基金經理人會隨時間改變其持股的風險以獲得投資的利益，本研究採Huang, Sialm and Zhang（2011）所提出「風險轉換」方法，以「基金持股報酬的波動」減掉「基金本身報酬的波動」來衡量「風險轉換程度」。首先探討「風險轉換」程度與報酬率之關係，接著探討在不同經理人的特性及基金特性是否會影響其風險轉換程度。本研究發現當「風險轉換」愈大時，其報酬率也愈高，「風險轉換」主要來自於「基金持股報酬的波動」。但相對的，風險增加也會導致下一期績效的惡化。本研究亦發現基金經理人之進入基金產業操作年資與風險轉換程度呈正向相關，且女性經理人之風險轉換程度較男性經理人低。而基金的規模、週轉率、成立年數則與「風險轉換程度」呈負向相關。

Mutual fund managers might actively shift the risk of their portfolios to take advantage of time-varying investment opportunities. This study is distinct from the research in the past which used the fund return standard deviation to proxy for the risk. By contrast, we adopt the ＂risk shifting＂ concept which was proposed by Huang, Sialm and Zhang (2011). To measure risk shifting of mutual funds, we use the Huang, Sialm and Zhang (2011) holdings-based measure that is defined as the difference between a fund's current holdings volatility and its past realized volatility. We discuss the relationship between the degree of risk shifting and the return of the fund firstly, then explore the relationship of the degree of risk shifting with fund managers' characteristics and fund characteristics, respectively. We find that the higher the degree of risk shifting, the larger the rate of return. The degree of risk shifting stems from variation of the stocks holding by the fund, not from the return variation of the fund. We also find that funds that increase risk tend to perform worse than funds that keep stable risk levels in the next time period. There exists positive relationship of the degree of risk shifting with experience of fund managers. We also find that female managers tend to bear a lower risk-shifting intensity than male managers. Finally, there exists negative relationship of the degree of risk shifting with fund size, turnover rate and fund years from inception, respectively.