The Theoretical And Empirical Research(2008.10-2010.12) On The Evaluation Of Chines QDⅡ Fund Performance

QDII is the system which allows the mainland investors to invest in overseas capital market in the circumstance the capital account is not fully open. The purpose is to further open the capital account, to create more demand for foreign exchange, make RMB exchange rate more balanced and more market-oriented, to encourage more domestic enterprises to go abroad to reduce the trade surplus and capital surplus. So that let domestic investors directly participate in the global market and gain capital appreciation form global markets. At present the institutions which have the qualify to invest in the overseas capital markets mainly contains commercial banks, financial institutions, fund management companies, securities companies, insurance companies, trust companies. In our capital market, there are two main QDII products which are Bank QDII and Fund QDII. But the FUND QDII is the main part of the QDII products and its advantage is obvious. On November 2,2006, China's first QDII fund---Hua An International Balanced Fund is founded. Up to December 31, 2010, the quantity of the FUND QDII soared to number 28 (see AppendixⅡ).From 2007 to 2010, the global stock market had experienced three typical stages:bull stage, bear stage and vibrated stage. Most investors care about the early QDII funds'performances which were labeled "global investment, diverting risks, and gaining the excess performances" During the period of the serious financial crisis, most of the QDII funds lost a half of their cost which made the investors sold the QDII fund and took the money back form the QDII fund managers. So it is necessary not only to do the research about the general performance but also to study about the ability to pick the stocks, decide when to buy or sell stocks and whether the QDII funds have the performance persistence. So it can give some useful advices to the investors, QDII fund managers and the choices makers.First, I use the three traditional indicators to do the research about our 9 early QDII fund. According to the result, I create the M 2, the ratio of the win and lose and the Sharp adjusted by the decline risk. The result is that our QDII funds make a good performance than the market package in general but the excess is so small. Second, I use T-M model, H-M model and C-L model to do the research about our QDII managers' ability to pick up stocks and decide when to buy or sell stocks. According the three models, we get the result that our QDII fund has the ability to pick up stocks and chose the best time to buy or sell stocks but the ability is weak. Last, I use two methods to test whether our QDII fund have the performance persistence. In general, our QDII funds do not show the performance's persistence. There are two reasons:the one is that the frequency of the changes of the fund managers is too big; the other is that the overseas investing experience of the QDII funds' managers is limited.The papers is about the research on our early QDII funds' performance according a lot of models and assess methods. The result may be useful for the investors, the funds' managers and the deciders.