has a significant negative contribution, while the growth factor contributes positively to performance [3][4] - In a five-factor model, the market factor contributes between 6.03% and 6.48%, while the value factor contributes negatively between -3.16% and -2.83%, and the growth factor contributes positively between 1.98% and 2.49% [3][4] Fund Composition and Trends - The report notes a structural shift in the composition of active equity funds, with a significant increase in the number of mixed equity funds since 2015, reflecting a change in regulatory requirements [20][21] - The number of active equity funds has grown from 207 at the end of 2008 to 5508 by the end of 2024, with a compound annual growth rate of 22.8% [15][21] - The report also discusses the impact of market conditions on fund performance, noting that the active equity fund's net asset value reached a peak in 2007 and has only recently surpassed that level [22][21]