关键词: 基金业绩, 业绩分化, 风险调整, 失业风险

Abstract: Under the relative performance evaluation mechanism, fund managers will determine the portfolio risk based on their own performance and industry performance distribution. The research shows that the closer the fund performance is to the industry average in the first half of the year, the higher portfolio risk the managers would assume in the second half of the year. The fund performance and managerial risk shifting behavior are in an inverted U-shape. In addition, fund managers mainly adjust the heterogeneous risk of the investment portfolio, rather than the systemic risk. Fund companies are concerned about the scale of asset management, while fund managers care about their own compensation, which is based on their relative performance. Fund performance dispersion represents the performance gap between this fund and other funds. When the dispersion is small, the risk adjustment behavior of fund managers is more significant. However, when the dispersion is small, the sensitivity of the flow of investors to fund performance decreases, and the risk adjustment behavior of fund managers cannot increase fund size, indicating that there is also a principal-agent problem between fund companies and fund managers.

Key words: fund performance, performance dispersion, risk adjustment, unemployment risk