Performance Of Mutual Funds Cross-board Investments

Recently,the reserve of foreign exchange of China is showing a downtrend.The main reason of this phenomenon is due to the deficit of capital account is devouring the surplus of current account.This paper researches on the subproject of non-reserved financial account---the 3Q(QDII,QFII and RQFII),as we think the profit / loss of 3Q investment impact directly on the reserve of exchange.Currently,the open resources of QFII are limited and the RQFII fund that invested in stocks have been expended in recent 3 years,which make the research data more availably.Therefore,in this research,instead of using QFII data,we apply the data of RQFII equity funds to analysis the investment performance.In this research,we select 75 QDII and 27 RQFII equity funds from the WIND resource,and the study period is from 1st January 2013 to 31 st December 2015.That including the rehabilitation NAV,closing price of their benchmarks as well as the relative risk-free rate.For comparing the investment performance of each fund,we calculate the absolute return,sharp ratio,Treynor measure,Jensen's ? and information ratio.The research finds the ranking based on the absolute return,sharp ratio,Treynor measure for both QDII and RQFII is quite similar,which indicates these funds are well diversified.Moreover,the ranking based on Sharpe ratio and information ratio looks close,that reason is that most of funds in the sample are index based,and the excess return of both QDII and RQFII funds should be consistent in theory.Furthermore,we also compare the two types of funds by applying the mean,maximum,minimum,and the percentage of greater than zero,and find the RDFII performs better than QDII on most indicators.We explore this finding from the fund base assets,fee structures and FX risk and also provide some suggestions to optimize the design of QDII products.