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

摘要： 相对业绩考核机制下，基金经理会根据自身业绩排名和行业业绩分布决定投资组合的风险水平。研究发现，上半年基金业绩距离行业平均水平越近，下半年基金经理投资组合的风险水平越高，基金业绩和基金经理投资组合的风险水平呈倒U形。另外，基金经理主要调整投资组合的异质性风险，而非系统性风险。基金公司关心资产管理的规模，基于相对业绩考核基金经理，而基金经理更关心自身薪酬。业绩分化小时，基金经理提高1单位投资组合风险水平所能带来的未来排名变化高于基金业绩分化大的年份，基金经理更有动力提高投资组合的风险水平。但业绩分化小时，投资者申购赎回对基金业绩敏感度下降，基金经理风险调整行为并不能带来基金规模的增加，说明基金公司与基金经理之间也存在委托代理问题。

关键词: 基金业绩, 业绩分化, 风险调整, 失业风险