Study On Performance Evaluation Of QDII Equity Funds

The QDII system was created under the requirements of capital openness and has gradually become an indispensable part of the public fund market.With the continuous increase of QDII quota and the enrichment of product varieties,more and more institutional investors participate in the distribution of global capital market income through this channel,leading to the rapid development of QDII system.However,due to the late start of QDII funds and limited market experience,there is still a large gap between QDII funds and international mutual funds.Additionally,the performance evaluation system of QDII has its own particularity.The fact that there is a lack of attention in the market further slowed down the development of QDII.Given its key role in the international investment,researching QDII performance evaluation will not only help regulate the market,but also contribute to the optimization of global assets allocation.This paper selects 19 active QDII equity funds as sample.These funds have duration of more than three years and have not yet expired at the end of 2018.Based on daily data of the sample funds' net value from 2016 to2018,the paper analyzed overall income performance and relative performance to benchmarks of active QDII equity funds.T-M,H-M and C-L models are leveraged to judge the timing and stock selection performance of the funds.Two-way table method and Z-score are leveraged to test the overall performance sustainability.The evaluation results show that,similar to previous studies,it's difficult for active Chinese QDII equity funds to exceed their own performance benchmarks.In general,their managers do not possess the capability of timing and stock selection.However,the performance of such funds has a significant monthly overall sustainability,but does nothave a quarterly overall sustainability.If choosing the MSCI Global All Country World Index as the benchmark,we can see that only a very small number of funds can obtain positive absolute returns by leveraging investment techniques.Given the time cost,information cost,etc.,most of the active QDII funds have subpar performance.In the future,both investment choice and product design are recommended to be passive.