基金下行风险对股票型基金业绩的影响研究

Exploring the Impact of Downside Risk on the Performance of Equity Funds

摘要: 在中国经济步入新常态的背景下，本文探讨了基金下行风险对基金业绩能力的影响。随着中国基金市场的快速发展，基金业绩评估越发精细，投资者对风险与收益的平衡要求也越来越高。本文利用下行偏差、最大回撤作为下行风险指标构造基金的下行风险评估体系。通过实证分析，研究发现下行风险对基金业绩能力的影响显著，但方向不一，同时本文深入分析了基金下行风险在不同的市场环境下对基金业绩的影响。并对不同类型的股票型基金进行了全面的横向比较，发现了不同所有权的股票型基金在面临市场下行时的管理特征和策略，揭示了不同类型的股票型基金在应对市场不利条件时的优势和不足。本文不仅为基金风险对基金业绩的影响机制提供了新的视角，还为投资者提供更具针对性的基金选择指导。

Abstract: In the context of China’s transition to a new economic normal, this paper explores the impact of downside risk on fund performance capability. With the rapid development of the Chinese fund market, performance evaluation has become increasingly refined, and investors’ demands for balancing risk and Return are growing. This study constructs an evaluation system for fund downside risk using metrics such as downside standard deviation and downside Value at Risk (VaR). Through empirical analysis, it is found that the downside risk evaluation system has a significant impact on the performance capability of funds. Additionally, this paper deeply analyzes the impact of fund downside risk on performance across different economic cycles. Furthermore, a comprehensive horizontal comparison of different types of funds is conducted. By comparing the risk characteristics and management strategies of funds with different ownership structures during market downturns, this paper reveals the advantages and disadvantages of various fund types in adverse market conditions. This research not only provides new insights into the mechanisms by which risk affects fund performance, but also offers investors more targeted guidance for fund selection.