Risk Relative Performance Sort Of Fund Managers Adjust Behavior Under Study

As a result of the existence of principal-agent problems, fund investors unable tounderstand the fund managers investment behavior is in order to achieve theinvestors profit maximization, fund managers may be for their own interests tochange the composition of the fund portfolio, make fund volatility increases, sodetrimental to the interests of fund investors. This articles research will focus on theportfolios risk structure in performance ranking incentive under the changes, andin-depth analysis of the fund managers choose stocks market timing ability to explainthe portfolio of systemic risk and systemic risk has changed. This article expand thefund performance ranking of fund managers, investment risk adjustment behaviorresearch theory and method, has certain theoretical and practical significance.Scholars at home and abroad in performance ranking issue aboutinvestment fund risk before and after the change of research results have been quiterich, but in the end the conclusion has a certain conflict. Existing research mainlyfocused on analysis of funds total risk in performance ranking under the incentive ofmovements, rather than to a systemic risk and systemic risk for the analysis of thedifference between the fund risk change of position is different, but both reflect thedifferent ability of the fund manager, respectively. The innovation of this paper lies inusing the capital asset pricing model to fund risk decomposition, respectivelyresearch fund of systemic risk and systemic risk in performance ranking by changed,in order to further explain the reason for the changes in risk, the article selectedJensen index, H-M model and T-M model, analyzed the fund managers choose stocksmarket timing ability, in order to analysis the risk of fund manager adjustmentbehavior is rational,whether or not conducive to the interests of fund share holders.This article selects50positive growth open-end funds,collected theirearnings data from2008to2012, using the capital asset pricing model to devide therisk of find portfolio into systemic risk and unsystemic risk, the different fundperformance is studied by applying the method of contingency table sort criteria, the fund total systemic risk, systemic risk and the risk of the changes late in the top.Conclusion shows that the risk of investment fund does not changes overperformance ranking, preliminary results better fund late did not reduce the risk ofthe fund portfolio, while funds with poor performance didnt also in the later increasethe risk of portfolio in pursuit of excess returns. The risk of investment fund, whetherit is a total risk, systemic risk fund or unsystematic risk, showed a strong marketorientation, when the market goes up, risk tend to rise; When the market tends toreduce fall risk. Risk of fund manager adjustment behavior is a reflection of itscapabilities? By Jensen index, H-M and T-M model, fund manager’s choose stocksmarket timing ability was analyzed, the research results shows that fund manager hasno significant market timing ability and choice of valuable stock capacity and theblindness of the investment behavior is strong. Finally, aiming at the existing in thefund investment of irrational and unreasonable phenomenon, the paper put forwardthe Suggestions of improve the fund market investment, the fund manager and fundinvestors investment behavior in the market of information asymmetry situation willbe improved, safeguard the interests of fund investors.