Study On Performance Of Chinese QDⅡ Funds

The capital and finance account of Balance of Payment in China is not completely open,and there is a gap between the domestic capital market and advanced ones in the world. Recently,due to trade surplus, the foreign exchange reserve has accumulated, making it a challenging taskto maintain and increase the value. Under the existing framework, overseas securities capital isallowed to float into China by the means of QFII, and domestic securities capital float out ofChina by the means of QDII.With a sample of8QDII funds founded before2009, this paper analyzes their performancesin the year of2009and2010by taking advantage of selectivity and timing models like TM andCL, as well as DEA efficiency and cross efficiency models. First, a brief picture is depicted fromthe perspective of market structure and market behavior, the emphasis is placed on market scale,concentration, differentiation, barriers to entry and strategies of pricing and investment portfolios.Second, the parametric approach is employed to analyze QDII fund managers’ selectivity andtiming ability. Third, a nonparametric approach is taken to calculate relative efficiencies andcross efficiencies, and their performances are judged by the rank. Finally, the conclusion isdrawn on the basis of the previous research.From the aspect of selectivity and timing, the TM model shows that HXQQ, JSHW, GYQQ,HFT and JYHQ have superior selectivity both in2009and2010. On the contrast, timing is notstable. The taming ability is reversed in2009and2010. Among all the QDII funds, only GYQQhas superior selectivity and timing ability in both years. However, the selectivity and timingability are insignificant with the significance of5%. Thus, QDII fund managers have a certainselectivity and poor timing ability. The CL model shows that QDII fund managers have superiortiming ability and inferior selectivity in2009, and superior selectivity and inferior timing abilityin2010. Their selectivity and timing ability are not persistent.From the perspective of DEA efficiency, the CCR model shows that GYQQ, HXQQ andJYHQ are DEA efficient in2009, and HXQQ and YTYS are DEA efficient in2010. Based on theslack analysis, transaction fee is the most important factor that decreases efficiency. The crossefficiency model shows that, the performance rank from the best to the worst in2009is quitedifferent from that in2010.To sum all, QDII fund managers do not have significant selectivity and timing ability, andrelative efficiencies are not persistent.