The Empirical Study On The Impact Of QDII Mutual Fund Investment Concentration On Its Performance

First of all,the evaluation of QDII fund performance are studied from the return rate and risk,this two aspects.The main indexes which are used as a measure of measuring QDII fund income are average monthly unit net yield?annualized yield?geometric average rate of return;the main indicators of QDII fund risk are standard deviation of yields?annualized volatility.At the same time,according to the classic performance measurement method,in order to examine the return of unit risk,the evaluation index used are the classic Sharpe index?Treynor index?Jensen index.The methods and definitions of the three index calculation are proposed in the fourth chapter,and the ranking result of the three are listed in detail and analyzed in Chapter fifth.The Analysis shows that the three indexes have ranking conflicting problems,which is not conducive to investors,therefore this paper will use factor analysis method to introduce a comprehensive variable to rank the fund performance.Two common factors behind many fund performance indexes are extracted by factor analysis,and integrated into a comprehensive score variable.This comprehensive variable make the fund ranking result more clear,which facilitate the investment decisions of domestic investors.Secondly,according to the empirical evaluation results,under the same income situation,some funds have a higher risk,but some funds have a relatively low risk;besides,bearing the same risk,some funds can get high returns,but some funds' yields are unsatisfactory,which result in a large gap of the fund performance and its ranking.Why there is a large gap between performance ? To solve this problem,this paper will put forward four factor that may influence funds' performance,and these factors are based on Markowitz's modern portfolio theory,APT theory and other researches.The empirical results of panel regression model shows that the degree of regional concentration and industry concentration have a significant positive impact on the performance of the funds.In addition,the funds' age also influence the performance in a way consistent to the hypothesis,and the size does show scale effect on the performance significantly.Finally,in order to be able to develop better in the future,and to create better investment returns for investors,this paper puts forward some measures and suggestions according to the empirical conclusions and the investment reality of China's QDII funds.