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The Asset Allocation Research And Benefit Analysis Of QDⅡ Of China

Posted on:2011-10-14Degree:MasterType:Thesis
Country:ChinaCandidate:Q HeFull Text:PDF
GTID:2189360305472805Subject:Finance
Abstract/Summary:PDF Full Text Request
QDⅡ(Qualified Domestic Institutional Investors), means the qualified domestic institutional investors. QDⅡsystem carries out under the situation of the non-convertible Renmibi system and the capital markets not completely opening. QDⅡis a mechanism which allows domestic institutional investors invest in stocks, bonds and other securities in overseas capital market after the approval of relevant government department. This paper, which starts from the definition and the development of QDⅡ, deeply analysis its asset allocation and benefit and indicates the factors and risks that restricts the development of QDⅡsystem. By using of the mathematical models, we quantitatively analysis the strategy of asset allocation of QDⅡproducts, and then we bring forward some suggestions. This paper mainly includes four parts:The first part introduces and summarizes the basic condition of QDⅡsystem. First of all, we introduce the definition and basic conditions of the QDⅡsystem. Secondly, we give a brief introduction of the four stages of the establishment and development of QDⅡsystem. Thirdly, by collecting the relevant data and information, we briefly summarize the current development condition and performance of QDⅡproducts. Fourthly, based on the elaborating of the performance of QDⅡproducts in overseas, we analysis the factors of not achieving the expected benefits.Fifthly, we analyze the meaning of implementation of QDⅡin China.The second part, by quantitatively analyzing the selected samples, we study the asset allocation and benefit of China QDⅡproducts. In this part, we calculate the proportion of the top ten awkwardness, stock concentration, industry concentration, investment in regional concentration, sharp ratio. On the basis of these, we study the relationship between the strategy of asset allocation of QDⅡand its benefit. The results show that deuced concentration of asset allocation had a negative effect in the profits of QDⅡ.The third part, by using of the Mean-Variance Model and Value at Risk model, we continue the quantitative analysis of QDⅡ. On one hand, we chose four stocks from the field of finance, energy, telecommunication services, and non-essential consumer goods. Then, on the basis of mean-variance model, we analyze how to deploy the fund with reason among the four stocks. On the other hand, we use Value at Risk model to study how to deploy the fund with reason among the A-share markets, traditional financial markets and emerging markets. Finally, we come into a conclusion. Firstly, because of the highly independence of Hong Kong capital market, we can invest the fund into this market to disperse the risk of market. Secondly, because there is a high rate of return in emerging market, we can invest the fund in this market to achieve a high return at a appropriate level of risk.The last part, on the base of the quantitatively analysis in part two and part three, we put forward some suggestion about how to carry out QDII system actively and effectively in our country. We mainly base on the depth and width of the investment. Finally, we summarize the full text.
Keywords/Search Tags:QDII, Stock concentration index, VaR model, Asset allocation and revenue, Mean-variance model
PDF Full Text Request
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