C58 - Financial EconometricsReturn

The article focuses on comparing the performance of domestic actively managed funds with ETFs, or Exchange Traded Funds, which are traded on stock exchanges and generally aim to track a selected index. It compares actively managed funds and ETFs from both a return and volatility perspective. Key indicators analyzed include average return, Sharpe ratio, Beta, Jensen's alpha, and Treynor ratio. The objective of this article is to conduct a detailed analysis and empirical evaluation of whether actively managed investment funds—managed by portfolio managers with the goal of achieving above-average returns—can outperform passively managed funds in the long run. These passive funds, such as index funds and ETFs, track the performance of a specific market or sector without active intervention from fund managers. The emphasis is placed on empirical observations, i.e., actual historical results, rather than theoretical considerations, to provide an objective assessment of whether active management delivers higher added value for investors compared to passive investing, which relies on long-term market growth.