基金业绩、业绩分化和基金经理风险调整行为

Under the relative performance assessment mechanism, fund managers will determine the risk level of the investment portfolio according to their own performance ranking and the industry performance distribution. The research found that the closer the fund performance is to the industry average level in the first half of the year, the higher the risk level of the fund manager's investment portfolio in the second half of the year, and the relationship between fund performance and the risk level of the fund manager's investment portfolio is an inverted U-shape. In addition, fund managers mainly adjust the idiosyncratic risk of the investment portfolio rather than the systematic risk. Fund companies care about the scale of asset management and assess fund managers based on relative performance, while fund managers care more about their own salaries. When the performance differentiation is small, the change in future ranking that a fund manager can bring about by increasing the risk level of the investment portfolio by 1 unit is higher than in years when the fund performance differentiation is large, and the fund manager has more incentive to increase the risk level of the investment portfolio. However, when the performance differentiation is small, the sensitivity of investors' subscription and redemption to fund performance decreases, and the risk adjustment behavior of fund managers does not lead to an increase in the fund scale, indicating that there is also a principal-agent problem between fund companies and fund managers.

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。当业绩分化小时,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。