A Research On The Application Of Theblack-litterman Model On Global Asset Allocation Of The QDⅡ Fund

Qualified domestic institutional investors(QDII) refers to the institutional arrangements allowing qualified domestic institutional investors make investments to the overseas capital market limitedly. It is a temporary and transitional system due to the capital market which is not completely open. China began to introduce QDII system since 2007. On the one hand, it provides more investment channels to investors, on the other hand, however, it puts the investors under more risk exposure, which brings more strategic and tactic problems to be solved. Because of the lack of talented person, the unbalance of capital allocation, and the fluctuation of international capital market, neither the issued share nor the overall earnings is satisfactory. Moreover, the concentrated asset allocation and the reliance on Chinese stock is the main reason.This paper takes the view of asset allocation of QDII fund. Based on the current literature and data, we select the active management model “Black-Litterman ” as the study instrument. We combine the market equilibrium yield and the subjective point of view of investors together and re-optimize the current asset allocation. The innovation of this paper is to calculate the investor’s view with the autoregressive model of multivariate vector, instead of previous random assignment based on personal subjective judgment.In order to optimize the asset allocation and improve the QDII fund performance, we focus on the following two parts. Firstly, we select ten main capital markets of the world according to the QDII fund report. We choose the index yield, gross domestic product, narrow money supply, inflation and market interest rates as five indicators, after fitting the monthly data from 2006 September to 2011 September with the multivariate vector autoregressive model, we forecast the index yield from 2011 October to 2014 March. Secondly, we input the forecast data to the Black-Litterman model as the investor’s view, combining with the market implied equilibrium yield, we calculate the optimal allocation by linear programming. By comparing the Black-Litterman results with the mean-variance results, we proves that the improved Black-Litterman model is optimal in terms of SHARP ratio. According to the empirical outcomes, we proposed several investment suggestions.